Stock Analysis on Net
Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Adobe Inc. (NASDAQ:ADBE)

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Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Adobe Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
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, 2014
1. Jan 31, 2015
2. Feb 28, 2015
3. Mar 31, 2015
. . . . . . .
. . . . . . .
. . . . . . .
70. Oct 31, 2020
71. Nov 30, 2020
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, 2014
1. Jan 31, 2015
2. Feb 28, 2015
3. Mar 31, 2015
4. Apr 30, 2015
5. May 31, 2015
6. Jun 30, 2015
7. Jul 31, 2015
8. Aug 31, 2015
9. Sep 30, 2015
10. Oct 31, 2015
11. Nov 30, 2015
12. Dec 31, 2015
13. Jan 31, 2016
14. Feb 29, 2016
15. Mar 31, 2016
16. Apr 30, 2016
17. May 31, 2016
18. Jun 30, 2016
19. Jul 31, 2016
20. Aug 31, 2016
21. Sep 30, 2016
22. Oct 31, 2016
23. Nov 30, 2016
24. Dec 31, 2016
25. Jan 31, 2017
26. Feb 28, 2017
27. Mar 31, 2017
28. Apr 30, 2017
29. May 31, 2017
30. Jun 30, 2017
31. Jul 31, 2017
32. Aug 31, 2017
33. Sep 30, 2017
34. Oct 31, 2017
35. Nov 30, 2017
36. Dec 31, 2017
37. Jan 31, 2018
38. Feb 28, 2018
39. Mar 31, 2018
40. Apr 30, 2018
41. May 31, 2018
42. Jun 30, 2018
43. Jul 31, 2018
44. Aug 31, 2018
45. Sep 30, 2018
46. Oct 31, 2018
47. Nov 30, 2018
48. Dec 31, 2018
49. Jan 31, 2019
50. Feb 28, 2019
51. Mar 31, 2019
52. Apr 30, 2019
53. May 31, 2019
54. Jun 30, 2019
55. Jul 31, 2019
56. Aug 31, 2019
57. Sep 30, 2019
58. Oct 31, 2019
59. Nov 30, 2019
60. Dec 31, 2019
61. Jan 31, 2020
62. Feb 29, 2020
63. Mar 31, 2020
64. Apr 30, 2020
65. May 31, 2020
66. Jun 30, 2020
67. Jul 31, 2020
68. Aug 31, 2020
69. Sep 30, 2020
70. Oct 31, 2020
71. Nov 30, 2020
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 LibreOffice Calc
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, 2015
2. Feb 28, 2015
3. Mar 31, 2015
. . . . . . .
. . . . . . .
. . . . . . .
70. Oct 31, 2020
71. Nov 30, 2020
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, 2015
2. Feb 28, 2015
3. Mar 31, 2015
4. Apr 30, 2015
5. May 31, 2015
6. Jun 30, 2015
7. Jul 31, 2015
8. Aug 31, 2015
9. Sep 30, 2015
10. Oct 31, 2015
11. Nov 30, 2015
12. Dec 31, 2015
13. Jan 31, 2016
14. Feb 29, 2016
15. Mar 31, 2016
16. Apr 30, 2016
17. May 31, 2016
18. Jun 30, 2016
19. Jul 31, 2016
20. Aug 31, 2016
21. Sep 30, 2016
22. Oct 31, 2016
23. Nov 30, 2016
24. Dec 31, 2016
25. Jan 31, 2017
26. Feb 28, 2017
27. Mar 31, 2017
28. Apr 30, 2017
29. May 31, 2017
30. Jun 30, 2017
31. Jul 31, 2017
32. Aug 31, 2017
33. Sep 30, 2017
34. Oct 31, 2017
35. Nov 30, 2017
36. Dec 31, 2017
37. Jan 31, 2018
38. Feb 28, 2018
39. Mar 31, 2018
40. Apr 30, 2018
41. May 31, 2018
42. Jun 30, 2018
43. Jul 31, 2018
44. Aug 31, 2018
45. Sep 30, 2018
46. Oct 31, 2018
47. Nov 30, 2018
48. Dec 31, 2018
49. Jan 31, 2019
50. Feb 28, 2019
51. Mar 31, 2019
52. Apr 30, 2019
53. May 31, 2019
54. Jun 30, 2019
55. Jul 31, 2019
56. Aug 31, 2019
57. Sep 30, 2019
58. Oct 31, 2019
59. Nov 30, 2019
60. Dec 31, 2019
61. Jan 31, 2020
62. Feb 29, 2020
63. Mar 31, 2020
64. Apr 30, 2020
65. May 31, 2020
66. Jun 30, 2020
67. Jul 31, 2020
68. Aug 31, 2020
69. Sep 30, 2020
70. Oct 31, 2020
71. Nov 30, 2020
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 LibreOffice Calc
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 LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of Adobe Inc.’s common stock βADBE
 
Expected rate of return on Adobe Inc.’s 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]
= + []
=