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Toyota Motor Corp. (TM) | 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

Toyota Motor Corp., monthly rates of return

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    Toyota Motor Corp. (TM) NYSE Composite Index (NYC)
t Date PriceTM,t1 DividendTM,t1 RTM,t2 PriceNYC,t RNYC,t3
  Apr 30, 2006 117.13     8,471.43  
1. May 31, 2006 107.38   -8.32% 8,189.11 -3.33%
2. Jun 30, 2006 104.59   -2.60% 8,169.07 -0.24%
3. Jul 31, 2006 105.22   0.60% 8,242.12 0.89%
. . . . . . .
. . . . . . .
. . . . . . .
70. Feb 29, 2012 82.71   12.56% 8,113.24 3.51%
71. Mar 31, 2012 86.82 0.72 5.84% 8,206.93 1.15%
Average: -0.04%   0.11%
Standard Deviation: 6.82%   5.59%
    Toyota Motor Corp. (TM) NYSE Composite Index (NYC)
t Date PriceTM,t1 DividendTM,t1 RTM,t2 PriceNYC,t RNYC,t3
  Apr 30, 2006 117.13     8,471.43  
1. May 31, 2006 107.38   -8.32% 8,189.11 -3.33%
2. Jun 30, 2006 104.59   -2.60% 8,169.07 -0.24%
3. Jul 31, 2006 105.22   0.60% 8,242.12 0.89%
4. Aug 31, 2006 108.34   2.97% 8,388.56 1.78%
5. Sep 30, 2006 108.90 0.84 1.29% 8,469.65 0.97%
6. Oct 31, 2006 118.00   8.36% 8,774.98 3.60%
7. Nov 30, 2006 120.05   1.74% 8,969.00 2.21%
8. Dec 31, 2006 134.31   11.88% 9,139.02 1.90%
9. Jan 31, 2007 131.78   -1.88% 9,254.73 1.27%
10. Feb 28, 2007 133.60   1.38% 9,124.54 -1.41%
11. Mar 31, 2007 128.16 1.18 -3.19% 9,261.82 1.50%
12. Apr 30, 2007 121.42   -5.26% 9,627.73 3.95%
13. May 31, 2007 120.76   -0.54% 9,978.64 3.64%
14. Jun 30, 2007 125.88   4.24% 9,873.02 -1.06%
15. Jul 31, 2007 120.63   -4.17% 9,554.50 -3.23%
16. Aug 31, 2007 115.68   -4.10% 9,596.98 0.44%
17. Sep 30, 2007 116.86 1.30 2.14% 10,039.30 4.61%
18. Oct 31, 2007 114.44   -2.07% 10,311.60 2.71%
19. Nov 30, 2007 112.45   -1.74% 9,856.85 -4.41%
20. Dec 31, 2007 106.17   -5.58% 9,740.32 -1.18%
21. Jan 31, 2008 108.32   2.03% 9,126.16 -6.31%
22. Feb 29, 2008 108.55   0.21% 8,962.46 -1.79%
23. Mar 31, 2008 100.89 1.50 -5.67% 8,797.29 -1.84%
24. Apr 30, 2008 101.50   0.60% 9,299.60 5.71%
25. May 31, 2008 102.05   0.54% 9,401.08 1.09%
26. Jun 30, 2008 94.00   -7.89% 8,660.48 -7.88%
27. Jul 31, 2008 86.05   -8.46% 8,438.64 -2.56%
28. Aug 31, 2008 89.59   4.11% 8,382.08 -0.67%
29. Sep 30, 2008 85.80 1.22 -2.87% 7,532.80 -10.13%
30. Oct 31, 2008 76.09   -11.32% 6,061.09 -19.54%
31. Nov 30, 2008 63.10   -17.07% 5,599.30 -7.62%
32. Dec 31, 2008 65.44   3.71% 5,757.05 2.82%
33. Jan 31, 2009 63.51   -2.95% 5,195.79 -9.75%
34. Feb 28, 2009 63.14   -0.58% 4,617.03 -11.14%
35. Mar 31, 2009 63.30 0.70 1.36% 4,978.98 7.84%
36. Apr 30, 2009 79.16   25.06% 5,513.36 10.73%
37. May 31, 2009 80.15   1.25% 6,004.07 8.90%
38. Jun 30, 2009 75.53   -5.76% 5,905.15 -1.65%
39. Jul 31, 2009 84.18   11.45% 6,424.28 8.79%
40. Aug 31, 2009 85.19   1.20% 6,643.24 3.41%
41. Sep 30, 2009 78.57 0.44 -7.25% 6,910.88 4.03%
42. Oct 31, 2009 78.89   0.41% 6,739.45 -2.48%
43. Nov 30, 2009 78.54   -0.44% 7,092.36 5.24%
44. Dec 31, 2009 84.16   7.16% 7,184.96 1.31%
45. Jan 31, 2010 77.00   -8.51% 6,883.78 -4.19%
46. Feb 28, 2010 74.83   -2.82% 7,035.04 2.20%
47. Mar 31, 2010 80.42 0.52 8.17% 7,447.80 5.87%
48. Apr 30, 2010 77.09   -4.14% 7,474.40 0.36%
49. May 31, 2010 72.34   -6.16% 6,791.57 -9.14%
50. Jun 30, 2010 68.57   -5.21% 6,469.65 -4.74%
51. Jul 31, 2010 70.23   2.42% 6,998.99 8.18%
52. Aug 31, 2010 67.84   -3.40% 6,704.15 -4.21%
53. Sep 30, 2010 71.58 0.48 6.22% 7,281.07 8.61%
54. Oct 31, 2010 70.82   -1.06% 7,513.35 3.19%
55. Nov 30, 2010 77.69   9.70% 7,430.94 -1.10%
56. Dec 31, 2010 78.63   1.21% 7,964.02 7.17%
57. Jan 31, 2011 82.18   4.51% 8,139.16 2.20%
58. Feb 28, 2011 93.30   13.53% 8,438.55 3.68%
59. Mar 31, 2011 80.25 0.72 -13.22% 8,404.98 -0.40%
60. Apr 30, 2011 79.68   -0.71% 8,671.41 3.17%
61. May 31, 2011 83.29   4.53% 8,477.28 -2.24%
62. Jun 30, 2011 82.42   -1.04% 8,319.10 -1.87%
63. Jul 31, 2011 81.92   -0.61% 8,079.44 -2.88%
64. Aug 31, 2011 71.84   -12.30% 7,528.39 -6.82%
65. Sep 30, 2011 68.26 0.50 -4.29% 6,791.65 -9.79%
66. Oct 31, 2011 66.71   -2.27% 7,563.38 11.36%
67. Nov 30, 2011 65.91   -1.20% 7,484.50 -1.04%
68. Dec 31, 2011 66.13   0.33% 7,477.03 -0.10%
69. Jan 31, 2012 73.48   11.11% 7,838.48 4.83%
70. Feb 29, 2012 82.71   12.56% 8,113.24 3.51%
71. Mar 31, 2012 86.82 0.72 5.84% 8,206.93 1.15%
Average: -0.04%   0.11%
Standard Deviation: 6.82%   5.59%

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

2 Rate of return on common stock of TM 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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VarianceTM 46.48
VarianceNYC 31.28
CovarianceTM,NYC 21.11
Correlation CoefficientTM,NYC1 0.55
βTM2 0.67
αTM3 -0.12

Calculations

1 CovarianceTM,NYC ÷ (Standard DeviationTM × Standard DeviationNYC)
= 21.11 ÷ (6.82 × 5.59)

2 CovarianceTM,NYC ÷ VarianceNYC
= 21.11 ÷ 31.28

3 AverageTM – βTM × AverageNYC
= -0.04 – 0.67 × 0.11

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Expected Rate of Return

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Assumptions
Rate of return on LT Treasury Composite1 RF 2.77%
Expected rate of return on market portfolio2 E(RM) 13.09%
Systematic risk (β) of 's common stock βTM 0.67
 
Expected rate of return on 's common stock3 E(RTM) 9.73%

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

2 See Details »

3 E(RTM) = RF + βTM [E(RM) – RF]
= 2.77% + 0.67 [13.09% – 2.77%]
= 9.73%

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