Data Dictionary: Economic Book Value Calculation

This point-in-time backtest dataset contains the data we use to calculate Economic Book Value. This factor incorporates all of the adjustments featured in the HBS & MIT Sloan paper "Core Earnings: New Data and Evidence" and others. The authors plan to publish their findings on the incremental alpha generation of these other adjustments in a subsequent paper.


We deliver the real-time version of this data through our API in the Economic Book Value Calculation endpoint.


Backtest Dataset Sample & General Information

Download a sample of the backtest data for this dictionary.


This documentation details the common fields in a backtest dataset file.

Datapoints

Name
Description
Datapoint
NOPAT (Net Operating Profit After Tax)
NOPAT (Net Operating Profit After Tax)
NOPAT
/ WACC (Weighted Average Cost of Capital)
WACC (Weighted Average Cost of Capital)
WACC
+ Excess Cash
The amount of cash on hand over and above what is needed in the current year to fund the operations of the business for the foreseeable future.
EXCESS_CASH
+ Net Assets from Discontinued Operations
Net Assets from Discontinued Operations
ASSETS_DISCONTINUED_NET
+ Fair Value of Unconsolidated Subsidiary Assets (non-operating)
Fair Value of Unconsolidated Subsidiary Assets (non-operating)
ASSETS_FIXED_UNCONSOLIDATED_ADJUSTED
+ Net Deferred Tax Liability
Net Deferred Tax Liability
DEFERRED_TAX_NET_ADJUSTED
+ Net Deferred Compensation Assets
Net Deferred Compensation Assets
ASSETS_DEFERRED_COMPENSATION_NET
- Fair Value of Total Debt
Short-Term Debt and Long-Term Debt adjusted to fair value.
DEBT_ADJUSTED
- Fair Value of Preferred Capital
Dollar value of the preferred capital adjusted for fair value of preferred stock.
STOCK_PREFERRED_ADJUSTED
- Fair Value of Minority Interests
Carrying value of minority interests adjusted to fair value.
INTEREST_MINORITY_ADJUSTED
- Value of Outstanding ESO After-Tax*
The after-tax fair market value of ESOs net of assumed options cancelled.
ESO_TRANCHE_VALUE_AFTER_TAX
+ Pensions Net Funded Status
Funded status of pension plans.
PENSION_FUNDED_STATUS_ADJUSTED
= Economic Book Value (EBV)
Economic book value measures the no-growth value of the company based on the current Net Operating Profit After Tax (NOPAT) of the business.
BOOK_VALUE_ECONOMIC

*Indicates the datapoint is affected by stock price.