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

Applied Materials Inc. (NASDAQ:AMAT)

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Capital Asset Pricing Model (CAPM)

Intermediate level


Rates of Return

Applied Materials Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Applied Materials Inc. (AMAT) Standard & Poor’s 500 (S&P 500)
t Date PriceAMAT,t1 DividendAMAT,t1 RAMAT,t2 PriceS&P 500,t RS&P 500,t3
Nov 30, 2013
1. Dec 31, 2013
2. Jan 31, 2014
3. Feb 28, 2014
. . . . . . .
. . . . . . .
. . . . . . .
70. Sep 30, 2019
71. Oct 31, 2019
Average:
Standard deviation:
Applied Materials Inc. (AMAT) Standard & Poor’s 500 (S&P 500)
t Date PriceAMAT,t1 DividendAMAT,t1 RAMAT,t2 PriceS&P 500,t RS&P 500,t3
Nov 30, 2013
1. Dec 31, 2013
2. Jan 31, 2014
3. Feb 28, 2014
4. Mar 31, 2014
5. Apr 30, 2014
6. May 31, 2014
7. Jun 30, 2014
8. Jul 31, 2014
9. Aug 31, 2014
10. Sep 30, 2014
11. Oct 31, 2014
12. Nov 30, 2014
13. Dec 31, 2014
14. Jan 31, 2015
15. Feb 28, 2015
16. Mar 31, 2015
17. Apr 30, 2015
18. May 31, 2015
19. Jun 30, 2015
20. Jul 31, 2015
21. Aug 31, 2015
22. Sep 30, 2015
23. Oct 31, 2015
24. Nov 30, 2015
25. Dec 31, 2015
26. Jan 31, 2016
27. Feb 29, 2016
28. Mar 31, 2016
29. Apr 30, 2016
30. May 31, 2016
31. Jun 30, 2016
32. Jul 31, 2016
33. Aug 31, 2016
34. Sep 30, 2016
35. Oct 31, 2016
36. Nov 30, 2016
37. Dec 31, 2016
38. Jan 31, 2017
39. Feb 28, 2017
40. Mar 31, 2017
41. Apr 30, 2017
42. May 31, 2017
43. Jun 30, 2017
44. Jul 31, 2017
45. Aug 31, 2017
46. Sep 30, 2017
47. Oct 31, 2017
48. Nov 30, 2017
49. Dec 31, 2017
50. Jan 31, 2018
51. Feb 28, 2018
52. Mar 31, 2018
53. Apr 30, 2018
54. May 31, 2018
55. Jun 30, 2018
56. Jul 31, 2018
57. Aug 31, 2018
58. Sep 30, 2018
59. Oct 31, 2018
60. Nov 30, 2018
61. Dec 31, 2018
62. Jan 31, 2019
63. Feb 28, 2019
64. Mar 31, 2019
65. Apr 30, 2019
66. May 31, 2019
67. Jun 30, 2019
68. Jul 31, 2019
69. Aug 31, 2019
70. Sep 30, 2019
71. Oct 31, 2019
Average:
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 AMAT 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
VarianceAMAT
VarianceS&P 500
CovarianceAMAT, S&P 500
Correlation coefficientAMAT, S&P 5001
βAMAT2
αAMAT3

Calculations

1 Correlation coefficientAMAT, S&P 500
= CovarianceAMAT, S&P 500 ÷ (Standard deviationAMAT × Standard deviationS&P 500)
= ÷ ( × )

2 βAMAT
= CovarianceAMAT, S&P 500 ÷ VarianceS&P 500
= ÷

3 αAMAT
= AverageAMAT – βAMAT × 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 Applied Materials Inc.’s common stock βAMAT
 
Expected rate of return on Applied Materials Inc.’s common stock3 E(RAMAT)

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(RAMAT) = RF + βAMAT [E(RM) – RF]
= + []
=