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Microsoft Excel LibreOffice Calc


Capital Asset Pricing Model (CAPM)

Difficulty: Intermediate


Rates of Return

Amgen Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Amgen Inc. (AMGN) Standard & Poor's 500 (S&P 500)
t Date PriceAMGN,t1 DividendAMGN,t1 RAMGN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2013 hidden hidden
1. Feb 28, 2013 hidden hidden hidden% hidden hidden%
2. Mar 31, 2013 hidden hidden% hidden hidden%
3. Apr 30, 2013 hidden hidden% hidden hidden%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2017 hidden hidden hidden% hidden hidden%
59. Dec 31, 2017 hidden hidden% hidden hidden%
Average: hidden% hidden%
Standard Deviation: hidden% hidden%
Amgen Inc. (AMGN) Standard & Poor's 500 (S&P 500)
t Date PriceAMGN,t1 DividendAMGN,t1 RAMGN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2013 hidden hidden
1. Feb 28, 2013 hidden hidden hidden% hidden hidden%
2. Mar 31, 2013 hidden hidden% hidden hidden%
3. Apr 30, 2013 hidden hidden% hidden hidden%
4. May 31, 2013 hidden hidden hidden% hidden hidden%
5. Jun 30, 2013 hidden hidden% hidden hidden%
6. Jul 31, 2013 hidden hidden% hidden hidden%
7. Aug 31, 2013 hidden hidden hidden% hidden hidden%
8. Sep 30, 2013 hidden hidden% hidden hidden%
9. Oct 31, 2013 hidden hidden% hidden hidden%
10. Nov 30, 2013 hidden hidden hidden% hidden hidden%
11. Dec 31, 2013 hidden hidden% hidden hidden%
12. Jan 31, 2014 hidden hidden% hidden hidden%
13. Feb 28, 2014 hidden hidden hidden% hidden hidden%
14. Mar 31, 2014 hidden hidden% hidden hidden%
15. Apr 30, 2014 hidden hidden% hidden hidden%
16. May 31, 2014 hidden hidden hidden% hidden hidden%
17. Jun 30, 2014 hidden hidden% hidden hidden%
18. Jul 31, 2014 hidden hidden% hidden hidden%
19. Aug 31, 2014 hidden hidden hidden% hidden hidden%
20. Sep 30, 2014 hidden hidden% hidden hidden%
21. Oct 31, 2014 hidden hidden% hidden hidden%
22. Nov 30, 2014 hidden hidden hidden% hidden hidden%
23. Dec 31, 2014 hidden hidden% hidden hidden%
24. Jan 31, 2015 hidden hidden% hidden hidden%
25. Feb 28, 2015 hidden hidden hidden% hidden hidden%
26. Mar 31, 2015 hidden hidden% hidden hidden%
27. Apr 30, 2015 hidden hidden% hidden hidden%
28. May 31, 2015 hidden hidden hidden% hidden hidden%
29. Jun 30, 2015 hidden hidden% hidden hidden%
30. Jul 31, 2015 hidden hidden% hidden hidden%
31. Aug 31, 2015 hidden hidden hidden% hidden hidden%
32. Sep 30, 2015 hidden hidden% hidden hidden%
33. Oct 31, 2015 hidden hidden% hidden hidden%
34. Nov 30, 2015 hidden hidden hidden% hidden hidden%
35. Dec 31, 2015 hidden hidden% hidden hidden%
36. Jan 31, 2016 hidden hidden% hidden hidden%
37. Feb 29, 2016 hidden hidden hidden% hidden hidden%
38. Mar 31, 2016 hidden hidden% hidden hidden%
39. Apr 30, 2016 hidden hidden% hidden hidden%
40. May 31, 2016 hidden hidden hidden% hidden hidden%
41. Jun 30, 2016 hidden hidden% hidden hidden%
42. Jul 31, 2016 hidden hidden% hidden hidden%
43. Aug 31, 2016 hidden hidden hidden% hidden hidden%
44. Sep 30, 2016 hidden hidden% hidden hidden%
45. Oct 31, 2016 hidden hidden% hidden hidden%
46. Nov 30, 2016 hidden hidden hidden% hidden hidden%
47. Dec 31, 2016 hidden hidden% hidden hidden%
48. Jan 31, 2017 hidden hidden% hidden hidden%
49. Feb 28, 2017 hidden hidden hidden% hidden hidden%
50. Mar 31, 2017 hidden hidden% hidden hidden%
51. Apr 30, 2017 hidden hidden% hidden hidden%
52. May 31, 2017 hidden hidden hidden% hidden hidden%
53. Jun 30, 2017 hidden hidden% hidden hidden%
54. Jul 31, 2017 hidden hidden% hidden hidden%
55. Aug 31, 2017 hidden hidden hidden% hidden hidden%
56. Sep 30, 2017 hidden hidden% hidden hidden%
57. Oct 31, 2017 hidden hidden% hidden hidden%
58. Nov 30, 2017 hidden hidden hidden% hidden hidden%
59. Dec 31, 2017 hidden hidden% hidden hidden%
Average: hidden% hidden%
Standard Deviation: hidden% hidden%

Show All

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

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

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


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceAMGN hidden
VarianceS&P 500 hidden
CovarianceAMGN, S&P 500 hidden
Correlation CoefficientAMGN, S&P 5001 hidden
βAMGN2 hidden
αAMGN3 hidden

Calculations

1 CovarianceAMGN, S&P 500 ÷ (Standard DeviationAMGN × Standard DeviationS&P 500)
= hidden ÷ (hidden × hidden)

2 CovarianceAMGN, S&P 500 ÷ VarianceS&P 500
= hidden ÷ hidden

3 AverageAMGN – βAMGN × AverageS&P 500
= hiddenhidden × hidden


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF hidden%
Expected rate of return on market portfolio2 E(RM) hidden%
Systematic risk (β) of Amgen's common stock βAMGN hidden
Expected rate of return on Amgen's common stock3 E(RAMGN) hidden%

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(RAMGN) = RF + βAMGN [E(RM) – RF]
= hidden% + hidden [hidden% – hidden%]
= hidden%