Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Apple Inc. common stock.
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- Income Statement
- DuPont Analysis: Disaggregation of ROE, ROA, and Net Profit Margin
- Analysis of Geographic Areas
- Enterprise Value (EV)
- Enterprise Value to EBITDA (EV/EBITDA)
- Enterprise Value to FCFF (EV/FCFF)
- Return on Equity (ROE) since 2005
- Debt to Equity since 2005
- Price to Book Value (P/BV) since 2005
- Aggregate Accruals
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Rates of Return
Apple Inc. (AAPL) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | Date | PriceAAPL,t1 | DividendAAPL,t1 | RAAPL,t2 | PriceS&P 500,t | RS&P 500,t3 |
Oct 31, 2016 | ||||||
1. | Nov 30, 2016 | |||||
2. | Dec 31, 2016 | |||||
3. | Jan 31, 2017 | |||||
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | Aug 31, 2022 | |||||
71. | Sep 30, 2022 | |||||
Average (R): | ||||||
Standard deviation: |
Apple Inc. (AAPL) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | Date | PriceAAPL,t1 | DividendAAPL,t1 | RAAPL,t2 | PriceS&P 500,t | RS&P 500,t3 |
Oct 31, 2016 | ||||||
1. | Nov 30, 2016 | |||||
2. | Dec 31, 2016 | |||||
3. | Jan 31, 2017 | |||||
4. | Feb 28, 2017 | |||||
5. | Mar 31, 2017 | |||||
6. | Apr 30, 2017 | |||||
7. | May 31, 2017 | |||||
8. | Jun 30, 2017 | |||||
9. | Jul 31, 2017 | |||||
10. | Aug 31, 2017 | |||||
11. | Sep 30, 2017 | |||||
12. | Oct 31, 2017 | |||||
13. | Nov 30, 2017 | |||||
14. | Dec 31, 2017 | |||||
15. | Jan 31, 2018 | |||||
16. | Feb 28, 2018 | |||||
17. | Mar 31, 2018 | |||||
18. | Apr 30, 2018 | |||||
19. | May 31, 2018 | |||||
20. | Jun 30, 2018 | |||||
21. | Jul 31, 2018 | |||||
22. | Aug 31, 2018 | |||||
23. | Sep 30, 2018 | |||||
24. | Oct 31, 2018 | |||||
25. | Nov 30, 2018 | |||||
26. | Dec 31, 2018 | |||||
27. | Jan 31, 2019 | |||||
28. | Feb 28, 2019 | |||||
29. | Mar 31, 2019 | |||||
30. | Apr 30, 2019 | |||||
31. | May 31, 2019 | |||||
32. | Jun 30, 2019 | |||||
33. | Jul 31, 2019 | |||||
34. | Aug 31, 2019 | |||||
35. | Sep 30, 2019 | |||||
36. | Oct 31, 2019 | |||||
37. | Nov 30, 2019 | |||||
38. | Dec 31, 2019 | |||||
39. | Jan 31, 2020 | |||||
40. | Feb 29, 2020 | |||||
41. | Mar 31, 2020 | |||||
42. | Apr 30, 2020 | |||||
43. | May 31, 2020 | |||||
44. | Jun 30, 2020 | |||||
45. | Jul 31, 2020 | |||||
46. | Aug 31, 2020 | |||||
47. | Sep 30, 2020 | |||||
48. | Oct 31, 2020 | |||||
49. | Nov 30, 2020 | |||||
50. | Dec 31, 2020 | |||||
51. | Jan 31, 2021 | |||||
52. | Feb 28, 2021 | |||||
53. | Mar 31, 2021 | |||||
54. | Apr 30, 2021 | |||||
55. | May 31, 2021 | |||||
56. | Jun 30, 2021 | |||||
57. | Jul 31, 2021 | |||||
58. | Aug 31, 2021 | |||||
59. | Sep 30, 2021 | |||||
60. | Oct 31, 2021 | |||||
61. | Nov 30, 2021 | |||||
62. | Dec 31, 2021 | |||||
63. | Jan 31, 2022 | |||||
64. | Feb 28, 2022 | |||||
65. | Mar 31, 2022 | |||||
66. | Apr 30, 2022 | |||||
67. | May 31, 2022 | |||||
68. | Jun 30, 2022 | |||||
69. | Jul 31, 2022 | |||||
70. | Aug 31, 2022 | |||||
71. | Sep 30, 2022 | |||||
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 AAPL during period t
3 Rate of return on S&P 500 (the market portfolio proxy) during period t
Variance and Covariance
t | Date | RAAPL,t | RS&P 500,t | (RAAPL,t–RAAPL)2 | (RS&P 500,t–RS&P 500)2 | (RAAPL,t–RAAPL)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | Nov 30, 2016 | |||||
2. | Dec 31, 2016 | |||||
3. | Jan 31, 2017 | |||||
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | Aug 31, 2022 | |||||
71. | Sep 30, 2022 | |||||
Total (Σ): |
t | Date | RAAPL,t | RS&P 500,t | (RAAPL,t–RAAPL)2 | (RS&P 500,t–RS&P 500)2 | (RAAPL,t–RAAPL)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | Nov 30, 2016 | |||||
2. | Dec 31, 2016 | |||||
3. | Jan 31, 2017 | |||||
4. | Feb 28, 2017 | |||||
5. | Mar 31, 2017 | |||||
6. | Apr 30, 2017 | |||||
7. | May 31, 2017 | |||||
8. | Jun 30, 2017 | |||||
9. | Jul 31, 2017 | |||||
10. | Aug 31, 2017 | |||||
11. | Sep 30, 2017 | |||||
12. | Oct 31, 2017 | |||||
13. | Nov 30, 2017 | |||||
14. | Dec 31, 2017 | |||||
15. | Jan 31, 2018 | |||||
16. | Feb 28, 2018 | |||||
17. | Mar 31, 2018 | |||||
18. | Apr 30, 2018 | |||||
19. | May 31, 2018 | |||||
20. | Jun 30, 2018 | |||||
21. | Jul 31, 2018 | |||||
22. | Aug 31, 2018 | |||||
23. | Sep 30, 2018 | |||||
24. | Oct 31, 2018 | |||||
25. | Nov 30, 2018 | |||||
26. | Dec 31, 2018 | |||||
27. | Jan 31, 2019 | |||||
28. | Feb 28, 2019 | |||||
29. | Mar 31, 2019 | |||||
30. | Apr 30, 2019 | |||||
31. | May 31, 2019 | |||||
32. | Jun 30, 2019 | |||||
33. | Jul 31, 2019 | |||||
34. | Aug 31, 2019 | |||||
35. | Sep 30, 2019 | |||||
36. | Oct 31, 2019 | |||||
37. | Nov 30, 2019 | |||||
38. | Dec 31, 2019 | |||||
39. | Jan 31, 2020 | |||||
40. | Feb 29, 2020 | |||||
41. | Mar 31, 2020 | |||||
42. | Apr 30, 2020 | |||||
43. | May 31, 2020 | |||||
44. | Jun 30, 2020 | |||||
45. | Jul 31, 2020 | |||||
46. | Aug 31, 2020 | |||||
47. | Sep 30, 2020 | |||||
48. | Oct 31, 2020 | |||||
49. | Nov 30, 2020 | |||||
50. | Dec 31, 2020 | |||||
51. | Jan 31, 2021 | |||||
52. | Feb 28, 2021 | |||||
53. | Mar 31, 2021 | |||||
54. | Apr 30, 2021 | |||||
55. | May 31, 2021 | |||||
56. | Jun 30, 2021 | |||||
57. | Jul 31, 2021 | |||||
58. | Aug 31, 2021 | |||||
59. | Sep 30, 2021 | |||||
60. | Oct 31, 2021 | |||||
61. | Nov 30, 2021 | |||||
62. | Dec 31, 2021 | |||||
63. | Jan 31, 2022 | |||||
64. | Feb 28, 2022 | |||||
65. | Mar 31, 2022 | |||||
66. | Apr 30, 2022 | |||||
67. | May 31, 2022 | |||||
68. | Jun 30, 2022 | |||||
69. | Jul 31, 2022 | |||||
70. | Aug 31, 2022 | |||||
71. | Sep 30, 2022 | |||||
Total (Σ): |
Show all
VarianceAAPL = Σ(RAAPL,t–RAAPL)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
CovarianceAAPL, S&P 500 = Σ(RAAPL,t–RAAPL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=
Systematic Risk (β) Estimation
VarianceAAPL | |
VarianceS&P 500 | |
CovarianceAAPL, S&P 500 | |
Correlation coefficientAAPL, S&P 5001 | |
βAAPL2 | |
αAAPL3 |
Calculations
1 Correlation coefficientAAPL, S&P 500
= CovarianceAAPL, S&P 500 ÷ (Standard deviationAAPL × Standard deviationS&P 500)
= ÷ ( × )
=
2 βAAPL
= CovarianceAAPL, S&P 500 ÷ VarianceS&P 500
= ÷
=
3 αAAPL
= AverageAAPL – βAAPL × AverageS&P 500
= – ×
=
Expected Rate of Return
Assumptions | ||
Rate of return on LT Treasury Composite1 | RF | |
Expected rate of return on market portfolio2 | E(RM) | |
Systematic risk (β) of Apple Inc. common stock | βAAPL | |
Expected rate of return on Apple Inc. common stock3 | E(RAAPL) |
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).
3 E(RAAPL) = RF + βAAPL [E(RM) – RF]
= + [ – ]
=