Stock Analysis on Net

Adobe Inc. (NASDAQ:ADBE)

$24.99

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, 2017
1. Jan 31, 2018
2. Feb 28, 2018
3. Mar 31, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. Oct 31, 2023
71. Nov 30, 2023
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, 2017
1. Jan 31, 2018
2. Feb 28, 2018
3. Mar 31, 2018
4. Apr 30, 2018
5. May 31, 2018
6. Jun 30, 2018
7. Jul 31, 2018
8. Aug 31, 2018
9. Sep 30, 2018
10. Oct 31, 2018
11. Nov 30, 2018
12. Dec 31, 2018
13. Jan 31, 2019
14. Feb 28, 2019
15. Mar 31, 2019
16. Apr 30, 2019
17. May 31, 2019
18. Jun 30, 2019
19. Jul 31, 2019
20. Aug 31, 2019
21. Sep 30, 2019
22. Oct 31, 2019
23. Nov 30, 2019
24. Dec 31, 2019
25. Jan 31, 2020
26. Feb 29, 2020
27. Mar 31, 2020
28. Apr 30, 2020
29. May 31, 2020
30. Jun 30, 2020
31. Jul 31, 2020
32. Aug 31, 2020
33. Sep 30, 2020
34. Oct 31, 2020
35. Nov 30, 2020
36. Dec 31, 2020
37. Jan 31, 2021
38. Feb 28, 2021
39. Mar 31, 2021
40. Apr 30, 2021
41. May 31, 2021
42. Jun 30, 2021
43. Jul 31, 2021
44. Aug 31, 2021
45. Sep 30, 2021
46. Oct 31, 2021
47. Nov 30, 2021
48. Dec 31, 2021
49. Jan 31, 2022
50. Feb 28, 2022
51. Mar 31, 2022
52. Apr 30, 2022
53. May 31, 2022
54. Jun 30, 2022
55. Jul 31, 2022
56. Aug 31, 2022
57. Sep 30, 2022
58. Oct 31, 2022
59. Nov 30, 2022
60. Dec 31, 2022
61. Jan 31, 2023
62. Feb 28, 2023
63. Mar 31, 2023
64. Apr 30, 2023
65. May 31, 2023
66. Jun 30, 2023
67. Jul 31, 2023
68. Aug 31, 2023
69. Sep 30, 2023
70. Oct 31, 2023
71. Nov 30, 2023
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, 2018
2. Feb 28, 2018
3. Mar 31, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. Oct 31, 2023
71. Nov 30, 2023
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, 2018
2. Feb 28, 2018
3. Mar 31, 2018
4. Apr 30, 2018
5. May 31, 2018
6. Jun 30, 2018
7. Jul 31, 2018
8. Aug 31, 2018
9. Sep 30, 2018
10. Oct 31, 2018
11. Nov 30, 2018
12. Dec 31, 2018
13. Jan 31, 2019
14. Feb 28, 2019
15. Mar 31, 2019
16. Apr 30, 2019
17. May 31, 2019
18. Jun 30, 2019
19. Jul 31, 2019
20. Aug 31, 2019
21. Sep 30, 2019
22. Oct 31, 2019
23. Nov 30, 2019
24. Dec 31, 2019
25. Jan 31, 2020
26. Feb 29, 2020
27. Mar 31, 2020
28. Apr 30, 2020
29. May 31, 2020
30. Jun 30, 2020
31. Jul 31, 2020
32. Aug 31, 2020
33. Sep 30, 2020
34. Oct 31, 2020
35. Nov 30, 2020
36. Dec 31, 2020
37. Jan 31, 2021
38. Feb 28, 2021
39. Mar 31, 2021
40. Apr 30, 2021
41. May 31, 2021
42. Jun 30, 2021
43. Jul 31, 2021
44. Aug 31, 2021
45. Sep 30, 2021
46. Oct 31, 2021
47. Nov 30, 2021
48. Dec 31, 2021
49. Jan 31, 2022
50. Feb 28, 2022
51. Mar 31, 2022
52. Apr 30, 2022
53. May 31, 2022
54. Jun 30, 2022
55. Jul 31, 2022
56. Aug 31, 2022
57. Sep 30, 2022
58. Oct 31, 2022
59. Nov 30, 2022
60. Dec 31, 2022
61. Jan 31, 2023
62. Feb 28, 2023
63. Mar 31, 2023
64. Apr 30, 2023
65. May 31, 2023
66. Jun 30, 2023
67. Jul 31, 2023
68. Aug 31, 2023
69. Sep 30, 2023
70. Oct 31, 2023
71. Nov 30, 2023
Total (Σ):

Show all

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]
= + []
=