Bêtas des secteurs en France

Pour l’entreprise la connaissance du coût du capital est primordiale et est au coeur de nombreuses décisions stratégiques (choix de projets, choix de la structure financière, ..)
Pour obtenir le coût du capital on utilise le bêta sectoriel désendetté qui est calculé à partir d’un échantillon de sociétés comparables cotées en bourse.
Pour obtenir le bêta sectoriel désendetté, on calcul dans un premier temps, le bêta des fonds propres des firmes de l’échantillon à partir des données historiques.
Ensuite, on détermine le ratio D/CP (valeur de marché des dettes et des fonds propres) pour chaque firme.
Le bêta désendetté de chaque firme est ensuite obtenu par la formule :
   Ungeared beta = Actual beta x Ungearing factor
   Ungeared factor = 1/[1+(1-Tax rate)*(Net Debt/Mkt Cap]

Le bêta sectoriel désendetté est alors obtenu par la moyenne ou la médiane des bêtas désendettés des firmes de l’échantillon.

Industry name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash
Advertising 19 0.81 22.99% 22.05% 0.68 8.2% 0.74
Aerospace/Defense 8 0.86 22.74% 11.81% 0.71 11.04% 0.8
Air Transport 3 1.63 179.58% 12.13% 0.63 14.78% 0.74
Apparel 15 0.91 14.87% 20.02% 0.81 4.13% 0.85
Auto & Truck 3 1.94 489.76% 10.31% 0.36 20.3% 0.45
Auto Parts 6 2.13 95.73% 16.94% 1.19 24.14% 1.56
Bank 5 2.55 2167.74% 23.85% 0.15 11.28% 0.16
Banks (Regional) 15 0.87 474.98% 33.01% 0.21 2.12% 0.21
Beverage (Alcoholic) 11 0.69 43.51% 22.7% 0.52 2.44% 0.53
Biotechnology 16 1.3 5.24% 0% 1.24 17.99% 1.51
Broadcasting 5 1.19 2.14% 31.81% 1.17 10.42% 1.31
Brokerage & Investment Banking 3 0.98 66.37% 36.98% 0.69 31.93% 1.01
Building Materials 8 0.5 75.68% 23.74% 0.32 11.33% 0.36
Business & Consumer Services 21 1.05 23.19% 22.79% 0.89 4.78% 0.93
Cable TV 1 0.64 43.67% 34.8% 0.5 1.27% 0.5
Chemical (Basic) 7 1.28 24.23% 16.86% 1.06 4.61% 1.12
Chemical (Specialty) 6 0.71 49.09% 25.77% 0.52 13.74% 0.61
Computer Services 39 1.15 27.82% 26.35% 0.96 17.28% 1.16
Computer Software 38 0.96 6.26% 13.45% 0.92 10.55% 1.02
Computers/Peripherals 9 1.24 14.59% 6.7% 1.1 36.41% 1.72
Construction 5 1.49 93.13% 30.18% 0.9 8.8% 0.99
Diversified 4 0.29 2.2% 11.14% 0.29 4.44% 0.3
Electrical Equipment 14 1.41 40.42% 18.91% 1.06 8.93% 1.17
Electronics 21 0.93 24.7% 19.58% 0.77 13.13% 0.89
Electronics (Consumer & Office) 4 0.53 54.32% 25.75% 0.38 5.6% 0.4
Engineering 7 1.28 134.13% 30.26% 0.66 11.92% 0.75
Entertainment 9 1.52 159.98% 4.11% 0.6 15.67% 0.71
Environmental & Waste Services 10 1.13 97.14% 17.19% 0.63 12.61% 0.72
Farming/Agriculture 8 0.71 31.75% 15.32% 0.56 10.58% 0.62
Financial Svcs. 3 0.57 28.88% 21.94% 0.47 117.5% -2.67
Food Processing 11 0.37 34.3% 30.74% 0.3 4.4% 0.31
Food Wholesalers 2 0.56 3197.58% 18.91% 0.02 25.58% 0.03
Furn/Home Furnishings 5 1.17 31.19% 12.31% 0.92 5.14% 0.97
Healthcare Equipment 16 1.1 7.85% 8.33% 1.03 5.19% 1.08
Healthcare Facilities 5 0.63 117.41% 43.99% 0.38 5.32% 0.4
Healthcare Products 2 0.73 7.73% 28.38% 0.69 3.19% 0.71
Healthcare Services 1 0.9 56.58% 43.02% 0.68 4.77% 0.72
Heathcare Information and Technology 12 1.18 40.3% 10.38% 0.87 5.6% 0.92
Heavy Construction 6 1.89 45.37% 21.53% 1.4 7.5% 1.51
Homebuilding 6 1.67 29.14% 29.27% 1.38 36.05% 2.16
Hotel/Gaming 10 1.12 37.53% 32.11% 0.9 14.39% 1.05
Household Products 14 0.72 2.09% 12.81% 0.7 2.27% 0.72
Information Services 3 0.61 54.11% 21.54% 0.42 47.58% 0.81
Insurance (General) 2 2.02 128.42% 31.37% 1.07 39.88% 1.79
Insurance (Life) 1 1.9 69.37% 27.37% 1.26 0% 1.26
Insurance (Prop/Cas.) 1 1.92 13.2% 30.07% 1.76 0% 1.76
Internet software and services 21 1.06 4.56% 13.17% 1.02 17.04% 1.23
Investment Co. 5 0.21 15.05% 10.77% 0.18 11.13% 0.21
Machinery 14 0.86 49.69% 17.6% 0.61 12.63% 0.7
Metals & Mining 4 2.08 13.61% 22.61% 1.88 19.56% 2.34
Office Equipment & Services 5 0.74 1.31% 16.22% 0.73 6.33% 0.78
Oil/Gas (Integrated) 1 1.21 38.99% 50% 1.01 13.4% 1.17
Oil/Gas (Production and Exploration) 3 1.33 29.31% 33.33% 1.11 12.32% 1.27
Oil/Gas Distribution 1 0.14 60.23% 34.43% 0.1 25.02% 0.13
Oilfield Svcs/Equip. 6 1.72 39.89% 23.47% 1.32 12.79% 1.51
Packaging & Container 9 0.85 132.63% 15.69% 0.4 13.11% 0.46
Paper/Forest Products 6 0.95 310.51% 14.07% 0.26 23.82% 0.34
Pharma & Drugs 7 0.78 16% 20.16% 0.69 0.33% 0.69
Power 11 1.15 113.49% 15.68% 0.59 5.17% 0.62
Precious Metals 3 1.16 2.81% 12.64% 1.13 5.16% 1.19
Publshing & Newspapers 13 1.16 111.34% 10.56% 0.58 12.33% 0.66
Real Estate 6 0.92 164.95% 17.43% 0.39 25.63% 0.52
Real Estate (Development) 3 0.62 136.32% 35.19% 0.33 9.73% 0.37
Real Estate (Operations & Services) 7 0.56 147.01% 7.95% 0.24 2.56% 0.25
Recreation 14 1.14 111.12% 13.43% 0.58 6.81% 0.63
Reinsurance 1 1.31 36.29% 16.84% 1 23.02% 1.3
Restaurant 4 0.84 27.52% 28.3% 0.7 11.17% 0.79
Retail (Building Supply) 3 0.65 107.27% 33.41% 0.38 8.62% 0.42
Retail (Distributors) 19 0.86 55.34% 21.14% 0.6 5.64% 0.64
Retail (General) 3 1.25 111.16% 20.55% 0.67 10.41% 0.74
Retail (Grocery and Food) 3 1.53 242.96% 20.65% 0.52 22.05% 0.67
Retail (Internet) 5 0.51 2.59% 19.94% 0.5 14.66% 0.59
Retail (Special Lines) 9 0.97 82.04% 19.6% 0.58 18.69% 0.72
Rubber& Tires 1 2.03 27.56% 29.43% 1.7 7.23% 1.84
Semiconductor 4 2.51 42.19% 0% 1.77 29.17% 2.49
Semiconductor Equip 2 0.24 8.94% 6.17% 0.22 10.43% 0.25
Shipbuilding & Marine 1 1.07 334.25% 20.63% 0.29 8.53% 0.32
Telecom. Equipment 7 1.32 166.84% 11.53% 0.53 38.82% 0.87
Telecom. Services 7 0.74 110.99% 19.89% 0.39 9.32% 0.43
Thrift 1 0.79 470.67% 36.01% 0.2 0% 0.2
Tranportation 10 0.95 81.33% 24.27% 0.59 6.59% 0.63
Trucking 5 0.85 85.15% 11% 0.48 6.38% 0.52
Utility (General) 4 1.35 203.21% 34.56% 0.58 17.42% 0.7

Source: Damodaran. Janvier 2013.

Industry name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash
Advertising 79 0.81 38.01% 15.22% 0.61 7.67% 0.66
Aerospace/Defense 41 1.2 26.93% 10.16% 0.97 9.63% 1.07
Air Transport 38 0.84 87.48% 17.71% 0.49 8.08% 0.53
Apparel 135 0.95 22.63% 13.9% 0.8 4.53% 0.84
Auto & Truck 23 1.65 136.63% 17.26% 0.78 14.1% 0.9
Auto Parts 56 1.5 27.66% 18.74% 1.23 6.81% 1.32
Bank (Money Center) 129 1.72 618.89% 17.9% 0.28 15.22% 0.33
Banks (Regional) 66 0.61 293.93% 19.34% 0.18 15.98% 0.21
Beverage (Alcoholic) 56 0.75 45.9% 18.85% 0.55 1.81% 0.56
Beverage (Soft) 19 0.89 40.51% 19.39% 0.67 5.45% 0.71
Broadcasting 25 0.99 19.4% 18.94% 0.86 3.31% 0.88
Brokerage & Investment Banking 78 0.63 44.51% 11.56% 0.45 36.26% 0.71
Building Materials 88 0.94 30.76% 19.04% 0.75 3.52% 0.78
Business & Consumer Services 214 0.85 30.62% 15.96% 0.67 4.53% 0.7
Cable TV 12 1.58 149.41% 13.08% 0.69 2.88% 0.71
Chemical (Basic) 59 1.12 30.25% 13.53% 0.89 4% 0.92
Chemical (Diversified) 7 2.08 27.65% 22.48% 1.71 4.81% 1.8
Chemical (Specialty) 89 1.22 20.37% 15.19% 1.04 5.94% 1.1
Coal & Related Energy 17 0.72 34.13% 0.81% 0.54 10.6% 0.6
Computer Services 213 0.83 16.14% 17.92% 0.73 7.69% 0.79
Computers/Peripherals 36 1.21 25.99% 9.99% 0.98 8.56% 1.08
Construction Supplies 101 1.23 55.62% 19.88% 0.85 6.74% 0.91
Diversified 70 1.23 48.7% 13.38% 0.87 8.66% 0.95
Drugs (Biotechnology) 188 1.3 22.68% 1.57% 1.06 4.69% 1.11
Drugs (Pharmaceutical) 105 1.1 22.67% 9.49% 0.91 3.05% 0.94
Education 9 0.13 129.52% 7.54% 0.06 3.34% 0.06
Electrical Equipment 121 1.12 28.24% 13.79% 0.9 7.44% 0.98
Electronics (Consumer & Office) 16 1.18 11.58% 13.32% 1.07 10.19% 1.19
Electronics (General) 149 0.97 17.67% 14.27% 0.84 5.08% 0.88
Engineering/Construction 170 1.09 86.38% 14.62% 0.63 13.25% 0.72
Entertainment 71 0.77 36.35% 11.74% 0.58 15.55% 0.69
Environmental & Waste Services 55 0.87 42.35% 12.58% 0.64 5.01% 0.67
Farming/Agriculture 40 0.68 130.9% 18.12% 0.33 10.5% 0.37
Financial Svcs. (Non-bank & Insurance) 111 0.94 861.96% 13.18% 0.11 19.42% 0.14
Food Processing 158 0.76 20.33% 14.08% 0.65 3.21% 0.67
Food Wholesalers 14 0.68 234.23% 17.88% 0.23 17.12% 0.28
Furn/Home Furnishings 46 0.9 25.15% 16.79% 0.75 8.84% 0.82
Green & Renewable Energy 49 1.01 165.16% 11.06% 0.41 6.83% 0.44
Healthcare Products 157 1.04 22.58% 6.39% 0.86 2.57% 0.88
Healthcare Support Services 45 0.83 44.9% 14% 0.6 2.8% 0.61
Heathcare Information and Technology 74 1.06 18.51% 9.08% 0.91 5.27% 0.96
Homebuilding 46 1 9.35% 15.37% 0.93 8.41% 1.02
Hospitals/Healthcare Facilities 34 0.68 102.51% 13.48% 0.36 3.56% 0.38
Hotel/Gaming 118 0.8 54.53% 11.99% 0.54 7.63% 0.59
Household Products 69 0.94 11.39% 16.77% 0.86 2.41% 0.88
Information Services 27 1.1 25.12% 11.56% 0.9 7.22% 0.97
Insurance (General) 50 1.12 54.06% 20.35% 0.79 24.28% 1.04
Insurance (Life) 22 1.63 118.42% 20.47% 0.84 30.22% 1.2
Insurance (Prop/Cas.) 22 0.84 25.63% 12.12% 0.69 6.51% 0.73
Investments & Asset Management 339 0.79 27.41% 6.63% 0.63 26.41% 0.86
Machinery 211 1.08 17.95% 16.37% 0.94 6.7% 1.01
Metals & Mining 105 1.38 56.96% 4.27% 0.89 7.7% 0.96
Office Equipment & Services 34 0.67 43.54% 13.79% 0.48 4.1% 0.5
Oil/Gas (Integrated) 14 1.84 56.62% 11.69% 1.23 9.09% 1.35
Oil/Gas (Production and Exploration) 120 1.85 124.15% 1.3% 0.83 11.44% 0.94
Oil/Gas Distribution 34 2.17 112.3% 7.55% 1.06 3.28% 1.1
Oilfield Svcs/Equip. 74 1.68 63.67% 9.13% 1.07 12.77% 1.22
Packaging & Container 47 0.82 38.99% 18.15% 0.62 4.98% 0.65
Paper/Forest Products 42 1.12 41.48% 14.86% 0.83 5.39% 0.87
Power 73 1.08 97.39% 16.12% 0.6 5.53% 0.63
Precious Metals 58 0.95 24.13% 8.12% 0.78 8.85% 0.85
Publishing & Newspapers 98 0.89 50.22% 13.5% 0.62 5.91% 0.66
R.E.I.T. 126 0.86 79.31% 2.98% 0.49 3.49% 0.5
Real Estate (Development) 59 1.05 106.48% 11.56% 0.54 6.1% 0.58
Real Estate (General/Diversified) 70 0.8 92.31% 13.16% 0.44 6.63% 0.48
Real Estate (Operations & Services) 207 0.63 90.42% 12.92% 0.35 2.8% 0.36
Recreation 57 0.71 41.22% 17.68% 0.53 3.95% 0.55
Reinsurance 4 1.51 29.81% 20.97% 1.23 13.61% 1.42
Restaurant/Dining 41 0.76 52.97% 14.13% 0.52 3.65% 0.54
Retail (Automotive) 24 0.9 68.57% 15.13% 0.57 4.18% 0.59
Retail (Building Supply) 14 0.66 62.8% 18.65% 0.43 9.23% 0.48
Retail (Distributors) 120 0.96 69.57% 18.73% 0.61 4.94% 0.64
Retail (General) 21 1.23 133.73% 14.67% 0.57 6.92% 0.62
Retail (Grocery and Food) 28 1.07 99.01% 16.32% 0.59 9.83% 0.65
Retail (Online) 59 1.29 12.74% 11.28% 1.16 7.84% 1.26
Retail (Special Lines) 86 1.03 18.61% 14.63% 0.89 4.02% 0.92
Rubber& Tires 7 1.47 18.66% 24.88% 1.29 4.16% 1.35
Semiconductor 36 1.55 21.12% 6.51% 1.29 6.01% 1.37
Semiconductor Equip 20 1.39 6.99% 15.65% 1.32 8.2% 1.43
Shipbuilding & Marine 57 1.83 87.38% 6.35% 1.01 6.39% 1.08
Shoe 12 1.37 23.05% 23.5% 1.17 6.75% 1.25
Software (Entertainment) 33 1.05 14.84% 10.5% 0.93 17.61% 1.13
Software (Internet) 155 0.98 11.73% 8.3% 0.89 6.43% 0.95
Software (System & Application) 230 0.65 10.11% 10.99% 0.6 5.64% 0.64
Steel 56 1.46 73.75% 14.89% 0.89 9.26% 0.99
Telecom (Wireless) 14 1.21 95.16% 8.19% 0.65 7.59% 0.7
Telecom. Equipment 56 1.13 20.08% 7.83% 0.95 17.92% 1.16
Telecom. Services 87 0.99 99.44% 15.28% 0.54 4.64% 0.57
Tobacco 7 0.61 30.01% 19.83% 0.49 2.53% 0.51
Transportation 39 1.06 69.84% 23.79% 0.69 9.19% 0.76
Transportation (Railroads) 7 0.82 270.31% 16.67% 0.25 8.66% 0.28
Trucking 23 0.85 101.76% 20.05% 0.47 4.52% 0.49
Utility (General) 21 1.08 125.45% 19.83% 0.54 8.55% 0.59
Utility (Water) 13 0.85 107.47% 15.63% 0.44 3.3% 0.46

Source: Damodaran. 5 Janvier 2017.

Note:
Firms’ Beta is estimated by regressing weekly returns on stock against the local index (generally the most widely followed index in that market – CAC in France), using 5 years of data. Damodaran uses a composite of the two year regression beta and the five year regression beta, weighting the former 2/3rds and the latter 1/3rds.
Beta = (2/3) 2 year regression beta + (1/3) 5 year regression beta

Beta for the sector is unlevered by the market value debt to equity ratio for the sector:
Unlevered Beta = Beta / (1 + (1- tax rate) (Debt/Equity Ratio))

Détails des calculs :
Beta = moyenne des betas des sociétés du secteur
D/E Ratio = total des dettes des sociétés du secteur / total de la capitalisation boursière des sociétés du secteur
Tax rate = moyenne des taux d’impôt effectif des sociétés du secteur
Unlevered beta = Beta / (1 + (1 – « Tax rate ») * « D/E Ratio »)
Cash/Firm value = total des trésoreries des sociétés du secteur / total des valeurs d’entreprise des sociétés du secteur
Unlevered beta corrected for cash = « Unlevered beta » / (1 – « Cash/Firm value »)

Comments

  1. Christian kermarrec says:

    Excellent
    Ou en sont les bêtas au 01/01/2015?
    Merci

Speak Your Mind

*

%d blogueurs aiment cette page :