China Mobile Ltd. (CHL) | Capital Asset Pricing Model (CAPM)
Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like 's common stock.
Rates of Return
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China Mobile Ltd., monthly rates of return
| China Mobile Ltd. (CHL) | NYSE Composite Index (NYC) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceCHL,t1 | DividendCHL,t1 | RCHL,t2 | PriceNYC,t | RNYC,t3 |
| Jan 31, 2008 | |
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| 1. | Feb 29, 2008 | |
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| 2. | Mar 31, 2008 | |
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| 3. | Apr 30, 2008 | |
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| . | . | . | . | . | . | . |
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| 58. | Nov 30, 2012 | |
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| 59. | Dec 31, 2012 | |
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| Average: | % |
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| Standard Deviation: | % |
% |
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| China Mobile Ltd. (CHL) | NYSE Composite Index (NYC) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceCHL,t1 | DividendCHL,t1 | RCHL,t2 | PriceNYC,t | RNYC,t3 |
| Jan 31, 2008 | |
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| 1. | Feb 29, 2008 | |
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| 2. | Mar 31, 2008 | |
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| 3. | Apr 30, 2008 | |
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| 4. | May 31, 2008 | |
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| 5. | Jun 30, 2008 | |
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| 6. | Jul 31, 2008 | |
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| 7. | Aug 31, 2008 | |
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| 8. | Sep 30, 2008 | |
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| 9. | Oct 31, 2008 | |
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| 10. | Nov 30, 2008 | |
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| 11. | Dec 31, 2008 | |
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| 12. | Jan 31, 2009 | |
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| 13. | Feb 28, 2009 | |
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| 14. | Mar 31, 2009 | |
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| 15. | Apr 30, 2009 | |
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| 16. | May 31, 2009 | |
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| 17. | Jun 30, 2009 | |
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| 18. | Jul 31, 2009 | |
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| 19. | Aug 31, 2009 | |
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| 20. | Sep 30, 2009 | |
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| 21. | Oct 31, 2009 | |
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| 22. | Nov 30, 2009 | |
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| 23. | Dec 31, 2009 | |
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| 24. | Jan 31, 2010 | |
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| 25. | Feb 28, 2010 | |
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| 26. | Mar 31, 2010 | |
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| 27. | Apr 30, 2010 | |
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| 28. | May 31, 2010 | |
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| 29. | Jun 30, 2010 | |
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| 30. | Jul 31, 2010 | |
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| 31. | Aug 31, 2010 | |
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| 32. | Sep 30, 2010 | |
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| 33. | Oct 31, 2010 | |
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| 34. | Nov 30, 2010 | |
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| 35. | Dec 31, 2010 | |
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| 36. | Jan 31, 2011 | |
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| 37. | Feb 28, 2011 | |
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| 38. | Mar 31, 2011 | |
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| 39. | Apr 30, 2011 | |
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| 40. | May 31, 2011 | |
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| 41. | Jun 30, 2011 | |
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| 42. | Jul 31, 2011 | |
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| 43. | Aug 31, 2011 | |
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| 44. | Sep 30, 2011 | |
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| 45. | Oct 31, 2011 | |
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| 46. | Nov 30, 2011 | |
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| 47. | Dec 31, 2011 | |
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| 48. | Jan 31, 2012 | |
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| 49. | Feb 29, 2012 | |
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| 50. | Mar 31, 2012 | |
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| 51. | Apr 30, 2012 | |
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| 52. | May 31, 2012 | |
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| 53. | Jun 30, 2012 | |
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| 54. | Jul 31, 2012 | |
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| 55. | Aug 31, 2012 | |
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| 56. | Sep 30, 2012 | |
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| 57. | Oct 31, 2012 | |
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| 58. | Nov 30, 2012 | |
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| 59. | Dec 31, 2012 | |
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| Average: | % |
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| Standard Deviation: | % |
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ˇ Show All
1 Data in USD $ per share of common stock, adjusted for splits and stock dividends.
2 Rate of return on common stock of CHL during period t
3 Rate of return on NYC (the market portfolio proxy) during period t
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Systematic Risk (β) Estimation
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| VarianceCHL | |
| VarianceNYC | |
| CovarianceCHL,NYC | |
| Correlation CoefficientCHL,NYC1 | |
| βCHL2 | |
| αCHL3 | |
Calculations
1 CovarianceCHL,NYC ÷ (Standard DeviationCHL × Standard DeviationNYC)
= ÷ ( × )
2 CovarianceCHL,NYC ÷ VarianceNYC
= ÷
3 AverageCHL – βCHL × AverageNYC
= – ×
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Expected Rate of Return
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| Assumptions | ||
| Rate of return on LT Treasury Composite1 | RF | % |
| Expected rate of return on market portfolio2 | E(RM) | % |
| Systematic risk (β) of 's common stock | βCHL | |
| Expected rate of return on 's common stock3 | E(RCHL) | % |
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).
Calculations
3 E(RCHL) = RF + βCHL [E(RM) – RF]
= % + [% – %]
= %
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