{ "cells": [ { "cell_type": "markdown", "metadata": { "id": "view-in-github", "colab_type": "text" }, "source": [ "" ] }, { "cell_type": "markdown", "source": [ "## Data Source: FactSet, searching for all public company PE ratio, deleting row with missing observations, Could be significant bias introduced during deletion\n" ], "metadata": { "id": "TQXcsiSyMtj6" }, "id": "TQXcsiSyMtj6" }, { "cell_type": "code", "execution_count": 1, "id": "4efee966-1f45-44e6-9f0c-37ba284e366b", "metadata": { "id": "4efee966-1f45-44e6-9f0c-37ba284e366b", "colab": { "base_uri": "https://localhost:8080/" }, "outputId": "3be270b1-f4f3-49f2-89ed-b305a61d1639" }, "outputs": [ { "output_type": "stream", "name": "stderr", "text": [ "/usr/local/lib/python3.7/dist-packages/statsmodels/tools/_testing.py:19: FutureWarning: pandas.util.testing is deprecated. Use the functions in the public API at pandas.testing instead.\n", " import pandas.util.testing as tm\n" ] } ], "source": [ "import numpy as np\n", "import pandas as pd\n", "from pylab import mpl, plt\n", "import statsmodels.formula.api as smf\n", "import statsmodels.api as sm\n", "plt.style.use('seaborn')\n", "mpl.rcParams['font.family'] = 'serif'\n", "%matplotlib inline" ] }, { "cell_type": "code", "execution_count": 2, "id": "e7c64e59-e05f-4c95-91fd-5734f40908ee", "metadata": { "id": "e7c64e59-e05f-4c95-91fd-5734f40908ee", "outputId": "01d4873a-5128-4f6f-e32a-08a9cacd8596", "colab": { "base_uri": "https://localhost:8080/", "height": 35 } }, "outputs": [ { "output_type": "execute_result", "data": { "text/plain": [ "'/content'" ], "application/vnd.google.colaboratory.intrinsic+json": { "type": "string" } }, "metadata": {}, "execution_count": 2 } ], "source": [ "import os \n", "os.getcwd()" ] }, { "cell_type": "code", "execution_count": 10, "id": "2bfd132b-f851-4651-9788-d04f8d19c569", "metadata": { "id": "2bfd132b-f851-4651-9788-d04f8d19c569", "outputId": "e8705e58-b12a-4655-e048-77bee2934fda", "colab": { "base_uri": "https://localhost:8080/", "height": 765 } }, "outputs": [ { "output_type": "execute_result", "data": { "text/plain": [ " Identifier Name Revenue \\\n", "0 III-GB 3i Group plc 310.80 \n", "1 MMM-US 3M Company 35,355.00 \n", "2 MAERSK.B-DK A.P. Moller - Maersk A/S 61,802.00 \n", "3 SAGA.B-SE AB Sagax 376.95 \n", "4 ABBN-CH ABB Ltd. 28,949.00 \n", "... ... ... ... \n", "1595 ZM-US Zoom Video Communications, Inc. 4,099.86 \n", "1596 ZI-US ZoomInfo Technologies, Inc. 747.20 \n", "1597 ZS-US Zscaler, Inc. 673.10 \n", "1598 2057-HK ZTO Express (Cayman), Inc. 4,714.55 \n", "1599 ZURN-CH Zurich Insurance Group AG 69,591.00 \n", "\n", " Industry Country EV_EBITDA PE DY \\\n", "0 Investment Managers United Kingdom 5.71 6.00 3.34 \n", "1 Industrial Conglomerates United States 12.36 17.56 3.33 \n", "2 Marine Shipping Denmark 3.18 3.96 10.66 \n", "3 Real Estate Development Sweden 61.96 13.80 0.70 \n", "4 Electrical Products Switzerland 18.57 16.95 2.35 \n", "... ... ... ... ... ... \n", "1595 Packaged Software United States 34.88 34.31 0.00 \n", "1596 Internet Software/Services United States 117.64 216.53 0.00 \n", "1597 Packaged Software United States NaN NaN 0.00 \n", "1598 Air Freight/Couriers China 20.29 30.96 0.00 \n", "1599 Multi-Line Insurance Switzerland NaN 12.52 5.49 \n", "\n", " ROE D_EBITDA SalesGrowth EV_Sales IntCoverage Sales_Growth \\\n", "0 21.93 0.48 35.23 50.11 44.26 -15.75 \n", "1 42.42 1.85 9.85 3.33 16.47 2.57 \n", "2 47.77 0.67 49.62 1.23 23.30 16.15 \n", "3 36.64 10.53 9.81 48.63 5.68 11.86 \n", "4 30.14 1.33 8.15 2.71 22.22 -0.83 \n", "... ... ... ... ... ... ... \n", "1595 28.53 0.00 54.63 10.21 NaN 131.49 \n", "1596 9.34 5.54 56.91 35.16 3.49 73.00 \n", "1597 -51.70 NaN 56.07 46.75 -3.89 52.40 \n", "1598 9.75 0.54 29.34 4.58 37.26 20.68 \n", "1599 13.92 NaN 15.45 1.23 NaN 11.39 \n", "\n", " NAICS \n", "0 Finance and Insurance \n", "1 Manufacturing \n", "2 Transportation and Warehousing \n", "3 Real Estate and Rental and Leasing \n", "4 Manufacturing \n", "... ... \n", "1595 Information \n", "1596 Information \n", "1597 Information \n", "1598 Professional, Scientific, and Technical Services \n", "1599 Finance and Insurance \n", "\n", "[1600 rows x 15 columns]" ], "text/html": [ "\n", "
\n", " | Identifier | \n", "Name | \n", "Revenue | \n", "Industry | \n", "Country | \n", "EV_EBITDA | \n", "PE | \n", "DY | \n", "ROE | \n", "D_EBITDA | \n", "SalesGrowth | \n", "EV_Sales | \n", "IntCoverage | \n", "Sales_Growth | \n", "NAICS | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "III-GB | \n", "3i Group plc | \n", "310.80 | \n", "Investment Managers | \n", "United Kingdom | \n", "5.71 | \n", "6.00 | \n", "3.34 | \n", "21.93 | \n", "0.48 | \n", "35.23 | \n", "50.11 | \n", "44.26 | \n", "-15.75 | \n", "Finance and Insurance | \n", "
1 | \n", "MMM-US | \n", "3M Company | \n", "35,355.00 | \n", "Industrial Conglomerates | \n", "United States | \n", "12.36 | \n", "17.56 | \n", "3.33 | \n", "42.42 | \n", "1.85 | \n", "9.85 | \n", "3.33 | \n", "16.47 | \n", "2.57 | \n", "Manufacturing | \n", "
2 | \n", "MAERSK.B-DK | \n", "A.P. Moller - Maersk A/S | \n", "61,802.00 | \n", "Marine Shipping | \n", "Denmark | \n", "3.18 | \n", "3.96 | \n", "10.66 | \n", "47.77 | \n", "0.67 | \n", "49.62 | \n", "1.23 | \n", "23.30 | \n", "16.15 | \n", "Transportation and Warehousing | \n", "
3 | \n", "SAGA.B-SE | \n", "AB Sagax | \n", "376.95 | \n", "Real Estate Development | \n", "Sweden | \n", "61.96 | \n", "13.80 | \n", "0.70 | \n", "36.64 | \n", "10.53 | \n", "9.81 | \n", "48.63 | \n", "5.68 | \n", "11.86 | \n", "Real Estate and Rental and Leasing | \n", "
4 | \n", "ABBN-CH | \n", "ABB Ltd. | \n", "28,949.00 | \n", "Electrical Products | \n", "Switzerland | \n", "18.57 | \n", "16.95 | \n", "2.35 | \n", "30.14 | \n", "1.33 | \n", "8.15 | \n", "2.71 | \n", "22.22 | \n", "-0.83 | \n", "Manufacturing | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
1595 | \n", "ZM-US | \n", "Zoom Video Communications, Inc. | \n", "4,099.86 | \n", "Packaged Software | \n", "United States | \n", "34.88 | \n", "34.31 | \n", "0.00 | \n", "28.53 | \n", "0.00 | \n", "54.63 | \n", "10.21 | \n", "NaN | \n", "131.49 | \n", "Information | \n", "
1596 | \n", "ZI-US | \n", "ZoomInfo Technologies, Inc. | \n", "747.20 | \n", "Internet Software/Services | \n", "United States | \n", "117.64 | \n", "216.53 | \n", "0.00 | \n", "9.34 | \n", "5.54 | \n", "56.91 | \n", "35.16 | \n", "3.49 | \n", "73.00 | \n", "Information | \n", "
1597 | \n", "ZS-US | \n", "Zscaler, Inc. | \n", "673.10 | \n", "Packaged Software | \n", "United States | \n", "NaN | \n", "NaN | \n", "0.00 | \n", "-51.70 | \n", "NaN | \n", "56.07 | \n", "46.75 | \n", "-3.89 | \n", "52.40 | \n", "Information | \n", "
1598 | \n", "2057-HK | \n", "ZTO Express (Cayman), Inc. | \n", "4,714.55 | \n", "Air Freight/Couriers | \n", "China | \n", "20.29 | \n", "30.96 | \n", "0.00 | \n", "9.75 | \n", "0.54 | \n", "29.34 | \n", "4.58 | \n", "37.26 | \n", "20.68 | \n", "Professional, Scientific, and Technical Services | \n", "
1599 | \n", "ZURN-CH | \n", "Zurich Insurance Group AG | \n", "69,591.00 | \n", "Multi-Line Insurance | \n", "Switzerland | \n", "NaN | \n", "12.52 | \n", "5.49 | \n", "13.92 | \n", "NaN | \n", "15.45 | \n", "1.23 | \n", "NaN | \n", "11.39 | \n", "Finance and Insurance | \n", "
1600 rows × 15 columns
\n", "\n", " | Identifier | \n", "Name | \n", "Revenue | \n", "Industry | \n", "Country | \n", "EV_EBITDA | \n", "PE | \n", "DY | \n", "ROE | \n", "D_EBITDA | \n", "SalesGrowth | \n", "EV_Sales | \n", "IntCoverage | \n", "Sales_Growth | \n", "NAICS | \n", "
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | \n", "III-GB | \n", "3i Group plc | \n", "310.80 | \n", "Investment Managers | \n", "United Kingdom | \n", "5.71 | \n", "6.00 | \n", "3.34 | \n", "21.93 | \n", "0.48 | \n", "35.23 | \n", "50.11 | \n", "44.26 | \n", "-15.75 | \n", "Finance and Insurance | \n", "
1 | \n", "MMM-US | \n", "3M Company | \n", "35,355.00 | \n", "Industrial Conglomerates | \n", "United States | \n", "12.36 | \n", "17.56 | \n", "3.33 | \n", "42.42 | \n", "1.85 | \n", "9.85 | \n", "3.33 | \n", "16.47 | \n", "2.57 | \n", "Manufacturing | \n", "
2 | \n", "MAERSK.B-DK | \n", "A.P. Moller - Maersk A/S | \n", "61,802.00 | \n", "Marine Shipping | \n", "Denmark | \n", "3.18 | \n", "3.96 | \n", "10.66 | \n", "47.77 | \n", "0.67 | \n", "49.62 | \n", "1.23 | \n", "23.30 | \n", "16.15 | \n", "Transportation and Warehousing | \n", "
3 | \n", "SAGA.B-SE | \n", "AB Sagax | \n", "376.95 | \n", "Real Estate Development | \n", "Sweden | \n", "61.96 | \n", "13.80 | \n", "0.70 | \n", "36.64 | \n", "10.53 | \n", "9.81 | \n", "48.63 | \n", "5.68 | \n", "11.86 | \n", "Real Estate and Rental and Leasing | \n", "
4 | \n", "ABBN-CH | \n", "ABB Ltd. | \n", "28,949.00 | \n", "Electrical Products | \n", "Switzerland | \n", "18.57 | \n", "16.95 | \n", "2.35 | \n", "30.14 | \n", "1.33 | \n", "8.15 | \n", "2.71 | \n", "22.22 | \n", "-0.83 | \n", "Manufacturing | \n", "
... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
1591 | \n", "2899-HK | \n", "Zijin Mining Group Co., Ltd. | \n", "34,366.65 | \n", "Precious Metals | \n", "China | \n", "8.59 | \n", "12.88 | \n", "2.49 | \n", "25.03 | \n", "2.42 | \n", "40.66 | \n", "1.28 | \n", "9.11 | \n", "29.27 | \n", "Mining, Quarrying, and Oil and Gas Extraction | \n", "
1593 | \n", "ZBH-US | \n", "Zimmer Biomet Holdings, Inc. | \n", "7,836.20 | \n", "Medical Specialties | \n", "United States | \n", "14.70 | \n", "66.55 | \n", "0.76 | \n", "3.23 | \n", "3.12 | \n", "11.56 | \n", "4.29 | \n", "5.77 | \n", "-0.41 | \n", "Manufacturing | \n", "
1594 | \n", "ZTS-US | \n", "Zoetis Inc. | \n", "7,776.00 | \n", "Pharmaceuticals: Major | \n", "United States | \n", "36.74 | \n", "57.11 | \n", "0.44 | \n", "49.01 | \n", "2.03 | \n", "16.49 | \n", "15.38 | \n", "10.95 | \n", "10.11 | \n", "Manufacturing | \n", "
1596 | \n", "ZI-US | \n", "ZoomInfo Technologies, Inc. | \n", "747.20 | \n", "Internet Software/Services | \n", "United States | \n", "117.64 | \n", "216.53 | \n", "0.00 | \n", "9.34 | \n", "5.54 | \n", "56.91 | \n", "35.16 | \n", "3.49 | \n", "73.00 | \n", "Information | \n", "
1598 | \n", "2057-HK | \n", "ZTO Express (Cayman), Inc. | \n", "4,714.55 | \n", "Air Freight/Couriers | \n", "China | \n", "20.29 | \n", "30.96 | \n", "0.00 | \n", "9.75 | \n", "0.54 | \n", "29.34 | \n", "4.58 | \n", "37.26 | \n", "20.68 | \n", "Professional, Scientific, and Technical Services | \n", "
1106 rows × 15 columns
\n", "\n", " | EV_EBITDA | \n", "PE | \n", "DY | \n", "ROE | \n", "D_EBITDA | \n", "SalesGrowth | \n", "EV_Sales | \n", "IntCoverage | \n", "Sales_Growth | \n", "
---|---|---|---|---|---|---|---|---|---|
EV_EBITDA | \n", "1.000000 | \n", "0.328878 | \n", "-0.260691 | \n", "-0.022547 | \n", "0.576225 | \n", "0.076867 | \n", "0.479353 | \n", "0.017639 | \n", "0.189467 | \n", "
PE | \n", "0.328878 | \n", "1.000000 | \n", "-0.079341 | \n", "-0.019495 | \n", "0.062110 | \n", "-0.008015 | \n", "0.149428 | \n", "-0.010633 | \n", "0.049153 | \n", "
DY | \n", "-0.260691 | \n", "-0.079341 | \n", "1.000000 | \n", "-0.023072 | \n", "-0.021939 | \n", "-0.017622 | \n", "-0.237462 | \n", "-0.038418 | \n", "-0.100704 | \n", "
ROE | \n", "-0.022547 | \n", "-0.019495 | \n", "-0.023072 | \n", "1.000000 | \n", "-0.019213 | \n", "0.009836 | \n", "-0.024447 | \n", "-0.004273 | \n", "-0.002051 | \n", "
D_EBITDA | \n", "0.576225 | \n", "0.062110 | \n", "-0.021939 | \n", "-0.019213 | \n", "1.000000 | \n", "0.014906 | \n", "0.005065 | \n", "-0.041356 | \n", "-0.016838 | \n", "
SalesGrowth | \n", "0.076867 | \n", "-0.008015 | \n", "-0.017622 | \n", "0.009836 | \n", "0.014906 | \n", "1.000000 | \n", "0.097530 | \n", "0.040734 | \n", "0.734134 | \n", "
EV_Sales | \n", "0.479353 | \n", "0.149428 | \n", "-0.237462 | \n", "-0.024447 | \n", "0.005065 | \n", "0.097530 | \n", "1.000000 | \n", "0.095952 | \n", "0.221300 | \n", "
IntCoverage | \n", "0.017639 | \n", "-0.010633 | \n", "-0.038418 | \n", "-0.004273 | \n", "-0.041356 | \n", "0.040734 | \n", "0.095952 | \n", "1.000000 | \n", "0.060372 | \n", "
Sales_Growth | \n", "0.189467 | \n", "0.049153 | \n", "-0.100704 | \n", "-0.002051 | \n", "-0.016838 | \n", "0.734134 | \n", "0.221300 | \n", "0.060372 | \n", "1.000000 | \n", "