Stock Analysis on Net

Adobe Inc. (NASDAQ:ADBE)

$19.99

Capital Asset Pricing Model (CAPM)

Microsoft Excel

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Rates of Return

Adobe Inc., monthly rates of return

Microsoft Excel
Adobe Inc. (ADBE) Standard & Poor’s 500 (S&P 500)
t Date PriceADBE,t1 DividendADBE,t1 RADBE,t2 PriceS&P 500,t RS&P 500,t3
Dec 31, 2015
1. Jan 31, 2016
2. Feb 29, 2016
3. Mar 31, 2016
. . . . . . .
. . . . . . .
. . . . . . .
70. Oct 31, 2021
71. Nov 30, 2021
Average (R):
Standard deviation:
Adobe Inc. (ADBE) Standard & Poor’s 500 (S&P 500)
t Date PriceADBE,t1 DividendADBE,t1 RADBE,t2 PriceS&P 500,t RS&P 500,t3
Dec 31, 2015
1. Jan 31, 2016
2. Feb 29, 2016
3. Mar 31, 2016
4. Apr 30, 2016
5. May 31, 2016
6. Jun 30, 2016
7. Jul 31, 2016
8. Aug 31, 2016
9. Sep 30, 2016
10. Oct 31, 2016
11. Nov 30, 2016
12. Dec 31, 2016
13. Jan 31, 2017
14. Feb 28, 2017
15. Mar 31, 2017
16. Apr 30, 2017
17. May 31, 2017
18. Jun 30, 2017
19. Jul 31, 2017
20. Aug 31, 2017
21. Sep 30, 2017
22. Oct 31, 2017
23. Nov 30, 2017
24. Dec 31, 2017
25. Jan 31, 2018
26. Feb 28, 2018
27. Mar 31, 2018
28. Apr 30, 2018
29. May 31, 2018
30. Jun 30, 2018
31. Jul 31, 2018
32. Aug 31, 2018
33. Sep 30, 2018
34. Oct 31, 2018
35. Nov 30, 2018
36. Dec 31, 2018
37. Jan 31, 2019
38. Feb 28, 2019
39. Mar 31, 2019
40. Apr 30, 2019
41. May 31, 2019
42. Jun 30, 2019
43. Jul 31, 2019
44. Aug 31, 2019
45. Sep 30, 2019
46. Oct 31, 2019
47. Nov 30, 2019
48. Dec 31, 2019
49. Jan 31, 2020
50. Feb 29, 2020
51. Mar 31, 2020
52. Apr 30, 2020
53. May 31, 2020
54. Jun 30, 2020
55. Jul 31, 2020
56. Aug 31, 2020
57. Sep 30, 2020
58. Oct 31, 2020
59. Nov 30, 2020
60. Dec 31, 2020
61. Jan 31, 2021
62. Feb 28, 2021
63. Mar 31, 2021
64. Apr 30, 2021
65. May 31, 2021
66. Jun 30, 2021
67. Jul 31, 2021
68. Aug 31, 2021
69. Sep 30, 2021
70. Oct 31, 2021
71. Nov 30, 2021
Average (R):
Standard deviation:

Show all

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

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

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


Variance and Covariance

Adobe Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RADBE,t RS&P 500,t (RADBE,tRADBE)2 (RS&P 500,tRS&P 500)2 (RADBE,tRADBE)×(RS&P 500,tRS&P 500)
1. Jan 31, 2016
2. Feb 29, 2016
3. Mar 31, 2016
. . . . . . .
. . . . . . .
. . . . . . .
70. Oct 31, 2021
71. Nov 30, 2021
Total (Σ):
t Date RADBE,t RS&P 500,t (RADBE,tRADBE)2 (RS&P 500,tRS&P 500)2 (RADBE,tRADBE)×(RS&P 500,tRS&P 500)
1. Jan 31, 2016
2. Feb 29, 2016
3. Mar 31, 2016
4. Apr 30, 2016
5. May 31, 2016
6. Jun 30, 2016
7. Jul 31, 2016
8. Aug 31, 2016
9. Sep 30, 2016
10. Oct 31, 2016
11. Nov 30, 2016
12. Dec 31, 2016
13. Jan 31, 2017
14. Feb 28, 2017
15. Mar 31, 2017
16. Apr 30, 2017
17. May 31, 2017
18. Jun 30, 2017
19. Jul 31, 2017
20. Aug 31, 2017
21. Sep 30, 2017
22. Oct 31, 2017
23. Nov 30, 2017
24. Dec 31, 2017
25. Jan 31, 2018
26. Feb 28, 2018
27. Mar 31, 2018
28. Apr 30, 2018
29. May 31, 2018
30. Jun 30, 2018
31. Jul 31, 2018
32. Aug 31, 2018
33. Sep 30, 2018
34. Oct 31, 2018
35. Nov 30, 2018
36. Dec 31, 2018
37. Jan 31, 2019
38. Feb 28, 2019
39. Mar 31, 2019
40. Apr 30, 2019
41. May 31, 2019
42. Jun 30, 2019
43. Jul 31, 2019
44. Aug 31, 2019
45. Sep 30, 2019
46. Oct 31, 2019
47. Nov 30, 2019
48. Dec 31, 2019
49. Jan 31, 2020
50. Feb 29, 2020
51. Mar 31, 2020
52. Apr 30, 2020
53. May 31, 2020
54. Jun 30, 2020
55. Jul 31, 2020
56. Aug 31, 2020
57. Sep 30, 2020
58. Oct 31, 2020
59. Nov 30, 2020
60. Dec 31, 2020
61. Jan 31, 2021
62. Feb 28, 2021
63. Mar 31, 2021
64. Apr 30, 2021
65. May 31, 2021
66. Jun 30, 2021
67. Jul 31, 2021
68. Aug 31, 2021
69. Sep 30, 2021
70. Oct 31, 2021
71. Nov 30, 2021
Total (Σ):

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VarianceADBE = Σ(RADBE,tRADBE)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

CovarianceADBE, S&P 500 = Σ(RADBE,tRADBE)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VarianceADBE
VarianceS&P 500
CovarianceADBE, S&P 500
Correlation coefficientADBE, S&P 5001
βADBE2
αADBE3

Calculations

1 Correlation coefficientADBE, S&P 500
= CovarianceADBE, S&P 500 ÷ (Standard deviationADBE × Standard deviationS&P 500)
= ÷ ( × )
=

2 βADBE
= CovarianceADBE, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αADBE
= AverageADBE – βADBE × AverageS&P 500
= ×
=


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of Adobe Inc. common stock βADBE
 
Expected rate of return on Adobe Inc. common stock3 E(RADBE)

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(RADBE) = RF + βADBE [E(RM) – RF]
= + []
=