Stock Analysis on Net

GlaxoSmithKline PLC (NYSE:GSK)

This company has been moved to the archive! The financial data has not been updated since February 27, 2015.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

GlaxoSmithKline PLC, monthly rates of return

Microsoft Excel
GlaxoSmithKline PLC (GSK) Standard & Poor’s 500 (S&P 500)
t Date PriceGSK,t1 DividendGSK,t1 RGSK,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010 $39.01 1,073.87
1. Feb 28, 2010 $37.14 $0.5737 -3.32% 1,104.49 2.85%
2. Mar 31, 2010 $38.52 3.72% 1,169.43 5.88%
3. Apr 30, 2010 $37.29 -3.19% 1,186.69 1.48%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014 $46.45 $0.613 3.46% 2,067.56 2.45%
59. Dec 31, 2014 $42.74 -7.99% 2,058.90 -0.42%
Average (R): 0.71% 1.18%
Standard deviation: 4.66% 3.73%
GlaxoSmithKline PLC (GSK) Standard & Poor’s 500 (S&P 500)
t Date PriceGSK,t1 DividendGSK,t1 RGSK,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010 $39.01 1,073.87
1. Feb 28, 2010 $37.14 $0.5737 -3.32% 1,104.49 2.85%
2. Mar 31, 2010 $38.52 3.72% 1,169.43 5.88%
3. Apr 30, 2010 $37.29 -3.19% 1,186.69 1.48%
4. May 31, 2010 $33.46 $0.4603 -9.04% 1,089.41 -8.20%
5. Jun 30, 2010 $34.01 1.64% 1,030.71 -5.39%
6. Jul 31, 2010 $35.17 $0.4573 4.76% 1,101.60 6.88%
7. Aug 31, 2010 $37.40 6.34% 1,049.33 -4.74%
8. Sep 30, 2010 $39.52 5.67% 1,141.20 8.76%
9. Oct 31, 2010 $39.04 $0.5074 0.07% 1,183.26 3.69%
10. Nov 30, 2010 $38.28 -1.95% 1,180.55 -0.23%
11. Dec 31, 2010 $39.22 2.46% 1,257.64 6.53%
12. Jan 31, 2011 $36.33 -7.37% 1,286.12 2.26%
13. Feb 28, 2011 $38.61 $0.6153 7.97% 1,327.22 3.20%
14. Mar 31, 2011 $38.41 -0.52% 1,325.83 -0.10%
15. Apr 30, 2011 $43.66 13.67% 1,363.61 2.85%
16. May 31, 2011 $43.46 $0.5263 0.75% 1,345.20 -1.35%
17. Jun 30, 2011 $42.90 -1.29% 1,320.64 -1.83%
18. Jul 31, 2011 $44.42 3.54% 1,292.28 -2.15%
19. Aug 31, 2011 $42.83 $0.5211 -2.41% 1,218.89 -5.68%
20. Sep 30, 2011 $41.29 -3.60% 1,131.42 -7.18%
21. Oct 31, 2011 $44.79 8.48% 1,253.30 10.77%
22. Nov 30, 2011 $44.48 $0.543 0.52% 1,246.96 -0.51%
23. Dec 31, 2011 $45.63 2.59% 1,257.60 0.85%
24. Jan 31, 2012 $44.54 -2.39% 1,312.41 4.36%
25. Feb 29, 2012 $44.31 $0.8213 1.33% 1,365.68 4.06%
26. Mar 31, 2012 $44.91 1.35% 1,408.47 3.13%
27. Apr 30, 2012 $46.23 2.94% 1,397.91 -0.75%
28. May 31, 2012 $44.11 $0.5491 -3.40% 1,310.33 -6.27%
29. Jun 30, 2012 $45.57 3.31% 1,362.16 3.96%
30. Jul 31, 2012 $46.00 0.94% 1,379.32 1.26%
31. Aug 31, 2012 $45.49 $0.5279 0.04% 1,406.58 1.98%
32. Sep 30, 2012 $46.24 1.65% 1,440.67 2.42%
33. Oct 31, 2012 $44.90 -2.90% 1,412.16 -1.98%
34. Nov 30, 2012 $43.01 $0.579 -2.92% 1,416.18 0.28%
35. Dec 31, 2012 $43.47 1.07% 1,426.19 0.71%
36. Jan 31, 2013 $45.61 4.92% 1,498.11 5.04%
37. Feb 28, 2013 $44.03 $0.6895 -1.95% 1,514.68 1.11%
38. Mar 31, 2013 $46.91 6.54% 1,569.19 3.60%
39. Apr 30, 2013 $51.64 10.08% 1,597.57 1.81%
40. May 31, 2013 $51.77 $0.5502 1.32% 1,630.74 2.08%
41. Jun 30, 2013 $49.97 -3.48% 1,606.28 -1.50%
42. Jul 31, 2013 $50.96 1.98% 1,685.73 4.95%
43. Aug 31, 2013 $50.89 $0.5532 0.95% 1,632.97 -3.13%
44. Sep 30, 2013 $50.17 -1.41% 1,681.55 2.97%
45. Oct 31, 2013 $52.63 4.90% 1,756.54 4.46%
46. Nov 30, 2013 $52.92 $0.6161 1.72% 1,805.81 2.80%
47. Dec 31, 2013 $53.39 0.89% 1,848.36 2.36%
48. Jan 31, 2014 $51.54 -3.47% 1,782.59 -3.56%
49. Feb 28, 2014 $55.94 $0.7496 9.99% 1,859.45 4.31%
50. Mar 31, 2014 $53.43 -4.49% 1,872.34 0.69%
51. Apr 30, 2014 $55.37 3.63% 1,883.95 0.62%
52. May 31, 2014 $53.94 $0.64 -1.43% 1,923.57 2.10%
53. Jun 30, 2014 $53.48 -0.85% 1,960.23 1.91%
54. Jul 31, 2014 $48.37 -9.55% 1,930.67 -1.51%
55. Aug 31, 2014 $49.10 $0.6482 2.85% 2,003.37 3.77%
56. Sep 30, 2014 $45.97 -6.37% 1,972.29 -1.55%
57. Oct 31, 2014 $45.49 -1.04% 2,018.05 2.32%
58. Nov 30, 2014 $46.45 $0.613 3.46% 2,067.56 2.45%
59. Dec 31, 2014 $42.74 -7.99% 2,058.90 -0.42%
Average (R): 0.71% 1.18%
Standard deviation: 4.66% 3.73%

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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 GSK during period t

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


Variance and Covariance

GlaxoSmithKline PLC, calculation of variance and covariance of returns

Microsoft Excel
t Date RGSK,t RS&P 500,t (RGSK,tRGSK)2 (RS&P 500,tRS&P 500)2 (RGSK,tRGSK)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010 -3.32% 2.85% 16.24 2.80 -6.74
2. Mar 31, 2010 3.72% 5.88% 9.05 22.11 14.15
3. Apr 30, 2010 -3.19% 1.48% 15.21 0.09 -1.16
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014 3.46% 2.45% 7.57 1.63 3.51
59. Dec 31, 2014 -7.99% -0.42% 75.59 2.55 13.88
Total (Σ): 1,259.77 809.11 507.46
t Date RGSK,t RS&P 500,t (RGSK,tRGSK)2 (RS&P 500,tRS&P 500)2 (RGSK,tRGSK)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010 -3.32% 2.85% 16.24 2.80 -6.74
2. Mar 31, 2010 3.72% 5.88% 9.05 22.11 14.15
3. Apr 30, 2010 -3.19% 1.48% 15.21 0.09 -1.16
4. May 31, 2010 -9.04% -8.20% 94.93 87.90 91.35
5. Jun 30, 2010 1.64% -5.39% 0.88 43.11 -6.15
6. Jul 31, 2010 4.76% 6.88% 16.39 32.49 23.08
7. Aug 31, 2010 6.34% -4.74% 31.74 35.08 -33.37
8. Sep 30, 2010 5.67% 8.76% 24.62 57.42 37.60
9. Oct 31, 2010 0.07% 3.69% 0.41 6.29 -1.60
10. Nov 30, 2010 -1.95% -0.23% 7.04 1.98 3.73
11. Dec 31, 2010 2.46% 6.53% 3.06 28.65 9.36
12. Jan 31, 2011 -7.37% 2.26% 65.22 1.18 -8.78
13. Feb 28, 2011 7.97% 3.20% 52.74 4.07 14.66
14. Mar 31, 2011 -0.52% -0.10% 1.50 1.64 1.57
15. Apr 30, 2011 13.67% 2.85% 168.00 2.79 21.67
16. May 31, 2011 0.75% -1.35% 0.00 6.39 -0.10
17. Jun 30, 2011 -1.29% -1.83% 3.98 9.02 5.99
18. Jul 31, 2011 3.54% -2.15% 8.04 11.06 -9.43
19. Aug 31, 2011 -2.41% -5.68% 9.69 47.02 21.35
20. Sep 30, 2011 -3.60% -7.18% 18.51 69.79 35.94
21. Oct 31, 2011 8.48% 10.77% 60.37 92.06 74.55
22. Nov 30, 2011 0.52% -0.51% 0.03 2.83 0.31
23. Dec 31, 2011 2.59% 0.85% 3.53 0.11 -0.61
24. Jan 31, 2012 -2.39% 4.36% 9.58 10.12 -9.85
25. Feb 29, 2012 1.33% 4.06% 0.39 8.30 1.79
26. Mar 31, 2012 1.35% 3.13% 0.42 3.82 1.27
27. Apr 30, 2012 2.94% -0.75% 4.98 3.72 -4.30
28. May 31, 2012 -3.40% -6.27% 16.85 55.40 30.55
29. Jun 30, 2012 3.31% 3.96% 6.78 7.72 7.23
30. Jul 31, 2012 0.94% 1.26% 0.06 0.01 0.02
31. Aug 31, 2012 0.04% 1.98% 0.45 0.64 -0.53
32. Sep 30, 2012 1.65% 2.42% 0.89 1.55 1.17
33. Oct 31, 2012 -2.90% -1.98% 13.00 9.96 11.38
34. Nov 30, 2012 -2.92% 0.28% 13.15 0.80 3.24
35. Dec 31, 2012 1.07% 0.71% 0.13 0.22 -0.17
36. Jan 31, 2013 4.92% 5.04% 17.77 14.94 16.30
37. Feb 28, 2013 -1.95% 1.11% 7.07 0.01 0.19
38. Mar 31, 2013 6.54% 3.60% 34.04 5.86 14.12
39. Apr 30, 2013 10.08% 1.81% 87.91 0.40 5.91
40. May 31, 2013 1.32% 2.08% 0.37 0.81 0.55
41. Jun 30, 2013 -3.48% -1.50% 17.50 7.17 11.20
42. Jul 31, 2013 1.98% 4.95% 1.62 14.20 4.80
43. Aug 31, 2013 0.95% -3.13% 0.06 18.55 -1.04
44. Sep 30, 2013 -1.41% 2.97% 4.50 3.23 -3.81
45. Oct 31, 2013 4.90% 4.46% 17.61 10.77 13.77
46. Nov 30, 2013 1.72% 2.80% 1.03 2.65 1.65
47. Dec 31, 2013 0.89% 2.36% 0.03 1.39 0.21
48. Jan 31, 2014 -3.47% -3.56% 17.41 22.43 19.76
49. Feb 28, 2014 9.99% 4.31% 86.20 9.82 29.10
50. Mar 31, 2014 -4.49% 0.69% 26.98 0.23 2.52
51. Apr 30, 2014 3.63% 0.62% 8.55 0.31 -1.63
52. May 31, 2014 -1.43% 2.10% 4.55 0.86 -1.97
53. Jun 30, 2014 -0.85% 1.91% 2.43 0.53 -1.14
54. Jul 31, 2014 -9.55% -1.51% 105.31 7.21 27.56
55. Aug 31, 2014 2.85% 3.77% 4.59 6.70 5.54
56. Sep 30, 2014 -6.37% -1.55% 50.15 7.45 19.33
57. Oct 31, 2014 -1.04% 2.32% 3.07 1.31 -2.00
58. Nov 30, 2014 3.46% 2.45% 7.57 1.63 3.51
59. Dec 31, 2014 -7.99% -0.42% 75.59 2.55 13.88
Total (Σ): 1,259.77 809.11 507.46

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VarianceGSK = Σ(RGSK,tRGSK)2 ÷ (59 – 1)
= 1,259.77 ÷ (59 – 1)
= 21.72

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 809.11 ÷ (59 – 1)
= 13.95

CovarianceGSK, S&P 500 = Σ(RGSK,tRGSK)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 507.46 ÷ (59 – 1)
= 8.75


Systematic Risk (β) Estimation

Microsoft Excel
VarianceGSK 21.72
VarianceS&P 500 13.95
CovarianceGSK, S&P 500 8.75
Correlation coefficientGSK, S&P 5001 0.50
βGSK2 0.63
αGSK3 -0.03%

Calculations

1 Correlation coefficientGSK, S&P 500
= CovarianceGSK, S&P 500 ÷ (Standard deviationGSK × Standard deviationS&P 500)
= 8.75 ÷ (4.66% × 3.73%)
= 0.50

2 βGSK
= CovarianceGSK, S&P 500 ÷ VarianceS&P 500
= 8.75 ÷ 13.95
= 0.63

3 αGSK
= AverageGSK – βGSK × AverageS&P 500
= 0.71%0.63 × 1.18%
= -0.03%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.42%
Expected rate of return on market portfolio2 E(RM) 13.61%
Systematic risk (β) of GlaxoSmithKline PLC common stock βGSK 0.63
 
Expected rate of return on GlaxoSmithKline PLC common stock3 E(RGSK) 10.18%

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(RGSK) = RF + βGSK [E(RM) – RF]
= 4.42% + 0.63 [13.61%4.42%]
= 10.18%