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 »)