Beta factors module 2023

Determine beta factors professionally and efficiently for business
valuations, purchase price allocations and impairment tests

Calculating the beta factor for business valuation is just as important as it is complex. There are different options
to calculate it and numerous settings must be carried out correctly and documented comprehensibly.

smartZebra-Beta-Faktoren
Applications
Business valuations according to IDW Standard 1 and KFS/BW 1
Valuation report according to IDW Standard 13
Valuation report according to IDW Standard 5
Indicative value
Purchase Price Allocation (PPA)
Squeeze-out valuations
Impairment tests IFRS / Local-GAAP
Income approach
Discounted Cash Flow approach

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Company database
to the peer group search

By default, a group of comparable companies is used to determine the beta factor. These companies should correspond to the valuation object as closely as possible on the basis of factors such as size, regional orientation and the activity of the company.

The SmartZebra company database comprises more than 27,000 companies from the most important capital markets worldwide. The smart search offers several tools for quickly identifying suitable comparable companies, for example two different sector divisions, a free text search, quick presentation of financial data and a country filter of search results.

Thanks to the comprehensive database and smart search functions, you can put together suitable peer groups even for difficult cases.

smartZebra-Beta-Faktoren-UnternehmensDatenbank
smartZebra-Beta-Faktoren-BranchenBetas

Sector betas

The SmartZebra database provides sector betas for 20 sectors and 129 sub-sectors, in each case for 9 different regions. To make the data as transparent as possible, you will receive an overview of the number of companies in the sub-sectors and which companies they are.

Setting options for
the beta factor

Feature 1

Cut-off date

You can select valuation dates from 2010 on a daily basis and, if required, we can also provide you with data on earlier reference dates.

Feature 2

Period and frequency of yield calculation

Choose the best option for your valuation from various combinations of 1, 2, 3 or 5 years with daily, weekly, fortnightly or monthly return calculation. In addition, you can select whether the total return or the exchange rate return should be used for the calculation.

Feature 3

Benchmark index

The benchmark index is an important part of calculating the beta factor. There are various approaches to selecting the benchmark index, which is why SmartZebra allows you to choose from six different indices, which can be selected according to regional size and number of stocks in the index.

smartZebra-Beta-Faktoren-Einstellungen-Referenz-Index

Feature 4

Raw Beta Adjustment and Total Beta

The “Adjustment” is a correction to the Raw Beta. This correction is intended to adjust historically measured beta factors so that these — starting from the reporting date — can be used as an expected value for future beta factors. Alternatively, the Total Beta can be used.

Feature 5

Gearing

The debt ratio describes the ratio between debt and equity and is used to calculate the unlevered beta. You can see the elements for calculating the debt ratio and make individual settings, for example to include the pension deficit or lease liabilities.

Feature 6

Tax Shield

The Tax Shield influences Unlevered Beta and describes the value contribution to the company's value that results from a tax advantage of the return flows from debt financing compared to equity financing. The Hamada formula is used for the secure Tax Shield, the Harris and Pringle formula for the unsafe Tax Shield.

smartZebra-Beta-Faktoren-Einstellungen-Taxshield

Feature 7

Debt Beta

Debt beta is the beta factor for debt, which is calculated separately due to the (partial) assumption of business risk. This is particularly interesting at higher gearing levels. In addition, you can see information on the rating score, the rating indication, the credit spread and the risk premium.

Feature 8

Overview and quality filters

Compare beta factors using various settings for the time period and frequency of yield determination and other factors. You can filter the displayed data based on various quality criteria, including bid-ask spread, free float, coefficient of determination, t-test, Durbin-Watson test.

smartZebra-Beta-Faktoren-Einstellungen-Zeitablauf

Feature 9

Timeline

An overview of the evolution of beta factors over different time periods. Plus the course of Raw Beta and Unlevered Beta of individual companies.

Feature 10

Statistical data

The quality of a beta factor can be assessed in various ways. From a statistical point of view, the regression data coefficient of determination, t-test and f-test are very interesting. In addition, data on the trading volume and liquidity of stocks, such as the percentage of free float, the bid-ask spread and the number of trading days.

Feature 11

Documentation, Excel, Collaboration and Project Management

Record your findings in a PDF or Excel file and invite additional collaborators to join your project.

Feature 12

Monitor sector

Look at the risk of the companies in your peer group compared to the companies in the peer group and the sector or sub-sector.

smartZebra-Beta-Faktoren-Einstellungen-RisikoMonitor
smartZebra-Beta-Faktoren-Einstellungen-Analyse

Feature 13

Analysis

Detailed analyses for individual companies and time series on various data: regression diagram with the option to eliminate data points, time stability of the beta factor, daily raw beta including statistical quality.

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Capital market data of the highest quality — up to date and in compliance with standards

Calculating beta factors for business valuation is particularly challenging, as the data must be accurate and comprehensible in order to avoid expensive mistakes. At SmartZebra, we understand the importance of accurate beta calculations, especially when it comes to future-oriented corporate values. That is why we offer a comprehensive database of over 27,000 companies from the world's major capital markets, including a search function that helps to identify suitable peer groups for difficult cases.

But what is the beta factor anyway and why is it so important? The beta factor of a stock describes the risk in relation to the risk of the entire stock market. The beta factor is determined by the regression of the return on stocks against the yield of a broad stock index. Companies with a beta factor of more than 1 have a higher risk than the market, while companies with a beta factor of less than 1 are considered to be more stable.

Our SmartZebra database offers a variety of industry betas for 20 sectors and 129 sub-sectors. We transparently display the number of companies in the sub-sectors and which companies they are. In combination with our company database and our intelligent search function, you can quickly find the right peer groups.

Whether you're an experienced business analyst or just need an overview, our database of high-quality capital market data will help you work more precisely and effectively. Try it out today!