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THE GORDON MODEL COST OF EQUITY
2 Current share price, P0
60
3 Current dividend, D0
3
4 Anticipated dividend growth rate
12%
5 Gordon model cost of equity, rE
17.60% <-- =B3*(1+B4)/B2+B4

1
KELLOGG DIVIDENDS, MAY1996 - MAY2006
2 Dividend growth rate, quarterly
3
last 5 years
0.47% <-- =(B51/B31)^(1/20)-1
4
last 10 years
0.89% <-- =(B51/B11)^(1/40)-1
5
6 Dividend growth rate, annualized
7
Last 5 years
1.90% <-- =(1+B3)^4-1
8
Last 10 years
3.61% <-- =(1+B4)^4-1
9
10
Date
Dividends
11
29-May-96
0.195
12
28-Aug-96
0.210
13
26-Nov-96
0.210
43
27-May-04
0.253
44
27-Aug-04
0.253
45
23-Nov-04
0.253
46
25-Feb-05
0.253
47
27-May-05
0.253
48
30-Aug-05
0.278
49
29-Nov-05
0.278
50
27-Feb-06
0.278
51
30-May-06
0.278

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COMPUTING KELLOGG'S rE
WITH THE GORDON MODEL
Kellogg stock price, P0, 30 May 2006
Current dividend
Quarterly
Annualized dividend, Div0
Dividend growth rate, g
Last 5 years
Last 10 years

1.90%
3.61%

Gordon model cost of equity rE


Using last 5 years' growth
Using last 10 years' growth

4.25% <-- =B5*(1+B7)/B2+B7


6.00% <-- =B5*(1+B8)/B2+B8

48.28
0.278
1.112 <-- =B4*4

JOHNSON & JOHNSON, CASH FLOW TO EQUITY, 1995-2005

1
Year ending
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
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Dividends

31-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
31-Dec-00
31-Dec-01
31-Dec-02
31-Dec-03
31-Dec-04
31-Dec-05

827,000,000
974,000,000
1,137,000,000
1,305,000,000
1,479,000,000
1,724,000,000
2,047,000,000
2,381,000,000
2,746,000,000
3,251,000,000
3,793,000,000

End 2005 equity data


Stock price
Number of shares
Equity value

Repurchase of
common stock
322,000,000
412,000,000
628,000,000
930,000,000
840,000,000
973,000,000
2,570,000,000
6,538,000,000
1,183,000,000
1,384,000,000
1,717,000,000

Stock issues
-112,000,000
-149,000,000
-225,000,000
-269,000,000
-221,000,000
-387,000,000
-514,000,000
-390,000,000
-311,000,000
-642,000,000
-696,000,000

61.07
3,119,842,000
190,528,750,940 <-- =B16*B17

Equity cash flow, end 2005


Future growth rate
Based on 10-year growth rate
Based on 5-year growth rate

4,814,000,000 <-- =E13


16.59% <-- =(E13/E3)^(1/10)-1
15.82%

Gordon cost of equity, rE


Based on 10-year growth rate
Based on 5-year growth rate

19.54% <-- =B20*(1+B22)/B18+B22


18.75% <-- =B20*(1+B23)/B18+B23

Note: Stock issues are proceeds from issuance of stock options (most to employees)

For x-axes on graph

y-axes
35,064
38,717

8,529,000,000
-696,000,000

A
49
50

W TO EQUITY,
1995-2005
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
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28
29
30
31
32
33
34
35
36
37
38
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40
41
42
43
44
45
46
47
48

Cash flow to
equity

Year on year
growth

1,037,000,000 <-- =SUM(B3:D3)


1,237,000,000
19.29% <-- =E4/E3-1
1,540,000,000
24.49% <-- =E5/E4-1
1,966,000,000
27.66% <-- =E6/E5-1
2,098,000,000
6.71%
2,310,000,000
10.10%
4,103,000,000
77.62%
8,529,000,000
107.87%
3,618,000,000
-57.58%
3,993,000,000
10.36%
4,814,000,000
20.56%

9,000,000,000

JNJ, CASH FLOW TO EQUITY, 1995-2005

8,000,000,000
7,000,000,000
6,000,000,000

Total dividends
Stock repurchases

5,000,000,000

Stock issues

4,000,000,000

Cash flow to equity

3,000,000,000
2,000,000,000
1,000,000,000
0
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
-1,000,000,000

49
50

1995
1998 H 1999 2000
2001J 2002 K2003 2004
2005
E
F 1996 1997
G
I
L
-1,000,000,000

M
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2
3
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5
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48 2005

2005M
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50

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COMPUTING JNJ's rE BASED ON DIVIDENDS PER SHARE


JNJ's stock price, P0, 31 Dec 2005
Current dividend
Quarterly
Annualized dividend, Div0
Dividend growth rate, g
Growth since 17-Nov-00
Growth since 14-Nov-03
Gordon model cost of equity rE
Growth since 17-Nov-00
Growth since 14-Nov-03

Date
17-Nov-00
15-Feb-01
18-May-01
17-Aug-01
16-Nov-01
14-Feb-02
17-May-02
16-Aug-02
15-Nov-02
13-Feb-03
16-May-03
15-Aug-03
14-Nov-03
12-Feb-04
14-May-04
13-Aug-04
12-Nov-04
11-Feb-05
13-May-05
19-Aug-05
18-Nov-05

61.07
0.33 <-- =B36
1.32 <-- =B4*4
Quarterly
3.69%
4.06%

Annualized
15.58% <-- =(1+B8)^4-1
17.26% <-- =(1+B9)^4-1

18.08% <-- =B5*(1+C8)/B2+C8


19.79% <-- =B5*(1+C9)/B2+C9
Dividend per
share
0.160
0.160
0.180
0.180
0.180
0.180
0.205
0.205
0.205
0.205
0.240
0.240
0.240
0.240
0.285
0.285
0.285
0.285
0.330
0.330
0.330

A
1
THE GORDON
2 Current dividend, Div0
3 Growth rate g1, years 1-m ("supernormal")
4 Growth rate g2, years 6 -
5 Number of supernormal growth years, m
6 Cost of equity
7
8 Dividend valuation
9 PV of supernormal growth years
10
Using Excel NPV
11
Check: Using book formula
12 PV of normal growth years, after year 5
13 Share value
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28

Year
1
2
3
4
5
6
7
8
9
10
11
12
etc.

MODEL WITH TWO GROWTH RATES


8.00
35%
8%
5
18%

60.99
60.99
169.35
230.33
Anticipated
dividend
10.80
14.58
19.68
26.57
35.87
38.74
41.84
45.19
48.80
52.71
56.92
61.48
etc.

ON MODEL
1 WITH TWO GROWTH RATES
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3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
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<-<-<-<--

=NPV(B6,B16:B20)
=B2*(1+B3)/(1+B6)*(1-((1+B3)/(1+B6))^B5)/(1-(1+B3)/(1+B6))
=B20*(1+B4)/(B6-B4)/(1+B6)^B5
=SUM(B11:B12)

<-<-<-<-<-<-<--

=B2*(1+$B$3)
=B16*(1+$B$3)
=B17*(1+$B$3)
=B18*(1+$B$3)
=B19*(1+$B$3)
=B20*(1+$B$4)
=B21*(1+$B$4)

WACHOVIA BANK--DIVIDENDS, STOCK ISSUED AND STOCK REPURCHAS


Does historical growth overstate the cost of equity?
Common
Common
Total Dividend
stock
stock issued
payments
repurchased
16,462,000
150,730,000
1,215,000
29,717,000
170,756,000
31,197,000
24,961,000
191,488,000
98,804,000
25,339,000
210,503,000
52,908,000
24,115,000
235,495,000
65,032,000
25,826,000
254,458,000
376,716,000
59,281,000
327,303,000
532,682,000
80,375,000
381,798,000
531,122,000
59,478,000
418,447,000
634,623,000

2
3
1991
4
1992
5
1993
6
1994
7
1995
8
1996
9
1997
10
1998
11
1999
12
13 Compound growth rate
17.42%
14
Cost of capital using the Gordon Model
15 Using total equity payout and total equity value
16 End 1999 stock price
Number of shares
17 outstanding, end 1999
18 Future dividend growth, g?
19 End 1999 equity value, P0
Projected next total
20 equity cash flow, D1
Gordon model cost
21 of equity, rE
22
23
24
25
26

27
28
29
30
31
32
33
34
35
36
37
38

13.61%

Total equity
cash flow
135,483,000
172,236,000
265,331,000
238,072,000
276,412,000
605,348,000
800,704,000
832,545,000
993,592,000

118.65%

28.28%

Dividend per
share
0.89
1.00
1.11
1.22
1.38
1.52
1.65
1.86
2.06

Total equity
payout
per share
0.80
1.01
1.54
1.38
1.62
3.62
4.04
4.06
4.90

11.12%

25.47%

68.00
202,795,000
28.28% <-- =E13
13,790,060,000 <-- =B16*B17
1,274,598,774 <-- =E11*(1+B18)
37.52% <-- =B20/B19+B18

Shares
outstanding,
annual average
169,841,000
170,673,000
172,273,000
172,339,000
170,635,000
167,255,000
198,290,000
205,058,000
202,795,000

A
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Common stock issued


Dividend payments
Common stock repurchased
Total equity payout

Number of shares
outstanding
60 end of year
61
62 Dividends per share

1999
59,478,000
418,447,000
634,623,000
1,112,548,000

1998
80,375,000
381,798,000
531,122,000
993,295,000

1997
59,281,000
327,303,000
532,682,000
919,266,000

1996
25,826,000
254,458,000
376,716,000
657,000,000

202,795,000

205,058,000

198,290,000

167,255,000

2.06

1.86

1.65

1.52

AND STOCK REPURCHASED


cost of equity?
1
2
3 <-- =D3+C3-B3
4 <-- =D4+C4-B4
5
6
7
8
9
10
11
12
13 <-- =(E11/E3)^(1/8)-1
14
15
16
17
18
19
20
21
22
23
24
25
26

27
28
29
30
31
32
33
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35
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37
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F
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49
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51
52
53
54
55
56
57
58
59

60
61
62

1994

25,339,000
210,503,000
52,908,000
288,750,000

1993
24,961,000
191,488,000
98,804,000
315,253,000

1992
29,717,000
170,756,000
31,197,000
231,670,000

172,339,000

172,273,000

170,763,000

1.22

1.11

1.00

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I
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40
41
42
43
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45
46
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48
49
50
51
52
53
54
1991
55 16,462,000
56 150,730,000
57
1,215,000
58 168,407,000
59

60 169,841,000
61
62
0.89

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WACHOVIA, TWO-STAGE GORDON MODEL


End-1999 equity value, P0
End 1999 total equity payout
High growth rate, ghigh
Number of high-growth years, m
Normal growth rate, gnormal

Cost of equity, rE
9 using the function TwoStageGordon

13,790,060,000
993,592,000
28.28%
3
4%

17.251% <-- =twostagegordon(B2,B3,B5,B6,B7)

COMPUTING THE BETA FOR INTEL


monthly returns for Intel and S&P 500, 2001-2006
Alpha
Beta
Using Excel's Slope function
Using Cov/Var
R-squared
t-statistic for alpha
t-statistic for beta

Date
9-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
-13%
-11%
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Nov-05
1-Dec-05
3-Jan-06

-9%

-0.0029 <-- =INTERCEPT(E13:E72,F13:F72)


2.2516
2.2516
0.5304
-0.2438
8.0942

<-<-<-<-<--

=SLOPE(E13:E72,F13:F72)
=COVAR(E13:E72,F13:F72)/VARP(F13:F72)
=RSQ(E13:E72,F13:F72)
=tintercept(E13:E72,F13:F72)
=tslope(E13:E72,F13:F72)

Prices
Returns
Intel
SP500
Intel
SP500
35.38 1366.01
27.32 1239.94
-25.85%
-9.68%
25.17 1160.33
-8.20%
-6.64%
29.57 1249.46
16.11%
7.40%
25.86 1255.82
-13.41%
0.51%
28 1224.38
7.95%
-2.54%
-1.08%
Intel 28.54
Returns1211.23
vs SP500, 2001-20061.91%
26.78 1133.58
-6.37%
-6.63%
25%
19.58 1040.94
-31.31%
-8.53%
23.39 1059.78
17.78%
1.79%
31.31 1139.45
29.16%
7.25%
15%
30.15 1148.08
-3.78%
0.75%
33.59
1130.2
10.80%
-1.57%
27.38 1106.73
-20.44%
-2.10%
5%
29.17 1147.39
6.33%
3.61%
27.44 1076.92
-6.11%
-6.34%
26.51
1067.14
-7%
-5%
-3%
-1%
1%-3.45%3% -0.91%
5%
-5%
17.54
989.82
-41.30%
-7.52%
18.04
911.62
2.81%
-8.23%
16.02
916.07
-11.88%
0.49%
SP500 returns
13.35
815.28 -15%
-18.23% -11.66%
16.62
885.76
21.91%
8.29%
20.09
936.31
18.96%
5.55%
-25%
14.98
879.82
-29.35%
-6.22%
y = 2.2516x - 0.0029
15.06
855.7
0.53% R-2.78%
2 = 0.5304
16.62
841.15
9.86%
-1.71%
15.68
848.18 -35%
-5.82%
0.83%
17.72
916.92
12.23%
7.79%
20.08
963.59
12.50%
4.96%
20.07
974.5 -45%
-0.05%
1.13%
24
990.31
17.88%
1.61%
27.59 1008.01
13.94%
1.77%
26.56
995.97
-3.80%
-1.20%
26.27 1249.48
13.03%
3.46%
24.57 1248.29
-6.69%
-0.10%
25.9 1285.45
5.27%
2.93%
Intel returns

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2
3
4
5
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7
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10
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14
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16
17
18
19
20
21
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23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
70
71
72

NTEL

001-2006

1
2
3
4
F72)/VARP(F13:F72)
5
6
7
8
9
10
11
12
13 <-- =LN(C13/C12)
14 <-- =LN(C14/C13)
15 <-- =LN(C15/C14)
16
17
18
19
20
21
22
23
24
25
26
27
28
5%
7%
29
30
31
SP500 returns
32
33
34
35
y = 2.2516x - 0.0029
36
= 0.5304
37
38
39
40
41
42
43
44
70
71
72

COMPUTING THE BETA FOR INTEL


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2
3
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5
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10
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12
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23
24
25
26
27
28
29
30
31
32
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35
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37
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40
41
42
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44
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46
47
48
49

monthly returns for Intel and SP500, 2001-2006


Alpha
Beta
R-squared
t-statistic for alpha
t-statistic for beta

Date
9-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04

-0.0029
2.2516
0.5304
-0.2438
8.0942

<-<-<-<-<--

=INTERCEPT(E12:E71,F12:F71)
=SLOPE(E12:E71,F12:F71)
=RSQ(E12:E71,F12:F71)
=tintercept(E12:E71,F12:F71)
=tslope(E12:E71,F12:F71)

Prices
Intel
SP500
35.38 1366.01
27.32 1239.94
25.17 1160.33
29.57 1249.46
25.86 1255.82
28.00 1224.38
28.54 1211.23
26.78 1133.58
19.58 1040.94
23.39 1059.78
31.31 1139.45
30.15 1148.08
33.59 1130.20
27.38 1106.73
29.17 1147.39
27.44 1076.92
26.51 1067.14
17.54
989.82
18.04
911.62
16.02
916.07
13.35
815.28
16.62
885.76
20.09
936.31
14.98
879.82
15.06
855.70
16.62
841.15
15.68
848.18
17.72
916.92
20.08
963.59
20.07
974.50
24.00
990.31
27.59 1008.01
26.56
995.97
31.80 1050.71
32.39 1058.20
30.95 1111.92
29.47 1131.13
28.23 1144.94
26.30 1126.21

Returns
Intel
SP500
-25.85%
-8.20%
16.11%
-13.41%
7.95%
1.91%
-6.37%
-31.31%
17.78%
29.16%
-3.78%
10.80%
-20.44%
6.33%
-6.11%
-3.45%
-41.30%
2.81%
-11.88%
-18.23%
21.91%
18.96%
-29.35%
0.53%
9.86%
-5.82%
12.23%
12.50%
-0.05%
17.88%
13.94%
-3.80%
18.01%
1.84%
-4.55%
-4.90%
-4.30%
-7.08%

-9.68% <-- =LN(C12/C11)


-6.64% <-- =LN(C13/C12)
7.40% <-- =LN(C14/C13)
0.51%
-2.54%
-1.08%
-6.63%
-8.53%
1.79%
7.25%
0.75%
-1.57%
-2.10%
3.61%
-6.34%
-0.91%
-7.52%
-8.23%
0.49%
-11.66%
8.29%
5.55%
-6.22%
-2.78%
-1.71%
0.83%
7.79%
4.96%
1.13%
1.61%
1.77%
-1.20%
5.35%
0.71%
4.95%
1.71%
1.21%
-1.65%

A
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71

1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06

B
24.88
27.64
26.72
23.61
20.65
19.46
21.59
21.74
22.73
21.81
23.39
22.65
22.93
26.38
25.46
26.55
25.24
24.19
23.06
26.27
24.57
25.90

C
1107.30
1120.68
1140.84
1101.72
1104.24
1114.58
1130.20
1173.82
1211.92
1181.27
1203.60
1180.59
1156.85
1191.50
1191.33
1234.18
1220.33
1228.81
1207.01
1249.48
1248.29
1285.45

E
-5.55%
10.52%
-3.39%
-12.37%
-13.40%
-5.94%
10.39%
0.69%
4.45%
-4.13%
6.99%
-3.21%
1.23%
14.02%
-3.55%
4.19%
-5.06%
-4.25%
-4.78%
13.03%
-6.69%
5.27%

F
-1.69%
1.20%
1.78%
-3.49%
0.23%
0.93%
1.39%
3.79%
3.19%
-2.56%
1.87%
-1.93%
-2.03%
2.95%
-0.01%
3.53%
-1.13%
0.69%
-1.79%
3.46%
-0.10%
2.93%

I
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49

Slope -->
Standard error of slope -->
R-squared -->
F statistic -->
SSxy -->

Cells J14:K18created with the


formula
{=LINEST(E12:E71,F12:F71,,1)}
Slope
Intercept
2.2516
-0.0029
0.2782
0.0120
0.5304
0.0927
65.5155
58.0000
0.5627
0.4982

<-- Intercept
<-- Standard error of intercept
<-- Standard error of y values
<-- Degrees of freedom
<-- SSE = Residual sum of squares

COMPUTING BETA FOR INTEL


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90

Monthly returns for Intel and S&P500, 2001-2006


Alpha
Beta
R-squared
t for alpha
t for beta

Date
9-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06

-0.0029
2.2516
0.5304
-0.2438
8.0942

<-<-<-<-<--

=INTERCEPT(E11:E70,F11:F70)
=SLOPE(E11:E70,F11:F70)
=RSQ(E11:E70,F11:F70)
=tintercept(E11:E70,F11:F70)
=tslope(E11:E70,F11:F70)

Prices
Intel
SP500
35.38 1366.01
27.32 1239.94
25.17 1160.33
29.57 1249.46
25.86 1255.82
28.00 1224.38
28.54 1211.23
25.24 1220.33
24.19 1228.81
23.06 1207.01
26.27 1249.48
24.57 1248.29
25.90 1285.45

Intel

Returns
SP500

-0.2585
-0.0820
0.1611
-0.1341
0.0795
0.0191
-0.0506
-0.0425
-0.0478
0.1303
-0.0669
0.0527

-0.0968 <-- =LN(C11/C10)


-0.0664 <-- =LN(C12/C11)
0.0740 <-- =LN(C13/C12)
0.0051
-0.0254
-0.0108
-0.0113
0.0069
-0.0179
0.0346
-0.0010
0.0293

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.7283
R Square
0.5304
Adjusted R Square
0.5223
Standard Error
0.0927
Observations
60
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1

1
58
59

SS
0.5627
0.4982
1.0609

MS
0.5627
0.0086

F
Significance F
65.5155
0.0000

Coefficients
Standard Error t Stat
P-value
-0.0029
0.0120
-0.2438
0.8083
2.2516
0.2782
8.0942
0.0000

Lower 95%
-0.0269
1.6948

Upper 95%
0.0210
2.8084

1
2
3
4
5
6
7
8
9
Regression screen:
10
<-- =LN(C11/C10)
11
<-- =LN(C12/C11)
12
<-- =LN(C13/C12)
13
14
15
16
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88 Lower 95.0% Upper 95.0%
89
-0.0269
0.0210
90
1.6948
2.8084

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90

COMPUTING THE COST OF EQUITY FOR INTEL


Classic CAPM: rE = rf + b*[ E(rM)-rf ]

1
2 Intel beta
3 Risk free rate, rf
4 Expected market return, E(rM)
5 Intel cost of equity, rE,Intel

2.2516
4.93%
9.98%
16.31% <-- =B3+B2*(B4-B3)

COMPUTING INTEL'S TAX RATE


INTEL CORP 10-K 2005-12-31: Income Statement
2005/12/31
$38,826,000,000
$15,777,000,000
$23,049,000,000
$5,145,000,000
$5,688,000,000
$0
$126,000,000

2004/12/31
$34,209,000,000
$14,463,000,000
$19,746,000,000
$4,778,000,000
$4,659,000,000
$0
$179,000,000

Net revenue
Cost of sales
Gross margin
Research and development
Marketing, general and administrative
Impairment of goodwill
Amortization and impairment of acquisition-related
intangibles and costs
Purchased in-process research and development
$0
$0
Operating expenses
$10,959,000,000
$9,616,000,000
Operating income
$12,090,000,000 $10,130,000,000
Losses on equity securities, net
($45,000,000)
($2,000,000)
Interest and other, net
$565,000,000
$289,000,000
Income before taxes
$12,610,000,000 $10,417,000,000
Provision for taxes
$3,946,000,000
$2,901,000,000
Net income
$8,664,000,000
$7,516,000,000
Basic earnings per common share
$1,420,000
$1,170,000
Diluted earnings per common share
$1,400,000
$1,160,000
Weighted average common shares outstanding
$6,106,000,000
$6,400,000,000
Weighted average common shares outstanding, assuming$6,178,000,000
$6,494,000,000
dilution
Tax rate

31.29%

27.85%

This data was extracted by EdgarScan from the PricewaterhouseCoopers Global Technology Centre.
Please read the on-line disclaimer at http://edgarscan.pwcglobal.com/EdgarScan/edgarscan_disclaimer.html

2003/12/31
$30,141,000,000
$13,047,000,000
$17,094,000,000
$4,360,000,000
$4,278,000,000
$617,000,000
$301,000,000
$5,000,000
$9,561,000,000
$7,533,000,000
($283,000,000)
$192,000,000
$7,442,000,000
$1,801,000,000
$5,641,000,000
$860,000
$850,000
$6,527,000,000
$6,621,000,000

24.20%

Technology Centre.
edgarscan_disclaimer.html

COMPUTING THE COST OF EQUITY FOR INTEL


Tax-adjusted CAPM: rE = rf (1-TC) + b*[ E(rM)-rf (1-TC) ]

1
2 Intel beta
3 Intel tax rate, TC
4 Risk free rate, rf

5 Expected market return, E(rM)


6 Intel cost of equity, rE,Intel

2.2516
31.29% <-- Computed from Intel financials
4.93%
9.98%
18.24% <-- =B4*(1-B3)+B2*(B5-B4*(1-B3))

MEASURING E(rM) USING HISTORICAL DATA


Derived from prices for the Vanguard 500 Index Fund
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45

(symbol: VFINX)
These prices include dividends; April 1987 - August 2006
Average monthly return
Monthly standard deviation
Annualized return
Annualized standard deviation
Date
1-Apr-87
1-May-87
1-Jun-87
1-Jul-87
3-Aug-87
1-Sep-87
1-Oct-87
2-Nov-87
1-Dec-87
4-Jan-88
1-Feb-88
1-Mar-88
4-Apr-88
2-May-88
1-Jun-88
1-Jul-88
1-Aug-88
1-Sep-88
3-Oct-88
1-Nov-88
1-Dec-88
3-Jan-89
1-Feb-89
1-Mar-89
3-Apr-89
1-May-89
1-Jun-89
3-Jul-89
1-Aug-89
1-Sep-89
2-Oct-89
1-Nov-89
1-Dec-89
2-Jan-90
1-Feb-90
1-Mar-90
2-Apr-90

0.83% <-- =AVERAGE(C10:C241)


4.34% <-- =STDEVP(C10:C241)
9.98% <-- =12*B2
15.05% <-- =SQRT(12)*B3
Price
17.32
17.49
18.37
19.28
20.02
19.56
15.31
14.06
15.12
15.75
16.48
15.98
16.14
16.27
17.01
16.95
16.37
17.07
17.54
17.28
17.58
18.87
18.40
18.82
19.80
20.60
20.47
22.32
22.73
22.64
22.11
22.56
23.10
21.55
21.83
22.40
21.84

Return
0.98%
4.91%
4.83%
3.77%
-2.32%
-24.50%
-8.52%
7.27%
4.08%
4.53%
-3.08%
1.00%
0.80%
4.45%
-0.35%
-3.48%
4.19%
2.72%
-1.49%
1.72%
7.08%
-2.52%
2.26%
5.08%
3.96%
-0.63%
8.65%
1.82%
-0.40%
-2.37%
2.01%
2.37%
-6.95%
1.29%
2.58%
-2.53%

<-<-<-<--

=LN(B10/B9)
=LN(B11/B10)
=LN(B12/B11)
=LN(B13/B12)

46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96

A
1-May-90
1-Jun-90
2-Jul-90
1-Aug-90
4-Sep-90
1-Oct-90
1-Nov-90
3-Dec-90
2-Jan-91
1-Feb-91
1-Mar-91
1-Apr-91
1-May-91
3-Jun-91
1-Jul-91
1-Aug-91
3-Sep-91
1-Oct-91
1-Nov-91
2-Dec-91
2-Jan-92
3-Feb-92
2-Mar-92
1-Apr-92
1-May-92
1-Jun-92
1-Jul-92
3-Aug-92
1-Sep-92
1-Oct-92
2-Nov-92
1-Dec-92
4-Jan-93
1-Feb-93
1-Mar-93
1-Apr-93
3-May-93
1-Jun-93
1-Jul-93
2-Aug-93
1-Sep-93
1-Oct-93
1-Nov-93
1-Dec-93
3-Jan-94
1-Feb-94
1-Mar-94
4-Apr-94
2-May-94
1-Jun-94
1-Jul-94

B
23.95
23.79
23.71
21.57
20.51
20.43
21.74
22.33
23.30
24.96
25.56
25.61
26.70
25.49
26.67
27.29
26.83
27.19
26.10
29.07
28.53
28.89
28.33
29.16
29.30
28.86
30.03
29.41
29.75
29.85
30.87
31.46
31.49
31.92
32.59
31.80
32.64
32.73
32.59
33.82
33.56
34.25
33.91
34.33
35.49
34.52
33.01
33.44
33.97
33.14
34.23

C
9.22%
-0.67%
-0.34%
-9.46%
-5.04%
-0.39%
6.21%
2.68%
4.25%
6.88%
2.38%
0.20%
4.17%
-4.64%
4.53%
2.30%
-1.70%
1.33%
-4.09%
10.78%
-1.88%
1.25%
-1.96%
2.89%
0.48%
-1.51%
3.97%
-2.09%
1.15%
0.34%
3.36%
1.89%
0.10%
1.36%
2.08%
-2.45%
2.61%
0.28%
-0.43%
3.70%
-0.77%
2.04%
-1.00%
1.23%
3.32%
-2.77%
-4.47%
1.29%
1.57%
-2.47%
3.24%

97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147

A
1-Aug-94
1-Sep-94
3-Oct-94
1-Nov-94
1-Dec-94
3-Jan-95
1-Feb-95
1-Mar-95
3-Apr-95
1-May-95
1-Jun-95
3-Jul-95
1-Aug-95
1-Sep-95
2-Oct-95
1-Nov-95
1-Dec-95
2-Jan-96
1-Feb-96
1-Mar-96
1-Apr-96
1-May-96
3-Jun-96
1-Jul-96
1-Aug-96
3-Sep-96
1-Oct-96
1-Nov-96
2-Dec-96
2-Jan-97
3-Feb-97
3-Mar-97
1-Apr-97
1-May-97
2-Jun-97
1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98

B
35.62
34.75
35.53
34.23
34.73
35.63
37.01
38.10
39.22
40.78
41.72
43.10
43.21
45.03
44.87
46.83
47.74
49.35
49.81
50.30
51.03
52.33
52.53
50.21
51.26
54.13
55.62
59.83
58.65
62.31
62.80
60.20
63.79
67.67
70.68
76.31
72.03
75.97
73.43
76.80
78.11
78.98
84.66
88.98
89.88
88.31
91.91
90.94
77.78
82.76
89.52

C
3.98%
-2.47%
2.22%
-3.73%
1.45%
2.56%
3.80%
2.90%
2.90%
3.90%
2.28%
3.25%
0.25%
4.13%
-0.36%
4.28%
1.92%
3.32%
0.93%
0.98%
1.44%
2.52%
0.38%
-4.52%
2.07%
5.45%
2.72%
7.30%
-1.99%
6.05%
0.78%
-4.23%
5.79%
5.90%
4.35%
7.66%
-5.77%
5.33%
-3.40%
4.49%
1.69%
1.11%
6.94%
4.98%
1.01%
-1.76%
4.00%
-1.06%
-15.63%
6.21%
7.85%

148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198

A
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00
2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03

B
94.95
100.47
104.69
101.42
105.47
109.53
106.91
112.85
109.32
108.78
105.80
112.49
114.77
121.64
115.52
113.32
124.38
120.64
118.18
121.12
119.31
126.70
120.00
119.48
110.07
110.63
114.55
104.09
97.46
105.04
105.72
103.13
102.10
95.70
87.95
89.61
96.47
97.32
95.88
94.03
97.55
91.62
90.93
84.44
77.92
78.43
69.89
76.03
80.71
75.74
73.76

C
5.89%
5.65%
4.11%
-3.17%
3.92%
3.78%
-2.42%
5.41%
-3.18%
-0.50%
-2.78%
6.13%
2.01%
5.81%
-5.16%
-1.92%
9.31%
-3.05%
-2.06%
2.46%
-1.51%
6.01%
-5.43%
-0.43%
-8.20%
0.51%
3.48%
-9.58%
-6.58%
7.49%
0.65%
-2.48%
-1.00%
-6.47%
-8.44%
1.87%
7.38%
0.88%
-1.49%
-1.95%
3.68%
-6.27%
-0.76%
-7.40%
-8.04%
0.65%
-11.53%
8.42%
5.97%
-6.36%
-2.65%

199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241

A
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06

B
72.64
73.33
79.38
83.56
84.61
86.09
87.75
86.81
91.71
92.50
97.33
99.10
100.47
98.95
97.39
98.71
100.61
97.28
97.65
98.69
100.19
104.24
107.78
105.14
107.34
105.45
103.43
106.71
106.84
110.80
109.79
110.66
108.80
112.90
112.92
115.91
116.21
117.65
119.22
115.76
115.91
116.61
119.37

C
-1.53%
0.95%
7.93%
5.13%
1.25%
1.73%
1.91%
-1.08%
5.49%
0.86%
5.09%
1.80%
1.37%
-1.52%
-1.59%
1.35%
1.91%
-3.37%
0.38%
1.06%
1.51%
3.96%
3.34%
-2.48%
2.07%
-1.78%
-1.93%
3.12%
0.12%
3.64%
-0.92%
0.79%
-1.70%
3.70%
0.02%
2.61%
0.26%
1.23%
1.33%
-2.95%
0.13%
0.60%
2.34%

MEASURING THE MARKET RISK PREMIUM E(rM) - rf USING HISTORICA

1
2
3
4
5
6
7

8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

Vanguard 500 Index Fund (symbol: VFINX) minus Treasury Bills


April 1987 - August 2006
All measurements relate to monthly returns on SP500, rMt, and the Treasury bill r
Average monthly risk premium
Monthly standard deviation
Annualized risk premium
Annualized standard deviation

Date
1-Apr-87
1-May-87
1-Jun-87
1-Jul-87
3-Aug-87
1-Sep-87
1-Oct-87
2-Nov-87
1-Dec-87
4-Jan-88
1-Feb-88
1-Mar-88
4-Apr-88
2-May-88
1-Jun-88
1-Jul-88
1-Aug-88
1-Sep-88
3-Oct-88
1-Nov-88
1-Dec-88
3-Jan-89
1-Feb-89
1-Mar-89
3-Apr-89
1-May-89
1-Jun-89
3-Jul-89
1-Aug-89
1-Sep-89
2-Oct-89
1-Nov-89
1-Dec-89
2-Jan-90
1-Feb-90
1-Mar-90

0.46% <-- =AVERAGE(E10:E241)


4.34% <-- =STDEVP(E10:E241)
5.50% <-- =12*B2
15.04% <-- =SQRT(12)*B3

Price
17.32
17.49
18.37
19.28
20.02
19.56
15.31
14.06
15.12
15.75
16.48
15.98
16.14
16.27
17.01
16.95
16.37
17.07
17.54
17.28
17.58
18.87
18.4
18.82
19.8
20.6
20.47
22.32
22.73
22.64
22.11
22.56
23.1
21.55
21.83
22.4

Return
0.98%
4.91%
4.83%
3.77%
-2.32%
-24.50%
-8.52%
7.27%
4.08%
4.53%
-3.08%
1.00%
0.80%
4.45%
-0.35%
-3.48%
4.19%
2.72%
-1.49%
1.72%
7.08%
-2.52%
2.26%
5.08%
3.96%
-0.63%
8.65%
1.82%
-0.40%
-2.37%
2.01%
2.37%
-6.95%
1.29%
2.58%

Treasury
bill rate

Market
risk
premium

0.47%
0.47%
0.47%
0.47%
0.50%
0.53%
0.51%
0.47%
0.48%
0.48%
0.47%
0.48%
0.49%
0.52%
0.54%
0.56%
0.59%
0.60%
0.61%
0.65%
0.67%
0.69%
0.71%
0.74%
0.72%
0.70%
0.68%
0.66%
0.66%
0.65%
0.64%
0.64%
0.64%
0.64%
0.65%

0.51%
4.44%
4.36%
3.29%
-2.83%
-25.03%
-9.03%
6.79%
3.60%
4.05%
-3.55%
0.52%
0.31%
3.93%
-0.89%
-4.04%
3.60%
2.11%
-2.11%
1.07%
6.41%
-3.21%
1.55%
4.34%
3.24%
-1.34%
7.97%
1.16%
-1.06%
-3.01%
1.38%
1.72%
-7.58%
0.65%
1.93%

45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95

A
2-Apr-90
1-May-90
1-Jun-90
2-Jul-90
1-Aug-90
4-Sep-90
1-Oct-90
1-Nov-90
3-Dec-90
2-Jan-91
1-Feb-91
1-Mar-91
1-Apr-91
1-May-91
3-Jun-91
1-Jul-91
1-Aug-91
3-Sep-91
1-Oct-91
1-Nov-91
2-Dec-91
2-Jan-92
3-Feb-92
2-Mar-92
1-Apr-92
1-May-92
1-Jun-92
1-Jul-92
3-Aug-92
1-Sep-92
1-Oct-92
2-Nov-92
1-Dec-92
4-Jan-93
1-Feb-93
1-Mar-93
1-Apr-93
3-May-93
1-Jun-93
1-Jul-93
2-Aug-93
1-Sep-93
1-Oct-93
1-Nov-93
1-Dec-93
3-Jan-94
1-Feb-94
1-Mar-94
4-Apr-94
2-May-94
1-Jun-94

B
21.84
23.95
23.79
23.71
21.57
20.51
20.43
21.74
22.33
23.3
24.96
25.56
25.61
26.7
25.49
26.67
27.29
26.83
27.19
26.1
29.07
28.53
28.89
28.33
29.16
29.3
28.86
30.03
29.41
29.75
29.85
30.87
31.46
31.49
31.92
32.59
31.8
32.64
32.73
32.59
33.82
33.56
34.25
33.91
34.33
35.49
34.52
33.01
33.44
33.97
33.14

C
-2.53%
9.22%
-0.67%
-0.34%
-9.46%
-5.04%
-0.39%
6.21%
2.68%
4.25%
6.88%
2.38%
0.20%
4.17%
-4.64%
4.53%
2.30%
-1.70%
1.33%
-4.09%
10.78%
-1.88%
1.25%
-1.96%
2.89%
0.48%
-1.51%
3.97%
-2.09%
1.15%
0.34%
3.36%
1.89%
0.10%
1.36%
2.08%
-2.45%
2.61%
0.28%
-0.43%
3.70%
-0.77%
2.04%
-1.00%
1.23%
3.32%
-2.77%
-4.47%
1.29%
1.57%
-2.47%

D
0.66%
0.65%
0.65%
0.64%
0.64%
0.62%
0.61%
0.60%
0.59%
0.56%
0.52%
0.50%
0.49%
0.47%
0.46%
0.46%
0.47%
0.44%
0.44%
0.42%
0.38%
0.34%
0.32%
0.32%
0.34%
0.31%
0.30%
0.31%
0.27%
0.26%
0.24%
0.24%
0.26%
0.27%
0.25%
0.24%
0.25%
0.24%
0.25%
0.26%
0.25%
0.25%
0.25%
0.25%
0.26%
0.26%
0.25%
0.27%
0.29%
0.31%
0.35%

E
-3.19%
8.58%
-1.32%
-0.98%
-10.09%
-5.66%
-1.00%
5.62%
2.09%
3.69%
6.36%
1.88%
-0.30%
3.70%
-5.09%
4.06%
1.83%
-2.14%
0.90%
-4.51%
10.40%
-2.21%
0.94%
-2.28%
2.55%
0.17%
-1.82%
3.67%
-2.35%
0.89%
0.09%
3.12%
1.63%
-0.17%
1.11%
1.83%
-2.70%
2.37%
0.03%
-0.68%
3.45%
-1.02%
1.79%
-1.25%
0.97%
3.07%
-3.02%
-4.74%
1.00%
1.27%
-2.82%

96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146

A
1-Jul-94
1-Aug-94
1-Sep-94
3-Oct-94
1-Nov-94
1-Dec-94
3-Jan-95
1-Feb-95
1-Mar-95
3-Apr-95
1-May-95
1-Jun-95
3-Jul-95
1-Aug-95
1-Sep-95
2-Oct-95
1-Nov-95
1-Dec-95
2-Jan-96
1-Feb-96
1-Mar-96
1-Apr-96
1-May-96
3-Jun-96
1-Jul-96
1-Aug-96
3-Sep-96
1-Oct-96
1-Nov-96
2-Dec-96
2-Jan-97
3-Feb-97
3-Mar-97
1-Apr-97
1-May-97
2-Jun-97
1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98

B
34.23
35.62
34.75
35.53
34.23
34.73
35.63
37.01
38.1
39.22
40.78
41.72
43.1
43.21
45.03
44.87
46.83
47.74
49.35
49.81
50.3
51.03
52.33
52.53
50.21
51.26
54.13
55.62
59.83
58.65
62.31
62.8
60.2
63.79
67.67
70.68
76.31
72.03
75.97
73.43
76.8
78.11
78.98
84.66
88.98
89.88
88.31
91.91
90.94
77.78
82.76

C
3.24%
3.98%
-2.47%
2.22%
-3.73%
1.45%
2.56%
3.80%
2.90%
2.90%
3.90%
2.28%
3.25%
0.25%
4.13%
-0.36%
4.28%
1.92%
3.32%
0.93%
0.98%
1.44%
2.52%
0.38%
-4.52%
2.07%
5.45%
2.72%
7.30%
-1.99%
6.05%
0.78%
-4.23%
5.79%
5.90%
4.35%
7.66%
-5.77%
5.33%
-3.40%
4.49%
1.69%
1.11%
6.94%
4.98%
1.01%
-1.76%
4.00%
-1.06%
-15.63%
6.21%

D
0.35%
0.36%
0.37%
0.39%
0.41%
0.44%
0.47%
0.48%
0.48%
0.48%
0.47%
0.47%
0.46%
0.45%
0.45%
0.44%
0.44%
0.45%
0.43%
0.42%
0.40%
0.41%
0.41%
0.42%
0.42%
0.43%
0.42%
0.42%
0.42%
0.42%
0.41%
0.42%
0.42%
0.43%
0.43%
0.42%
0.41%
0.42%
0.43%
0.41%
0.41%
0.43%
0.43%
0.42%
0.42%
0.42%
0.41%
0.42%
0.42%
0.41%
0.41%

E
2.89%
3.62%
-2.85%
1.83%
-4.14%
1.01%
2.09%
3.32%
2.42%
2.42%
3.43%
1.81%
2.80%
-0.20%
3.68%
-0.80%
3.84%
1.48%
2.89%
0.51%
0.58%
1.03%
2.10%
-0.04%
-4.94%
1.64%
5.03%
2.29%
6.88%
-2.41%
5.64%
0.36%
-4.65%
5.36%
5.47%
3.93%
7.25%
-6.19%
4.90%
-3.81%
4.07%
1.26%
0.68%
6.52%
4.55%
0.59%
-2.17%
3.58%
-1.48%
-16.04%
5.80%

147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197

A
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00
2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02

B
89.52
94.95
100.47
104.69
101.42
105.47
109.53
106.91
112.85
109.32
108.78
105.8
112.49
114.77
121.64
115.52
113.32
124.38
120.64
118.18
121.12
119.31
126.7
120
119.48
110.07
110.63
114.55
104.09
97.46
105.04
105.72
103.13
102.1
95.7
87.95
89.61
96.47
97.32
95.88
94.03
97.55
91.62
90.93
84.44
77.92
78.43
69.89
76.03
80.71
75.74

C
7.85%
5.89%
5.65%
4.11%
-3.17%
3.92%
3.78%
-2.42%
5.41%
-3.18%
-0.50%
-2.78%
6.13%
2.01%
5.81%
-5.16%
-1.92%
9.31%
-3.05%
-2.06%
2.46%
-1.51%
6.01%
-5.43%
-0.43%
-8.20%
0.51%
3.48%
-9.58%
-6.58%
7.49%
0.65%
-2.48%
-1.00%
-6.47%
-8.44%
1.87%
7.38%
0.88%
-1.49%
-1.95%
3.68%
-6.27%
-0.76%
-7.40%
-8.04%
0.65%
-11.53%
8.42%
5.97%
-6.36%

D
0.38%
0.33%
0.37%
0.37%
0.36%
0.37%
0.37%
0.36%
0.38%
0.38%
0.38%
0.39%
0.39%
0.41%
0.42%
0.43%
0.44%
0.46%
0.47%
0.47%
0.48%
0.47%
0.50%
0.51%
0.50%
0.51%
0.51%
0.48%
0.43%
0.41%
0.37%
0.32%
0.30%
0.29%
0.29%
0.28%
0.22%
0.18%
0.16%
0.14%
0.14%
0.14%
0.15%
0.14%
0.14%
0.14%
0.14%
0.14%
0.14%
0.13%
0.10%

E
7.47%
5.56%
5.28%
3.75%
-3.53%
3.55%
3.41%
-2.78%
5.03%
-3.56%
-0.87%
-3.17%
5.74%
1.60%
5.39%
-5.60%
-2.37%
8.85%
-3.53%
-2.53%
1.97%
-1.98%
5.51%
-5.94%
-0.93%
-8.71%
-0.01%
3.00%
-10.00%
-6.99%
7.12%
0.32%
-2.78%
-1.29%
-6.77%
-8.72%
1.65%
7.20%
0.72%
-1.63%
-2.09%
3.53%
-6.42%
-0.90%
-7.55%
-8.18%
0.51%
-11.66%
8.28%
5.84%
-6.46%

198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241

A
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06

B
73.76
72.64
73.33
79.38
83.56
84.61
86.09
87.75
86.81
91.71
92.5
97.33
99.1
100.47
98.95
97.39
98.71
100.61
97.28
97.65
98.69
100.19
104.24
107.78
105.14
107.34
105.45
103.43
106.71
106.84
110.8
109.79
110.66
108.8
112.9
112.92
115.91
116.21
117.65
119.22
115.76
115.91
116.61
119.37

C
-2.65%
-1.53%
0.95%
7.93%
5.13%
1.25%
1.73%
1.91%
-1.08%
5.49%
0.86%
5.09%
1.80%
1.37%
-1.52%
-1.59%
1.35%
1.91%
-3.37%
0.38%
1.06%
1.51%
3.96%
3.34%
-2.48%
2.07%
-1.78%
-1.93%
3.12%
0.12%
3.64%
-0.92%
0.79%
-1.70%
3.70%
0.02%
2.61%
0.26%
1.23%
1.33%
-2.95%
0.13%
0.60%
2.34%

D
0.10%
0.10%
0.10%
0.09%
0.09%
0.09%
0.08%
0.08%
0.08%
0.08%
0.08%
0.08%
0.08%
0.07%
0.08%
0.08%
0.08%
0.09%
0.11%
0.11%
0.12%
0.14%
0.15%
0.17%
0.18%
0.19%
0.21%
0.23%
0.23%
0.24%
0.25%
0.27%
0.29%
0.29%
0.31%
0.32%
0.32%
0.35%
0.37%
0.38%
0.38%
0.39%
0.40%
0.41%

E
-2.75%
-1.63%
0.85%
7.83%
5.04%
1.16%
1.66%
1.83%
-1.16%
5.41%
0.78%
5.01%
1.73%
1.30%
-1.60%
-1.67%
1.27%
1.82%
-3.47%
0.27%
0.94%
1.37%
3.82%
3.17%
-2.66%
1.88%
-1.99%
-2.16%
2.89%
-0.11%
3.39%
-1.18%
0.50%
-1.98%
3.39%
-0.31%
2.29%
-0.09%
0.86%
0.95%
-3.33%
-0.26%
0.20%
1.93%

REMIUM E(rM) - rf USING HISTORICAL DATA

(symbol: VFINX) minus Treasury Bills


987 - August 2006
eturns on SP500,
rMt, and the Treasury bill rate rft
1
2
3
4
5
6
7

Methodological note: I have used the St. Louis FRED


data for 3-month Treasury Bills; this data is
annualized, and I have divided it by 12 to get the
monthly returns. Since the data can be taken as an
ex-ante return, the April 1987 rate is attributed to May
1987.

I've use 3-month instead of 1-month, because there


are lots of data problems with the latter.
8
9
10 <-- =C10-D10
11 <-- =C11-D11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

COMPUTING THE COST OF EQUITY FOR INTEL USING THE


MARKET RISK PREMIUM E(rM) - rf

1
2 Intel beta
3 Historical market risk premium
4 Intel tax rate, TC
5 Risk free rate, rf

2.2516
5.50%
31.29% <-- Computed from Intel financials

6 Intel cost of equity, rE,Intel


7
Classic CAPM
8
Tax-adjusted CAPM
9

17.31% <-- =B5+B2*B3


19.24% <-- =B5*(1-B4)+B2*(B3+B4*B5)

10

4.93%

Note: The tax-adjusted model in cell B8 uses the equivalence:


E(rM) - rf (1-TC) = E(rM) - rf + TC*rf

1
2
3
4
5
6
7
8
9

COMPUTING THE COST OF EQUITY FOR INTEL USING THE MARKET


PRICE/EARNINGS MULTIPLE TO COMPUTE E(rM)
Market price/earnings multiple, August 2006
Equity cash flow payout ratio
Anticipated growth of market equity cash flow
Expected market return, E(rM)

17
50.00%
6.00%
9.12%

Intel cost of equity calculations


Intel beta
Intel tax rate, TC

2.2516
31.29%

10 Risk free rate, rf


4.93%
Intel
cost
of
equity,
r
11
E,Intel
12
Classic CAPM
14.36%
13
Tax-adjusted CAPM
16.29%
14
15 Note: Price/Earnings ratio for S&P 500 from http://www.bullandbearwise.com

QUITY FOR INTEL USING THE MARKET


ULTIPLE TO
COMPUTE E(rM)
1
2
3
4
5 <-- =B3*(1+B4)/B2+B4
6
7
8
9 <-- Computed from Intel financials
10

11
12 <-- =B10+B8*(B5-B10)
13 <-- =B10*(1-B9)+B8*(B5-B10*(1-B9))
14
://www.bullandbearwise.com
15

A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

COMPUTING THE COST OF DEBT FOR KRAFT


2005/12/31
316,000,000

2004/12/31
282,000,000

805,000,000
1,268,000,000
652,000,000
8,475,000,000

1,818,000,000
750,000,000
227,000,000
9,723,000,000

636,000,000

666,000,000

Net debt
Net interest cost

10,884,000,000
5.50%

12,236,000,000

Total debt
Cash paid:
Interest

11,200,000,000

12,518,000,000

679,000,000

633,000,000

Cash and cash equivalents


Short-term borrowings
Current portion of long-term debt
Due to Altria Group, Inc. and affiliates
Long-term debt
Interest and other debt expense, net

Interest cost

5.73%

Note: Altria debt is priced at LIBOR (from financial statements)

DEBT FOR1 KRAFT


2
3
4
5
6
7
8
9
10
11
12 <-- =SUM(C5:C8)-C3
13 <-- =B10/AVERAGE(B12:C12)
14
15
16
17
18
19 <-- =B17/AVERAGE(B15:C15)
20
21
22
23
24
25
26
27

YAHOO: NON-CALLABLE BBB CORPORATE BONDS WITH MATURITY 0.5 11 August 2006
Type

Issuer

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

PANHANDLE EASTN PIPE LINE CO


SAFEWAY INC
WEYERHAEUSER CO
CONSTELLATION ENERGY GROUP INC
PENNEY J C INC
MOHAWK INDS INC
PROGRESS ENERGY INC
AOL TIME WARNER INC
ARAMARK SVCS INC
BANK UTD CORP
COMCAST CABLE COMMUNICATIONS
STARWOOD HOTELS&RESORTS WRLDWD
VIACOM INC
REALTY INCOME CORP
CIGNA CORP
TELUS CORP
EOP OPER LTD PARTNERSHIP
POTASH CORP SASK INC
VORNADO RLTY TR
KENTUCKY POWER CO
AVALONBAY CMNTYS INC MTN BE
ARCHSTONE SMITH TR
BANK OKLA N A TULSA
LIBERTY PPTY LTD PARTNERSHIP
MASCO CORP
RAYTHEON CO
TIME WARNER COMPANIES INC
TANDY CORP
ICI WILMINGTON INC
PHH CORP INTERNOTES BOOK ENTRY
OCEAN ENERGY INC DEL
USA WASTE SVCS INC
CALENERGY INC
ENTERPRISE PRODS OPER LP
POTOMAC ELEC PWR CO
ROYAL CARIBBEAN CRUISES LTD
UNION PAC CORP
CVS CORP
ENSCO INTL INC
EOP OPER LTD PARTNERSHIP
MALLINCKRODT GROUP INC
MEDIAONE GROUP INC MTN BE
UNION CAMP CORP
PSEG FDG TR I
PLATINUM UNDERWRITERS FIN INC

Price
100.29
104.75
102.35
102.35
103.1
102.61
102.26
102.34
102.77
104.32
103.96
103
101.9
103.41
103.31
103.58
102.98
103.25
102.04
102.06
101.45
101.62
103.54
103.56
101.15
103.09
104.45
103.33
103.27
101.9
100.82
103.58
104.21
100.15
102.73
103.13
103.99
100.01
103.33
104.56
103.1
103.02
103.04
101.57
102.17

Coupon(%) Maturity
2.75
9.875
6.125
6.35
7.6
6.5
6.05
6.15
7
8.875
8.375
7.375
5.625
7.75
7.4
7.5
6.763
7.125
5.625
5.5
5
5
7.125
7.25
4.625
6.75
8.18
6.95
7.05
5.6
4.375
7.125
7.63
4
6.25
7
5.75
3.875
6.75
7.75
6.5
6.83
6.5
5.381
6.371

15-Mar-07
15-Mar-07
15-Mar-07
1-Apr-07
1-Apr-07
15-Apr-07
15-Apr-07
1-May-07
1-May-07
1-May-07
1-May-07
1-May-07
1-May-07
6-May-07
15-May-07
1-Jun-07
15-Jun-07
15-Jun-07
15-Jun-07
1-Jul-07
1-Aug-07
15-Aug-07
15-Aug-07
15-Aug-07
15-Aug-07
15-Aug-07
15-Aug-07
1-Sep-07
15-Sep-07
15-Sep-07
1-Oct-07
1-Oct-07
15-Oct-07
15-Oct-07
15-Oct-07
15-Oct-07
15-Oct-07
1-Nov-07
15-Nov-07
15-Nov-07
15-Nov-07
15-Nov-07
15-Nov-07
16-Nov-07
16-Nov-07

YTM(%)
2.24%
1.62%
2.03%
2.53%
2.56%
2.50%
2.59%
2.78%
3.01%
2.67%
2.68%
3.05%
2.89%
2.94%
2.88%
2.87%
3.08%
3.11%
3.10%
3.08%
3.44%
3.33%
3.48%
3.57%
3.44%
3.56%
3.59%
3.66%
3.92%
3.78%
3.62%
3.83%
3.88%
3.87%
3.82%
4.20%
2.24%
3.87%
3.97%
3.96%
3.92%
4.30%
3.97%
4.07%
4.55%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

GENERAL MLS INC


LILLY INDS INC
AMERICAN FINL GROUP INC OHIO
PENNEY JC INC MTN BE
PRECISION CASTPARTS CORP
NEWS AMER INC
CNA FINL CORP
CENTURY TEL ENTERPRISES INC
CLEAR CHANNEL COMMUNICATIONS
SARA LEE CORP MTN BE
TIME WARNER COMPANIES INC
AMERICAN STD INC
CONSUMERS ENERGY CO
UNION PAC CORP
ARAMARK SVCS INC
AVNET INC
DOMINION RES INC VA NEW
EOP OPER LTD PARTNERSHIP
IDEX CORP
LENFEST COMMUNICATIONS INC
MARSH & MCLENNAN COS INC
PEMEX PROJ FDG MASTER TR
TANGER PPTYS LTD PARTNERSHIP
HOSPITALITY PPTYS TR
KROGER CO
UNITED DOMINION RLTY TR MTNSBE
BECKMAN COULTER INC
ROYAL CARIBBEAN CRUISES LTD
GREATER BAY BANCORP
CAROLINA PWR & LT CO MTN BE
FORTUNE BRANDS INC
GOODRICH CORP
PROLOGIS
APPALACHIAN PWR CO
BERKLEY W R CORP
DOMINION RES INC VA NEW
MIDAMERICAN ENERGY HLDGS NEW
TRW INC SR MEDTERMNTS BK EN
DUKE RLTY LTD PARTNERSHIP
AAG HLDG INC
CENTERPOINT ENERGY INC
NORTHEAST UTILS
ARCHSTONE-SMITH OPER TR
SARA LEE CORP MTN BE
PHILIP MORRIS COS INC
CAPITAL ONE FINL CORP
COX COMMUNICATIONS INC NEW
MILLER BREWING CO
PENNEY J C INC
CONTINENTAL CABLEVISION INC
TIME WARNER ENTMT CO LP
BALT GAS & ELEC CO MTN BE BONY

99.89
104.46
103.81
102.92
103.64
103.56
103.02
102.83
100.42
102.38
104.42
104.21
102.98
103.52
102.38
107.51
100.19
103.55
103.42
104.77
99.34
106.23
106.63
103.96
103.13
100.27
104.68
103.5
101.06
103.6
103.04
104.81
104.35
98.75
108.8
102.21
98.2
103.28
103.98
103.77
102.14
98.14
97.26
102.61
105.5
104.69
103.27
99.53
106
108.37
105.12
102.24

3.875
7.75
7.125
6.5
6.75
6.625
6.45
6.3
4.625
6
7.48
7.375
6.375
6.625
6.375
9.75
4.125
6.75
6.875
7.625
3.625
8.5
9.125
7
6.375
4.5
7.45
6.75
5.25
6.65
6.25
7.5
7.1
3.6
9.875
5.687
3.5
6.3
6.75
6.875
5.875
3.3
3
6.15
7.65
7.125
6.4
4.25
7.375
9
7.25
5.78

30-Nov-07
1-Dec-07
15-Dec-07
15-Dec-07
15-Dec-07
9-Jan-08
15-Jan-08
15-Jan-08
15-Jan-08
15-Jan-08
15-Jan-08
1-Feb-08
1-Feb-08
1-Feb-08
15-Feb-08
15-Feb-08
15-Feb-08
15-Feb-08
15-Feb-08
15-Feb-08
15-Feb-08
15-Feb-08
15-Feb-08
1-Mar-08
1-Mar-08
3-Mar-08
4-Mar-08
15-Mar-08
31-Mar-08
1-Apr-08
1-Apr-08
15-Apr-08
15-Apr-08
15-May-08
15-May-08
15-May-08
15-May-08
15-May-08
30-May-08
1-Jun-08
1-Jun-08
1-Jun-08
15-Jun-08
19-Jun-08
1-Jul-08
1-Aug-08
1-Aug-08
15-Aug-08
15-Aug-08
1-Sep-08
1-Sep-08
1-Oct-08

3.96%
4.16%
4.14%
4.21%
3.91%
3.97%
4.22%
4.21%
4.31%
4.24%
4.22%
4.35%
4.24%
4.11%
4.71%
4.50%
4.00%
4.27%
4.48%
4.30%
4.08%
4.16%
4.49%
4.31%
4.25%
4.32%
4.29%
4.43%
4.56%
4.32%
4.29%
4.46%
4.35%
4.35%
4.56%
4.37%
4.58%
4.32%
4.41%
4.65%
4.61%
4.39%
4.58%
4.65%
4.55%
4.59%
4.63%
4.50%
4.21%
4.65%
4.59%
4.66%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

CADBURY SCHWEPPES US FINANACE


COX COMMUNICATIONS INC NEW
TRIBUNE CO MTN BK MONT TR CO
MASCO CORP
RAYCHEM CORP DEL
UNIVISION COMMUNICATIONS INC
NEWS AMER HLDGS INC
CHANCELLOR MEDIA CORP LA
MAY DEPT STORES CO
UNION PAC CORP
WEYERHAEUSER CO
ALTRIA GROUP INC
COMCAST CABLE COMMUNICATIONS
SPRINT CAP CORP
TELECOM ITALIA CAP
WASTE MGMT INC DEL
HALLIBURTON CO MTN BE
LUBRIZOL CORP
TRIBUNE CO MTN BK MONT TR CO
CNA FINL CORP
EOP OPER LTD PARTNERSHIP EOP
OAKMONT ASSET TR
D R HORTON INC
EOP OPER LTD PARTNERSHIP
VALASSIS COMMUNICATIONS INC
D R HORTON INC
EOP OPER LTD PARTNERSHIP EOP
CONSUMERS ENERGY CO
BRITISH SKY BROADCASTING GROUP
LENNAR CORP
PPL CAP FDG INC
SOUTHWESTERN PUB SVC CO
BURLINGTON NORTHN SANTA FE CP
COLONIAL BK MONTGOMERY ALA
MACK-CALI RLTY L P
PSEG PWR LLC
PENNSYLVANIA ELEC CO
UNION CARBIDE CORP
AMERICAN FINL GROUP INC OHIO
DTE ENERGY CO
UNION PAC RES GROUP INC
NIPSCO CAP MKTS INC MTN BE
ASHLAND INC MTN BE
GENERAL AMERICAN TRANS CORP
SPIEKER PPTYS L P
SPRINT CAP CORP
CLEAR CHANNEL COMMUNICATIONS
SEMPRA ENERGY
GATX FINL CORP
MARSH & MCLENNAN COS INC
UNITED DOMINION REALTY TR INC
WILLAMETTE INDS INC MTN BE

98.66
98.17
101.08
102.07
105.11
97.91
105.5
106.18
102.61
105.55
103.01
101.96
103.31
103.2
98.55
103.98
102.12
102.14
101.26
103.79
98.2
98.51
100
104.43
103.38
106.5
97.69
100.05
104.77
106
98.92
103.55
103.58
107.31
106.04
97.58
103.09
102.99
105.64
104.24
106.02
106.73
105.38
104.7
105.94
103.97
97.78
99.84
109.44
105.77
103.96
104.17

3.875
3.875
5.5
5.75
7.2
3.875
7.375
8
5.95
7.25
5.95
5.625
6.2
6.125
4
6.5
5.625
5.875
5.67
6.6
4
4.514
5
6.8
6.625
8
4.1
4.8
6.875
7.625
4.33
6.2
6.125
8
7.25
3.75
6.125
6.7
7.125
6.65
7.3
7.72
6.86
6.75
7.25
6.375
4.25
4.75
8.875
7.125
6.5
6.45

1-Oct-08
1-Oct-08
6-Oct-08
15-Oct-08
15-Oct-08
15-Oct-08
17-Oct-08
1-Nov-08
1-Nov-08
1-Nov-08
1-Nov-08
4-Nov-08
15-Nov-08
15-Nov-08
15-Nov-08
15-Nov-08
1-Dec-08
1-Dec-08
8-Dec-08
15-Dec-08
15-Dec-08
22-Dec-08
15-Jan-09
15-Jan-09
15-Jan-09
1-Feb-09
15-Feb-09
17-Feb-09
23-Feb-09
1-Mar-09
1-Mar-09
1-Mar-09
15-Mar-09
15-Mar-09
15-Mar-09
1-Apr-09
1-Apr-09
1-Apr-09
15-Apr-09
15-Apr-09
15-Apr-09
17-Apr-09
1-May-09
1-May-09
1-May-09
1-May-09
15-May-09
15-May-09
1-Jun-09
15-Jun-09
15-Jun-09
18-Jun-09

4.55%
4.79%
4.96%
4.73%
4.68%
4.90%
4.67%
5.00%
4.69%
4.57%
4.50%
4.68%
4.63%
4.61%
4.69%
4.61%
4.64%
4.87%
5.08%
4.85%
4.82%
5.19%
5.00%
4.83%
5.12%
5.15%
5.09%
4.78%
4.84%
5.08%
4.78%
4.70%
4.63%
4.94%
4.73%
4.74%
4.85%
5.46%
4.84%
4.93%
4.86%
4.99%
4.72%
4.87%
4.88%
4.79%
5.13%
4.81%
5.19%
4.91%
4.98%
4.86%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

BRITISH SKY BROADCASTING GROUP


MAY DEPT STORES CO
PUBLIC SERVICE CO COLO
PULTE HOMES INC
COX COMMUNICATIONS INC NEW
NEW PLAN EXCEL RLTY TR INC MTN
DUKE CAP CORP
ELECTRONIC DATA SYS CORP
CLEVELAND ELEC ILLUM CO
FEDERAL REALTY INVT TR
DOMINION RES INC
WELLPOINT INC
CLEAR CHANNEL COMMUNICATIONS
COMCAST CORP NEW
COX COMMUNICATIONS INC NEW
TELECOM ITALIA CAP
COX COMMUNICATIONS INC NEW
TELECOM ITALIA CAP
COLONIAL RLTY LTD PARTNERSHIP
IBP INC
KROGER CO
SAFECO CORP
AMERICAN STD INC
AIFUL CORPORATION
PENNEY J C CORP INC
SEMPRA ENERGY
NISSAN MTR ACCEP CORP
AMERICAN ELEC PWR INC
METROPOLITAN EDISON CO
NEWS AMER INC
RAYTHEON CO
SCOTTISH PWR PLC
INTL PAPER CO
WASHINGTON MUT INC
MACK-CALI RLTY L P
NEWELL RUBBERMAID INC
NORFOLK SOUTHERN CORP
PEPCO HOLDINGS INC
ROYAL CARIBBEAN CRUISES LTD
ENTERPRISE PRODS OPER LP
UNION PAC CORP
DOMINION RES INC VA NEW
EXELON CORP
NORTHERN BORDER PARTNERS L P
HARRAHS OPER INC
WILLIS NORTH AMER INC
EOP OPER LTD PARTNERSHIP
WASTE MGMT INC DEL
PENNSYLVANIA ELEC CO UNSEC MTN
TRIBUNE CO NEW
DUKE ENERGY FIELD SVCS LLC
SAFEWAY INC

108.86
99.77
105.28
99.27
107.72
106.5
107.23
105.95
107.29
110.5
100.45
98.07
97.11
102.74
98.26
96.36
98.27
96.36
98.89
108.09
108.78
99.65
107.3
96.59
109.17
109.33
98.25
101.17
97.95
99.26
105.22
99.39
96.67
110.22
99.31
96.37
112.21
96.03
107.06
98.92
95.45
110.11
98
112.15
100.64
99.49
109.97
108.08
108.45
96.74
109.57
98.63

8.2
4.8
6.875
4.875
7.875
7.4
7.5
7.125
7.43
8.75
5.125
4.25
4.5
5.85
4.625
4
4.625
4
4.75
7.95
8.05
4.875
7.625
4.45
8
7.95
4.625
5.375
4.45
4.75
6.55
4.91
4
8.25
5.05
4
8.625
4
8
4.95
3.625
8.125
4.45
8.875
5.5
5.125
8.1
7.375
7.77
4.875
7.875
4.95

15-Jul-09
15-Jul-09
15-Jul-09
15-Jul-09
15-Aug-09
15-Sep-09
1-Oct-09
15-Oct-09
1-Nov-09
1-Dec-09
15-Dec-09
15-Dec-09
15-Jan-10
15-Jan-10
15-Jan-10
15-Jan-10
15-Jan-10
15-Jan-10
1-Feb-10
1-Feb-10
1-Feb-10
1-Feb-10
15-Feb-10
16-Feb-10
1-Mar-10
1-Mar-10
8-Mar-10
15-Mar-10
15-Mar-10
15-Mar-10
15-Mar-10
15-Mar-10
1-Apr-10
1-Apr-10
15-Apr-10
1-May-10
15-May-10
15-May-10
15-May-10
1-Jun-10
1-Jun-10
15-Jun-10
15-Jun-10
15-Jun-10
1-Jul-10
15-Jul-10
1-Aug-10
1-Aug-10
2-Aug-10
15-Aug-10
16-Aug-10
16-Aug-10

4.89%
4.88%
4.91%
5.15%
5.06%
5.09%
4.97%
5.06%
4.94%
5.23%
4.98%
4.88%
5.44%
4.97%
5.19%
5.18%
5.18%
5.18%
5.10%
5.36%
5.24%
4.99%
5.31%
5.54%
5.14%
5.04%
5.17%
5.01%
5.08%
4.98%
4.94%
5.10%
5.01%
5.12%
5.26%
5.09%
5.01%
5.18%
5.87%
5.26%
4.96%
5.18%
5.03%
5.32%
5.31%
5.27%
5.27%
5.09%
5.37%
5.80%
5.19%
5.33%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

SOVEREIGN BANCORP INC


CLEAR CHANNEL COMMUNICATIONS
CONAGRA FOODS INC
HEALTH CARE PPTY INVS INC MTN
MARSH & MCLENNAN COS INC
NUVEEN INVTS INC
PUBLIC SERVICE CO OKLA
MOLSON COORS CAP FIN
BERKLEY W R CORP
EOP OPER LTD PARTNERSHIP
ROYAL KPN NV
TELECOM ITALIA CAP
GTECH HLDGS CORP
HALLIBURTON CO
HALLIBURTON CO
CENTEX CORP
KINDER MORGAN ENERGY PARTNERS
MAY DEPT STORES CO
UNITRIN INC
COMCAST CORP NEW
NISOURCE FIN CORP
TEXAS EASTN TRANSMISSION CORP
XCEL ENERGY INC MINN
BURLINGTON NORTHN SANTA FE CP
DOMINION RES INC VA NEW
ISTAR FINL INC
RAYTHEON CO
VIRGINIA ELEC & PWR CO
KINDER MORGAN FINANCE CORP ULC
BOSTON SCIENTIFIC CORP
AGL CAP CORP
BRE PROPERTIES INC
FORTUNE BRANDS INC
RAYTHEON CO
RECKSON OPER PARTNERSHIP L P
WADDELL & REED FINL INC
WELLPOINT INC
COMCAST CABLE COMMUNICATIONS
SPRINT CAP CORP
CENTEX CORP
ROYAL CARIBBEAN CRUISES LTD
CARDINAL HEALTH INC
NORFOLK SOUTHERN CORP
VORNADO RLTY L P
RESIDENTIAL CAP CORP
SAFEWAY INC
NISSAN MTR ACCEP CORP
ALCAN INC
CSX CORP
CLEAR CHANNEL COMMUNICATIONS
COMCAST CORP NEW
COX COMMUNICATIONS INC NEW

98.83
106.57
109.89
98.23
99.76
99.03
98.89
99.25
99.56
97.77
108.83
98.3
98.13
101.26
101.78
96.64
107.46
119.01
97.98
101.14
110.92
107.86
107.06
107.87
98.23
102.61
103.82
97.56
95.83
95.94
107.48
108.54
99.56
99.3
98.41
100.43
99.57
106.08
108.95
108.8
110.5
106.44
106.76
101.11
100.42
104.16
101.11
105.27
106.3
101.18
101.05
104.6

4.8
7.65
7.875
4.875
5.15
5
4.85
4.85
5.125
4.65
8
4.875
4.75
5.5
5.5
4.55
7.5
10.625
4.875
5.45
7.875
7.3
7
7.125
4.75
6
6
4.5
5.35
4.25
7.125
7.45
5.125
4.85
5.15
5.6
5
6.75
7.625
7.875
8.75
6.75
6.75
5.6
6
6.5
5.625
6.45
6.75
6.25
5.5
6.75

1-Sep-10
15-Sep-10
15-Sep-10
15-Sep-10
15-Sep-10
15-Sep-10
15-Sep-10
22-Sep-10
30-Sep-10
1-Oct-10
1-Oct-10
1-Oct-10
15-Oct-10
15-Oct-10
15-Oct-10
1-Nov-10
1-Nov-10
1-Nov-10
1-Nov-10
15-Nov-10
15-Nov-10
1-Dec-10
1-Dec-10
15-Dec-10
15-Dec-10
15-Dec-10
15-Dec-10
15-Dec-10
5-Jan-11
12-Jan-11
14-Jan-11
15-Jan-11
15-Jan-11
15-Jan-11
15-Jan-11
15-Jan-11
15-Jan-11
30-Jan-11
30-Jan-11
1-Feb-11
2-Feb-11
15-Feb-11
15-Feb-11
15-Feb-11
22-Feb-11
1-Mar-11
14-Mar-11
15-Mar-11
15-Mar-11
15-Mar-11
15-Mar-11
15-Mar-11

5.12%
5.82%
5.15%
5.36%
5.21%
5.27%
5.16%
5.05%
5.24%
5.26%
5.57%
5.34%
5.25%
5.16%
5.02%
5.45%
5.49%
5.50%
5.42%
5.15%
4.99%
5.23%
5.14%
5.08%
5.21%
5.32%
5.00%
5.13%
6.46%
5.29%
5.20%
5.26%
5.24%
5.03%
5.56%
5.49%
5.11%
5.20%
5.34%
5.62%
6.03%
5.13%
5.05%
5.32%
5.89%
5.45%
5.35%
5.14%
5.18%
5.95%
5.24%
5.60%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

KINDER MORGAN ENERGY PARTNERS


COLONIAL RLTY LTD PARTNERSHIP
FEDERATED DEPT STORES INC DEL
KELLOGG CO
KROGER CO
RYDER SYS MTN BE
AOL TIME WARNER INC
ONEOK INC NEW
TRICON GLOBAL RESTAURANTS
VIACOM INC
ANADARKO FIN CO
EXELON CORP
HEALTHCARE RLTY TR
PREMCOR REFNG GROUP INC
RYDER SYS MTN BE
CLEAR CHANNEL COMMUNICATIONS
PUBLIC SERVICE CO OKLA
VIACOM INC
BLACK & DECKER CORP
DTE ENERGY CO
MATTEL INC MTN BE
BOSTON SCIENTIFIC CORP
EXELON GENERATION CO LLC
WHIRLPOOL CORP
TELEFONICA EMISONES SA
SABMILLER PLC
QUEST DIAGNOSTICS INC
ALLIED CAP CORP NEW
BURLINGTON NORTHN SANTA FE CP
EOP OPER LTD PARTNERSHIP
HEINZ H J FIN CO
LAFARGE COPPEE S A
PULTE HOMES INC
CNA FINL CORP
FIDELITY NATL FINL INC
REPUBLIC SVCS INC
CONAGRA FOODS INC
MAY DEPT STORES CO
SARA LEE CORP
DEVON FING CORP U L C
TYSON FOODS INC
TYCO INTL GROUP S A
CONSOLIDATED NAT GAS CO
PPL ENERGY SUPPLY LLC
FIRSTENERGY CORP
COVENTRY HEALTH CARE INC
WELLPOINT HEALTH NETWORK NEW
EOP OPER LTD PARTNERSHIP
TEPPCO PARTNERS L P
CRH AMER INC
CLEAR CHANNEL COMMUNICATIONS
HEINZ H J FIN CO

104.92
97.94
105.47
106.23
105.84
98.64
105.13
106.64
114.09
100.74
106.03
105.83
110.51
103.69
102.41
93.69
97.67
105.21
107.17
106.78
104.6
101.75
106.95
102.89
102.72
104.06
109.69
102.61
107.1
106.81
105.66
102.97
108.88
102.17
104.05
106.39
106.31
108
103.04
107.34
108.8
105.61
103.77
104.64
104.95
99.86
104.87
106.38
108.03
106.4
94.29
102.43

6.75
4.8
6.625
6.6
6.8
5
6.75
7.125
8.875
5.75
6.75
6.75
8.125
6.125
5.95
4.4
4.7
6.625
7.125
7.05
7.3
6
6.95
6.125
5.984
6.2
7.5
6.625
6.75
7
6.625
6.15
7.875
6
7.3
6.75
6.75
7.45
6.25
6.875
8.25
6.375
6.25
6.4
6.45
5.875
6.375
6.75
7.625
6.95
5
6

15-Mar-11
1-Apr-11
1-Apr-11
1-Apr-11
1-Apr-11
1-Apr-11
15-Apr-11
15-Apr-11
15-Apr-11
30-Apr-11
1-May-11
1-May-11
1-May-11
1-May-11
2-May-11
15-May-11
15-May-11
15-May-11
1-Jun-11
1-Jun-11
13-Jun-11
15-Jun-11
15-Jun-11
15-Jun-11
20-Jun-11
1-Jul-11
12-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
15-Jul-11
1-Aug-11
15-Aug-11
15-Aug-11
15-Aug-11
15-Sep-11
15-Sep-11
15-Sep-11
30-Sep-11
1-Oct-11
15-Oct-11
1-Nov-11
1-Nov-11
15-Nov-11
15-Jan-12
15-Jan-12
15-Feb-12
15-Feb-12
15-Mar-12
15-Mar-12
15-Mar-12

5.52%
5.31%
5.28%
5.07%
5.36%
5.33%
5.49%
5.49%
5.41%
5.57%
5.28%
5.33%
5.55%
5.23%
5.36%
5.94%
5.26%
5.36%
5.40%
5.42%
6.18%
5.58%
5.30%
5.43%
5.34%
5.24%
5.23%
6.00%
5.10%
5.40%
5.30%
5.45%
5.79%
5.50%
6.34%
5.28%
5.32%
5.62%
5.55%
5.22%
6.22%
5.12%
5.41%
5.36%
5.35%
5.91%
5.33%
5.39%
5.89%
5.60%
6.23%
5.49%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

JEFFERIES GROUP INC NEW


KINDER MORGAN ENERGY PARTNERS
MARSH & MCLENNAN COS INC
SPRINT CAP CORP
WEYERHAEUSER CO
MEADWESTVACO CORP
PROLOGIS
KROGER CO
UNION PAC CORP
VALERO ENERGY CORP NEW
AOL TIME WARNER INC
STARWOOD HOTELS&RESORTS WRLDWD
ARAMARK CORP
PSEG PWR LLC
KENNAMETAL INC
HEALTH CARE PPTY INVS INC
DOMINION RES INC VA NEW
NEXFOR INC
MAY DEPT STORES CO
CONTINENTAL CORP
PEPCO HOLDINGS INC
VIACOM INC
KINDER MORGAN INC
SAFECO CORP
ALCAN INC
AMERISOURCEBERGEN CORP
CINCINNATI GAS & ELEC CO
MIDAMERICAN ENERGY HLDGS NEW
STANCORP FINL GROUP INC
ASTORIA FINL CORP
DEVELOPERS DIVERSIFIED RLTY CO
PLAINS ALL AMERN PIPELINE L P
INTL PAPER CO
CENDANT CORP
CLEAR CHANNEL COMMUNICATIONS
TIME WARNER COMPANIES INC
USA INTERACTIVE
SEMPRA ENERGY
AEP TEX CENT CO
BERKLEY W R CORP
DUKE CAP CORP
AEP TEX NORTH CO
COX COMMUNICATIONS INC NEW
NATIONAL FUEL GAS CO N J
TXU ENERGY CO LLC
CENTERPOINT ENERGY RESOURCES
RESIDENTIAL CAP CORP
D R HORTON INC
FUND AMERN COS INC
M D C HLDGS INC
EMBARQ CORP
ROYAL CARIBBEAN CRUISES LTD

110.29
106.26
102.65
113.02
105.51
105.65
100.34
105.65
106.35
107.17
105.71
109
88.5
107.03
107.32
104.07
103.86
108.11
111.78
109.71
104.2
100.47
98.52
107
97.28
99.08
101.45
103.01
107.21
101.39
99.52
111.18
102.39
106
96.38
115.84
103.3
102.64
99.82
101.87
102.92
99.86
107.18
97
105.19
111.45
102.29
103
99.08
94.15
103.13
102.5

7.75
7.125
6.25
8.375
6.75
6.85
5.5
6.75
6.5
6.875
6.875
7.875
5
6.95
7.2
6.45
6.25
7.25
8
8.375
6.45
5.625
6.5
7.25
4.875
5.625
5.7
5.875
6.875
5.75
5.375
7.75
5.85
7.375
5.75
9.125
7
6
5.5
5.875
6.25
5.5
7.125
5.25
7
7.875
6.5
6.875
5.875
5.5
6.738
7

15-Mar-12
15-Mar-12
15-Mar-12
15-Mar-12
15-Mar-12
1-Apr-12
1-Apr-12
15-Apr-12
15-Apr-12
15-Apr-12
1-May-12
1-May-12
1-Jun-12
1-Jun-12
15-Jun-12
25-Jun-12
30-Jun-12
1-Jul-12
15-Jul-12
15-Aug-12
15-Aug-12
15-Aug-12
1-Sep-12
1-Sep-12
15-Sep-12
15-Sep-12
15-Sep-12
1-Oct-12
1-Oct-12
15-Oct-12
15-Oct-12
15-Oct-12
30-Oct-12
15-Jan-13
15-Jan-13
15-Jan-13
15-Jan-13
1-Feb-13
15-Feb-13
15-Feb-13
15-Feb-13
1-Mar-13
1-Mar-13
1-Mar-13
15-Mar-13
1-Apr-13
17-Apr-13
1-May-13
15-May-13
15-May-13
1-Jun-13
15-Jun-13

5.58%
5.79%
5.69%
5.62%
5.59%
5.66%
5.43%
5.57%
5.19%
5.39%
5.69%
5.99%
7.48%
5.51%
5.70%
5.62%
5.47%
5.61%
5.63%
6.40%
5.62%
5.53%
6.80%
5.86%
5.41%
5.81%
5.42%
5.29%
5.47%
5.48%
5.47%
5.58%
5.39%
6.22%
6.45%
6.10%
6.36%
5.51%
5.53%
5.53%
5.71%
5.53%
5.79%
5.81%
6.03%
5.77%
6.07%
6.32%
6.04%
6.59%
6.16%
6.54%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

CYTEC INDS INC


HARLEYSVILLE GROUP INC
PACKAGING CORP AMER
TELE COMMUNICATIONS INC
CAROLINA TEL & TELEG CO
PSI ENERGY INC
POTOMAC ELEC PWR CO
TELECOM ITALIA CAP
CONSOLIDATED NAT GAS CO
ROYAL CARIBBEAN CRUISES LTD
COMMERCE GROUP INC MASS
CLEVELAND ELEC ILLUM CO
IMCERA GROUP INC
PLAINS ALL AMERN PIPELINE L P
CENTERPOINT ENERGY RES CORP
COMCAST CORP NEW
EXELON GENERATION CO LLC
MACK-CALI RLTY L P
DUKE CAP CORP
PACIFIC GAS & ELEC CO
CORNING INC
TOLL BROS FIN CORP
METROPOLITAN EDISON CO
GLENCORE FDG LLC
POTOMAC ELEC PWR CO
MAGELLAN MIDSTREAM PRTNRS LP
OHIO CAS CORP
ARIZONA PUB SVC CO
WESTAR ENERGY INC
MARSH & MCLENNAN COS INC
MAYTAG CORP MEDTERM NTS BK ENT
CLEAR CHANNEL COMMUNICATIONS
D R HORTON INC
TELECOM ITALIA CAP
LUBRIZOL CORP
ATMOS ENERGY CORP
INDIANA MICH PWR CO
JONES APPAREL GROUP INC /
CONSOLIDATED NAT GAS CO
COMCAST CORP NEW
ONCOR ELEC DELIVERY CO
APPALACHIAN PWR CO
CENTURYTEL INC
PULTE HOMES INC
ENTERPRISE PRODS OPER LP
INTL PAPER CO
ARCHSTONE-SMITH OPER TR
ODYSSEY RE HLDGS CORP
HEALTH CARE REIT INC
MAYTAG CORP MEDTERM NTS BK ENT
AMERICAN ELEC PWR INC
CENTERPOINT ENERGY INC

92.39
98.25
98.69
111.33
102.5
96.97
97.72
96.36
105.59
101.5
100.29
99.67
106.39
99.53
101.08
97.26
98.57
96.25
98.73
96.38
102.14
90.12
96.25
95.6
95.09
103.26
106.57
99.97
102.94
96.23
102.31
92.88
95
93.18
97.54
94.74
95.95
89.05
95.24
104.78
104.06
95.38
91.87
93.33
93.79
96.22
97.18
95.13
98.86
92
96.81
106.09

4.6
5.75
5.75
7.875
6.75
5
4.95
5.25
6.625
6.875
5.95
5.65
7
5.625
5.95
5.3
5.35
5.125
5.5
4.8
5.9
4.95
4.875
6
4.65
6.45
7.3
5.8
6
5.375
6.45
5.5
5.625
4.95
5.5
4.95
5.05
5.125
5
6.5
6.375
4.95
5
5.2
5
5.3
5.25
6.875
5.875
5
5.25
6.85

1-Jul-13
15-Jul-13
1-Aug-13
1-Aug-13
15-Aug-13
15-Sep-13
15-Nov-13
15-Nov-13
1-Dec-13
1-Dec-13
9-Dec-13
15-Dec-13
15-Dec-13
15-Dec-13
15-Jan-14
15-Jan-14
15-Jan-14
15-Feb-14
1-Mar-14
1-Mar-14
15-Mar-14
15-Mar-14
1-Apr-14
15-Apr-14
15-Apr-14
1-Jun-14
15-Jun-14
30-Jun-14
1-Jul-14
15-Jul-14
15-Aug-14
15-Sep-14
15-Sep-14
30-Sep-14
1-Oct-14
15-Oct-14
15-Nov-14
15-Nov-14
1-Dec-14
15-Jan-15
15-Jan-15
1-Feb-15
15-Feb-15
15-Feb-15
1-Mar-15
1-Apr-15
1-May-15
1-May-15
15-May-15
15-May-15
1-Jun-15
1-Jun-15

5.97%
6.06%
5.98%
5.87%
6.30%
5.52%
5.33%
5.87%
5.68%
6.61%
5.90%
5.70%
5.91%
5.70%
5.77%
5.76%
5.59%
5.75%
5.71%
5.39%
5.55%
6.63%
5.48%
6.74%
5.44%
5.92%
6.23%
5.80%
5.53%
5.98%
6.08%
6.65%
6.43%
6.02%
5.88%
5.77%
5.67%
6.89%
5.73%
5.77%
5.76%
5.65%
6.25%
6.22%
5.94%
5.86%
5.66%
7.65%
6.04%
6.20%
5.72%
5.95%

Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

HARRAHS OPER INC


CENTEX CORP
CONSTELLATION ENERGY GROUP INC
EXELON CORP
ONEOK INC NEW
COX COMMUNICATIONS INC NEW
TELECOM ITALIA CAP
NEWS AMER HLDGS INC
EQUITY ONE
PENNEY JC INC MTN BE
COMCAST CORP NEW
HARRAHS OPER INC
ROYAL CARIBBEAN CRUISES LTD
WHIRLPOOL CORP
PENNEY J C INC

95.25
93.66
92.05
94.74
95.6
95.96
94.47
112.59
95.92
106.33
99.4
100.5
102.12
102.83
113.86

5.625
5.25
4.55
4.9
5.2
5.5
5.25
7.6
5.375
6.875
5.85
6.5
7.25
6.5
7.65

1-Jun-15
15-Jun-15
15-Jun-15
15-Jun-15
15-Jun-15
1-Oct-15
1-Oct-15
11-Oct-15
15-Oct-15
15-Oct-15
15-Nov-15
1-Jun-16
15-Jun-16
15-Jun-16
15-Aug-16

6.34%
6.19%
5.71%
5.66%
5.84%
6.08%
6.05%
5.81%
5.96%
5.97%
5.93%
6.43%
6.95%
6.11%
5.80%

ITH MATURITY 0.5 - 10 YEARS

Fitch
rating
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

Callable
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

Years to
maturity
0.59 <-- =(E4-DATE(2006,8,11))/365
0.59
0.59
0.64
0.64
0.68
0.68
7%
0.72
0.72
0.72
6%
0.72
0.72
0.72
5%
0.73
0.76
0.81
4%
0.84
0.84
0.84
3%
0.89
0.97
2%
1.01
1.01
1.01
1%
1.01
0
1
2
1.01
1.01
1.06
1.10
1.10
1.14
1.14
1.18
1.18
1.18
1.18
1.18
1.22
1.26
1.26
1.26
1.26
1.26
1.27
1.27

BBB Bond Yields, 11Aug06

Yield

Current
yield
2.742
9.427
5.984
6.204
7.371
6.334
5.917
6.009
6.811
8.508
8.056
7.16
5.52
7.494
7.163
7.241
6.567
6.901
5.513
5.389
4.928
4.92
6.882
7.001
4.572
6.547
7.832
6.726
6.827
5.496
4.339
6.879
7.322
3.994
6.084
6.787
5.529
3.875
6.532
7.412
6.305
6.63
6.308
5.298
6.236

y = 0.0001x

5
Maturity

3.879
7.419
6.863
6.316
6.513
6.397
6.261
6.127
4.606
5.86
7.163
7.077
6.19
6.4
6.227
9.069
4.117
6.519
6.647
7.278
3.649
8.002
8.558
6.733
6.181
4.488
7.117
6.522
5.195
6.419
6.066
7.156
6.804
3.645
9.077
5.564
3.564
6.1
6.492
6.626
5.752
3.362
3.084
5.993
7.251
6.806
6.198
4.27
6.958
8.305
6.897
5.653

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

1.30
1.31
1.35
1.35
1.35
1.41
1.43
1.43
1.43
1.43
1.43
1.48
1.48
1.48
1.52
1.52
1.52
1.52
1.52
1.52
1.52
1.52
1.52
1.56
1.56
1.56
1.56
1.59
1.64
1.64
1.64
1.68
1.68
1.76
1.76
1.76
1.76
1.76
1.80
1.81
1.81
1.81
1.85
1.86
1.89
1.98
1.98
2.01
2.01
2.06
2.06
2.14

3.928
3.947
5.441
5.633
6.85
3.958
6.991
7.535
5.798
6.869
5.776
5.517
6.001
5.935
4.059
6.251
5.508
5.752
5.599
6.359
4.073
4.582
5
6.511
6.409
7.512
4.197
4.797
6.562
7.193
4.377
5.987
5.913
7.455
6.837
3.843
5.942
6.505
6.745
6.38
6.886
7.233
6.51
6.447
6.843
6.132
4.347
4.758
8.11
6.736
6.252
6.192

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

2.14
2.14
2.16
2.18
2.18
2.18
2.19
2.23
2.23
2.23
2.23
2.24
2.27
2.27
2.27
2.27
2.31
2.31
2.33
2.35
2.35
2.37
2.43
2.43
2.43
2.48
2.52
2.52
2.54
2.56
2.56
2.56
2.59
2.59
2.59
2.64
2.64
2.64
2.68
2.68
2.68
2.68
2.72
2.72
2.72
2.72
2.76
2.76
2.81
2.85
2.85
2.85

7.532
4.811
6.53
4.911
7.311
6.948
6.994
6.725
6.925
7.919
5.102
4.334
4.634
5.694
4.707
4.151
4.706
4.151
4.803
7.355
7.4
4.892
7.106
4.607
7.328
7.271
4.707
5.313
4.543
4.785
6.225
4.94
4.138
7.485
5.085
4.151
7.686
4.165
7.473
5.004
3.798
7.379
4.541
7.914
5.465
5.151
7.366
6.824
7.165
5.039
7.187
5.019

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

2.93
2.93
2.93
2.93
3.01
3.10
3.14
3.18
3.23
3.31
3.35
3.35
3.43
3.43
3.43
3.43
3.43
3.43
3.48
3.48
3.48
3.48
3.52
3.52
3.56
3.56
3.58
3.59
3.59
3.59
3.59
3.59
3.64
3.64
3.68
3.72
3.76
3.76
3.76
3.81
3.81
3.85
3.85
3.85
3.89
3.93
3.98
3.98
3.98
4.01
4.02
4.02

4.857
7.178
7.166
4.963
5.162
5.049
4.905
4.886
5.148
4.756
7.351
4.959
4.84
5.432
5.404
4.708
6.979
8.928
4.976
5.389
7.1
6.768
6.538
6.605
4.836
5.848
5.779
4.612
5.583
4.43
6.629
6.864
5.148
4.884
5.233
5.576
5.022
6.363
6.998
7.238
7.919
6.342
6.322
5.538
5.975
6.24
5.563
6.127
6.35
6.177
5.443
6.453

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

4.06
4.10
4.10
4.10
4.10
4.10
4.10
4.12
4.14
4.14
4.14
4.14
4.18
4.18
4.18
4.23
4.23
4.23
4.23
4.27
4.27
4.31
4.31
4.35
4.35
4.35
4.35
4.35
4.41
4.42
4.43
4.43
4.43
4.43
4.43
4.43
4.43
4.47
4.47
4.48
4.48
4.52
4.52
4.52
4.54
4.56
4.59
4.59
4.59
4.59
4.59
4.59

6.433
4.901
6.282
6.213
6.425
5.069
6.421
6.681
7.779
5.708
6.366
6.378
7.352
5.907
5.81
4.696
4.812
6.297
6.648
6.603
6.979
5.897
6.498
5.953
5.825
5.958
6.837
6.457
6.303
6.554
6.27
5.973
7.233
5.872
7.016
6.345
6.349
6.898
6.066
6.405
7.583
6.036
6.023
6.116
6.146
5.884
6.079
6.345
7.058
6.532
5.303
5.858

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

4.59
4.64
4.64
4.64
4.64
4.64
4.68
4.68
4.68
4.72
4.72
4.72
4.72
4.72
4.73
4.76
4.76
4.76
4.81
4.81
4.84
4.85
4.85
4.85
4.86
4.89
4.92
4.93
4.93
4.93
4.93
4.93
4.98
5.01
5.01
5.01
5.10
5.10
5.10
5.14
5.14
5.18
5.23
5.23
5.27
5.43
5.43
5.52
5.52
5.60
5.60
5.60

7.027
6.705
6.088
7.41
6.397
6.483
5.481
6.389
6.112
6.415
6.504
7.225
5.65
6.493
6.709
6.198
6.018
6.706
7.157
7.634
6.19
5.599
6.598
6.776
5.012
5.677
5.619
5.703
6.413
5.671
5.401
6.97
5.713
6.958
5.966
7.877
6.777
5.846
5.51
5.767
6.073
5.508
6.648
5.412
6.654
7.066
6.354
6.675
5.93
5.841
6.533
6.829

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

5.60
5.60
5.60
5.60
5.60
5.64
5.64
5.68
5.68
5.68
5.73
5.73
5.81
5.81
5.85
5.88
5.89
5.89
5.93
6.02
6.02
6.02
6.06
6.06
6.10
6.10
6.10
6.15
6.15
6.18
6.18
6.18
6.22
6.44
6.44
6.44
6.44
6.48
6.52
6.52
6.52
6.56
6.56
6.56
6.60
6.64
6.69
6.73
6.76
6.76
6.81
6.85

4.979
5.852
5.827
7.074
6.585
5.156
5.066
5.449
6.274
6.773
5.933
5.668
6.58
5.652
5.887
5.449
5.428
5.324
5.571
4.98
5.776
5.493
5.065
6.276
4.89
6.246
6.85
5.802
5.829
5.585
6.304
5.922
5.921
5.312
5.639
5.225
5.263
5.755
5.25
6.203
6.126
5.19
5.443
5.571
5.331
5.508
5.402
7.227
5.942
5.435
5.423
6.457

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

6.89
6.93
6.98
6.98
7.02
7.10
7.27
7.27
7.31
7.31
7.33
7.35
7.35
7.35
7.44
7.44
7.44
7.52
7.56
7.56
7.60
7.60
7.64
7.68
7.68
7.81
7.85
7.89
7.89
7.93
8.02
8.10
8.10
8.14
8.15
8.18
8.27
8.27
8.31
8.44
8.44
8.48
8.52
8.52
8.56
8.64
8.73
8.73
8.76
8.76
8.81
8.81

5.906
5.606
4.943
5.172
5.439
5.732
5.557
6.75
5.604
6.466
5.886
6.468
7.099
6.321
6.719

BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB
BBB

No
No
No
No
No
No
No
No
No
No
No
No
No
No
No

8.81
8.85
8.85
8.85
8.85
9.15
9.15
9.17
9.18
9.18
9.27
9.81
9.85
9.85
10.02

Bond Yields, 11Aug06

y = 0.0001x3 - 0.0023x2 + 0.0152x + 0.0221


R = 0.8479

6
Maturity

10

11

COMPUTING KRAFT'S rD FROM A YIELD CURVE


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

YTM=0.0001*time3-0.0023*time2+0.0152*time+0.0221
Average time to maturity (years)
Yield

5
5.31% <-- =0.0001*B2^3-0.0023*B2^2+0.0152*B2+0.0221

Sensitivity analysis
Years to maturity
3
4
5
6
7
8
9
10
11

4.97%
5.25%
5.31%
5.21%
5.01%
4.77%
4.55%
4.41%
4.41%

Average time to maturity (years)


Yield
Sensitivity analysis
Years to maturity
3
4
5
6
7
8
9
10
11

<-- =B3 , table header

1
0.03444

<-- =B19 , table header


4.97%
5.25%
5.31%
5.21%
5.01%
4.77%
4.55%
4.41%
4.41%

KRAFT: COST OF EQUITY rE BASED ON DIVIDENDS


1
2 Stock price, end 2005
27.75
3 Current dividend, D0
0.92 <-- =B25*4
Gordon
cost
of
equity,
r
4
E
5
Using growth rate Dec01-Dec05
19.15% <-- =B3*(1+B29)/B2+B29
6
7

Using growth rate Dec03-Dec05

8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

Date
20-Dec-01
13-Mar-02
26-Jun-02
12-Sep-02
19-Dec-02
12-Mar-03
25-Jun-03
11-Sep-03
18-Dec-03
11-Mar-04
23-Jun-04
10-Sep-04
20-Dec-04
11-Mar-05
24-Jun-05
2-Sep-05
22-Dec-05

16.79% <-- =B3*(1+B32)/B2+B32


Dividends
per share
0.130
0.130
0.130
0.150
0.150
0.150
0.150
0.180
0.180
0.180
0.180
0.205
0.205
0.205
0.205
0.230
0.230

Computing the growth rate of dividends


Quarterly growth, Dec01-Dec05
Annualized

3.63% <-- =(B25/B9)^(1/16)-1


15.33% <-- =(1+B28)^4-1

Quarterly growth, Dec03-Dec05


Annualized

3.11% <-- =(B25/B17)^(1/8)-1


13.04% <-- =(1+B31)^4-1

A
1
2
3
4
5
6
7
8
9
10

KRAFT: COST OF EQUITY rE BASED ON CASH FLOW TO EQUITY


Shares outstanding
Share price, end 2005
Equity value, E
End 2005 total equity payout
High growth rate, ghigh
Number of high-growth years
Normal growth rate, gnormal

Cost of equity, rE, using the


11 function twostagegordon
12

1,669,880,755
27.75
46,339,190,951 <-- =B2*B3
2,612,000,000 <-- =E18
20.00% <-- Guess
3 <-- Guess
6% <-- Guess

14.46% <-- =twostagegordon(B4,B5,B7,B8,B9)

Stock
Dividends paid
13
Date
repurchases
14
31-Dec-01
170,000,000
225,000,000
15
31-Dec-02
372,000,000
936,000,000
16
31-Dec-03
372,000,000
1,089,000,000
17
31-Dec-04
688,000,000
1,280,000,000
18
31-Dec-05
1,175,000,000
1,437,000,000
19
Growth rates
20
Four year
62.14%
58.97%
21
Two year
77.72%
14.87%
22
23
24
25
26 Note: "Stock issuance" is net proceeds from Class A common stock

Stock issuance
8,425,000,000

ON CASH1 FLOW TO EQUITY


2
3
4
5
6
7
8
9
10

n(B4,B5,B7,B8,B9)
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26

Cash flow to
equity holders
395,000,000 <-- =B14+C14-D14
-7,117,000,000 <-- =B15+C15-D15
1,461,000,000
1,968,000,000
2,612,000,000
60.36% <-- =(E18/E14)^(1/4)-1
33.71% <-- =(E18/E16)^(1/2)-1

1
2
3
4
5
6
7
8
9

COMPUTING THE COST OF EQUITY rE FOR KRAFT USING THE


MARKET PRICE/EARNINGS MULTIPLE TO COMPUTE E(rM)
Market price/earnings multiple, December 2005
Equity cash flow payout ratio
Anticipated growth of equity cash flow
Expected market return, E(rM)

18
50.00%
6.00%
8.94%

Kraft cost of equity calculations


Kraft beta
Kraft tax rate, TC

0.4700
29.37%

10 Risk free rate, rf


4.93%
Kraft
cost
of
equity,
r
11
E,Kraft
12
Classic CAPM
6.82%
13
Tax-adjusted CAPM
6.05%
14
15 Note: Price/Earnings ratio for S&P 500 from http://www.bullandbearwise.com

EQUITY rE FOR KRAFT USING THE


GS MULTIPLE
TO COMPUTE E(rM)
1
2
3
4
5 <-- =B3*(1+B4)/B2+B4
6
7
8 <-- From Yahoo
9 <-- Computed from Kraft financials
10

11
12 <-- =B10+B8*(B5-B10)
13 <-- =B10*(1-B9)+B8*(B5-B10*(1-B9))
14
://www.bullandbearwise.com
15

A
1
2
3
4
5
6
7
8

COMPUTING THE WACC FOR KRAFT


Shares outstanding
Share price, end 2005
Equity value, E
Net debt, D

1,669,880,755
27.75
46,339,190,951
10,884,000,000

WACC based on Gordon per-share dividends and interest from financial statements
Cost of equity, rE
16.79%

9 Cost of debt, rD
5.50%
10 Tax rate, TC
29.37%
11 WACC
14.33%
12
13 WACC based on Gordon equity payouts and interest from financial statements
14 Cost of equity, rE
14.46%
15 Cost of debt, rD
5.50%
16
17
18
19
20

Tax rate, TC
WACC

29.37%
12.45%

WACC based on classic CAPM and interest from financial statements


Cost of equity, rE
6.82%

21 Cost of debt, rD
5.50%
22 Tax rate, TC
29.37%
23 WACC
6.26%
24
25 WACC based on tax-adjusted CAPM and interest from financial statements
26 Cost of equity, rE
6.05%
27 Cost of debt, rD
5.50%
28 Tax rate, TC
29 WACC

29.37%
5.64%

COMPUTING
1
THE WACC FOR KRAFT

2
3
4
5
6
hare dividends7 and interest from financial statements
8 <-- ='Page 71'!B6
9 <-- ='Page 67'!B13

10 <-- ='Kraft 10K, 2005'!B160


11 <-- =$B$4/($B$4+$B$5)*B8+$B$5/($B$4+$B$5)*B9*(1-$B$10)
12
y payouts and13
interest from financial statements
14 <-- ='Page 72, top'!B11
15 <-- ='Page 67'!B13
16 <-- ='Kraft 10K, 2005'!B160
17 <-- =$B$4/($B$4+$B$5)*B14+$B$5/($B$4+$B$5)*B15*(1-$B$10)
18
and interest 19
from financial statements
20 <-- ='Page 72, bottom'!B12
21 <-- ='Page 67'!B13

22 <-- ='Kraft 10K, 2005'!B160


23 <-- =$B$4/($B$4+$B$5)*B20+$B$5/($B$4+$B$5)*B21*(1-$B$10)
24
CAPM and interest
25 from financial statements
26 <-- ='Page 72, bottom'!B13
27 <-- ='Page 67'!B13
28 <-- ='Kraft 10K, 2005'!B160
29 <-- =$B$4/($B$4+$B$5)*B26+$B$5/($B$4+$B$5)*B27*(1-$B$10)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

TYSON: COST OF EQUITY rE BASED


ON DIVIDENDS
Stock price, 11Aug06
Current dividend, D0
Dividend growth rate
Gordon cost of equity, rE

Date
29-Aug-01
28-Nov-01
27-Feb-02
29-May-02
28-Aug-02
26-Nov-02
26-Feb-03
28-May-03
27-Aug-03
26-Nov-03
26-Feb-04
27-May-04
30-Aug-04
29-Nov-04
25-Feb-05
30-Aug-05
27-Feb-06
30-May-06

13.45
0.16 <-- =B25*4
0%
1.19% <-- =B3*(1+B4)/B2+B4
Dividends
per share
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04
0.04

A
1
2
3
4
5
6
7
8
9
10

TYSON: COST OF EQUITY rE BASED ON CASH FLOW TO EQUITY


Shares outstanding
Share price, 11Aug06
Equity value, E
Current (Aug06) total equity payout
High growth rate, ghigh
Number of high-growth years
Normal growth rate, gnormal

Cost of equity, rE, using the function


11 twostagegordon
12
13
14
15
16
17
18
19
20
21

Date
2001
2002
2003
2004
2005
Growth rates
Four year
Two year

354,820,000
13.45
4,772,329,000 <-- =B2*B3
81,631,562 <-- =E18*(1+B7)^0.75
10.00% <-- Guess
3 <-- Guess
2% <-- Guess

4.18% <-- =twostagegordon(B4,B5,B7,B8,B9)


Stock
Dividends paid
repurchases
48,000,000
35,000,000
19,000,000
58,000,000
41,000,000
54,000,000
72,000,000
55,000,000
45,000,000
55,000,000
-1.60%
4.76%

11.96%
0.92%

Stock issuance
34,000,000
0
0
43,000,000
24,000,000

ON CASH 1FLOW TO EQUITY


2
3
4
5
6
7
8
9
10

n(B4,B5,B7,B8,B9)
11
12
13
14
15
16
17
18
19
20
21

Cash flow to
equity holders
49,000,000 <-- =B14+C14-D14
77,000,000 <-- =B15+C15-D15
95,000,000
84,000,000
76,000,000
11.60% <-- =(E18/E14)^(1/4)-1
-10.56% <-- =(E18/E16)^(1/2)-1

1
2
3
4
5
6
7
8
9

COMPUTING THE COST OF EQUITY rE FOR TYSON USING THE


MARKET PRICE/EARNINGS MULTIPLE TO COMPUTE E(rM)
Market price/earnings multiple, August 2006
Equity cash flow payout ratio
Anticipated growth of equity cash flow
Expected market return, E(rM)

17
50.00%
6.00%
9.12%

Tyson cost of equity calculations


Tyson beta
Tyson tax rate, TC

0.20
29.55%

10 Risk free rate, rf


4.93%
Tyson
cost
of
equity,
r
11
E,Kraft
12
Classic CAPM
5.77%
13
Tax-adjusted CAPM
4.60%
14
15 Note: Price/Earnings ratio for S&P 500 from http://www.bullandbearwise.com

EQUITY rE FOR TYSON USING THE


GS MULTIPLE
TO COMPUTE E(rM)
1
2
3
4
5 <-- =B3*(1+B4)/B2+B4
6
7
8 <-- From Yahoo
9 <-- Computed from Tyson financials
10

11
12 <-- =B10+B8*(B5-B10)
13 <-- =B10*(1-B9)+B8*(B5-B10*(1-B9))
14
://www.bullandbearwise.com
15

A
1
2
3
4
5
6
7
8
9
10

COMPUTING THE COST OF DEBT FOR TYSON


Cash and cash equivalents
Current debt
Long term debt
Net debt
Interest paid
Interest cost

2005
40,000,000
126,000,000
2,869,000,000
2,955,000,000

2004
33,000,000
338,000,000
3,024,000,000
3,329,000,000 <-- =C5+C4-C3

227,000,000
7.22% <-- =B8/AVERAGE(B6:C6)

A
1
2
3
4
5
6
7
8

COMPUTING THE WACC FOR TYSON


Shares outstanding
Share price, end 2005
Equity value, E
Net debt, D

354,820,000
13.45
4,772,329,000
2,955,000,000

WACC based on Gordon per-share dividends and interest from financial statements
Cost of equity, rE
1.19%

9 Cost of debt, rD
7.22%
10 Tax rate, TC
29.55%
11 WACC
2.68%
12
13 WACC based on Gordon equity payouts and interest from financial statements
14 Cost of equity, rE
4.18%
15 Cost of debt, rD
7.22%
16
17
18
19
20

Tax rate, TC
WACC

29.55%
4.53%

WACC based on classic CAPM and interest from financial statements


Cost of equity, rE
5.77%

21 Cost of debt, rD
7.22%
22 Tax rate, TC
29.55%
23 WACC
5.51%
24
25 WACC based on tax-adjusted CAPM and interest from financial statements
26 Cost of equity, rE
4.60%
27 Cost of debt, rD
7.22%
28 Tax rate, TC
29 WACC
30
31 Estimated WACC?

29.55%
4.79%
4.94%

COMPUTING
1
THE WACC FOR TYSON

2
3
4
5
6
hare dividends7 and interest from financial statements
8 <-- ='Page 74'!B5
9 <-- ='Page 76, bottom'!B10

10 <-- ='Tyson income statement'!B31


11 <-- =$B$4/($B$4+$B$5)*B8+$B$5/($B$4+$B$5)*B9*(1-$B$10)
12
y payouts and13
interest from financial statements
14 <-- ='Page 75'!B11
15 <-- ='Page 76, bottom'!B10
16 <-- ='Tyson income statement'!B31
17 <-- =$B$4/($B$4+$B$5)*B14+$B$5/($B$4+$B$5)*B15*(1-$B$10)
18
and interest 19
from financial statements
20 <-- ='Page 76, top'!B12
21 <-- ='Page 76, bottom'!B10

22 <-- ='Tyson income statement'!B31


23 <-- =$B$4/($B$4+$B$5)*B20+$B$5/($B$4+$B$5)*B21*(1-$B$10)
24
CAPM and interest
25 from financial statements
26 <-- ='Page 76, top'!B13
27 <-- ='Page 76, bottom'!B10
28 <-- ='Tyson income statement'!B31
29 <-- =$B$4/($B$4+$B$5)*B26+$B$5/($B$4+$B$5)*B27*(1-$B$10)
30
31 <-- =AVERAGE(B29,B23,B17)

CASCADE: COST OF EQUITY rE BASED ON DIVIDENDS


Dividend growth
1
2 Share price, 31jan06
3 Current dividend, D0
4 Gordon cost of equity, rE
5
Using growth since 16-Feb-99
6
Using growth since 02-Jan-04
7
Using growth since 29-Dec-04
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39

rate computed on daily basis

Date
16-Feb-99
18-May-99
17-Aug-99
1-Dec-99
22-Feb-00
16-May-00
24-Aug-00
29-Nov-02
26-Mar-03
25-Jun-03
18-Sep-03
2-Jan-04
29-Mar-04
23-Jun-04
20-Sep-04
29-Dec-04
28-Mar-05
1-Jul-05
4-Oct-05
3-Jan-06

50.69
0.60 <-- =B29*4
7.32% <-- =B3*(1+B33)/B2+B33
18.11% <-- =B3*(1+B36)/B2+B36
26.10% <-- =B3*(1+B39)/B2+B39
Dividends
per share
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.11
0.11
0.11
0.11
0.12
0.12
0.12
0.15
0.15

Days between
dividend payments
91
91
106
83
84
100
827
117
91
85
106
87
86
89
100
89
95
95
91

<-- =A11-A10
<-- =A12-A11

Computing the growth rate of dividends


Daily growth, 16-Feb-99 - 03-Jan-06
Annualized

0.0161% <-- =(B29/B10)^(1/(A29-A10))-1


6.07% <-- =(1+B32)^365-1

Daily growth, 02-Jan-04 - 03-Jan-06


Annualized

0.0424% <-- =(B29/B21)^(1/(A29-A21))-1


16.73% <-- =(1+B35)^365-1

Daily growth, 29-Dec-04 - 03-Jan-06


Annualized

0.060% <-- =(B29/B25)^(1/(A29-A25))-1


24.62% <-- =(1+B38)^365-1

A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17

CASCADE: COST OF EQUITY rE BASED ON CASH FLOW TO EQUITY


Shares outstanding
Share price, 31jan06
Equity value, E
2005 total equity payout
Growth rate of payouts
Cost of equity, rE

Date
1/31/2001
1/31/2002
1/31/2003
1/31/2004
1/31/2005
1/31/2006

12,536,000
50.69
635,449,840
3,904,000
9.78%
10.46%

Stock
repurchases
0
1,354,000
1,396,000
0

<-<-<-<--

=B2*B3
=E16
=E17
=B5*(1+B6)/B4+B6

Dividends paid
2,448,000
0
1,200,000
4,936,000
5,478,000
6,691,000

Stock issuance

73,000
1,299,000
1,616,000
2,787,000
Growth rate

ED ON CASH
FLOW TO EQUITY
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17

Cash flow to
equity holders
2,448,000
1,354,000
2,523,000
3,637,000
3,862,000
3,904,000
9.78% <-- =(E16/E11)^(1/5)-1

1
2
3
4
5
6
7
8
9

COMPUTING THE COST OF EQUITY rE FOR CASCADE USING THE


MARKET PRICE/EARNINGS MULTIPLE TO COMPUTE E(rM)
Market price/earnings multiple, December 2005
Equity cash flow payout ratio
Anticipated growth of equity cash flow
Expected market return, E(rM)

18
50.00%
6.00%
8.94% <-- =B3*(1+B4)/B2+B4

Cascade cost of equity calculations


Cascade beta
Cascade tax rate, TC

1.65 <-- From Yahoo


32.42% <-- Computed from Cascade financials

10 Risk free rate, rf


4.93%
11 Cascade cost of equity, rE,Cascade
12
Classic CAPM
11.55% <-- =B10+B8*(B5-B10)
13
Tax-adjusted CAPM
12.59% <-- =B10*(1-B9)+B8*(B5-B10*(1-B9))
14
15 Note: Price/Earnings ratio for S&P 500 from http://www.bullandbearwise.com

A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

COMPUTING THE COST OF DEBT rD FOR CASCADE


Cash and cash equivalents
Marketable securities

Notes payable to banks


Current portion of long-term debt
Long-term debt, net of current portion
Total debt
Interest expense
Interest income
Interest cost
Interest income
Debt net of cash
Debt net of cash and marketable securities

2006/01/31
35,493,000
23,004,000

2005/01/31
30,482,000
1,503,000

4,741,000
12,681,000
12,500,000
29,922,000

2,461,000
12,916,000
25,187,000
40,564,000

2,741,000
979,000

3,570,000
562,000

7.78% <-- =B12/AVERAGE(B10:C10)


2.97% <-- =B13/AVERAGE(B3:C3)
-5,571,000
-28,575,000

10,082,000
8,579,000

T rD FOR 1CASCADE
2
3
4
5
6
7
8
9
10
11
12
13
14
=B12/AVERAGE(B10:C10)
15
=B13/AVERAGE(B3:C3)
16
17
18 <-- =C10-C3
19

1
2
3
4
5
6
7
8

COMPUTING THE WACC FOR CASCADE


The company has negative leverage
Shares outstanding
Share price, end 2005
Equity value, E
Net debt, D

12,536,000
50.69
635,449,840
-28,575,000

WACC based on Gordon per-share dividends and interest from financial statements
Cost of equity, rE
18.11%

9 Cost of debt, rD
7.78%
10 Tax rate, TC
32.42%
11 WACC
18.71%
12
13 WACC based on Gordon equity payouts and interest from financial statements
14 Cost of equity, rE
10.46%
15 Cost of debt, rD
7.78%
16
17
18
19
20

Tax rate, TC
WACC

32.42%
10.70%

WACC based on classic CAPM and interest from financial statements


Cost of equity, rE
11.55%

21 Cost of debt, rD
7.78%
22 Tax rate, TC
32.42%
23 WACC
11.85%
24
25 WACC based on tax-adjusted CAPM and interest from financial statements
26 Cost of equity, rE
12.59%
27 Cost of debt, rD
7.78%
28 Tax rate, TC
29 WACC
30
31 Estimated WACC?

32.42%
12.94%
11.83%

MPUTING THE WACC FOR CASCADE


The company
has negative leverage
1

2 <-- ='Page 79, top'!B2


3 <-- ='Page 78'!B2
4 <-- =B2*B3
5 <-- ='Page 80'!B19
6
hare dividends7 and interest from financial statements
8 <-- ='Page 78'!B6
9 <-- ='Page 80'!B15

10 <-- ='Page 79, bottom'!B9


11 <-- =$B$4/($B$4+$B$5)*B8+$B$5/($B$4+$B$5)*B9*(1-B10)
12
y payouts and13
interest from financial statements
14 <-- ='Page 79, top'!B7
15 <-- ='Page 80'!B15
16 <-- ='Page 79, bottom'!B9
17 <-- =$B$4/($B$4+$B$5)*B14+$B$5/($B$4+$B$5)*B15*(1-B16)
18
and interest 19
from financial statements
20
21

22
23 <-- =$B$4/($B$4+$B$5)*B20+$B$5/($B$4+$B$5)*B21*(1-B22)
24
CAPM and interest
25 from financial statements
26
27
28
29 <-- =$B$4/($B$4+$B$5)*B26+$B$5/($B$4+$B$5)*B27*(1-B28)
30
31 <-- =AVERAGE(B29,B23,B17)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

FORD MOTOR CO. DIVIDEND HISTORY


1989-1998
Year
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
Growth rate, 1989-1997
Growth rate, 1989-1998

Dividend
3.00
3.00
1.95
1.60
1.60
1.33
1.23
1.46
1.64
22.81
-7.27% <-- =(B11/B3)^(1/8)-1
25.28% <-- =(B12/B3)^(1/9)-1

FORD'S DIVIDENDS EXCLUDING THE 1998 $21.09 DIVIDEND


Year
Dividend
1989
3.00
1990
3.00
1991
1.95
1992
1.60
1993
1.60
1994
1.33
1995
1.23
1996
1.46
1997
1.64
1998
1.72
Growth rate, 1994-1998
6.64% <-- =(B28/B24)^(1/4)-1
Ford's stock price, end-1998
58.69
Gordon cost of equity
9.77% <-- =B28*(1+B29)/B30+B29

Big City

1
COMPUTING THE BETA FOR BIG CITY BAGELS
2
S&P 500 Index
Big City Bagels (BIGC)
3
Date
price
Date
price
4
May-96
669.12
May-96
46.25
5
Jun-96
670.63
0.23%
Jun-96
38.75 -17.69%
10
Nov-96
757.02
7.08%
Nov-96
16.25 -73.09%
11
Dec-96
740.74
-2.17%
Dec-96
13.13 -21.36%
12
Jan-97
786.16
5.95%
Jan-97
17.50
Regressing Big City Bagel on the
S&P28.77%
500
13
Feb-97
790.82
0.59%
Feb-97
22.50
25.13%
Monthly data, May 1996 - March 1999
14
Mar-97
757.12
-4.35%
Mar-97
25.63
13.01%
15
Apr-97
801.34
5.68%
Apr-97
30.00
15.76%
100%
16
May-97
848.28
5.69%
May-97
25.00 -18.23%
17
Jun-97
885.14 85%
4.25%
Jun-97
24.38
-2.53%
18
Jul-97
954.31
7.52%
Jul-97
26.25
7.41%
70%
19
Aug-97
899.47
-5.92%
Aug-97
20.94 -22.61%
20
Sep-97
947.28 55%
5.18%
Sep-97
22.50
7.20%
21
Oct-97
914.62
-3.51%
Oct-97
10.16 -79.54%
22
Nov-97
955.4 40%
4.36%
Nov-97
12.50
20.76%
23
Dec-97
970.43 25%
1.56%
Dec-97
6.41 -66.85%
24
Jan-98
980.28
1.01%
Jan-98
5.94
-7.60%
25
Feb-98
1049.34 10%
6.81%
Feb-98
4.38 -30.54%
26
Mar-98
1101.75 -5%
4.87%
Mar-98
4.38
0.00%
-5%
-4%
-3% 1111.75
-2%
-1% 0.90%
0%
1%
2%
3%
4%
5%
6%
7%
27
Apr-98
Apr-98
2.19
-69.31%
28
May-98
1090.82 -20%
-1.90%
May-98
2.03
-7.41%
y = 0.3241x - 0.1308
29
Jun-98
1133.84
3.87%
Jun-98
1.00 -70.86%
R = 0.0016
-35%
30
Jul-98
1120.67
-1.17%
Jul-98
1.00
0.00%
31
Aug-98
957.28 -50%
-15.76%
Aug-98
0.63 -47.00%
32
Sep-98
1017.01
6.05%
Sep-98
0.38 -51.08%
33
Oct-98
1098.67 -65%
7.72%
Oct-98
0.25 -40.55%
34
Nov-98
1163.63 -80%
5.74%
Nov-98
0.38
40.55%
35
Dec-98
1229.23
5.48%
Dec-98
0.25 -40.55%
36
Jan-99
1279.64
4.02%
Jan-99
0.38
40.55%
37
Feb-99
1238.33
-3.28%
Feb-99
1.06 104.15%
38
Mar-99
1286.37
3.81%
Mar-99
0.97
-9.23%
39 Return sigma (monthly)
4.98%
39.09%
40 Return sigma (annual)
17.27%
135.41%
41
42 Big City's beta
-0.0542 <-- =SLOPE(G5:G38,C5:C38)
43
-0.1127 <-- =INTERCEPT(G5:G38,C5:C38)
44
0.0000 <-- =RSQ(G5:G38,C5:C38)
45
46
-1.5410 <-- =tintercept(G5:G38,C5:C38)
47
-0.0391 <-- =tslope(G5:G38,C5:C38)

ITY BAGELS
1

he S&P

2
3
4
5 <-- =LN(F5/F4)
10
11
12
500
13
14
15
16
17
18
19
20
21
22
23
24
25
26
7%
8%
27
28
S&P
29
30
31
32
33
34
35
36
37
38
39 <-- =STDEV(G5:G38)
40 <-- =SQRT(12)*G39
41
42
43
44
45
46
47

COMPUTING THE COST OF EQUITY rE FOR


BIG CITY BAGELS
March
1
2 Big City's beta
3
4 Risk-free rate, rf
5 Expected market return, E(rM)
6
7
8
9
10
11
12
13
14

1999
-0.0542
4.29%
9.08%

Cost of equity, rE

4.03% <-- =B4+B2*(B5-B4)

Supporting numbers
P/E ratio of S&P 500, March 1999
Payout ratio, b
Expected growth, g
Expected market return, E(rM)

50
50%
8%
9.08%

COMPUTING THE COST OF EQUITY rE FOR


BIG CITY BAGELS
Assumes that forward-looking
1
2 Big City's beta
1.3000
3
4 Risk-free rate, rf
4.29%
5 Expected market return, E(rM)
9.08%
6
7
8
9
10
11
12
13
14

Cost of equity, rE

Supporting numbers
P/E ratio of S&P 500, March 1999
Payout ratio, b
Expected growth, g
Expected market return, E(rM)

beta = 1.3

10.52% <-- =B4+B2*(B5-B4)

50
50%
8%
9.08%

PRICE DATA FOR DOW-JONES INDUSTRIAL 30 COMPONENT


Date
4/2/2002
5/1/2002
6/3/2002
7/1/2002
8/1/2002
9/3/2002
10/1/2002
11/1/2002
12/2/2002
1/2/2003
2/3/2003
3/3/2003
4/1/2003
5/1/2003
2/1/2007
3/1/2007
4/2/2007

Alcoa
AA
30.54
31.54
29.89
24.53
22.75
17.50
20.00
23.32
20.79
18.04
18.86
17.82
21.23
22.79
33.41
33.90
34.59

American
International
AIG
67.13
65.04
66.31
62.12
61.03
53.20
60.84
63.37
56.31
52.68
47.98
48.18
56.46
56.39
67.11
67.22
67.23

American
Express
AXP
34.27
35.52
30.35
29.53
30.20
26.11
30.53
32.68
29.74
29.89
28.25
27.96
31.93
35.14
56.72
56.25
55.96

Boeing
BA
40.92
39.27
41.44
38.23
34.29
31.57
27.52
31.67
30.68
29.38
25.77
23.43
25.51
28.85
87.26
88.91
90.50

Citigroup
C
34.28
34.33
30.81
26.66
28.07
25.41
31.83
33.49
30.31
29.75
28.88
29.84
34.00
35.71
50.37
51.34
51.57

Caterpillar
CAT
24.70
23.64
22.14
20.38
19.90
16.97
18.79
22.96
21.03
20.39
21.79
22.81
24.54
24.33
64.43
67.03
67.63

RIAL 30 COMPONENTS, APRIL 2002 - APRIL 2007


DuPont
DD
37.72
39.29
37.92
35.80
34.72
31.07
35.53
38.75
36.82
32.89
32.16
34.08
37.30
37.25
50.73
49.43
49.32

Disney
DIS
22.04
21.79
17.97
16.86
14.91
14.40
15.88
18.85
15.70
16.85
16.42
16.39
17.97
18.92
34.25
34.43
34.91

General
Electric
GE
27.56
27.20
25.53
28.30
26.50
21.82
22.35
24.00
21.72
20.64
21.62
22.92
26.47
25.80
34.91
35.36
35.02

General
Motors
GM
50.54
49.33
42.43
36.95
38.43
31.24
26.70
32.35
30.03
29.60
27.90
27.78
29.78
29.60
31.90
30.64
31.90

Home Depot
HD
43.85
39.42
34.77
29.24
31.18
24.75
27.38
25.03
22.83
19.86
22.29
23.21
26.81
30.96
39.36
36.74
38.02

Honeywell
HON
32.59
35.00
31.46
28.89
26.90
19.45
21.50
23.55
21.73
22.13
20.89
19.50
21.54
24.10
46.40
46.06
47.26

Hewlett
Packard
HPQ
15.92
17.78
14.30
13.24
12.56
10.98
14.87
18.33
16.41
16.46
14.98
14.77
15.49
18.53
39.27
40.14
41.80

International
Business
Machines
IBM
79.91
76.91
68.83
67.30
72.22
55.87
75.63
83.43
74.39
75.06
74.97
75.43
81.65
84.82
92.94
94.26
96.52

Intel
INTC
27.16
26.24
17.36
17.85
15.86
13.21
16.46
19.88
14.83
14.91
16.45
15.52
17.54
19.87
19.86
19.13
19.58

Johnson &
Johnson
JNJ
57.99
55.90
47.62
47.93
49.67
49.46
53.73
52.32
49.29
49.19
48.33
53.32
51.93
50.30
62.93
60.26
61.55

JP Morgan
Chase
JPM
28.87
29.57
27.90
20.75
21.95
15.79
17.56
21.30
20.31
20.03
19.46
20.35
25.55
28.60
49.04
48.04
48.77

Coca Cola
KO
49.46
49.51
50.09
44.67
45.61
43.06
41.73
41.16
39.54
36.49
36.27
36.72
36.65
41.34
46.35
48.00
49.52

McDonalds
MCD
25.90
27.31
25.95
22.57
21.67
16.11
16.52
17.11
14.87
13.17
12.59
13.37
15.81
17.32
43.69
45.05
45.78

3M Company
MMM
56.71
56.83
55.72
57.01
56.88
50.06
57.79
59.40
56.40
56.98
57.65
59.79
57.96
58.47
74.08
76.43
76.75

Altria Group
MO
31.75
33.40
25.80
27.20
29.54
23.23
24.40
22.58
24.65
23.03
23.50
18.55
19.04
25.57
62.62
65.90
70.75

Merck
MRK
42.71
44.88
40.06
39.24
39.97
36.43
43.23
47.35
45.40
44.42
42.30
44.24
46.99
44.89
43.77
44.17
45.54

Microsoft
MSFT
22.49
21.91
23.54
20.65
21.12
18.82
23.01
24.82
22.25
20.42
20.46
20.90
22.08
21.25
28.17
27.87
28.55

Pfizer
PFE
31.96
30.53
30.88
28.54
29.30
25.71
28.14
28.04
27.19
27.13
26.65
27.85
27.48
27.85
24.96
25.26
25.84

Procter
Gamble
PG
40.80
40.48
40.68
40.75
40.59
40.92
40.68
38.88
39.53
39.55
37.83
41.16
41.71
42.63
63.49
63.16
63.00

AT&T
T
24.27
26.79
23.83
21.80
19.49
15.84
20.48
22.75
21.64
19.68
16.75
16.16
19.10
20.82
36.47
39.07
39.27

United
Technology
UTX
32.41
31.92
31.47
32.21
27.63
26.29
28.70
29.18
28.94
29.70
27.47
27.10
28.99
32.14
65.64
65.00
64.93

Verizon
VZ
31.06
33.30
31.09
25.81
24.25
21.46
29.89
33.15
30.67
30.57
27.62
28.23
30.18
30.56
37.00
37.52
38.00

Walmart
WMT
53.03
51.36
52.29
46.75
50.83
46.87
50.97
51.31
48.15
45.57
45.81
49.68
53.78
50.24
48.08
46.95
48.27

Exxon Mobile
XOM
35.84
35.84
36.72
32.99
32.02
28.81
30.40
31.64
31.77
31.05
31.14
31.99
32.22
33.56
71.68
75.45
77.22

DJI
9946.22
9925.25
9243.26
8736.59
8663.50
7591.93
8397.03
8896.09
8341.63
8053.81
7891.08
7992.13
8480.09
8850.26
12268.63
12354.35
12560.83

S&P500
1076.92
1067.14
989.82
911.62
916.07
815.28
885.76
936.31
879.82
855.70
841.15
848.18
916.92
963.59
1406.82
1420.86
1443.76

RETURN DATA, ALPHA, BETA, R-SQUARED


For Dow-Jones 30 Industrials, April 2002 - April 2007

1
2
3
4
5

=INTERCEPT(B16:B75,$AH$16:$AH$75)
=SLOPE(B16:B75,$AH$16:$AH$75)
=RSQ(B16:B75,$AH$16:$AH$75)
Alcoa
AA

6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45

Alpha
Beta
R-squared
T-Alpha
T-Beta

-0.0074
1.9446
0.5646
-0.9545
8.6724

American
International
AIG
-0.0058
1.1873
0.3906
-0.8548
6.0965

American
Express
AXP
0.0020
1.2615
0.6987
0.5325
11.5982

Boeing
BA
0.0097
0.7304
0.1442
1.1917
3.1260

Citigroup Caterpillar
C
CAT
0.0009
1.2086
0.5050
0.1653
7.6922

DuPont
DD

0.0100
1.3915
0.4328
1.3765
6.6532

-0.0007
1.0488
0.4114
-0.1147
6.3675

-4.39%
-6.56%
-8.28%
-2.38%
-15.93%
10.19%
20.04%
-8.78%
-3.09%
6.64%
4.57%
7.31%
-0.86%
6.52%
19.84%
6.27%
-4.27%
6.73%
3.72%
8.78%
-5.65%
-3.10%
4.31%
-1.26%
-3.10%
5.30%
-7.27%
-1.09%
10.11%
0.62%

4.08%
-3.55%
-5.75%
-3.06%
-11.11%
13.41%
8.68%
-5.11%
-11.29%
-2.24%
5.80%
9.03%
-0.13%
-1.19%
5.37%
2.62%
-11.19%
0.98%
3.47%
10.15%
-4.44%
3.46%
-6.58%
1.71%
1.43%
2.77%
-3.54%
-0.61%
1.28%
0.18%

=tintercept(B16:B75,$AH$16:$AH$75)
=tslope(B16:B75,$AH$16:$AH$75)
Date
5/1/2002
6/3/2002
7/1/2002
8/1/2002
9/3/2002
10/1/2002
11/1/2002
12/2/2002
1/2/2003
2/3/2003
3/3/2003
4/1/2003
5/1/2003
6/2/2003
7/1/2003
8/1/2003
9/2/2003
10/1/2003
11/3/2003
12/1/2003
1/2/2004
2/2/2004
3/1/2004
4/1/2004
5/3/2004
6/1/2004
7/1/2004
8/2/2004
9/1/2004
10/1/2004

3.22%
-5.37%
-19.76%
-7.53%
-26.24%
13.35%
15.36%
-11.48%
-14.19%
4.45%
-5.67%
17.51%
7.09%
3.53%
8.52%
3.37%
-8.76%
18.77%
4.33%
14.70%
-10.61%
9.65%
-7.73%
-12.05%
2.26%
5.40%
-3.09%
1.57%
3.68%
-3.32%

-3.16%
1.93%
-6.53%
-1.77%
-13.73%
13.42%
4.07%
-11.81%
-6.66%
-9.35%
0.42%
15.86%
-0.12%
-4.68%
15.13%
-7.48%
-3.08%
5.27%
-4.85%
13.54%
4.68%
6.35%
-3.56%
0.41%
2.29%
-2.70%
-0.88%
0.82%
-4.56%
-11.32%

3.58%
-15.73%
-2.74%
2.24%
-14.55%
15.64%
6.81%
-9.43%
0.50%
-5.64%
-1.03%
13.28%
9.58%
0.34%
5.73%
1.99%
0.00%
4.29%
-2.62%
5.57%
7.21%
3.02%
-2.79%
-5.76%
3.52%
1.52%
-2.22%
-0.47%
2.84%
3.32%

-4.12%
5.38%
-8.06%
-10.88%
-8.26%
-13.73%
14.05%
-3.18%
-4.33%
-13.11%
-9.52%
8.51%
12.30%
11.23%
-3.56%
12.65%
-8.53%
11.43%
0.19%
9.32%
-0.93%
4.20%
-5.44%
3.86%
7.50%
10.94%
-0.68%
3.26%
-1.16%
-3.38%

0.15%
-10.82%
-14.47%
5.15%
-9.96%
22.53%
5.08%
-9.98%
-1.86%
-2.97%
3.27%
13.05%
4.91%
4.25%
5.36%
-3.28%
4.85%
4.82%
-0.79%
3.17%
2.71%
1.58%
2.82%
-6.41%
-3.51%
0.14%
-4.40%
5.50%
-5.42%
1.46%

46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75

A
11/1/2004
12/1/2004
1/3/2005
2/1/2005
3/1/2005
4/1/2005
5/2/2005
6/1/2005
7/1/2005
8/1/2005
9/1/2005
10/3/2005
11/1/2005
12/1/2005
1/3/2006
2/1/2006
3/1/2006
4/3/2006
5/1/2006
6/1/2006
7/3/2006
8/1/2006
9/1/2006
10/2/2006
11/1/2006
12/1/2006
1/3/2007
2/1/2007
3/1/2007
4/2/2007

B
4.94%
-7.87%
-6.24%
8.97%
-5.55%
-4.60%
-6.31%
-3.67%
7.10%
-4.08%
-9.25%
-0.55%
12.69%
7.61%
6.32%
-6.71%
4.16%
10.01%
-5.85%
2.00%
-7.74%
-4.16%
-1.93%
3.06%
8.04%
-3.62%
7.89%
3.38%
1.46%
2.01%

C
4.24%
3.71%
0.94%
0.77%
-18.50%
-8.60%
8.86%
4.70%
3.55%
-1.43%
4.56%
4.49%
3.54%
1.60%
-4.13%
1.37%
-0.18%
-1.28%
-6.82%
-2.93%
2.71%
5.32%
3.75%
1.37%
4.82%
1.88%
-4.58%
-1.73%
0.16%
0.01%

D
4.84%
1.19%
-5.29%
1.48%
-5.04%
2.58%
2.14%
-0.93%
3.27%
0.44%
3.90%
-0.77%
3.25%
0.08%
2.15%
2.69%
-2.49%
2.59%
1.01%
-2.10%
-1.94%
0.93%
6.52%
3.31%
1.57%
3.27%
-3.88%
-2.34%
-0.83%
-0.52%

E
7.49%
-3.42%
-2.29%
8.76%
6.15%
1.80%
7.51%
3.24%
0.02%
1.90%
1.38%
-5.00%
5.74%
2.96%
-2.80%
6.64%
6.97%
6.84%
0.10%
-1.63%
-5.64%
-2.92%
5.14%
1.27%
10.66%
0.35%
0.81%
-2.22%
1.87%
1.77%

F
0.86%
7.39%
1.80%
-1.87%
-6.01%
5.35%
0.32%
-1.89%
-5.09%
0.61%
3.93%
0.58%
6.84%
-0.04%
-4.09%
0.61%
1.82%
6.63%
-1.31%
-2.15%
0.13%
3.15%
0.64%
0.98%
-0.16%
11.62%
-1.02%
-8.05%
1.91%
0.45%

G
12.83%
6.29%
-8.57%
6.46%
-3.86%
-3.32%
6.66%
1.26%
12.81%
2.89%
5.71%
-10.64%
9.43%
-0.02%
16.54%
7.36%
-1.75%
5.64%
-3.75%
2.08%
-4.54%
-6.59%
-0.82%
-7.62%
2.15%
-1.14%
4.88%
0.56%
3.96%
0.89%

H
6.33%
7.92%
-3.10%
12.10%
-3.95%
-8.40%
-0.50%
-7.83%
-0.77%
-6.68%
-1.02%
6.22%
3.40%
-0.59%
-8.20%
3.66%
4.76%
4.38%
-2.80%
-2.22%
-4.77%
1.72%
6.94%
6.67%
3.23%
3.73%
1.72%
3.06%
-2.60%
-0.22%

General
Electric
GE

General
Motors
GM

Home
Depot
HD

Noneywell
HON

Hewlett
Packard
HPQ

ETA, R-SQUARED
April 2002 1- April 2007
2
3
4
5

0.0017
1.2131
0.3699
0.2410
5.8350

0.0003
0.7474
0.2533
0.0583
4.4352

-0.0140
1.2860
0.1869
-1.1417
3.6511

-0.0098
1.5274
0.4791
-1.3563
7.3042

-0.0018
1.6276
0.6100
-0.2964
9.5241

0.0071
1.8433
0.5260
0.8885
8.0223

International
Business
Machines
IBM
-0.0047
1.6008
0.5540
-0.7142
8.4877

-1.14%
-19.27%
-6.38%
-12.29%
-3.48%
9.78%
17.15%
-18.29%
7.07%
-2.59%
-0.18%
9.20%
5.15%
0.47%
10.43%
-6.66%
-1.63%
11.56%
1.95%
1.96%
2.87%
9.99%
-5.95%
-8.19%
1.90%
8.24%
-9.88%
-2.80%
0.46%
11.17%

-1.31%
-6.34%
10.30%
-6.57%
-19.43%
2.40%
7.12%
-9.98%
-5.10%
4.64%
5.84%
14.40%
-2.56%
0.58%
-0.85%
3.89%
1.45%
-2.73%
-1.18%
8.41%
8.21%
-2.76%
-6.33%
-1.90%
3.84%
4.63%
2.59%
-1.40%
2.98%
1.58%

-2.42%
-15.07%
-13.83%
3.93%
-20.71%
-15.70%
19.20%
-7.44%
-1.44%
-5.91%
-0.43%
6.95%
-0.61%
1.87%
3.90%
10.67%
-0.40%
4.17%
1.43%
22.17%
-7.21%
-2.18%
-1.81%
0.34%
-3.24%
2.60%
-7.70%
-3.14%
2.80%
-9.71%

-10.65%
-12.55%
-17.32%
6.42%
-23.10%
10.10%
-8.97%
-9.20%
-13.94%
11.54%
4.04%
14.42%
14.39%
2.11%
-5.96%
3.01%
-0.75%
15.19%
-0.85%
-3.32%
-0.06%
2.35%
3.03%
-5.97%
2.05%
-1.78%
-4.31%
8.33%
6.98%
4.67%

7.13%
-10.66%
-8.52%
-7.14%
-32.43%
10.02%
9.11%
-8.04%
1.82%
-5.77%
-6.89%
9.95%
11.23%
2.42%
5.21%
3.14%
-9.57%
15.01%
-2.43%
11.88%
7.72%
-2.47%
-3.50%
2.12%
-2.00%
8.34%
2.66%
-3.91%
-0.32%
-6.26%

11.05%
-21.78%
-7.70%
-5.27%
-13.44%
30.33%
20.92%
-11.06%
0.30%
-9.42%
-1.41%
4.76%
17.92%
9.17%
-0.59%
-6.02%
-2.50%
14.16%
-2.56%
5.83%
3.52%
-4.66%
0.96%
-14.80%
7.50%
-0.29%
-4.61%
-11.86%
5.12%
-0.49%

-3.83%
-11.10%
-2.25%
7.06%
-25.67%
30.28%
9.82%
-11.47%
0.90%
-0.12%
0.61%
7.92%
3.81%
-6.49%
-1.53%
1.13%
7.42%
1.29%
1.37%
2.34%
6.82%
-2.63%
-4.94%
-4.08%
0.68%
-0.49%
-1.23%
-2.56%
1.23%
4.57%

Disney
DIS
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45

Intel
INTC
-0.0159
2.1304
0.4473
-1.4703
6.8513

-3.45%
-41.31%
2.78%
-11.82%
-18.28%
22.00%
18.88%
-29.31%
0.54%
9.83%
-5.82%
12.24%
12.47%
-0.05%
17.93%
13.92%
-3.81%
17.98%
1.86%
-4.56%
-4.88%
-4.27%
-7.12%
-5.57%
10.55%
-3.38%
-12.38%
-13.40%
-5.95%
10.40%

46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75

I
6.40%
4.23%
2.93%
-2.42%
2.77%
-8.44%
3.86%
-8.61%
1.81%
-1.77%
-4.30%
1.01%
2.28%
-2.90%
5.45%
10.08%
-0.36%
0.25%
8.70%
-1.67%
-1.05%
-0.14%
4.17%
1.78%
4.91%
4.54%
2.59%
-2.65%
0.52%
1.38%

J
3.58%
3.78%
-1.03%
-1.97%
2.41%
0.38%
0.76%
-4.51%
-0.43%
-2.63%
0.84%
0.71%
5.20%
-1.18%
-6.80%
1.10%
5.67%
-0.56%
-0.96%
-3.12%
-0.81%
4.11%
4.29%
-0.55%
0.49%
6.06%
-3.16%
-2.43%
1.28%
-0.97%

K
1.39%
3.76%
-8.48%
-1.86%
-19.31%
-9.67%
18.35%
7.51%
7.99%
-5.98%
-11.07%
-11.09%
-20.57%
-11.99%
21.41%
-15.76%
4.62%
7.30%
17.23%
10.10%
7.88%
-9.13%
13.07%
4.88%
-17.09%
4.97%
6.69%
-2.23%
-4.03%
4.03%

L
1.82%
2.33%
-3.52%
-3.05%
-4.28%
-7.82%
10.67%
-0.90%
11.20%
-7.36%
-5.58%
7.34%
2.03%
-3.16%
0.18%
3.86%
0.70%
-5.76%
-4.63%
-5.90%
-3.09%
-1.21%
6.04%
2.89%
2.30%
5.61%
1.42%
-2.86%
-6.89%
3.42%

M
5.31%
0.21%
1.59%
5.92%
-2.03%
-3.95%
1.85%
1.11%
6.98%
-2.03%
-2.07%
-9.20%
7.17%
1.92%
3.10%
6.92%
4.35%
-0.62%
-2.63%
-2.17%
-4.04%
0.65%
5.46%
2.95%
2.56%
5.13%
0.97%
2.07%
-0.74%
2.57%

N
6.92%
5.16%
-6.82%
5.99%
5.74%
-6.93%
9.50%
4.69%
4.61%
12.01%
5.31%
-4.04%
5.66%
-3.30%
8.53%
5.09%
0.52%
-1.33%
-0.28%
-1.92%
0.73%
13.60%
0.58%
5.43%
1.85%
4.50%
4.94%
-9.51%
2.19%
4.05%

O
5.08%
4.50%
-5.38%
-0.72%
-1.30%
-17.93%
-0.82%
-1.80%
11.75%
-3.22%
-0.49%
2.05%
8.47%
-7.83%
-1.11%
-1.06%
2.74%
-0.16%
-2.65%
-3.93%
0.76%
4.90%
1.19%
11.93%
-0.12%
5.54%
2.03%
-6.16%
1.41%
2.37%

P
0.70%
4.45%
-4.13%
6.98%
-3.20%
1.24%
14.00%
-3.55%
4.20%
-5.07%
-4.25%
-4.79%
13.05%
-6.64%
-16.06%
-2.69%
-5.66%
2.59%
-9.77%
5.27%
-5.38%
8.90%
4.98%
3.66%
0.80%
-5.55%
3.46%
-4.86%
-3.74%
2.33%

Coca
Cola
KO

McDonal
ds
MCD

3M
Company
MMM

Altria
Group
MO

Merck
MRK

Microsoft
MSFT

Pfizer
PFE

1
2
3
4
5
Johnson
JP
&
Morgan
Johnson Chase
6
JNJ
JPM
-0.0007
-0.0002
7
0.3475
1.8394
8
0.0890
0.5957
9
-0.1391
-0.0360
10
2.3806
9.2439
11
12
13
14
15
16
-3.67%
2.40%
17
-16.03%
-5.81%
18
0.65% -29.61%
19
3.57%
5.62%
20
-0.42% -32.94%
21
8.28%
10.62%
22
-2.66%
19.31%
23
-5.97%
-4.76%
24
-0.20%
-1.39%
25
-1.76%
-2.89%
26
9.83%
4.47%
27
-2.64%
22.76%
28
-3.19%
11.28%
29
-5.01%
3.94%
30
0.19%
3.53%
31
-3.89%
-2.40%
32
-0.13%
0.30%
33
1.64%
5.45%
34
-1.59%
-1.39%
35
4.67%
3.69%
36
3.36%
6.64%
37
1.35%
5.31%
38
-6.11%
2.26%
39
6.33% -10.16%
40
3.58%
-2.02%
41
-0.02%
5.10%
42
-0.78%
-2.90%
43
5.50%
5.85%
44
-3.10%
0.39%
45
3.59%
-2.06%

-0.0028
0.5737
0.1974
-0.5281
3.7774

0.0019
1.5627
0.5299
0.2771
8.0849

0.0016
0.7058
0.1985
0.2469
3.7902

0.0084
1.0089
0.1569
0.7906
3.2850

-0.0028
0.8005
0.1211
-0.2893
2.8276

-0.0007
0.9650
0.3067
-0.1117
5.0657

-0.0067
0.6561
0.1657
-1.0060
3.3935

0.10%
1.16%
-11.45%
2.08%
-5.75%
-3.14%
-1.38%
-4.02%
-8.03%
-0.60%
1.23%
-0.19%
12.04%
2.30%
-3.15%
-3.27%
-0.81%
7.70%
0.70%
8.74%
-3.02%
1.45%
1.19%
0.54%
1.53%
-1.23%
-14.05%
1.92%
-10.44%
1.51%

5.30%
-5.11%
-13.96%
-4.07%
-29.65%
2.51%
3.51%
-14.03%
-12.14%
-4.50%
6.01%
16.76%
9.12%
16.37%
4.22%
-2.62%
4.90%
6.02%
4.03%
-3.17%
3.58%
9.50%
0.94%
-4.81%
-3.10%
-1.50%
5.61%
-1.80%
3.68%
3.95%

0.21%
-1.97%
2.29%
-0.23%
-12.77%
14.36%
2.75%
-5.18%
1.02%
1.17%
3.64%
-3.11%
0.88%
1.96%
8.33%
2.06%
-3.09%
13.28%
0.64%
7.31%
-7.24%
-0.91%
4.81%
5.48%
-1.81%
6.25%
-8.88%
0.45%
-2.95%
-3.04%

5.07%
-25.82%
5.28%
8.25%
-24.03%
4.91%
-7.75%
8.77%
-6.80%
2.02%
-23.65%
2.61%
29.49%
11.02%
-12.72%
2.98%
7.72%
5.97%
11.17%
5.82%
2.14%
3.47%
-4.36%
1.67%
-14.37%
5.67%
-5.00%
2.78%
-2.49%
2.95%

4.96%
-11.36%
-2.07%
1.84%
-9.27%
17.11%
9.10%
-4.21%
-2.18%
-4.89%
4.48%
6.03%
-4.57%
9.21%
-9.12%
-3.90%
1.33%
-13.45%
-8.62%
13.81%
2.98%
1.01%
-7.68%
6.16%
0.65%
1.19%
-4.64%
-0.85%
-30.07%
-5.29%

-2.61%
7.18%
-13.10%
2.25%
-11.53%
20.10%
7.57%
-10.93%
-8.58%
0.20%
2.13%
5.49%
-3.83%
4.10%
2.94%
0.44%
4.69%
-5.61%
-1.64%
6.25%
1.05%
-4.17%
-6.23%
4.74%
0.35%
8.54%
-0.28%
-3.96%
1.30%
1.12%

-4.58%
1.14%
-7.88%
2.63%
-13.07%
9.03%
-0.36%
-3.08%
-0.22%
-1.79%
4.40%
-1.34%
1.34%
9.61%
-2.34%
-10.44%
1.54%
3.94%
6.52%
5.09%
3.62%
0.51%
-4.48%
2.02%
-0.71%
-3.05%
-7.00%
2.73%
-6.57%
-5.52%

46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75

Q
3.74%
5.01%
2.00%
1.82%
2.35%
2.16%
-1.75%
-3.18%
-1.61%
-0.39%
-0.16%
-1.05%
-0.88%
-2.70%
-4.36%
0.77%
2.68%
-1.04%
3.33%
-0.49%
4.29%
3.89%
0.44%
3.72%
-1.66%
0.17%
1.17%
-5.38%
-4.34%
2.12%

R
-2.48%
3.55%
-3.52%
-2.13%
-5.46%
3.52%
0.75%
-1.23%
0.45%
-3.62%
0.12%
8.63%
4.36%
3.68%
1.00%
3.44%
1.23%
9.39%
-6.23%
-1.51%
9.09%
0.09%
2.80%
1.73%
-2.47%
4.27%
6.01%
-3.07%
-2.06%
1.51%

S
-2.75%
5.78%
-0.38%
3.13%
-2.03%
4.17%
2.69%
-6.02%
4.71%
0.53%
-1.22%
-0.95%
0.44%
-5.72%
2.61%
1.42%
0.49%
0.22%
4.81%
-1.60%
3.38%
0.69%
0.41%
4.46%
0.91%
2.99%
-0.78%
-2.54%
3.50%
3.12%

T
7.12%
4.23%
1.01%
2.11%
-6.02%
-6.05%
5.41%
-10.91%
11.65%
4.01%
3.14%
-5.78%
8.89%
-0.36%
3.76%
-0.29%
-1.60%
0.62%
-4.14%
1.29%
5.20%
1.41%
8.61%
6.90%
2.53%
5.47%
0.05%
-1.50%
3.07%
1.61%

U
3.01%
3.06%
2.76%
0.00%
2.06%
-11.38%
0.78%
-5.84%
3.67%
-4.68%
3.05%
3.51%
3.77%
-1.26%
-6.33%
1.77%
2.81%
12.12%
-1.57%
-3.51%
-13.75%
2.49%
3.73%
5.76%
3.84%
-4.43%
-4.77%
0.34%
3.12%
0.42%

V
17.11%
7.29%
4.37%
2.81%
0.71%
-0.60%
3.25%
-2.69%
3.49%
5.42%
5.28%
1.81%
-3.05%
3.66%
-3.23%
-0.62%
-0.37%
3.20%
-1.11%
2.62%
8.53%
4.35%
-7.69%
6.06%
3.47%
2.91%
1.80%
-3.62%
5.11%
7.10%

W
-11.10%
15.10%
-13.59%
12.21%
3.29%
4.61%
-4.37%
-4.01%
0.84%
-8.20%
-3.68%
3.65%
5.36%
7.89%
8.11%
1.03%
2.17%
-2.33%
-2.20%
9.02%
10.02%
1.62%
3.28%
8.06%
-2.04%
-1.22%
2.60%
-1.36%
0.91%
3.05%

X
6.63%
-0.35%
-1.67%
-4.04%
-4.00%
4.57%
2.29%
-3.80%
3.04%
6.99%
-6.23%
-0.12%
7.72%
-5.67%
7.35%
-4.32%
1.28%
-11.95%
-6.02%
2.86%
3.20%
6.94%
6.23%
4.85%
2.60%
1.69%
3.27%
-8.76%
-1.07%
2.41%

Y
-3.56%
-3.24%
-10.68%
9.18%
-0.08%
3.37%
3.34%
-1.15%
-3.98%
-3.23%
-2.01%
-13.84%
-1.67%
9.53%
9.64%
2.90%
-4.96%
1.65%
-5.87%
-0.83%
10.21%
6.78%
2.88%
-6.23%
3.98%
-5.95%
1.32%
-3.93%
1.19%
2.27%

AA

AB

AC

AD

AE

Procter
Gamble
PG

AT&T
T

United
Technology
UTX

Verizon
VZ

Walmart
WMT

Exxon
Mobile
XOM

AF

AG

AH

DJI

S&P500

1
2
3
4
5

6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45

0.0062
0.2041
0.0422
1.4090
1.5981

0.0006
1.5124
0.4957
0.0908
7.5511

0.0083
0.6630
0.2421
1.5610
4.3044

-0.0033
1.3658
0.4236
-0.4563
6.5289

-0.0043
0.5542
0.1446
-0.6962
3.1315

0.0091
0.7557
0.2416
1.4920
4.2979

-0.0010
0.9990
0.9332
-0.8142
28.4733

0.0000
1.0000
1.0000

-0.79%
0.49%
0.17%
-0.39%
0.81%
-0.59%
-4.53%
1.66%
0.05%
-4.45%
8.44%
1.33%
2.18%
-2.93%
-0.95%
-0.66%
6.14%
6.20%
-2.10%
3.70%
1.67%
1.40%
2.29%
1.33%
1.90%
0.99%
-3.84%
7.06%
-3.36%
-5.12%

9.88%
-11.71%
-8.90%
-11.20%
-20.74%
25.69%
10.51%
-5.00%
-9.49%
-16.12%
-3.59%
16.71%
8.62%
0.38%
-7.50%
-3.94%
-0.92%
9.15%
-2.96%
11.30%
-1.05%
-6.01%
2.17%
2.73%
-4.95%
2.32%
5.70%
1.74%
0.62%
-1.55%

-1.52%
-1.42%
2.32%
-15.34%
-4.97%
8.77%
1.66%
-0.83%
2.59%
-7.81%
-1.36%
6.74%
10.32%
3.70%
6.02%
6.82%
-3.79%
9.18%
1.59%
10.05%
0.82%
-3.30%
-6.52%
-0.02%
-1.52%
7.82%
2.17%
0.82%
-0.56%
-0.60%

6.96%
-6.87%
-18.61%
-6.23%
-12.22%
33.13%
10.35%
-7.78%
-0.33%
-10.15%
2.18%
6.68%
1.25%
4.13%
-11.01%
0.91%
-8.48%
4.65%
-2.30%
6.61%
6.00%
3.93%
-4.81%
4.28%
-8.74%
4.53%
7.37%
1.84%
0.33%
0.21%

-3.20%
1.79%
-11.20%
8.37%
-8.11%
8.39%
0.66%
-6.36%
-5.51%
0.53%
8.11%
7.93%
-6.81%
2.15%
4.10%
5.65%
-5.76%
5.55%
-5.78%
-4.59%
1.50%
10.08%
0.44%
-4.62%
-2.01%
-5.98%
0.98%
-0.41%
1.00%
1.35%

0.00%
2.43%
-10.71%
-2.98%
-10.56%
5.37%
4.00%
0.41%
-2.29%
0.29%
2.69%
0.72%
4.07%
-1.35%
-0.94%
6.46%
-2.96%
-0.03%
-0.35%
12.43%
-0.50%
3.93%
-1.37%
2.27%
2.27%
2.65%
4.17%
0.16%
4.74%
1.81%

-0.21%
-7.12%
-5.64%
-0.84%
-13.20%
10.08%
5.77%
-6.44%
-3.51%
-2.04%
1.27%
5.93%
4.27%
1.52%
2.73%
1.95%
-1.51%
5.52%
-0.19%
6.64%
0.33%
0.91%
-2.16%
-1.28%
-0.36%
2.40%
-2.88%
0.34%
-0.92%
-0.53%

-0.91%
-7.52%
-8.23%
0.49%
-11.66%
8.29%
5.55%
-6.22%
-2.78%
-1.71%
0.83%
7.79%
4.96%
1.13%
1.61%
1.77%
-1.20%
5.35%
0.71%
4.95%
1.71%
1.21%
-1.65%
-1.69%
1.20%
1.78%
-3.49%
0.23%
0.93%
1.39%

46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75

Z
4.40%
2.95%
-2.97%
-0.25%
-0.18%
2.66%
1.84%
-4.46%
5.84%
-0.28%
6.93%
-5.51%
2.12%
1.19%
2.80%
1.17%
-3.91%
1.55%
-7.05%
2.46%
1.63%
9.67%
0.13%
2.75%
-0.96%
2.33%
1.41%
-2.15%
-0.52%
-0.25%

AA
-0.36%
2.35%
-6.84%
1.26%
-1.54%
1.82%
-1.77%
1.54%
4.26%
-1.52%
-0.45%
0.86%
4.35%
-1.69%
7.12%
6.12%
-2.01%
-1.85%
-0.60%
6.81%
8.45%
3.74%
4.47%
6.11%
-1.02%
5.30%
6.17%
-2.22%
6.89%
0.51%

AB
5.35%
5.75%
-2.60%
-0.37%
1.76%
0.06%
5.19%
-3.81%
-1.27%
-0.96%
3.60%
-1.07%
5.27%
3.78%
4.30%
0.61%
-0.91%
8.02%
-0.06%
1.43%
-1.95%
1.26%
1.02%
3.67%
-1.42%
-3.18%
8.43%
-3.16%
-0.98%
-0.11%

AC
5.30%
-1.77%
-11.98%
1.06%
-1.29%
1.96%
-1.18%
-2.35%
0.23%
-4.54%
-0.07%
-2.41%
1.47%
-5.98%
6.26%
6.25%
1.07%
-1.89%
-5.68%
7.05%
2.21%
3.95%
5.40%
0.72%
-2.03%
6.37%
4.48%
-2.96%
1.40%
1.27%

AD
-3.52%
1.69%
-0.80%
-1.51%
-2.65%
-6.12%
0.50%
2.04%
2.36%
-9.00%
-2.56%
7.66%
2.60%
-3.38%
-1.49%
-1.63%
4.42%
-4.78%
7.66%
-0.59%
-7.91%
0.86%
9.79%
-0.08%
-6.66%
0.55%
3.21%
1.30%
-2.38%
2.77%

AE
4.59%
0.02%
0.67%
20.92%
-6.04%
-4.40%
-0.95%
2.24%
2.19%
2.43%
5.90%
-12.38%
3.81%
-3.26%
11.08%
-5.00%
2.47%
3.58%
-3.00%
0.73%
9.90%
0.36%
-0.84%
6.23%
7.70%
-0.22%
-3.36%
-2.90%
5.13%
2.32%

AF

AG
3.92%
3.35%
-2.76%
2.60%
-2.47%
-3.01%
2.66%
-1.86%
3.50%
-1.51%
0.83%
-1.22%
3.44%
-0.82%
1.37%
1.18%
1.05%
2.29%
-1.76%
-0.16%
0.32%
1.73%
2.58%
3.38%
1.16%
1.95%
1.26%
-2.84%
0.70%
1.66%

AH
3.79%
3.19%
-2.56%
1.87%
-1.93%
-2.03%
2.95%
-0.01%
3.53%
-1.13%
0.69%
-1.79%
3.46%
-0.10%
2.51%
0.05%
1.10%
1.21%
-3.14%
0.01%
0.51%
2.11%
2.43%
3.10%
1.63%
1.25%
1.40%
-2.21%
0.99%
1.60%

1
2
3
4
5
6

REGRESSING THE DJ30 COMPONENTS ON THE S&P500


Averages
Average alpha
Average beta
Average r-squared
Average t-statistic, intercept
Average t-statistic, slope

-0.0005
1.1421
0.3508
0.0052
5.7859

<-<-<-<-<--

=AVERAGE('Page 93, middle'!B7:AE7)


=AVERAGE('Page 93, middle'!B8:AE8)
=AVERAGE('Page 93, middle'!B9:AE9)
=AVERAGE('Page 93, middle'!B10:AE10)
=AVERAGE('Page 93, middle'!B11:AE11)

REGRESSING PORTFOLIOS OF THE DJ30 COMPONENTS ON THE S&P50

1
2 Alpha

-0.0020

3 Beta

1.1747

4 R-squared

0.8191

5 T-Alpha

-0.7772

6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39

16.2082

T-Beta

Portfolio weights
AA
AIG
AXP
BA
C
CAT
DD
DIS
GE
GM
HD
HON
HPQ
IBM
INTC
JNJ
JPM
KO
MCD
MMM
MO
MRK
MSFT
PFE
PG
T
UTX
VZ
WMT
XOM
Sum of portfolio weights

0.1000
0.0000
0.0000
0.0000
0.1000
0.0000
0.1000
0.1000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.1000
0.0000
0.0000
0.1000
0.0000
0.1000
0.0000
0.1000
0.0000
0.0000
0.0000
0.0000
0.0000
0.1000
0.0000
0.1000
1.00

NG PORTFOLIOS
OF THE DJ30 COMPONENTS ON THE S&P500
1
<-- {=INTERCEPT(MMULT('Page 93, middle'!B16:AE75,'Page 94'!B9:B38),'Page 93,
2 middle'!AH16:AH75)}
<-- {=SLOPE(MMULT('Page 93, middle'!B16:AE75,'Page 94'!B9:B38),'Page 93,
3 middle'!AH16:AH75)}
<-- {=RSQ(MMULT('Page 93, middle'!B16:AE75,'Page 94'!B9:B38),'Page 93,
4 middle'!AH16:AH75)}
<-- {=tintercept(MMULT('Page 93, middle'!B16:AE75,'Page 94'!B9:B38),'Page 93,
5 middle'!AH16:AH75)}
<-- {=tslope(MMULT('Page 93, middle'!B16:AE75,'Page 94'!B9:B38),'Page 93,
6 middle'!AH16:AH75)}
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39 <-- =SUM(B9:B38)

REGRESSING PORTFOLIOS OF THE DJ30 COMPONENTS ON THE S&P50

1
2 Alpha

-0.0005

3 Beta

1.1421

4 R-squared

0.9460

5 T-Alpha

-0.3669

6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39

31.8910

T-Beta

Portfolio weights
AA
AIG
AXP
BA
C
CAT
DD
DIS
GE
GM
HD
HON
HPQ
IBM
INTC
JNJ
JPM
KO
MCD
MMM
MO
MRK
MSFT
PFE
PG
T
UTX
VZ
WMT
XOM
Sum of portfolio weights

0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
0.0333
1.00

NG PORTFOLIOS
OF THE DJ30 COMPONENTS ON THE S&P500
1
<-- {=INTERCEPT(MMULT('Page 93, middle'!B16:AE75,'Page 95'!B9:B38),'Page 93,
2 middle'!AH16:AH75)}
<-- {=SLOPE(MMULT('Page 93, middle'!B16:AE75,'Page 95'!B9:B38),'Page 93,
3 middle'!AH16:AH75)}
<-- {=RSQ(MMULT('Page 93, middle'!B16:AE75,'Page 95'!B9:B38),'Page 93,
4 middle'!AH16:AH75)}
<-- {=tintercept(MMULT('Page 93, middle'!B16:AE75,'Page 95'!B9:B38),'Page 93,
5 middle'!AH16:AH75)}
<-- {=tslope(MMULT('Page 93, middle'!B16:AE75,'Page 95'!B9:B38),'Page 93,
6 middle'!AH16:AH75)}
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39 <-- =SUM(B9:B38)

Title:
Series ID:
Source:
Release:
Seasonal Adjustment:
Frequency:
Units:
Date Range:
Last Updated:
Notes:

3-Month Treasury Bill: Secondary Market Rate


TB3MS
Board of Governors of the Federal Reserve System
H.15 Selected Interest Rates
Not Applicable
Monthly
Percent
1934-01-01 to 2006-07-01
2006-08-08 9:12 AM CT
Averages of Business Days, Discount Basis

DATE

VALUE
0.72
0.62
0.24
0.15
0.16
0.15
0.15
0.19
0.21
0.27
0.25
0.23
0.20
0.19
0.15
0.15
0.15
0.15
0.15
0.16
0.20
0.20
0.16
0.15
0.20
0.20
0.20
0.20
0.20
0.20
0.15
0.20
0.16
0.13
0.11
0.12
0.17
0.15
0.38
0.56

1934-01-01
1934-02-01
1934-03-01
1934-04-01
1934-05-01
1934-06-01
1934-07-01
1934-08-01
1934-09-01
1934-10-01
1934-11-01
1934-12-01
1935-01-01
1935-02-01
1935-03-01
1935-04-01
1935-05-01
1935-06-01
1935-07-01
1935-08-01
1935-09-01
1935-10-01
1935-11-01
1935-12-01
1936-01-01
1936-02-01
1936-03-01
1936-04-01
1936-05-01
1936-06-01
1936-07-01
1936-08-01
1936-09-01
1936-10-01
1936-11-01
1936-12-01
1937-01-01
1937-02-01
1937-03-01
1937-04-01

1937-05-01
1937-06-01
1937-07-01
1937-08-01
1937-09-01
1937-10-01
1937-11-01
1937-12-01
1938-01-01
1938-02-01
1938-03-01
1938-04-01
1938-05-01
1938-06-01
1938-07-01
1938-08-01
1938-09-01
1938-10-01
1938-11-01
1938-12-01
1939-01-01
1939-02-01
1939-03-01
1939-04-01
1939-05-01
1939-06-01
1939-07-01
1939-08-01
1939-09-01
1939-10-01
1939-11-01
1939-12-01
1940-01-01
1940-02-01
1940-03-01
1940-04-01
1940-05-01
1940-06-01
1940-07-01
1940-08-01
1940-09-01
1940-10-01
1940-11-01
1940-12-01
1941-01-01
1941-02-01
1941-03-01
1941-04-01
1941-05-01
1941-06-01
1941-07-01
1941-08-01

0.41
0.36
0.28
0.29
0.31
0.20
0.09
0.11
0.10
0.08
0.08
0.09
0.05
0.05
0.07
0.06
0.08
0.05
0.04
0.03
0.03
0.03
0.03
0.03
0.03
0.03
0.04
0.05
0.14
0.05
0.05
0.04
0.01
0.02
0.02
0.02
0.06
0.10
0.05
0.04
0.05
0.02
0.02
0.02
0.02
0.04
0.11
0.10
0.11
0.12
0.12
0.13

1941-09-01
1941-10-01
1941-11-01
1941-12-01
1942-01-01
1942-02-01
1942-03-01
1942-04-01
1942-05-01
1942-06-01
1942-07-01
1942-08-01
1942-09-01
1942-10-01
1942-11-01
1942-12-01
1943-01-01
1943-02-01
1943-03-01
1943-04-01
1943-05-01
1943-06-01
1943-07-01
1943-08-01
1943-09-01
1943-10-01
1943-11-01
1943-12-01
1944-01-01
1944-02-01
1944-03-01
1944-04-01
1944-05-01
1944-06-01
1944-07-01
1944-08-01
1944-09-01
1944-10-01
1944-11-01
1944-12-01
1945-01-01
1945-02-01
1945-03-01
1945-04-01
1945-05-01
1945-06-01
1945-07-01
1945-08-01
1945-09-01
1945-10-01
1945-11-01
1945-12-01

0.10
0.09
0.28
0.33
0.27
0.25
0.25
0.32
0.37
0.37
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38

1946-01-01
1946-02-01
1946-03-01
1946-04-01
1946-05-01
1946-06-01
1946-07-01
1946-08-01
1946-09-01
1946-10-01
1946-11-01
1946-12-01
1947-01-01
1947-02-01
1947-03-01
1947-04-01
1947-05-01
1947-06-01
1947-07-01
1947-08-01
1947-09-01
1947-10-01
1947-11-01
1947-12-01
1948-01-01
1948-02-01
1948-03-01
1948-04-01
1948-05-01
1948-06-01
1948-07-01
1948-08-01
1948-09-01
1948-10-01
1948-11-01
1948-12-01
1949-01-01
1949-02-01
1949-03-01
1949-04-01
1949-05-01
1949-06-01
1949-07-01
1949-08-01
1949-09-01
1949-10-01
1949-11-01
1949-12-01
1950-01-01
1950-02-01
1950-03-01
1950-04-01

0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.38
0.66
0.75
0.80
0.85
0.92
0.95
0.97
1.00
1.00
1.00
1.00
1.00
1.00
1.06
1.09
1.12
1.14
1.16
1.17
1.17
1.17
1.17
1.17
1.17
1.02
1.04
1.07
1.05
1.08
1.10
1.07
1.12
1.12
1.15

1950-05-01
1950-06-01
1950-07-01
1950-08-01
1950-09-01
1950-10-01
1950-11-01
1950-12-01
1951-01-01
1951-02-01
1951-03-01
1951-04-01
1951-05-01
1951-06-01
1951-07-01
1951-08-01
1951-09-01
1951-10-01
1951-11-01
1951-12-01
1952-01-01
1952-02-01
1952-03-01
1952-04-01
1952-05-01
1952-06-01
1952-07-01
1952-08-01
1952-09-01
1952-10-01
1952-11-01
1952-12-01
1953-01-01
1953-02-01
1953-03-01
1953-04-01
1953-05-01
1953-06-01
1953-07-01
1953-08-01
1953-09-01
1953-10-01
1953-11-01
1953-12-01
1954-01-01
1954-02-01
1954-03-01
1954-04-01
1954-05-01
1954-06-01
1954-07-01
1954-08-01

1.16
1.15
1.16
1.20
1.30
1.31
1.36
1.34
1.34
1.36
1.40
1.47
1.55
1.45
1.56
1.62
1.63
1.54
1.56
1.73
1.57
1.54
1.59
1.57
1.67
1.70
1.81
1.83
1.71
1.74
1.85
2.09
1.96
1.97
2.01
2.19
2.16
2.11
2.04
2.04
1.79
1.38
1.44
1.60
1.18
0.97
1.03
0.97
0.76
0.64
0.72
0.92

1954-09-01
1954-10-01
1954-11-01
1954-12-01
1955-01-01
1955-02-01
1955-03-01
1955-04-01
1955-05-01
1955-06-01
1955-07-01
1955-08-01
1955-09-01
1955-10-01
1955-11-01
1955-12-01
1956-01-01
1956-02-01
1956-03-01
1956-04-01
1956-05-01
1956-06-01
1956-07-01
1956-08-01
1956-09-01
1956-10-01
1956-11-01
1956-12-01
1957-01-01
1957-02-01
1957-03-01
1957-04-01
1957-05-01
1957-06-01
1957-07-01
1957-08-01
1957-09-01
1957-10-01
1957-11-01
1957-12-01
1958-01-01
1958-02-01
1958-03-01
1958-04-01
1958-05-01
1958-06-01
1958-07-01
1958-08-01
1958-09-01
1958-10-01
1958-11-01
1958-12-01

1.01
0.98
0.93
1.15
1.22
1.17
1.28
1.59
1.45
1.41
1.60
1.90
2.07
2.23
2.24
2.54
2.41
2.32
2.25
2.60
2.61
2.49
2.31
2.60
2.84
2.90
2.99
3.21
3.11
3.10
3.08
3.07
3.06
3.29
3.16
3.37
3.53
3.58
3.31
3.04
2.44
1.53
1.30
1.13
0.91
0.83
0.91
1.69
2.44
2.63
2.67
2.77

1959-01-01
1959-02-01
1959-03-01
1959-04-01
1959-05-01
1959-06-01
1959-07-01
1959-08-01
1959-09-01
1959-10-01
1959-11-01
1959-12-01
1960-01-01
1960-02-01
1960-03-01
1960-04-01
1960-05-01
1960-06-01
1960-07-01
1960-08-01
1960-09-01
1960-10-01
1960-11-01
1960-12-01
1961-01-01
1961-02-01
1961-03-01
1961-04-01
1961-05-01
1961-06-01
1961-07-01
1961-08-01
1961-09-01
1961-10-01
1961-11-01
1961-12-01
1962-01-01
1962-02-01
1962-03-01
1962-04-01
1962-05-01
1962-06-01
1962-07-01
1962-08-01
1962-09-01
1962-10-01
1962-11-01
1962-12-01
1963-01-01
1963-02-01
1963-03-01
1963-04-01

2.82
2.70
2.80
2.95
2.84
3.21
3.20
3.38
4.04
4.05
4.15
4.49
4.35
3.96
3.31
3.23
3.29
2.46
2.30
2.30
2.48
2.30
2.37
2.25
2.24
2.42
2.39
2.29
2.29
2.33
2.24
2.39
2.28
2.30
2.48
2.60
2.72
2.73
2.72
2.73
2.69
2.73
2.92
2.82
2.78
2.74
2.83
2.87
2.91
2.92
2.89
2.90

1963-05-01
1963-06-01
1963-07-01
1963-08-01
1963-09-01
1963-10-01
1963-11-01
1963-12-01
1964-01-01
1964-02-01
1964-03-01
1964-04-01
1964-05-01
1964-06-01
1964-07-01
1964-08-01
1964-09-01
1964-10-01
1964-11-01
1964-12-01
1965-01-01
1965-02-01
1965-03-01
1965-04-01
1965-05-01
1965-06-01
1965-07-01
1965-08-01
1965-09-01
1965-10-01
1965-11-01
1965-12-01
1966-01-01
1966-02-01
1966-03-01
1966-04-01
1966-05-01
1966-06-01
1966-07-01
1966-08-01
1966-09-01
1966-10-01
1966-11-01
1966-12-01
1967-01-01
1967-02-01
1967-03-01
1967-04-01
1967-05-01
1967-06-01
1967-07-01
1967-08-01

2.93
2.99
3.18
3.32
3.38
3.45
3.52
3.52
3.52
3.53
3.54
3.47
3.48
3.48
3.46
3.50
3.53
3.57
3.64
3.84
3.81
3.93
3.93
3.93
3.89
3.80
3.84
3.84
3.92
4.03
4.09
4.38
4.59
4.65
4.59
4.62
4.64
4.50
4.80
4.96
5.37
5.35
5.32
4.96
4.72
4.56
4.26
3.84
3.60
3.54
4.21
4.27

1967-09-01
1967-10-01
1967-11-01
1967-12-01
1968-01-01
1968-02-01
1968-03-01
1968-04-01
1968-05-01
1968-06-01
1968-07-01
1968-08-01
1968-09-01
1968-10-01
1968-11-01
1968-12-01
1969-01-01
1969-02-01
1969-03-01
1969-04-01
1969-05-01
1969-06-01
1969-07-01
1969-08-01
1969-09-01
1969-10-01
1969-11-01
1969-12-01
1970-01-01
1970-02-01
1970-03-01
1970-04-01
1970-05-01
1970-06-01
1970-07-01
1970-08-01
1970-09-01
1970-10-01
1970-11-01
1970-12-01
1971-01-01
1971-02-01
1971-03-01
1971-04-01
1971-05-01
1971-06-01
1971-07-01
1971-08-01
1971-09-01
1971-10-01
1971-11-01
1971-12-01

4.42
4.56
4.73
4.97
5.00
4.98
5.17
5.38
5.66
5.52
5.31
5.09
5.19
5.35
5.45
5.96
6.14
6.12
6.02
6.11
6.04
6.44
7.00
6.98
7.09
7.00
7.24
7.82
7.87
7.13
6.63
6.51
6.84
6.68
6.45
6.41
6.12
5.91
5.28
4.87
4.44
3.70
3.38
3.86
4.14
4.75
5.40
4.94
4.69
4.46
4.22
4.01

1972-01-01
1972-02-01
1972-03-01
1972-04-01
1972-05-01
1972-06-01
1972-07-01
1972-08-01
1972-09-01
1972-10-01
1972-11-01
1972-12-01
1973-01-01
1973-02-01
1973-03-01
1973-04-01
1973-05-01
1973-06-01
1973-07-01
1973-08-01
1973-09-01
1973-10-01
1973-11-01
1973-12-01
1974-01-01
1974-02-01
1974-03-01
1974-04-01
1974-05-01
1974-06-01
1974-07-01
1974-08-01
1974-09-01
1974-10-01
1974-11-01
1974-12-01
1975-01-01
1975-02-01
1975-03-01
1975-04-01
1975-05-01
1975-06-01
1975-07-01
1975-08-01
1975-09-01
1975-10-01
1975-11-01
1975-12-01
1976-01-01
1976-02-01
1976-03-01
1976-04-01

3.38
3.20
3.73
3.71
3.69
3.91
3.98
4.02
4.66
4.74
4.78
5.07
5.41
5.60
6.09
6.26
6.36
7.19
8.01
8.67
8.29
7.22
7.83
7.45
7.77
7.12
7.96
8.33
8.23
7.90
7.55
8.96
8.06
7.46
7.47
7.15
6.26
5.50
5.49
5.61
5.23
5.34
6.13
6.44
6.42
5.96
5.48
5.44
4.87
4.88
5.00
4.86

1976-05-01
1976-06-01
1976-07-01
1976-08-01
1976-09-01
1976-10-01
1976-11-01
1976-12-01
1977-01-01
1977-02-01
1977-03-01
1977-04-01
1977-05-01
1977-06-01
1977-07-01
1977-08-01
1977-09-01
1977-10-01
1977-11-01
1977-12-01
1978-01-01
1978-02-01
1978-03-01
1978-04-01
1978-05-01
1978-06-01
1978-07-01
1978-08-01
1978-09-01
1978-10-01
1978-11-01
1978-12-01
1979-01-01
1979-02-01
1979-03-01
1979-04-01
1979-05-01
1979-06-01
1979-07-01
1979-08-01
1979-09-01
1979-10-01
1979-11-01
1979-12-01
1980-01-01
1980-02-01
1980-03-01
1980-04-01
1980-05-01
1980-06-01
1980-07-01
1980-08-01

5.20
5.41
5.23
5.14
5.08
4.92
4.75
4.35
4.62
4.67
4.60
4.54
4.96
5.02
5.19
5.49
5.81
6.16
6.10
6.07
6.44
6.45
6.29
6.29
6.41
6.73
7.01
7.08
7.85
7.99
8.64
9.08
9.35
9.32
9.48
9.46
9.61
9.06
9.24
9.52
10.26
11.70
11.79
12.04
12.00
12.86
15.20
13.20
8.58
7.07
8.06
9.13

1980-09-01
1980-10-01
1980-11-01
1980-12-01
1981-01-01
1981-02-01
1981-03-01
1981-04-01
1981-05-01
1981-06-01
1981-07-01
1981-08-01
1981-09-01
1981-10-01
1981-11-01
1981-12-01
1982-01-01
1982-02-01
1982-03-01
1982-04-01
1982-05-01
1982-06-01
1982-07-01
1982-08-01
1982-09-01
1982-10-01
1982-11-01
1982-12-01
1983-01-01
1983-02-01
1983-03-01
1983-04-01
1983-05-01
1983-06-01
1983-07-01
1983-08-01
1983-09-01
1983-10-01
1983-11-01
1983-12-01
1984-01-01
1984-02-01
1984-03-01
1984-04-01
1984-05-01
1984-06-01
1984-07-01
1984-08-01
1984-09-01
1984-10-01
1984-11-01
1984-12-01

10.27
11.62
13.73
15.49
15.02
14.79
13.36
13.69
16.30
14.73
14.95
15.51
14.70
13.54
10.86
10.85
12.28
13.48
12.68
12.70
12.09
12.47
11.35
8.68
7.92
7.71
8.07
7.94
7.86
8.11
8.35
8.21
8.19
8.79
9.08
9.34
9.00
8.64
8.76
9.00
8.90
9.09
9.52
9.69
9.83
9.87
10.12
10.47
10.37
9.74
8.61
8.06

1985-01-01
1985-02-01
1985-03-01
1985-04-01
1985-05-01
1985-06-01
1985-07-01
1985-08-01
1985-09-01
1985-10-01
1985-11-01
1985-12-01
1986-01-01
1986-02-01
1986-03-01
1986-04-01
1986-05-01
1986-06-01
1986-07-01
1986-08-01
1986-09-01
1986-10-01
1986-11-01
1986-12-01
1987-01-01
1987-02-01
1987-03-01
1987-04-01
1987-05-01
1987-06-01
1987-07-01
1987-08-01
1987-09-01
1987-10-01
1987-11-01
1987-12-01
1988-01-01
1988-02-01
1988-03-01
1988-04-01
1988-05-01
1988-06-01
1988-07-01
1988-08-01
1988-09-01
1988-10-01
1988-11-01
1988-12-01
1989-01-01
1989-02-01
1989-03-01
1989-04-01

7.76
8.27
8.52
7.95
7.48
6.95
7.08
7.14
7.10
7.16
7.24
7.10
7.07
7.06
6.56
6.06
6.15
6.21
5.83
5.53
5.21
5.18
5.35
5.53
5.43
5.59
5.59
5.64
5.66
5.67
5.69
6.04
6.40
6.13
5.69
5.77
5.81
5.66
5.70
5.91
6.26
6.46
6.73
7.06
7.24
7.35
7.76
8.07
8.27
8.53
8.82
8.65

1989-05-01
1989-06-01
1989-07-01
1989-08-01
1989-09-01
1989-10-01
1989-11-01
1989-12-01
1990-01-01
1990-02-01
1990-03-01
1990-04-01
1990-05-01
1990-06-01
1990-07-01
1990-08-01
1990-09-01
1990-10-01
1990-11-01
1990-12-01
1991-01-01
1991-02-01
1991-03-01
1991-04-01
1991-05-01
1991-06-01
1991-07-01
1991-08-01
1991-09-01
1991-10-01
1991-11-01
1991-12-01
1992-01-01
1992-02-01
1992-03-01
1992-04-01
1992-05-01
1992-06-01
1992-07-01
1992-08-01
1992-09-01
1992-10-01
1992-11-01
1992-12-01
1993-01-01
1993-02-01
1993-03-01
1993-04-01
1993-05-01
1993-06-01
1993-07-01
1993-08-01

8.43
8.15
7.88
7.90
7.75
7.64
7.69
7.63
7.64
7.74
7.90
7.77
7.74
7.73
7.62
7.45
7.36
7.17
7.06
6.74
6.22
5.94
5.91
5.65
5.46
5.57
5.58
5.33
5.22
4.99
4.56
4.07
3.80
3.84
4.04
3.75
3.63
3.66
3.21
3.13
2.91
2.86
3.13
3.22
3.00
2.93
2.95
2.87
2.96
3.07
3.04
3.02

1993-09-01
1993-10-01
1993-11-01
1993-12-01
1994-01-01
1994-02-01
1994-03-01
1994-04-01
1994-05-01
1994-06-01
1994-07-01
1994-08-01
1994-09-01
1994-10-01
1994-11-01
1994-12-01
1995-01-01
1995-02-01
1995-03-01
1995-04-01
1995-05-01
1995-06-01
1995-07-01
1995-08-01
1995-09-01
1995-10-01
1995-11-01
1995-12-01
1996-01-01
1996-02-01
1996-03-01
1996-04-01
1996-05-01
1996-06-01
1996-07-01
1996-08-01
1996-09-01
1996-10-01
1996-11-01
1996-12-01
1997-01-01
1997-02-01
1997-03-01
1997-04-01
1997-05-01
1997-06-01
1997-07-01
1997-08-01
1997-09-01
1997-10-01
1997-11-01
1997-12-01

2.95
3.02
3.10
3.06
2.98
3.25
3.50
3.68
4.14
4.14
4.33
4.48
4.62
4.95
5.29
5.60
5.71
5.77
5.73
5.65
5.67
5.47
5.42
5.40
5.28
5.28
5.36
5.14
5.00
4.83
4.96
4.95
5.02
5.09
5.15
5.05
5.09
4.99
5.03
4.91
5.03
5.01
5.14
5.16
5.05
4.93
5.05
5.14
4.95
4.97
5.14
5.16

1998-01-01
1998-02-01
1998-03-01
1998-04-01
1998-05-01
1998-06-01
1998-07-01
1998-08-01
1998-09-01
1998-10-01
1998-11-01
1998-12-01
1999-01-01
1999-02-01
1999-03-01
1999-04-01
1999-05-01
1999-06-01
1999-07-01
1999-08-01
1999-09-01
1999-10-01
1999-11-01
1999-12-01
2000-01-01
2000-02-01
2000-03-01
2000-04-01
2000-05-01
2000-06-01
2000-07-01
2000-08-01
2000-09-01
2000-10-01
2000-11-01
2000-12-01
2001-01-01
2001-02-01
2001-03-01
2001-04-01
2001-05-01
2001-06-01
2001-07-01
2001-08-01
2001-09-01
2001-10-01
2001-11-01
2001-12-01
2002-01-01
2002-02-01
2002-03-01
2002-04-01

5.04
5.09
5.03
4.95
5.00
4.98
4.96
4.90
4.61
3.96
4.41
4.39
4.34
4.44
4.44
4.29
4.50
4.57
4.55
4.72
4.68
4.86
5.07
5.20
5.32
5.55
5.69
5.66
5.79
5.69
5.96
6.09
6.00
6.11
6.17
5.77
5.15
4.88
4.42
3.87
3.62
3.49
3.51
3.36
2.64
2.16
1.87
1.69
1.65
1.73
1.79
1.72

2002-05-01
2002-06-01
2002-07-01
2002-08-01
2002-09-01
2002-10-01
2002-11-01
2002-12-01
2003-01-01
2003-02-01
2003-03-01
2003-04-01
2003-05-01
2003-06-01
2003-07-01
2003-08-01
2003-09-01
2003-10-01
2003-11-01
2003-12-01
2004-01-01
2004-02-01
2004-03-01
2004-04-01
2004-05-01
2004-06-01
2004-07-01
2004-08-01
2004-09-01
2004-10-01
2004-11-01
2004-12-01
2005-01-01
2005-02-01
2005-03-01
2005-04-01
2005-05-01
2005-06-01
2005-07-01
2005-08-01
2005-09-01
2005-10-01
2005-11-01
2005-12-01
2006-01-01
2006-02-01
2006-03-01
2006-04-01
2006-05-01
2006-06-01
2006-07-01

1.73
1.70
1.68
1.62
1.63
1.58
1.23
1.19
1.17
1.17
1.13
1.13
1.07
0.92
0.90
0.95
0.94
0.92
0.93
0.90
0.88
0.93
0.94
0.94
1.02
1.27
1.33
1.48
1.65
1.76
2.07
2.19
2.33
2.54
2.74
2.78
2.84
2.97
3.22
3.44
3.42
3.71
3.88
3.89
4.24
4.43
4.51
4.60
4.72
4.79
4.95

KRAFT: CASH FLOWS TO EQUITY HOLDERS, 2001 - 2005


Repurchase of Class A common stock
Dividends paid
Net proceeds from Class A common stock
Cash flow to equity holders

2005/12/31
$1,175,000,000
$1,437,000,000

2004/12/31
$688,000,000
$1,280,000,000

$2,612,000,000

$1,968,000,000

2005/12/31
2004/12/31
CASH PROVIDED BY (USED IN) OPERATING
ACTIVITIES
Net earnings
$2,632,000,000 $2,665,000,000
Adjustments to reconcile net earnings to operating cash flows:
Depreciation and amortization
$879,000,000
$879,000,000
Deferred income tax (benefit) provision
($408,000,000)
$41,000,000
(Gains) losses on sales of businesses,
($108,000,000)
$3,000,000
net
Integration costs, net of cash paid
($1,000,000)
($1,000,000)
Loss on sale of discontinued operations
$32,000,000
Impairment loss on discontinued
$107,000,000
operations
Asset impairment and exit costs, net of
$315,000,000
$493,000,000
cash paid
Cash effects of changes, net of the effects from acquired and divested companies:
Receivables, net
$65,000,000
$23,000,000
Inventories
($42,000,000)
($65,000,000)
Accounts payable
$74,000,000
$152,000,000
Income taxes
($33,000,000)
($251,000,000)
Amounts due to Altria Group, Inc. and
$273,000,000
$74,000,000
affiliates
Other working capital items
($432,000,000)
$90,000,000
Change in pension assets and
($10,000,000)
($436,000,000)
postretirement liabilities, net
Other
$228,000,000
$234,000,000
Net cash provided by operating
$3,464,000,000 $4,008,000,000
activities
CASH PROVIDED BY (USED IN) INVESTING
ACTIVITIES
Capital expenditures
($1,171,000,000) ($1,006,000,000)
Purchases of businesses, net of acquired
($137,000,000)
cash
Proceeds from sales of businesses
$1,668,000,000
$18,000,000
Other
$28,000,000
$69,000,000

Net cash provided by (used in) investing


activities
CASH PROVIDED BY (USED IN) FINANCING
ACTIVITIES
Net (repayment) issuance of short-term
borrowings
Long-term debt proceeds
Long-term debt repaid
Repayment of notes payable to Altria Group,
Inc. and affiliates
Increase (decrease) in amounts due to
Altria Group, Inc. and affiliates
Repurchase of Class A common stock
Dividends paid
Other
Net cash used in financing activities
Effect of exchange rate changes on cash and
cash equivalents
Cash and cash equivalents:
Increase (decrease)
Balance at beginning of year
Balance at end of year
Cash paid:
Interest
Income taxes

$525,000,000

($1,056,000,000)

($1,005,000,000)

($635,000,000)

$69,000,000
($775,000,000)

$832,000,000
($842,000,000)

$107,000,000

($585,000,000)

($1,175,000,000)
($688,000,000)
($1,437,000,000) ($1,280,000,000)
$265,000,000
($20,000,000)
($3,951,000,000) ($3,218,000,000)
($4,000,000)
$34,000,000

$34,000,000
$282,000,000
$316,000,000
$679,000,000
$1,957,000,000

($232,000,000)
$514,000,000
$282,000,000
$633,000,000
$1,610,000,000

2003/12/31
$372,000,000
$1,089,000,000
$1,461,000,000

2003/12/31

$3,476,000,000
$813,000,000
$244,000,000
($31,000,000)
($26,000,000)

$6,000,000

($45,000,000)
$197,000,000
($116,000,000)
($125,000,000)
$169,000,000
($167,000,000)
($419,000,000)
$143,000,000
$4,119,000,000

($1,085,000,000)
($98,000,000)
$96,000,000
$38,000,000

2002/12/31
$372,000,000
$936,000,000
$8,425,000,000
($7,117,000,000)

2001/12/31
$170,000,000
$225,000,000
$395,000,000

2003/12/31
Cash Provided By (Used In) Operating Activities
Net earnings
$3,476,000,000
$
Adjustments to reconcile net earnings to operating cash flows:
Depreciation and amortization
$813,000,000
Deferred income tax provision
$244,000,000
Gains on sales of businesses
($31,000,000)
Integration costs and a loss on sale of a food
($26,000,000)
factory, net of cash paid
Asset impairment and exit costs, net of cash paid
$6,000,000
Cash effects of changes, net of the effects from acquired and divested companies:
Receivables, net
($45,000,000)
Inventories
$197,000,000
Accounts payable
($116,000,000)
Income taxes
($125,000,000)
Amounts due to Altria Group, Inc. and affiliates
$169,000,000
Other working capital items
($167,000,000)
Change in pension assets and postretirement
($419,000,000)
liabilities, net
Other
$143,000,000
Net cash provided by operating activities$4,119,000,000
Cash Provided By (Used In) Investing Activities
Capital expenditures
($1,085,000,000)
Purchases of businesses, net of acquired cash
($98,000,000)
Proceeds from sales of businesses
$96,000,000
Other
$38,000,000
Net cash used in investing activities
($1,049,000,000)
Cash Provided By (Used In) Financing Activities
Net issuance (repayment) of short-term borrowings
$819,000,000
Long-term debt proceeds
$1,577,000,000
Long-term debt repaid
($491,000,000)
Repayment of notes payable to Altria Group,
($2,757,000,000)
Inc. and affiliates
(Decrease) increase in amounts due to Altria($525,000,000)
Group, Inc. and affiliates
Repurchase of Class A common stock
($372,000,000)
Dividends paid
($1,089,000,000)
Net proceeds from sale of Class A common stock
Other
$52,000,000

($1,049,000,000)

$819,000,000
$1,577,000,000
($491,000,000)
($2,757,000,000)

Net cash used in financing activities


($2,786,000,000)
Effect of exchange rate changes on cash and cash
$15,000,000
equivalents
Cash and cash equivalents:
Increase (decrease)
$299,000,000
Balance at beginning of year
$215,000,000
Balance at end of year
$514,000,000
$
Cash paid:
Interest
$642,000,000
$
Income taxes
$1,726,000,000
$

($525,000,000)
($372,000,000)
($1,089,000,000)
$52,000,000
($2,786,000,000)
$15,000,000

$299,000,000
$215,000,000
$514,000,000
$642,000,000
$1,726,000,000

Repurchase of Class A common stock


($372,000,000)
Dividends paid
($1,089,000,000)
Net proceeds from sale of Class A common stock

2002/12/31

2001/12/31

$3,394,000,000
$1,882,000,000
ting cash flows:
$716,000,000
$1,642,000,000
$278,000,000
$414,000,000
($80,000,000)
($8,000,000)
$91,000,000
$79,000,000
$128,000,000
m acquired and divested companies:
$116,000,000
$23,000,000
($220,000,000)
($107,000,000)
($116,000,000)
($73,000,000)
$277,000,000
$74,000,000
($244,000,000)
$138,000,000
($330,000,000)
($290,000,000)
($217,000,000)
($305,000,000)
($73,000,000)
($141,000,000)
$3,720,000,000
$3,328,000,000
($1,184,000,000)
($122,000,000)
$219,000,000
$35,000,000
($1,052,000,000)

($1,101,000,000)
($194,000,000)
$21,000,000
$52,000,000
($1,222,000,000)

($1,036,000,000)
$2,505,000,000
$3,325,000,000
$4,077,000,000
($609,000,000)
($705,000,000)
($3,850,000,000) ($16,350,000,000)
$660,000,000
$142,000,000
($170,000,000)
($936,000,000)
($225,000,000)
$8,425,000,000

($2,616,000,000)
$1,000,000
$53,000,000
$162,000,000
$215,000,000
$825,000,000
$1,368,000,000

($170,000,000)
($936,000,000)

($2,131,000,000)
($4,000,000)
($29,000,000)
$191,000,000
$162,000,000
$1,433,000,000
$1,058,000,000

($225,000,000)
$8,425,000,000

KRAFT FOODS INC 10-K 2005-12-31: Balance Sheet


2005/12/31
ASSETS
Cash and cash equivalents
Receivables (less allowances of $92 in 2005 and $118
in 2004)
Inventories:
Raw materials
Finished product
Deferred income taxes
Assets of discontinued operations held for sale
Other current assets
Total current assets
Property, plant and equipment, at cost:
Land and land improvements
Buildings and building equipment
Machinery and equipment
Construction in progress
Less accumulated depreciation
Goodwill
Other intangible assets, net
Prepaid pension assets
Other assets
TOTAL ASSETS
LIABILITIES
Short-term borrowings
Current portion of long-term debt
Due to Altria Group, Inc. and affiliates
Accounts payable
Accrued liabilities:
Marketing
Employment costs
Other
Income taxes
Total current liabilities
Long-term debt
Deferred income taxes
Accrued postretirement health care costs
Other liabilities
Total liabilities
Contingencies (Note 18)
SHAREHOLDERS' EQUITY
Class A common stock, no par value (555,000,000
shares issued in 2005 and 2004)
Class B common stock, no par value (1,180,000,000
shares issued and outstanding in 2005 and 2004)
Additional paid-in capital
Earnings reinvested in the business

$316,000,000
$3,385,000,000

$1,363,000,000
$1,980,000,000
$3,343,000,000
$879,000,000
$230,000,000
$8,153,000,000
$388,000,000
$3,551,000,000
$12,008,000,000
$651,000,000
$16,598,000,000
$6,781,000,000
$9,817,000,000
$24,648,000,000
$10,516,000,000
$3,617,000,000
$877,000,000
$57,628,000,000
$805,000,000
$1,268,000,000
$652,000,000
$2,270,000,000
$1,529,000,000
$625,000,000
$1,338,000,000
$237,000,000
$8,724,000,000
$8,475,000,000
$6,067,000,000
$1,931,000,000
$2,838,000,000
$28,035,000,000

$23,835,000,000
$9,453,000,000

Accumulated other comprehensive losses (including


currency translation of $(1,290) in 2005 and $(890) in 2004)
Less cost of repurchased stock (65,119,245 Class A
shares in 2005 and 29,644,926 Class A shares in 2004)
Total shareholders' equity
TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY

Net revenues
Cost of sales
Gross profit
Marketing, administration and research costs
Asset impairment and exit costs
(Gains) losses on sales of businesses, net
Amortization of intangibles
Operating income
Interest and other debt expense, net
Earnings from continuing operations before
income taxes and minority interest
Provision for income taxes
Earnings from continuing operations before
minority interest
Minority interest in earnings from
continuing operations, net
Earnings from continuing operations
(Loss) earnings from discontinued
operations, net of income taxes
Net earnings
Per share data:
Basic earnings per share:
Continuing operations
Discontinued operations
Net earnings
Diluted earnings per share:
Continuing operations
Discontinued operations
Net earnings

($1,663,000,000)
$31,625,000,000
($2,032,000,000)
$29,593,000,000
$57,628,000,000

2005/12/31
$34,113,000,000
$21,845,000,000
$12,268,000,000
$7,135,000,000
$479,000,000
($108,000,000)
$10,000,000
$4,752,000,000
$636,000,000
$4,116,000,000
$1,209,000,000
$2,907,000,000
$3,000,000
$2,904,000,000
($272,000,000)
$2,632,000,000

$1,720,000
($160,000)
$1,560,000
$1,720,000
($170,000)
$1,550,000

2005/12/31
CASH PROVIDED BY (USED IN) OPERATING
ACTIVITIES
Net earnings
Adjustments to reconcile net earnings to operating cash flows:
Depreciation and amortization
Deferred income tax (benefit) provision
(Gains) losses on sales of businesses,
net

$2,632,000,000
$879,000,000
($408,000,000)
($108,000,000)

Integration costs, net of cash paid


($1,000,000)
Loss on sale of discontinued operations
$32,000,000
Impairment loss on discontinued
operations
Asset impairment and exit costs, net of
$315,000,000
cash paid
Cash effects of changes, net of the effects from acquired and divested companies:
Receivables, net
$65,000,000
Inventories
($42,000,000)
Accounts payable
$74,000,000
Income taxes
($33,000,000)
Amounts due to Altria Group, Inc. and
$273,000,000
affiliates
Other working capital items
($432,000,000)
Change in pension assets and
($10,000,000)
postretirement liabilities, net
Other
$228,000,000
Net cash provided by operating
$3,464,000,000
activities
CASH PROVIDED BY (USED IN) INVESTING
ACTIVITIES
Capital expenditures
($1,171,000,000)
Purchases of businesses, net of acquired
cash
Proceeds from sales of businesses
$1,668,000,000
Other
$28,000,000
Net cash provided by (used in) investing
$525,000,000
activities
CASH PROVIDED BY (USED IN) FINANCING
ACTIVITIES
Net (repayment) issuance of short-term
($1,005,000,000)
borrowings
Long-term debt proceeds
$69,000,000
Long-term debt repaid
($775,000,000)
Repayment of notes payable to Altria Group,
Inc. and affiliates
Increase (decrease) in amounts due to
$107,000,000
Altria Group, Inc. and affiliates
Repurchase of Class A common stock
($1,175,000,000)
Dividends paid
($1,437,000,000)
Other
$265,000,000
Net cash used in financing activities
($3,951,000,000)
Effect of exchange rate changes on cash and
($4,000,000)
cash equivalents
Cash and cash equivalents:
Increase (decrease)
$34,000,000
Balance at beginning of year
$282,000,000
Balance at end of year
$316,000,000
Cash paid:
Interest
$679,000,000
Income taxes
$1,957,000,000

This data was extracted by EdgarScan from the PricewaterhouseCoopers Global Technology Centre.
Please read the on-line disclaimer at http://edgarscan.pwcglobal.com/EdgarScan/edgarscan_disclaimer.html
Tax rate, TC

Shares outstanding (from equity in balance sheet)


Class A
Class B
Repurchased
Total

Note: Yahoo shows 1.66B shares

29.37%

555,000,000
1,180,000,000
65,119,245
1,669,880,755

2004/12/31
$282,000,000
$3,541,000,000

$1,367,000,000
$2,080,000,000
$3,447,000,000
$749,000,000
$1,458,000,000
$245,000,000
$9,722,000,000
$400,000,000
$3,545,000,000
$11,892,000,000
$646,000,000
$16,483,000,000
$6,498,000,000
$9,985,000,000
$25,177,000,000
$10,634,000,000
$3,569,000,000
$841,000,000
$59,928,000,000
$1,818,000,000
$750,000,000
$227,000,000
$2,207,000,000
$1,637,000,000
$732,000,000
$1,537,000,000
$170,000,000
$9,078,000,000
$9,723,000,000
$6,468,000,000
$1,887,000,000
$2,861,000,000
$30,017,000,000

$23,762,000,000
$8,304,000,000

($1,205,000,000)
$30,861,000,000
($950,000,000)
$29,911,000,000
$59,928,000,000

2004/12/31
$32,168,000,000
$20,281,000,000
$11,887,000,000
$6,658,000,000
$603,000,000
$3,000,000
$11,000,000
$4,612,000,000
$666,000,000
$3,946,000,000

2003/12/31
$30,498,000,000
$18,531,000,000
$11,967,000,000
$6,123,000,000
$6,000,000
($31,000,000)
$9,000,000
$5,860,000,000
$665,000,000
$5,195,000,000

$1,274,000,000
$2,672,000,000

$1,812,000,000
$3,383,000,000

$3,000,000

$4,000,000

$2,669,000,000
($4,000,000)

$3,379,000,000
$97,000,000

$2,665,000,000

$3,476,000,000

$1,560,000

$1,950,000
$60,000
$2,010,000

$1,560,000
$1,550,000
$1,550,000

2004/12/31

$2,665,000,000
$879,000,000
$41,000,000
$3,000,000

$1,950,000
$60,000
$2,010,000

2003/12/31

$3,476,000,000
$813,000,000
$244,000,000
($31,000,000)

($1,000,000)

($26,000,000)

$107,000,000
$493,000,000

$6,000,000

$23,000,000
($65,000,000)
$152,000,000
($251,000,000)
$74,000,000

($45,000,000)
$197,000,000
($116,000,000)
($125,000,000)
$169,000,000

$90,000,000
($436,000,000)

($167,000,000)
($419,000,000)

$234,000,000
$4,008,000,000

$143,000,000
$4,119,000,000

($1,006,000,000)
($137,000,000)

($1,085,000,000)
($98,000,000)

$18,000,000
$69,000,000
($1,056,000,000)

$96,000,000
$38,000,000
($1,049,000,000)

($635,000,000)

$819,000,000

$832,000,000
($842,000,000)

$1,577,000,000
($491,000,000)
($2,757,000,000)

($585,000,000)

($525,000,000)

($688,000,000)
($1,280,000,000)
($20,000,000)
($3,218,000,000)
$34,000,000

($372,000,000)
($1,089,000,000)
$52,000,000
($2,786,000,000)
$15,000,000

($232,000,000)
$514,000,000
$282,000,000
$633,000,000
$1,610,000,000

$299,000,000
$215,000,000
$514,000,000
$642,000,000
$1,726,000,000

Technology Centre.
edgarscan_disclaimer.html
32.29%

555,000,000
1,180,000,000
29,644,926
1,705,355,074

34.88%

TYSON FOODS INC 10-K/A 2006-02-08: Cash Flow


2004/02/08
2003/02/08
2005
Cash Flows From Operating Activities:
Net income
$403,000,000
$ 372
$337,000,000
Adjustments to reconcile net income to cash provided by operating activities:
Depreciation
$458,000,000
465
$427,000,000
Amortization
$32,000,000
36
$31,000,000
Plant closing related charges
$28,000,000 10 $22,000,000
Impairment and write-down$46,000,000
of assets
25
$0
Deferred taxes
$8,000,000
(93
$113,000,000
)
Other
$4,000,000
(2
)
$36,000,000
(Increase) decrease in accounts
$67,000,000 24
($179,000,000)
receivable
(Increase) decrease in inventories
($65,000,000) 13
($78,000,000)
Increase in trade accounts$109,000,000
payable
11
$60,000,000
Net change in other current
($158,000,000)
assets and
$51,000,000
138
liabilities
Cash Provided by Operating Activities
$932,000,000 $820,000,000
999
Cash Flows From Investing Activities:
Additions to property, plant ($486,000,000)
and equipment ($402,000,000)
(571
)
Proceeds from sale of assets $27,000,000 47 $30,000,000
Purchases of marketable securities
($99,000,000) (543
) $0
Proceeds from marketable securities $0
504
$0
Net change in other assets and
($42,000,000)
liabilities
2$11,000,000
Cash Used for Investing Activities
($600,000,000) (561
($361,000,000)
)
Cash Flows From Financing Activities:
Payments of debt, net
($242,000,000)
(720($387,000,000)
)
Proceeds from borrowings of debt
$0 353
$0
Purchase of treasury shares ($72,000,000)(45($41,000,000)
)
Dividends
($55,000,000)
(55
) ($54,000,000)
Stock options exercised and other
$43,000,000 24
$0
Cash Used for Financing Activities
($326,000,000) ($482,000,000)
(443
)
Effect of Exchange Rate Change$2,000,000
on Cash
($3,000,000)
12
Increase (Decrease) in Cash and
$8,000,000
Cash
($26,000,000)
7
Equivalents
Cash and Cash Equivalents at $25,000,000
Beginning of Year
$51,000,000
33
Cash and Cash Equivalents at $33,000,000
End of Year
$25,000,000
$ 40

2003/09/27
2002/09/27
2001/09/27
Cash Flows From Operating Activities:
Net income
$
$337,000,000
$383,000,000
$88,000,000
Adjustments to reconcile net income to cash provided by operating activities:
Depreciation
$427,000,000
$431,000,000
$294,000,000
Amortization
$31,000,000
$36,000,000
$41,000,000
Plant closing related charges
$22,000,000
$0
$0
Write-down of intangible asset
$0
$27,000,000
$0
Gain on sale of subsidiary
$0
($22,000,000)
$0
Deferred taxes
$113,000,000
$22,000,000
($47,000,000)
Other
$36,000,000
$20,000,000
$21,000,000
(Increase) decrease in accounts receivable ($179,000,000)
$44,000,000
($45,000,000)
Increase in inventories
($78,000,000)
($4,000,000)
($15,000,000)
Increase (decrease) in trade accounts payable $60,000,000
($30,000,000)
$89,000,000
Net change in other current assets and liabilities$51,000,000
$267,000,000
$85,000,000
Cash Provided by Operating Activities
$820,000,000 $1,174,000,000
$511,000,000
Cash Flows From Investing Activities:
Additions to property, plant and equipment
($402,000,000) ($433,000,000)
($261,000,000)
Proceeds from sale of assets
$30,000,000
$14,000,000
$33,000,000
Proceeds from sale of subsidiary
$0
$131,000,000
$0
Net cash paid for IBP acquisition
$0
$0 ($1,670,000,000)
Acquisitions of property, plant and equipment
$0
($73,000,000)
($33,000,000)
Purchase of Tyson de Mexico minority interest
$0
$0
($19,000,000)
Net change in investment in commercial paper
$4,000,000
$94,000,000
($23,000,000)
Net change in other assets and liabilities
$7,000,000
($61,000,000)
($45,000,000)
Cash Used for Investing Activities
($361,000,000) ($328,000,000) ($2,018,000,000)
Cash Flows From Financing Activities:
Net change in debt
($387,000,000) ($789,000,000) $1,584,000,000
Purchase of treasury shares
($41,000,000)
($19,000,000)
($48,000,000)
Proceeds from exercise of IBP stock options
$0
$0
$34,000,000
Dividends and other
($54,000,000)
($58,000,000)
($35,000,000)
Cash Provided by (Used for) Financing Activities ($482,000,000) ($866,000,000) $1,535,000,000
Effect of Exchange Rate Change on Cash
($3,000,000)
$1,000,000
($1,000,000)
Increase (Decrease) in Cash and Cash Equivalents($26,000,000)
($19,000,000)
$27,000,000
Cash and Cash Equivalents at Beginning of Year $51,000,000
$70,000,000
$43,000,000
Cash and Cash Equivalents at End of Year
$25,000,000
$
$51,000,000
$70,000,000

Cash and cash equivalents


Current debt
Long term debt
Interest paid

2005
2004
40,000,000
33,000,000
126,000,000
338,000,000
2,869,000,000 3,024,000,000
227,000,000

2005
Sales
Cost of Sales
Operating Expenses:
Selling, general and administrative
Other charges
Operating Income
Other Expense:
Interest
Other

Income Before Income Taxes


Provision for Income Taxes
Net Income
Tax rate

Weighted Average Shares Outstanding:


Class A Basic
Class B Basic
Diluted
Earnings Per Share:
Class A Basic
Class B Basic
Diluted

$26,014
24,274
1,740

2004
$26,441
24,550
1,891

2003
$24,549
22,805
1,744

928
47
765

880
86
925

831
76
837

227
10
237

275
15
290

296
18
314

528
156
$372

635
232
$403

523
186
$337

29.55%

36.54%

35.56%

243
102
357

243
102
357

244
102
352

$1.11
$1.00
$1.04

$1.20
$1.08
$1.13

$1.00
$0.90
$0.96

Less treasury sto


15 million shares
shares in 2004
Less unamortized

Total Shareholde
Total Liabilities a

Assets
Current Assets:
Cash and cash equivalents
Accounts receivable, net
Inventories
Other current assets
Total Current Assets
Net Property, Plant and Equipment
Goodwill
Intangible Assets
Other Assets
Total Assets

Liabilities and Shareholders Equity


Current Liabilities:
Current debt
Trade accounts payable
Other current liabilities
Total Current Liabilities
Long-Term Debt
Deferred Income Taxes
Other Liabilities
Shareholders Equity:
Common stock ($0.10 par value):
Class A-authorized 900 million shares:
issued 268 million shares in 2005 and

2005

2004

$40
1,214
2,062
169
3,485
4,007
2,502
142
368
$10,504

$33
1,240
2,063
196
3,532
3,964
2,558
149
261
$10,464

$126
961
1,070
2,157
2,869
638
169

$338
945
1,010
2,293
3,024
695
160

27

27

10

10

1,867
3,032
28
4,964

1,849
2,728
-12
4,602

238

264

55

46

2004
Class B-authorized 900 million shares:
issued 102 million shares in 2005 and
2004
Capital in excess of par value
Retained earnings
Accumulated other comprehensive income (loss
Less treasury stock, at cost15 million shares in 2005 and 17 million
shares in 2004
Less unamortized deferred compensation

Total Shareholders Equity


Total Liabilities and Shareholders Equity

4,671
$10,504

4,292
$10,464

CASCADE CORPORATION: CASH FLOWS TO EQUITY


Dividends
Share repurchases
Shares issued

2006/01/31
$6,691,000

2005/01/31
$5,478,000

$2,787,000

$1,616,000

2004/01/31 2003/01/31 2002/01/31


$4,936,000 $1,200,000
$0
$0 $1,396,000 $1,354,000
$1,299,000
$73,000

2006/01/31
2005/01/31
2004/01/31
Cash flows from operating activities:
Net income
$42,051,000 $28,490,000 $18,506,000
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and amortization
$16,005,000 $14,570,000 $12,664,000
Share-based compensation
$2,278,000
$2,492,000
$0
Deferred income taxes
($2,995,000) $2,062,000
$1,802,000
Loss on disposition of assets
$385,000
$3,000
$102,000
Changes in operating assets and liabilities, net of effects of acquisitions and dispositions:
Accounts receivable
$2,023,000 ($12,803,000) ($9,810,000)
Inventories
($12,026,000) ($8,320,000) ($2,235,000)
Prepaid expenses and other
($141,000)
$34,000
$38,000
Accounts payable and accrued expenses $2,378,000
$8,342,000
$538,000
Current income tax payable and receivable $245,000
$2,210,000
$3,415,000
Other assets and liabilities
$222,000
$728,000
$1,221,000
Net cash provided by operating activities $50,425,000 $37,808,000 $26,241,000
Cash flows from investing activities:
Capital expenditures
($10,580,000) ($13,581,000) ($11,403,000)
Sale of marketable securities
$71,549,000 $21,246,000 $25,225,000
Purchase of marketable securities
($93,050,000) ($17,791,000) ($31,227,000)
Business acquisitions
$0 ($6,236,000) ($11,677,000)
Proceeds from sale of assets
$358,000
$314,000
$844,000
Other assets
$0
$147,000
($930,000)
Proceeds from sale of investment
$0
$1,044,000
$0
Proceeds from notes receivable
$0
$0
$9,556,000
Net cash used in investing activities
($31,723,000) ($14,857,000) ($19,612,000)
Cash flows from financing activities:
Cash dividends paid
($6,691,000) ($5,478,000) ($4,936,000)
Payments on long-term debt and capital leases
($12,922,000) ($13,026,000) ($12,850,000)
Notes payable to banks, net
$2,452,000
($344,000) $1,606,000
Common stock issued under share-based compensation
$2,787,000
$1,616,000
$1,299,000
plans
Excess tax benefit from exercise of share-based
$1,183,000
$340,000
$166,000
compensation awards

Net cash used in financing activities


($13,191,000) ($16,892,000) ($14,715,000)
Effect of exchange rate changes
($500,000) ($1,161,000) $4,169,000
Change in cash and cash equivalents
$5,011,000
$4,898,000 ($3,917,000)
Cash and cash equivalents at beginning of$30,482,000
year
$25,584,000 $29,501,000
Cash and cash equivalents at end of period
$35,493,000 $30,482,000 $25,584,000
Supplemental disclosure of noncash information:

of year

2001/01/31
$2,448,000
$0

2000/01/31
$5,321,000
$1,844,000

2004/01/31
2003/01/31
2002/01/31
Cash flows from operating activities:
Net income
$18,506,000 $17,707,000
$4,127,000
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and amortization
$12,664,000 $10,793,000 $14,748,000
Deferred income taxes
$1,802,000
$2,395,000 ($5,646,000)
Loss on disposition of assets
$102,000
$54,000
$101,000
Income from discontinued operations, net
$0
$0
($485,000)
of income taxes
Loss on sale of discontinued operations,
$0
$0
$1,660,000
net of income taxes
Loss on goodwill impairment
$0
$0
$5,100,000
Allowance for (recovery of) note
$0 ($2,500,000) $7,308,000
receivable
Changes in operating assets and liabilities, net of effects of acquisitions and dispositions:
Accounts receivable
($9,810,000) ($3,472,000) $10,067,000
Inventories
($2,235,000)
$386,000
$4,706,000
Prepaid expenses and other
$3,619,000 ($4,149,000)
($39,000)
Accounts payable and accrued expenses
$538,000
$3,902,000 ($6,534,000)
Accrued environmental expenses
($799,000) ($2,297,000) ($3,901,000)
Other liabilities
$2,020,000
$1,122,000
$503,000
Cash provided by continuing operations
$26,407,000 $23,941,000 $31,715,000
Cash provided by discontinued operations
$0
$0
$3,121,000
Net cash provided by operating
$26,407,000 $23,941,000 $34,836,000
activities
Cash flows from investing activities:
Capital expenditures
($11,403,000) ($10,665,000) ($7,303,000)
Proceeds from sale of assets
$844,000
$268,000
$257,000
Advances on notes receivable
$0 ($2,102,000)
$0
Proceeds from notes receivable
$9,556,000
$4,786,000
$0
Purchase of marketable securities, net
($6,002,000)
$0
$0
Business acquisitions
($11,677,000)
$0
$0
Other assets
($930,000)
($5,000) $1,276,000
Proceeds from sale of discontinued
$0
$0
$3,250,000

operations
Cash used in continuing operations ($19,612,000)
Cash used in discontinued operations
$0
Net cash used in investing activities($19,612,000)
Cash flows from financing activities:
Payments on long-term debt
($12,850,000)
Notes payable to banks, net
$1,606,000
Repurchase of common stock
$0
Common stock issued under stock option
$1,299,000
plan
Cash dividends paid
($4,936,000)
Net cash used in financing activities($14,881,000)
Effect of exchange rate changes
$4,169,000
Change in cash and cash equivalents($3,917,000)
Cash and cash equivalents at beginning
$29,501,000
of year
Cash and cash equivalents at end of$25,584,000
year

($7,718,000)
$0
($7,718,000)

($2,520,000)
($681,000)
($3,201,000)

($15,833,000) ($10,694,000)
$300,000 ($4,357,000)
($1,396,000) ($1,354,000)
$73,000
$0
($1,200,000)
$0
($18,056,000) ($16,405,000)
$5,723,000 ($2,037,000)
$3,890,000 $13,193,000
$25,611,000 $12,418,000
$29,501,000

$25,611,000

Dividends
Share repurchases
Shares issue

2002/01/31
2001/01/31
2000/01/31
Cash flows from operating activities:
Net income
$4,127,000 $11,863,000
$4,934,000
Adjustments to reconcile net income to net cash provided by operating activities:
(Income) loss from discontinued
($485,000) ($2,089,000)
$490,000
operations, net of income taxes
Loss on sale of discontinued
$1,660,000
$0
$0
operations, net of income taxes
Goodwill impairment
$5,100,000
$0
$0
Allowance for note receivable
$7,308,000
$0
$0
Depreciation and amortization
$14,748,000 $15,897,000 $16,060,000
Deferred income taxes
($5,646,000)
$196,000 ($9,638,000)
Loss on disposition of assets
$101,000
$59,000
$1,076,000
Changes in operating assets and liabilities, net of effects of acquisitions and dispositions:
Accounts receivable
$10,067,000
($487,000) $10,660,000
Inventories
$4,706,000
$4,673,000
$3,921,000
Prepaid expenses and other
($39,000) ($1,849,000) $5,793,000
Accounts payable and accrued expenses
($6,534,000) ($4,395,000) $3,529,000
Accrued environmental expenses
($3,901,000) ($1,921,000) $10,087,000
Other liabilities
$503,000
$211,000
$1,032,000
Cash provided by continuing
$31,715,000 $22,158,000 $47,944,000
operations
Cash provided by discontinued
$3,121,000
$5,891,000
$2,191,000
operations
Net cash provided by operating
$34,836,000 $28,049,000 $50,135,000
activities
Cash flows from investing activities:
Capital expenditures
($7,303,000) ($5,549,000) ($13,811,000)
Proceeds from sale of assets
$257,000
$1,367,000 $29,785,000
Proceeds from sale of discontinued
$3,250,000
$0
$0
operations
Other assets
$1,276,000
($439,000)
($540,000)
Cash provided by (used in) continuing
($2,520,000) ($4,621,000) $15,434,000
operations

Cash provided by (used in) discontinued


($681,000)
operations
Net cash provided by (used in)
($3,201,000)
investing activities
Cash flows from financing activities:
Payments on long-term debt
($10,694,000)
Proceeds from long-term debt
$0
Notes payable to banks, net
($4,357,000)
Redemption of convertible preferred stock
$0
and minority interest
Repurchase of common stock
($1,354,000)
Cash dividends paid
$0
Net cash used in financing activities
($16,405,000)
Effect of exchange rate changes
($2,037,000)
Change in cash and cash equivalents
$13,193,000
Cash and cash equivalents at beginning of
$12,418,000
year
Cash and cash equivalents at end of period
$25,611,000
Supplemental disclosure of cash flow information:
Cash paid during the year for:
Interest
$6,440,000
Income taxes
$5,549,000
Supplemental disclosure of noncash information:
Receivable from capital lease
$0
Receivables received upon sale of assets
$9,561,000
Conversion of convertible preferred stock
$0
to common stock

($1,607,000)

($3,023,000)

($6,228,000) $12,411,000

($27,470,000) ($61,783,000)
$1,910,000 $28,844,000
($3,309,000) ($1,409,000)
$0 ($4,162,000)
$0 ($1,844,000)
($2,448,000) ($5,321,000)
($31,317,000) ($45,675,000)
($1,274,000) ($5,143,000)
($10,770,000) $11,728,000
$23,188,000 $11,460,000
$12,418,000

$23,188,000

$8,376,000
$13,378,000

$8,515,000
$8,561,000

$2,036,000
$0
$0

$0
$7,308,000
$413,000

CASCADE CORP 10-K 2006-01-31: Income Statement


Net sales
Cost of goods sold
Gross profit
Selling and administrative expenses
Amortization
Insurance litigation recovery
Environmental expenses
Operating income
Interest expense
Interest income
Other (income) expense, net
Income before provision for income taxes
Provision for income taxes
Net income
Dividends paid on preferred shares of subsidiary
Net income applicable to common shareholders
Basic earnings per share
Diluted earnings per share
Basic weighted average shares outstanding
Diluted weighted average shares outstanding

2006/01/31
2005/01/31
2004/01/31
$450,503,000 $385,719,000 $297,756,000
$307,774,000 $262,537,000 $202,120,000
$142,729,000 $123,182,000
$95,636,000
$77,392,000
$75,892,000
$63,099,000
$1,443,000
$658,000
$512,000
$0
($1,300,000)
$0
$0
$155,000
$0
$63,894,000
$47,777,000
$32,025,000
$2,741,000
$3,570,000
$4,570,000
($979,000)
($562,000) ($1,016,000)
($95,000)
($218,000)
$40,000
$62,227,000
$44,987,000
$28,431,000
$20,176,000
$16,497,000
$9,925,000
$42,051,000
$28,490,000
$18,506,000
$0
$0
($30,000)
$42,051,000
$28,490,000
$18,476,000
$3,400
$2,340
$1,550
$3,270
$2,240
$1,490
$12,354,000
$12,164,000
$11,934,000
$12,850,000
$12,726,000
$12,409,000

CASCADE CORP 10-K 2006-01-31: Balance Sheet


2006/01/31

2005/01/31

ASSETS
Current assets:
Cash and cash equivalents
$35,493,000
$30,482,000
Marketable securities
$23,004,000
$1,503,000
Accounts receivable, less allowance for doubtful accounts
$67,020,000
$70,728,000
of $1,415 and $2,182
Inventories
$56,996,000
$46,212,000
Deferred income taxes
$3,232,000
$3,042,000
Prepaid expenses and other
$5,373,000
$4,592,000
Total current assets
$191,118,000 $156,559,000
Property, plant and equipment, net
$75,374,000
$82,027,000
Goodwill
$78,820,000
$74,786,000
Deferred income taxes
$11,851,000
$9,688,000
Other assets
$4,120,000
$5,032,000
Total assets
$361,283,000 $328,092,000
LIABILITIES AND SHAREHOLDERS EQUITY
Current liabilities:
Notes payable to banks
$4,741,000
$2,461,000
Current portion of long-term debt
$12,681,000
$12,916,000
Accounts payable
$25,124,000
$25,778,000
Accrued payroll and payroll taxes
$8,710,000
$7,283,000
Accrued environmental expenses
$984,000
$894,000
Other accrued expenses
$13,916,000
$13,073,000
Total current liabilities
$66,156,000
$62,405,000

Long-term debt, net of current portion


$12,500,000
Accrued environmental expenses
$6,951,000
Deferred income taxes
$4,009,000
Other liabilities
$12,261,000
Total liabilities
$101,877,000
Commitments and contingencies (Note 13)
Shareholders equity:
Common stock, $.50 par value, 20,000 authorized shares;
$6,268,000
12,536 and 12,224 shares issued and outstanding
Additional paid-in capital
$21,590,000
Unamortized deferred compensation
$0
Retained earnings
$223,867,000
Accumulated other comprehensive income
$7,681,000
Total shareholders equity
$259,406,000
Total liabilities and shareholders equity
$361,283,000

Cascade tax rate

32.42%

$25,187,000
$7,799,000
$3,988,000
$10,830,000
$110,209,000

$6,112,000
$20,004,000
($4,506,000)
$188,507,000
$7,766,000
$217,883,000
$328,092,000

36.67%

Cascade Annual Dividends


2001
2002
2003
2004
2005

0
0.1
0.41
0.45
0.54

Growth rate
75.44% <-- =(B6/B3)^(1/3)-1
14.76% <-- =(B6/B4)^(1/2)-1

Note the divs are for the year ending 31jan of next

ding 31jan of next