Beta Factors

Beta factors based on the STOXX Europe 600®

We use the STOXX Europe 600 Index® to determine our beta factors. This index is characterized by broad diversification, high liquidity, and regionality. It comprises the most liquid listed companies in Europe, including Austrian companies listed in the ATX Prime, and thus represents a reliable and empirically robust database.

Since the index only includes European companies, it is highly regional. Therefore, it is appropriate for Austrian and European company valuations and avoids methodologically inconsistent comparisons with US markets. Compared to German (e.g., DAX-based) or U.S. data providers, our approach avoids distortions that may arise from a narrower market coverage or the inclusion of illiquid companies.

For illustration purposes, we use the internationally recognized Global Industry Classification Standard (GICS®) in order to divide companies into clearly defined sectors and subsectors. This enables a consistent and transparent comparability across companies and industries.

Beta factors

The beta factors are calculated based on weekly returns over a two-year period, on the one hand, and based on monthly returns over a five-year period, on the other. The unlevered beta factors are derived from the median of the individual subsectors.

We calculate the unlevered beta factors by using the Harris/Pringle formula. This formula is particularly suitable for a value-oriented financing policy. It assumes that a firm follows a constant leverage policy which means that the debt ratio is constant in relation to the company’s enterprise value. The debt-to-equity ratio is defined as long-term debt divided by the market value of equity. Outliers are not removed in order to preserve the completeness of the data set.

2 Year weekly

5 Year monthly

Sector	D/E Ratio	Levered Beta	Unlevered Beta	n
Energy	32%	0,24	0,2	21
Chemicals	24%	0,84	0,71	28
Construction Materials	27%	1,1	0,89	5
Paper & Forest Products	29%	0,81	0,63	5
Building Products	19%	1,25	1,14	6
Construction and Engineering	27%	0,9	0,67	11
Machinery	11%	1,17	0,99	40
Trading Companies and Distributors (Industrial)	22%	1	0,79	14
Professional Services	26%	0,85	0,54	13
Freight and Logistics	23%	0,81	0,67	3
Automobiles	75%	1,21	0,67	8
Household Durables	20%	1,17	0,96	9
Textiles, Apparel and Luxury Goods	17%	1,12	0,94	15
Hotels, Restaurants and Leisure	38%	0,56	0,4	14
Specialty Retail	28%	1,07	0,81	11
Consumer Staples Distribution and Retail	40%	0,42	0,29	15
Beverages	40%	0,76	0,53	10
Food Products	21%	0,38	0,33	16
Health Care Providers and Services	56%	0,86	0,29	4
Pharmaceuticals	12%	0,62	0,57	18
IT Services	15%	1,04	0,73	10
Software	16%	0,71	0,55	8
Electronic Equipment, Hardware	7%	1,09	1	6
Media	110%	0,83	0,54	11
Wireless Telecommunication Services	66%	0,25	0,13	15
Electric Utilities	47%	0,29	0,21	12
Independent Power and Renewable Electricity Producers	53%	0,43	0,28	8
Office REITs	78%	0,61	0,34	4
Real Estate Management and Development	151%	0,49	0,17	21

Disclaimer
The information presented in this overview has been compiled from publicly available sources and is provided for informational purposes only. For binding information as of a specific date, please contact the person listed below. Grant Thornton Austria assumes no liability for the data used. The use of this data is permitted exclusively for non-commercial purposes.