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Microsoft Excel LibreOffice Calc


Capital Asset Pricing Model (CAPM)

Difficulty: Intermediate


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, 2012 hidden hidden
1. Dec 31, 2012 hidden hidden hidden hidden
2. Jan 31, 2013 hidden hidden hidden hidden
3. Feb 28, 2013 hidden hidden hidden hidden hidden
. . . . . . .
. . . . . . .
. . . . . . .
70. Sep 30, 2018 hidden hidden hidden hidden
71. Oct 31, 2018 hidden hidden hidden hidden
Average: hidden hidden
Standard Deviation: hidden hidden
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, 2012 hidden hidden
1. Dec 31, 2012 hidden hidden hidden hidden
2. Jan 31, 2013 hidden hidden hidden hidden
3. Feb 28, 2013 hidden hidden hidden hidden hidden
4. Mar 31, 2013 hidden hidden hidden hidden
5. Apr 30, 2013 hidden hidden hidden hidden
6. May 31, 2013 hidden hidden hidden hidden hidden
7. Jun 30, 2013 hidden hidden hidden hidden
8. Jul 31, 2013 hidden hidden hidden hidden
9. Aug 31, 2013 hidden hidden hidden hidden hidden
10. Sep 30, 2013 hidden hidden hidden hidden
11. Oct 31, 2013 hidden hidden hidden hidden
12. Nov 30, 2013 hidden hidden hidden hidden hidden
13. Dec 31, 2013 hidden hidden hidden hidden
14. Jan 31, 2014 hidden hidden hidden hidden
15. Feb 28, 2014 hidden hidden hidden hidden hidden
16. Mar 31, 2014 hidden hidden hidden hidden
17. Apr 30, 2014 hidden hidden hidden hidden
18. May 31, 2014 hidden hidden hidden hidden hidden
19. Jun 30, 2014 hidden hidden hidden hidden
20. Jul 31, 2014 hidden hidden hidden hidden
21. Aug 31, 2014 hidden hidden hidden hidden hidden
22. Sep 30, 2014 hidden hidden hidden hidden
23. Oct 31, 2014 hidden hidden hidden hidden
24. Nov 30, 2014 hidden hidden hidden hidden hidden
25. Dec 31, 2014 hidden hidden hidden hidden
26. Jan 31, 2015 hidden hidden hidden hidden
27. Feb 28, 2015 hidden hidden hidden hidden hidden
28. Mar 31, 2015 hidden hidden hidden hidden
29. Apr 30, 2015 hidden hidden hidden hidden
30. May 31, 2015 hidden hidden hidden hidden hidden
31. Jun 30, 2015 hidden hidden hidden hidden
32. Jul 31, 2015 hidden hidden hidden hidden
33. Aug 31, 2015 hidden hidden hidden hidden hidden
34. Sep 30, 2015 hidden hidden hidden hidden
35. Oct 31, 2015 hidden hidden hidden hidden
36. Nov 30, 2015 hidden hidden hidden hidden hidden
37. Dec 31, 2015 hidden hidden hidden hidden
38. Jan 31, 2016 hidden hidden hidden hidden
39. Feb 29, 2016 hidden hidden hidden hidden hidden
40. Mar 31, 2016 hidden hidden hidden hidden
41. Apr 30, 2016 hidden hidden hidden hidden
42. May 31, 2016 hidden hidden hidden hidden hidden
43. Jun 30, 2016 hidden hidden hidden hidden
44. Jul 31, 2016 hidden hidden hidden hidden
45. Aug 31, 2016 hidden hidden hidden hidden hidden
46. Sep 30, 2016 hidden hidden hidden hidden
47. Oct 31, 2016 hidden hidden hidden hidden
48. Nov 30, 2016 hidden hidden hidden hidden hidden
49. Dec 31, 2016 hidden hidden hidden hidden
50. Jan 31, 2017 hidden hidden hidden hidden
51. Feb 28, 2017 hidden hidden hidden hidden hidden
52. Mar 31, 2017 hidden hidden hidden hidden
53. Apr 30, 2017 hidden hidden hidden hidden
54. May 31, 2017 hidden hidden hidden hidden hidden
55. Jun 30, 2017 hidden hidden hidden hidden
56. Jul 31, 2017 hidden hidden hidden hidden
57. Aug 31, 2017 hidden hidden hidden hidden hidden
58. Sep 30, 2017 hidden hidden hidden hidden
59. Oct 31, 2017 hidden hidden hidden hidden
60. Nov 30, 2017 hidden hidden hidden hidden hidden
61. Dec 31, 2017 hidden hidden hidden hidden
62. Jan 31, 2018 hidden hidden hidden hidden
63. Feb 28, 2018 hidden hidden hidden hidden hidden
64. Mar 31, 2018 hidden hidden hidden hidden
65. Apr 30, 2018 hidden hidden hidden hidden
66. May 31, 2018 hidden hidden hidden hidden hidden
67. Jun 30, 2018 hidden hidden hidden hidden
68. Jul 31, 2018 hidden hidden hidden hidden
69. Aug 31, 2018 hidden hidden hidden hidden hidden
70. Sep 30, 2018 hidden hidden hidden hidden
71. Oct 31, 2018 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 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 hidden
VarianceS&P 500 hidden
CovarianceAMAT, S&P 500 hidden
Correlation CoefficientAMAT, S&P 5001 hidden
βAMAT2 hidden
αAMAT3 hidden

Calculations

1 CovarianceAMAT, S&P 500 ÷ (Standard DeviationAMAT × Standard DeviationS&P 500)
= hidden ÷ (hidden × hidden)

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

3 AverageAMAT – βAMAT × 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 Applied's common stock βAMAT hidden
Expected rate of return on Applied's common stock3 E(RAMAT) 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(RAMAT) = RF + βAMAT [E(RM) – RF]
= hidden + hidden [hiddenhidden]
= hidden