Finding Book-to-Value Data and Related Profitability Factors

Summary

The document asks where to find historical S&P 500 book-value data to calculate a Graham-style earnings-to-book-value ratio over a long sample. The response points to the Ken French data library as a potential source of accounting and market data. It also suggests examining modern profitability measures rather than relying only on the original ratio.

Two examples are given: gross profits relative to total assets, used in work by Novy-Marx, and operating profitability relative to market equity, used in Fama-French research. The response says these profitability measures have been associated with higher returns, but gives no dataset details, exact variable definitions, portfolio construction rules, or performance statistics. Researchers would need to check the data library’s coverage, accounting conventions, and historical availability, then independently evaluate whether the suggested factors suit their analysis. The document is a brief pointer to data and related research rather than a full factor-investing method or empirical review.

Key ideas

• The Ken French data library is suggested as a source for historical accounting data.
• The original question concerns calculating an earnings-to-book-value ratio for the S&P 500.
• Gross profits relative to total assets is offered as a modern profitability measure.
• Operating profitability relative to market equity is another suggested measure.
• The document provides research pointers but no implementation or performance analysis.

Tags

# Historical book value data for S&P 500


# Historical book value data for S&P 500












In Graham's Intelligent Investor, he calculates a metric Earning/book value.

I would like to calculate the same ratio in modern times (1960-2015) but am having trouble finding this data. I have found an open source for the price and earnings information at http://data.okfn.org/data/core/s-and-p-500 but cannot find book value over this time period.

Is this information publicly available?

## Answer by Tim  (score 2, accepted)

https://quant.stackexchange.com/a/22979

Have a look at Ken French's data library. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

However, it may also be interesting to consider some 'modern' version of Graham's ratios. Recently Fama and French (2015) and Novy-Marx prove that more profitable firms yield higher returns. NM sorts companies on gross profits-to-total-asstes, FF rank companies on operating profit to market equity.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.