Stock Analysis on Net

Baxter International Inc. (NYSE:BAX)

This company has been moved to the archive! The financial data has not been updated since August 4, 2016.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

Baxter International Inc., monthly rates of return

Microsoft Excel
Baxter International Inc. (BAX) Standard & Poor’s 500 (S&P 500)
t Date PriceBAX,t1 DividendBAX,t1 RBAX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2011 $48.49 1,286.12
1. Feb 28, 2011 $53.15 9.61% 1,327.22 3.20%
2. Mar 31, 2011 $53.77 $0.31 1.75% 1,325.83 -0.10%
3. Apr 30, 2011 $56.90 5.82% 1,363.61 2.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2015 $37.65 0.70% 2,080.41 0.05%
59. Dec 31, 2015 $38.15 $0.115 1.63% 2,043.94 -1.75%
Average (R): 0.15% 0.84%
Standard deviation: 7.55% 3.40%
Baxter International Inc. (BAX) Standard & Poor’s 500 (S&P 500)
t Date PriceBAX,t1 DividendBAX,t1 RBAX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2011 $48.49 1,286.12
1. Feb 28, 2011 $53.15 9.61% 1,327.22 3.20%
2. Mar 31, 2011 $53.77 $0.31 1.75% 1,325.83 -0.10%
3. Apr 30, 2011 $56.90 5.82% 1,363.61 2.85%
4. May 31, 2011 $59.52 4.60% 1,345.20 -1.35%
5. Jun 30, 2011 $59.69 $0.31 0.81% 1,320.64 -1.83%
6. Jul 31, 2011 $58.17 -2.55% 1,292.28 -2.15%
7. Aug 31, 2011 $55.98 -3.76% 1,218.89 -5.68%
8. Sep 30, 2011 $56.14 $0.31 0.84% 1,131.42 -7.18%
9. Oct 31, 2011 $54.98 -2.07% 1,253.30 10.77%
10. Nov 30, 2011 $51.66 -6.04% 1,246.96 -0.51%
11. Dec 31, 2011 $49.48 $0.335 -3.57% 1,257.60 0.85%
12. Jan 31, 2012 $55.48 12.13% 1,312.41 4.36%
13. Feb 29, 2012 $58.13 4.78% 1,365.68 4.06%
14. Mar 31, 2012 $59.78 $0.335 3.41% 1,408.47 3.13%
15. Apr 30, 2012 $55.41 -7.31% 1,397.91 -0.75%
16. May 31, 2012 $50.62 -8.64% 1,310.33 -6.27%
17. Jun 30, 2012 $53.15 $0.335 5.66% 1,362.16 3.96%
18. Jul 31, 2012 $58.51 10.08% 1,379.32 1.26%
19. Aug 31, 2012 $58.68 0.29% 1,406.58 1.98%
20. Sep 30, 2012 $60.27 $0.45 3.48% 1,440.67 2.42%
21. Oct 31, 2012 $62.63 3.92% 1,412.16 -1.98%
22. Nov 30, 2012 $66.27 5.81% 1,416.18 0.28%
23. Dec 31, 2012 $66.66 $0.45 1.27% 1,426.19 0.71%
24. Jan 31, 2013 $67.84 1.77% 1,498.11 5.04%
25. Feb 28, 2013 $67.60 -0.35% 1,514.68 1.11%
26. Mar 31, 2013 $72.64 $0.45 8.12% 1,569.19 3.60%
27. Apr 30, 2013 $69.87 -3.81% 1,597.57 1.81%
28. May 31, 2013 $70.33 0.66% 1,630.74 2.08%
29. Jun 30, 2013 $69.27 $0.49 -0.81% 1,606.28 -1.50%
30. Jul 31, 2013 $73.04 5.44% 1,685.73 4.95%
31. Aug 31, 2013 $69.56 -4.76% 1,632.97 -3.13%
32. Sep 30, 2013 $65.69 $0.49 -4.86% 1,681.55 2.97%
33. Oct 31, 2013 $65.87 0.27% 1,756.54 4.46%
34. Nov 30, 2013 $68.45 3.92% 1,805.81 2.80%
35. Dec 31, 2013 $69.55 $0.49 2.32% 1,848.36 2.36%
36. Jan 31, 2014 $68.30 -1.80% 1,782.59 -3.56%
37. Feb 28, 2014 $69.50 1.76% 1,859.45 4.31%
38. Mar 31, 2014 $73.58 $0.49 6.58% 1,872.34 0.69%
39. Apr 30, 2014 $72.79 -1.07% 1,883.95 0.62%
40. May 31, 2014 $74.41 2.23% 1,923.57 2.10%
41. Jun 30, 2014 $72.30 $0.52 -2.14% 1,960.23 1.91%
42. Jul 31, 2014 $74.69 3.31% 1,930.67 -1.51%
43. Aug 31, 2014 $74.98 0.39% 2,003.37 3.77%
44. Sep 30, 2014 $71.77 $0.52 -3.59% 1,972.29 -1.55%
45. Oct 31, 2014 $70.14 -2.27% 2,018.05 2.32%
46. Nov 30, 2014 $73.00 4.08% 2,067.56 2.45%
47. Dec 31, 2014 $73.29 $0.52 1.11% 2,058.90 -0.42%
48. Jan 31, 2015 $70.31 -4.07% 1,994.99 -3.10%
49. Feb 28, 2015 $69.15 -1.65% 2,104.50 5.49%
50. Mar 31, 2015 $68.50 $0.52 -0.19% 2,067.89 -1.74%
51. Apr 30, 2015 $68.74 0.35% 2,085.51 0.85%
52. May 31, 2015 $66.61 $0.52 -2.34% 2,107.39 1.05%
53. Jun 30, 2015 $69.93 4.98% 2,063.11 -2.10%
54. Jul 31, 2015 $40.08 -42.69% 2,103.84 1.97%
55. Aug 31, 2015 $38.45 -4.07% 1,972.18 -6.26%
56. Sep 30, 2015 $32.85 $0.115 -14.27% 1,920.03 -2.64%
57. Oct 31, 2015 $37.39 13.82% 2,079.36 8.30%
58. Nov 30, 2015 $37.65 0.70% 2,080.41 0.05%
59. Dec 31, 2015 $38.15 $0.115 1.63% 2,043.94 -1.75%
Average (R): 0.15% 0.84%
Standard deviation: 7.55% 3.40%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of BAX during period t

3 Rate of return on S&P 500 (the market portfolio proxy) during period t


Variance and Covariance

Baxter International Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RBAX,t RS&P 500,t (RBAX,tRBAX)2 (RS&P 500,tRS&P 500)2 (RBAX,tRBAX)×(RS&P 500,tRS&P 500)
1. Feb 28, 2011 9.61% 3.20% 89.44 5.53 22.23
2. Mar 31, 2011 1.75% -0.10% 2.55 0.90 -1.52
3. Apr 30, 2011 5.82% 2.85% 32.13 4.02 11.36
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2015 0.70% 0.05% 0.29 0.63 -0.43
59. Dec 31, 2015 1.63% -1.75% 2.19 6.75 -3.85
Total (Σ): 3,305.71 670.89 397.17
t Date RBAX,t RS&P 500,t (RBAX,tRBAX)2 (RS&P 500,tRS&P 500)2 (RBAX,tRBAX)×(RS&P 500,tRS&P 500)
1. Feb 28, 2011 9.61% 3.20% 89.44 5.53 22.23
2. Mar 31, 2011 1.75% -0.10% 2.55 0.90 -1.52
3. Apr 30, 2011 5.82% 2.85% 32.13 4.02 11.36
4. May 31, 2011 4.60% -1.35% 19.82 4.82 -9.77
5. Jun 30, 2011 0.81% -1.83% 0.43 7.13 -1.75
6. Jul 31, 2011 -2.55% -2.15% 7.29 8.95 8.08
7. Aug 31, 2011 -3.76% -5.68% 15.35 42.56 25.56
8. Sep 30, 2011 0.84% -7.18% 0.47 64.34 -5.51
9. Oct 31, 2011 -2.07% 10.77% 4.92 98.56 -22.03
10. Nov 30, 2011 -6.04% -0.51% 38.33 1.82 8.36
11. Dec 31, 2011 -3.57% 0.85% 13.87 0.00 -0.03
12. Jan 31, 2012 12.13% 4.36% 143.36 12.35 42.07
13. Feb 29, 2012 4.78% 4.06% 21.38 10.33 14.86
14. Mar 31, 2012 3.41% 3.13% 10.64 5.24 7.47
15. Apr 30, 2012 -7.31% -0.75% 55.69 2.54 11.90
16. May 31, 2012 -8.64% -6.27% 77.39 50.55 62.55
17. Jun 30, 2012 5.66% 3.96% 30.33 9.68 17.13
18. Jul 31, 2012 10.08% 1.26% 98.64 0.17 4.12
19. Aug 31, 2012 0.29% 1.98% 0.02 1.28 0.16
20. Sep 30, 2012 3.48% 2.42% 11.05 2.49 5.25
21. Oct 31, 2012 3.92% -1.98% 14.16 7.97 -10.63
22. Nov 30, 2012 5.81% 0.28% 32.03 0.31 -3.17
23. Dec 31, 2012 1.27% 0.71% 1.24 0.02 -0.15
24. Jan 31, 2013 1.77% 5.04% 2.62 17.62 6.79
25. Feb 28, 2013 -0.35% 1.11% 0.26 0.07 -0.13
26. Mar 31, 2013 8.12% 3.60% 63.50 7.58 21.95
27. Apr 30, 2013 -3.81% 1.81% 15.73 0.93 -3.82
28. May 31, 2013 0.66% 2.08% 0.26 1.52 0.62
29. Jun 30, 2013 -0.81% -1.50% 0.93 5.50 2.26
30. Jul 31, 2013 5.44% 4.95% 27.98 16.82 21.70
31. Aug 31, 2013 -4.76% -3.13% 24.18 15.80 19.54
32. Sep 30, 2013 -4.86% 2.97% 25.12 4.54 -10.68
33. Oct 31, 2013 0.27% 4.46% 0.01 13.07 0.44
34. Nov 30, 2013 3.92% 2.80% 14.17 3.84 7.38
35. Dec 31, 2013 2.32% 2.36% 4.71 2.28 3.28
36. Jan 31, 2014 -1.80% -3.56% 3.80 19.39 8.59
37. Feb 28, 2014 1.76% 4.31% 2.57 12.02 5.56
38. Mar 31, 2014 6.58% 0.69% 41.25 0.02 -0.97
39. Apr 30, 2014 -1.07% 0.62% 1.50 0.05 0.28
40. May 31, 2014 2.23% 2.10% 4.30 1.58 2.61
41. Jun 30, 2014 -2.14% 1.91% 5.24 1.13 -2.43
42. Jul 31, 2014 3.31% -1.51% 9.94 5.54 -7.42
43. Aug 31, 2014 0.39% 3.77% 0.06 8.53 0.69
44. Sep 30, 2014 -3.59% -1.55% 13.99 5.74 8.96
45. Oct 31, 2014 -2.27% 2.32% 5.88 2.18 -3.58
46. Nov 30, 2014 4.08% 2.45% 15.40 2.59 6.31
47. Dec 31, 2014 1.11% -0.42% 0.92 1.60 -1.21
48. Jan 31, 2015 -4.07% -3.10% 17.80 15.59 16.66
49. Feb 28, 2015 -1.65% 5.49% 3.25 21.57 -8.37
50. Mar 31, 2015 -0.19% -1.74% 0.12 6.68 0.88
51. Apr 30, 2015 0.35% 0.85% 0.04 0.00 0.00
52. May 31, 2015 -2.34% 1.05% 6.22 0.04 -0.51
53. Jun 30, 2015 4.98% -2.10% 23.34 8.68 -14.23
54. Jul 31, 2015 -42.69% 1.97% 1,835.12 1.28 -48.38
55. Aug 31, 2015 -4.07% -6.26% 17.80 50.45 29.97
56. Sep 30, 2015 -14.27% -2.64% 207.88 12.17 50.30
57. Oct 31, 2015 13.82% 8.30% 186.81 55.56 101.87
58. Nov 30, 2015 0.70% 0.05% 0.29 0.63 -0.43
59. Dec 31, 2015 1.63% -1.75% 2.19 6.75 -3.85
Total (Σ): 3,305.71 670.89 397.17

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VarianceBAX = Σ(RBAX,tRBAX)2 ÷ (59 – 1)
= 3,305.71 ÷ (59 – 1)
= 57.00

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 670.89 ÷ (59 – 1)
= 11.57

CovarianceBAX, S&P 500 = Σ(RBAX,tRBAX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 397.17 ÷ (59 – 1)
= 6.85


Systematic Risk (β) Estimation

Microsoft Excel
VarianceBAX 57.00
VarianceS&P 500 11.57
CovarianceBAX, S&P 500 6.85
Correlation coefficientBAX, S&P 5001 0.27
βBAX2 0.59
αBAX3 -0.35%

Calculations

1 Correlation coefficientBAX, S&P 500
= CovarianceBAX, S&P 500 ÷ (Standard deviationBAX × Standard deviationS&P 500)
= 6.85 ÷ (7.55% × 3.40%)
= 0.27

2 βBAX
= CovarianceBAX, S&P 500 ÷ VarianceS&P 500
= 6.85 ÷ 11.57
= 0.59

3 αBAX
= AverageBAX – βBAX × AverageS&P 500
= 0.15%0.59 × 0.84%
= -0.35%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.43%
Expected rate of return on market portfolio2 E(RM) 13.61%
Systematic risk (β) of Baxter International Inc. common stock βBAX 0.59
 
Expected rate of return on Baxter International Inc. common stock3 E(RBAX) 9.86%

1 Unweighted average of bid yields on all outstanding fixed-coupon U.S. Treasury bonds neither due or callable in less than 10 years (risk-free rate of return proxy).

2 See details »

3 E(RBAX) = RF + βBAX [E(RM) – RF]
= 4.43% + 0.59 [13.61%4.43%]
= 9.86%