PE Ratio Regression - NYU



PE Ratio Regression

Model Summary

Dependent variable: PE Ratio

Independent variables: See below

Number of observations: 1565

|R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|.406 |.165 |.164 |862.78368 |

|

The Model

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|

|(Constant) |9.880 |1.083 |9.125 |.000 |

|

|Expected Growth in EPS: next 5 years |.859 |.052 |16.360 |.000 |

|

|Payout Ratio |.02565 |.014 |1.785 |.074 |

|

|Regression Beta |1.817 |.553 |3.285 |.001 |

|a Dependent Variable: Current PE

b Weighted Least Squares Regression - Weighted by Market Cap

Relative PE Ratio Regression

Model Summary

Dependent variable: Relative PE Ratio

Independent variables: See below

Number of observations: 1565

Model Summary

|R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|.406 |.165 |.164 |40.9096 |

|The Model

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|

|(Constant) |.468 |.051 |9.125 |.000 |

|

|Relative Growth |.696 |.043 |16.360 |.000 |

|

|Relative Payout |.01903 |.011 |1.785 |.074 |

|

|Regression Beta |.08618 |.026 |3.285 |.001 |

|a Dependent Variable: RELPE

b Weighted Least Squares Regression - Weighted by Market Cap

PEG Ratio Regression

Model Summary

Dependent variable: PEG Ratio

Independent variables: See below

Number of observations: 1577

Model Summary

|R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|.502 |.252 |.251 |88.895707 |

|

With intercept

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|

|(Constant) |11.218 |.447 |25.072 |.000 |

|

|Payout Ratio |.001606 |.001 |1.089 |.277 |

|

|Regression Beta |.348 |.055 |6.270 |.000 |

|

|Ln (Growth) |-1.348 |.062 |-21.779 |.000 |

|

Without intercept

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|Payout Ratio |.01640 |.002 |10.254 |.000 |

|Regression Beta |.474 |.065 |7.258 |.000 |

|

|Ln (Growth) |.178 |.013 |13.298 |.000 |

|

a Dependent Variable: PEG Ratio

b Linear Regression through the Origin

c Weighted Least Squares Regression - Weighted by Market Cap

EV/EBITDA Ratio Regression

Model Summary

Dependent variable: Enterprise Value/ EBITDA

Independent variables: See below

Number of observations: 2122

Model Summary

|R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|.346 |.120 |.119 |386.233516 |

|

Model output

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|(Constant) |7.795 |.514 |15.162 |.000 |

|

|Effective Tax Rate |-.08270 |.011 |-7.813 |.000 |

|

|ROC |.02316 |.008 |2.777 |.006 |

|

|Expected Growth in EPS: next 5 years |.265 |.019 |14.141 |.000 |

|

a Dependent Variable: EV/EBITDA

b Weighted Least Squares Regression - Weighted by Market Cap

PBV Ratio Regression

Dependent variable: Price to Book (Market Value of equity/ Book value of equity)

Independent variables: See below

Number of observations: 2122

Model Summary

|R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|.776 |.602 |.601 |142.228264 |

|

With intercept

|Independent variable |Unstandardized Coefficients |Std Error |t |Sig. |

|

|(Constant) |-1.531 |.204 |-7.518 |.000 |

|

|Expected Growth in EPS: next 5 years |.125 |.008 |15.137 |.000 |

|

|Payout Ratio |.006129 |.002 |2.640 |.008 |

|

|Regression Beta |.357 |.090 |3.965 |.000 |

|

|ROE |.189 |.004 |46.662 |.000 |

|

Without intercept

|Independent variable |Unstandardized Coefficients |Std. Erro |t |Sig. |

|

|Expected Growth in EPS: next 5 years |.08834 |.007 |13.021 |.000 |

|

|Payout Ratio |-.004511 |.002 |-2.409 |.016 |

|

|Regression Beta |-.005398 |.073 |-.741 |.459 |

|

|ROE |.172 |.003 |49.917 |.000 |

|a Dependent Variable: PBV Ratio

b Linear Regression through the Origin

c Weighted Least Squares Regression - Weighted by Market Cap

Value to Book Capital Ratio Regression

Dependent variable: Value to Book (Enterprise value/ Invested Capital)

Independent variables: See below

Number of observations: 1585

Model Summary

|R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|.673 |.452 |.450 |170.030766 |

|With intercept

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|

|(Constant) |-1.420 |.239 |-5.941 |.000 |

|

|ROC |.133 |.006 |24.087 |.000 |

|

|Expected Growth in EPS: next 5 years |.129 |.013 |9.766 |.000 |

|

|Standard Deviation |-.006530 |.005 |-1.401 |.161 |

|

|Reinvestment Rate |.02708 |.003 |8.661 |.000 |

|Without intercept

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|

|(Constant) |-1.420 |.239 |-5.941 |.000 |

|

|ROC |.133 |.006 |24.087 |.000 |

|

|Expected Growth in EPS: next 5 years |.129 |.013 |9.766 |.000 |

|

|Standard Deviation |-.006530 |.005 |-1.401 |.161 |

|

|Reinvestment Rate |.02708 |.003 |8.661 |.000 |

|a Dependent Variable: Value/BV of Capital

b Weighted Least Squares Regression - Weighted by Market Cap

Price to Sales Ratio Regression

Dependent variable: Price to Sales Ratio

Independent variables: See below

Number of observations: 1408

Model Summary

|R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|.839 |.704 |.703 |116.104054 |

|With intercept

|Independent variable |Coefficient |Std. Error |T statistic |Significant at |

|

|(Constant) |-2.124 |.156 |-13.596 |.000 |

|

|Expected Growth in EPS: next 5 years |.114 |.007 |16.658 |.000 |

|

|Payout Ratio |.00114 |.002 |2.455 |.014 |

|

|Regression Beta |.702 |.076 |9.281 |.000 |

|

|Net Margin |.239 |.005 |51.937 |.000 |

|Without intercept

|Independent variable |Unstandardized Coefficients |Std. Error |t |Sig. |

|Expected Growth in EPS: next 5 years |.05565 |.006 |9.810 |.000 |

|Payout Ratio |-.01533 |.002 |-9.992 |.000 |

|Regression Beta |.167 |.069 |2.430 |.015 |

|Net Margin |.218 |.005 |47.275 |.000 |

a Dependent Variable: PS

b Linear Regression through the Origin

c Weighted Least Squares Regression - Weighted by Market Cap

EV to Sales Ratio Regression

Dependent variable: Enterprise value to Sales Ratio

Independent variables: See below

Number of observations: 1447

Model Summary

|Model |R |R Square |Adjusted R Square |Std. Error of the Estimate |

|

|1 |.720 |.518 |.516 |130.407896 |

|With intercept

| Independent variable |Coefficient |Std. Error |T statistic |Significant at |

|

|(Constant) |-.997 |.185 |-5.385 |.000 |

|

|Expected Growth in EPS: next 5 years |.122 |.010 |11.966 |.000 |

|

|Pre-tax Operating Margin |.102 |.004 |23.854 |.000 |

|

|Standard Deviation |.002949 |.004 |.809 |.419 |

|

|Reinvestment Rate |-.007176 |.003 |-2.791 |.005 |

|Without intercept

|Independent variable |Unstandardized Coefficients |Std Error |t |Sig. |

|

|Expected Growth in EPS: next 5 years |.103 |.010 |10.561 |.000 |

|

|Pre-tax Operating Margin |.08998 |.004 |24.296 |.000 |

|

|Standard Deviation |-.004928 |.003 |-1.450 |.147 |

|

|Reinvestment Rate |-.01221 |.002 |-5.003 |.000 |

|a Dependent Variable: EV/Sales

b Linear Regression through the Origin

c Weighted Least Squares Regression - Weighted by Market Cap

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