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

Amazon.com Inc. (NASDAQ:AMZN)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Amazon.com Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Amazon.com Inc. (AMZN) Standard & Poor’s 500 (S&P 500)
t Date PriceAMZN,t1 DividendAMZN,t1 RAMZN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 $354.53 1,994.99
1. Feb 28, 2015 $380.16 7.23% 2,104.50 5.49%
2. Mar 31, 2015 $372.10 -2.12% 2,067.89 -1.74%
3. Apr 30, 2015 $421.78 13.35% 2,085.51 0.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2019 $1,800.80 1.36% 3,140.98 3.40%
59. Dec 31, 2019 $1,847.84 2.61% 3,230.78 2.86%
Average (R): 3.16% 0.88%
Standard deviation: 8.20% 3.45%
Amazon.com Inc. (AMZN) Standard & Poor’s 500 (S&P 500)
t Date PriceAMZN,t1 DividendAMZN,t1 RAMZN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 $354.53 1,994.99
1. Feb 28, 2015 $380.16 7.23% 2,104.50 5.49%
2. Mar 31, 2015 $372.10 -2.12% 2,067.89 -1.74%
3. Apr 30, 2015 $421.78 13.35% 2,085.51 0.85%
4. May 31, 2015 $429.23 1.77% 2,107.39 1.05%
5. Jun 30, 2015 $434.09 1.13% 2,063.11 -2.10%
6. Jul 31, 2015 $536.15 23.51% 2,103.84 1.97%
7. Aug 31, 2015 $512.89 -4.34% 1,972.18 -6.26%
8. Sep 30, 2015 $511.89 -0.19% 1,920.03 -2.64%
9. Oct 31, 2015 $625.90 22.27% 2,079.36 8.30%
10. Nov 30, 2015 $664.80 6.22% 2,080.41 0.05%
11. Dec 31, 2015 $675.89 1.67% 2,043.94 -1.75%
12. Jan 31, 2016 $587.00 -13.15% 1,940.24 -5.07%
13. Feb 29, 2016 $552.52 -5.87% 1,932.23 -0.41%
14. Mar 31, 2016 $593.64 7.44% 2,059.74 6.60%
15. Apr 30, 2016 $659.59 11.11% 2,065.30 0.27%
16. May 31, 2016 $722.79 9.58% 2,096.95 1.53%
17. Jun 30, 2016 $715.62 -0.99% 2,098.86 0.09%
18. Jul 31, 2016 $758.81 6.04% 2,173.60 3.56%
19. Aug 31, 2016 $769.16 1.36% 2,170.95 -0.12%
20. Sep 30, 2016 $837.31 8.86% 2,168.27 -0.12%
21. Oct 31, 2016 $789.82 -5.67% 2,126.15 -1.94%
22. Nov 30, 2016 $750.57 -4.97% 2,198.81 3.42%
23. Dec 31, 2016 $749.87 -0.09% 2,238.83 1.82%
24. Jan 31, 2017 $823.48 9.82% 2,278.87 1.79%
25. Feb 28, 2017 $845.04 2.62% 2,363.64 3.72%
26. Mar 31, 2017 $886.54 4.91% 2,362.72 -0.04%
27. Apr 30, 2017 $924.99 4.34% 2,384.20 0.91%
28. May 31, 2017 $994.62 7.53% 2,411.80 1.16%
29. Jun 30, 2017 $968.00 -2.68% 2,423.41 0.48%
30. Jul 31, 2017 $987.78 2.04% 2,470.30 1.93%
31. Aug 31, 2017 $980.60 -0.73% 2,471.65 0.05%
32. Sep 30, 2017 $961.35 -1.96% 2,519.36 1.93%
33. Oct 31, 2017 $1,105.28 14.97% 2,575.26 2.22%
34. Nov 30, 2017 $1,176.75 6.47% 2,647.58 2.81%
35. Dec 31, 2017 $1,169.47 -0.62% 2,673.61 0.98%
36. Jan 31, 2018 $1,450.89 24.06% 2,823.81 5.62%
37. Feb 28, 2018 $1,512.45 4.24% 2,713.83 -3.89%
38. Mar 31, 2018 $1,447.34 -4.30% 2,640.87 -2.69%
39. Apr 30, 2018 $1,566.13 8.21% 2,648.05 0.27%
40. May 31, 2018 $1,629.62 4.05% 2,705.27 2.16%
41. Jun 30, 2018 $1,699.80 4.31% 2,718.37 0.48%
42. Jul 31, 2018 $1,777.44 4.57% 2,816.29 3.60%
43. Aug 31, 2018 $2,012.71 13.24% 2,901.52 3.03%
44. Sep 30, 2018 $2,003.00 -0.48% 2,913.98 0.43%
45. Oct 31, 2018 $1,598.01 -20.22% 2,711.74 -6.94%
46. Nov 30, 2018 $1,690.17 5.77% 2,760.17 1.79%
47. Dec 31, 2018 $1,501.97 -11.13% 2,506.85 -9.18%
48. Jan 31, 2019 $1,718.73 14.43% 2,704.10 7.87%
49. Feb 28, 2019 $1,639.83 -4.59% 2,784.49 2.97%
50. Mar 31, 2019 $1,780.75 8.59% 2,834.40 1.79%
51. Apr 30, 2019 $1,926.52 8.19% 2,945.83 3.93%
52. May 31, 2019 $1,775.07 -7.86% 2,752.06 -6.58%
53. Jun 30, 2019 $1,893.63 6.68% 2,941.76 6.89%
54. Jul 31, 2019 $1,866.78 -1.42% 2,980.38 1.31%
55. Aug 31, 2019 $1,776.29 -4.85% 2,926.46 -1.81%
56. Sep 30, 2019 $1,735.91 -2.27% 2,976.74 1.72%
57. Oct 31, 2019 $1,776.66 2.35% 3,037.56 2.04%
58. Nov 30, 2019 $1,800.80 1.36% 3,140.98 3.40%
59. Dec 31, 2019 $1,847.84 2.61% 3,230.78 2.86%
Average (R): 3.16% 0.88%
Standard deviation: 8.20% 3.45%

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 AMZN during period t

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


Variance and Covariance

Amazon.com Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RAMZN,t RS&P 500,t (RAMZN,tRAMZN)2 (RS&P 500,tRS&P 500)2 (RAMZN,tRAMZN)×(RS&P 500,tRS&P 500)
1. Feb 28, 2015 7.23% 5.49% 16.57 21.25 18.77
2. Mar 31, 2015 -2.12% -1.74% 27.87 6.86 13.82
3. Apr 30, 2015 13.35% 0.85% 103.89 0.00 -0.28
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2019 1.36% 3.40% 3.24 6.38 -4.55
59. Dec 31, 2019 2.61% 2.86% 0.30 3.92 -1.08
Total (Σ): 3,899.25 688.77 1,103.57
t Date RAMZN,t RS&P 500,t (RAMZN,tRAMZN)2 (RS&P 500,tRS&P 500)2 (RAMZN,tRAMZN)×(RS&P 500,tRS&P 500)
1. Feb 28, 2015 7.23% 5.49% 16.57 21.25 18.77
2. Mar 31, 2015 -2.12% -1.74% 27.87 6.86 13.82
3. Apr 30, 2015 13.35% 0.85% 103.89 0.00 -0.28
4. May 31, 2015 1.77% 1.05% 1.94 0.03 -0.24
5. Jun 30, 2015 1.13% -2.10% 4.11 8.88 6.04
6. Jul 31, 2015 23.51% 1.97% 414.23 1.20 22.29
7. Aug 31, 2015 -4.34% -6.26% 56.21 50.94 53.51
8. Sep 30, 2015 -0.19% -2.64% 11.25 12.41 11.82
9. Oct 31, 2015 22.27% 8.30% 365.33 55.04 141.81
10. Nov 30, 2015 6.22% 0.05% 9.34 0.69 -2.53
11. Dec 31, 2015 1.67% -1.75% 2.22 6.93 3.92
12. Jan 31, 2016 -13.15% -5.07% 266.02 35.43 97.09
13. Feb 29, 2016 -5.87% -0.41% 81.59 1.67 11.67
14. Mar 31, 2016 7.44% 6.60% 18.35 32.72 24.50
15. Apr 30, 2016 11.11% 0.27% 63.21 0.37 -4.84
16. May 31, 2016 9.58% 1.53% 41.26 0.43 4.20
17. Jun 30, 2016 -0.99% 0.09% 17.23 0.62 3.27
18. Jul 31, 2016 6.04% 3.56% 8.28 7.19 7.71
19. Aug 31, 2016 1.36% -0.12% 3.22 1.00 1.80
20. Sep 30, 2016 8.86% -0.12% 32.51 1.01 -5.72
21. Oct 31, 2016 -5.67% -1.94% 77.98 7.96 24.92
22. Nov 30, 2016 -4.97% 3.42% 66.07 6.44 -20.63
23. Dec 31, 2016 -0.09% 1.82% 10.58 0.89 -3.06
24. Jan 31, 2017 9.82% 1.79% 44.32 0.83 6.05
25. Feb 28, 2017 2.62% 3.72% 0.29 8.07 -1.54
26. Mar 31, 2017 4.91% -0.04% 3.07 0.84 -1.61
27. Apr 30, 2017 4.34% 0.91% 1.39 0.00 0.04
28. May 31, 2017 7.53% 1.16% 19.09 0.08 1.22
29. Jun 30, 2017 -2.68% 0.48% 34.05 0.16 2.32
30. Jul 31, 2017 2.04% 1.93% 1.24 1.11 -1.18
31. Aug 31, 2017 -0.73% 0.05% 15.10 0.68 3.20
32. Sep 30, 2017 -1.96% 1.93% 26.23 1.10 -5.38
33. Oct 31, 2017 14.97% 2.22% 139.55 1.79 15.83
34. Nov 30, 2017 6.47% 2.81% 10.94 3.72 6.38
35. Dec 31, 2017 -0.62% 0.98% 14.27 0.01 -0.39
36. Jan 31, 2018 24.06% 5.62% 437.03 22.46 99.06
37. Feb 28, 2018 4.24% -3.89% 1.18 22.79 -5.18
38. Mar 31, 2018 -4.30% -2.69% 55.71 12.73 26.63
39. Apr 30, 2018 8.21% 0.27% 25.49 0.37 -3.07
40. May 31, 2018 4.05% 2.16% 0.80 1.64 1.15
41. Jun 30, 2018 4.31% 0.48% 1.32 0.16 -0.45
42. Jul 31, 2018 4.57% 3.60% 1.99 7.41 3.84
43. Aug 31, 2018 13.24% 3.03% 101.56 4.61 21.64
44. Sep 30, 2018 -0.48% 0.43% 13.26 0.20 1.64
45. Oct 31, 2018 -20.22% -6.94% 546.52 61.14 182.80
46. Nov 30, 2018 5.77% 1.79% 6.80 0.82 2.37
47. Dec 31, 2018 -11.13% -9.18% 204.31 101.14 143.75
48. Jan 31, 2019 14.43% 7.87% 127.08 48.85 78.79
49. Feb 28, 2019 -4.59% 2.97% 60.05 4.38 -16.23
50. Mar 31, 2019 8.59% 1.79% 29.54 0.83 4.96
51. Apr 30, 2019 8.19% 3.93% 25.27 9.32 15.34
52. May 31, 2019 -7.86% -6.58% 121.44 55.61 82.18
53. Jun 30, 2019 6.68% 6.89% 12.39 36.17 21.17
54. Jul 31, 2019 -1.42% 1.31% 20.95 0.19 -1.98
55. Aug 31, 2019 -4.85% -1.81% 64.10 7.23 21.52
56. Sep 30, 2019 -2.27% 1.72% 29.51 0.70 -4.56
57. Oct 31, 2019 2.35% 2.04% 0.66 1.36 -0.94
58. Nov 30, 2019 1.36% 3.40% 3.24 6.38 -4.55
59. Dec 31, 2019 2.61% 2.86% 0.30 3.92 -1.08
Total (Σ): 3,899.25 688.77 1,103.57

Show all

VarianceAMZN = Σ(RAMZN,tRAMZN)2 ÷ (59 – 1)
= 3,899.25 ÷ (59 – 1)
= 67.23

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 688.77 ÷ (59 – 1)
= 11.88

CovarianceAMZN, S&P 500 = Σ(RAMZN,tRAMZN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,103.57 ÷ (59 – 1)
= 19.03


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceAMZN 67.23
VarianceS&P 500 11.88
CovarianceAMZN, S&P 500 19.03
Correlation coefficientAMZN, S&P 5001 0.67
βAMZN2 1.60
αAMZN3 1.75%

Calculations

1 Correlation coefficientAMZN, S&P 500
= CovarianceAMZN, S&P 500 ÷ (Standard deviationAMZN × Standard deviationS&P 500)
= 19.03 ÷ (8.20% × 3.45%)
= 0.67

2 βAMZN
= CovarianceAMZN, S&P 500 ÷ VarianceS&P 500
= 19.03 ÷ 11.88
= 1.60

3 αAMZN
= AverageAMZN – βAMZN × AverageS&P 500
= 3.16%1.60 × 0.88%
= 1.75%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 1.66%
Expected rate of return on market portfolio2 E(RM) 12.16%
Systematic risk (β) of Amazon.com Inc.’s common stock βAMZN 1.60
 
Expected rate of return on Amazon.com Inc.’s common stock3 E(RAMZN) 18.49%

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(RAMZN) = RF + βAMZN [E(RM) – RF]
= 1.66% + 1.60 [12.16%1.66%]
= 18.49%