Stock Analysis on Net

Automatic Data Processing Inc. (NASDAQ:ADP)

This company has been moved to the archive! The financial data has not been updated since April 29, 2022.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

Automatic Data Processing Inc., monthly rates of return

Microsoft Excel
Automatic Data Processing Inc. (ADP) Standard & Poor’s 500 (S&P 500)
t Date PriceADP,t1 DividendADP,t1 RADP,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2015 $79.77 2,103.84
1. Aug 31, 2015 $77.32 -3.07% 1,972.18 -6.26%
2. Sep 30, 2015 $80.36 $0.49 4.57% 1,920.03 -2.64%
3. Oct 31, 2015 $86.99 8.25% 2,079.36 8.30%
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2021 $196.02 4.83% 4,204.11 0.55%
71. Jun 30, 2021 $198.62 $0.93 1.80% 4,297.50 2.22%
Average (R): 1.63% 1.10%
Standard deviation: 5.54% 4.32%
Automatic Data Processing Inc. (ADP) Standard & Poor’s 500 (S&P 500)
t Date PriceADP,t1 DividendADP,t1 RADP,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2015 $79.77 2,103.84
1. Aug 31, 2015 $77.32 -3.07% 1,972.18 -6.26%
2. Sep 30, 2015 $80.36 $0.49 4.57% 1,920.03 -2.64%
3. Oct 31, 2015 $86.99 8.25% 2,079.36 8.30%
4. Nov 30, 2015 $86.26 -0.84% 2,080.41 0.05%
5. Dec 31, 2015 $84.72 $0.53 -1.17% 2,043.94 -1.75%
6. Jan 31, 2016 $83.09 -1.92% 1,940.24 -5.07%
7. Feb 29, 2016 $84.69 1.93% 1,932.23 -0.41%
8. Mar 31, 2016 $89.71 $0.53 6.55% 2,059.74 6.60%
9. Apr 30, 2016 $88.44 -1.42% 2,065.30 0.27%
10. May 31, 2016 $87.84 -0.68% 2,096.95 1.53%
11. Jun 30, 2016 $91.87 $0.53 5.19% 2,098.86 0.09%
12. Jul 31, 2016 $88.95 -3.18% 2,173.60 3.56%
13. Aug 31, 2016 $89.81 0.97% 2,170.95 -0.12%
14. Sep 30, 2016 $88.20 $0.53 -1.20% 2,168.27 -0.12%
15. Oct 31, 2016 $87.06 -1.29% 2,126.15 -1.94%
16. Nov 30, 2016 $96.02 10.29% 2,198.81 3.42%
17. Dec 31, 2016 $102.78 $0.57 7.63% 2,238.83 1.82%
18. Jan 31, 2017 $100.99 -1.74% 2,278.87 1.79%
19. Feb 28, 2017 $102.62 1.61% 2,363.64 3.72%
20. Mar 31, 2017 $102.39 $0.57 0.33% 2,362.72 -0.04%
21. Apr 30, 2017 $104.49 2.05% 2,384.20 0.91%
22. May 31, 2017 $102.37 -2.03% 2,411.80 1.16%
23. Jun 30, 2017 $102.46 $0.57 0.64% 2,423.41 0.48%
24. Jul 31, 2017 $118.91 16.06% 2,470.30 1.93%
25. Aug 31, 2017 $106.47 -10.46% 2,471.65 0.05%
26. Sep 30, 2017 $109.32 $0.57 3.21% 2,519.36 1.93%
27. Oct 31, 2017 $116.26 6.35% 2,575.26 2.22%
28. Nov 30, 2017 $114.46 -1.55% 2,647.58 2.81%
29. Dec 31, 2017 $117.19 $0.63 2.94% 2,673.61 0.98%
30. Jan 31, 2018 $123.63 5.50% 2,823.81 5.62%
31. Feb 28, 2018 $115.32 -6.72% 2,713.83 -3.89%
32. Mar 31, 2018 $113.48 $0.63 -1.05% 2,640.87 -2.69%
33. Apr 30, 2018 $118.08 4.05% 2,648.05 0.27%
34. May 31, 2018 $130.02 10.11% 2,705.27 2.16%
35. Jun 30, 2018 $134.14 $0.69 3.70% 2,718.37 0.48%
36. Jul 31, 2018 $134.99 0.63% 2,816.29 3.60%
37. Aug 31, 2018 $146.75 8.71% 2,901.52 3.03%
38. Sep 30, 2018 $150.66 $0.69 3.13% 2,913.98 0.43%
39. Oct 31, 2018 $144.08 -4.37% 2,711.74 -6.94%
40. Nov 30, 2018 $147.42 2.32% 2,760.17 1.79%
41. Dec 31, 2018 $131.12 $0.79 -10.52% 2,506.85 -9.18%
42. Jan 31, 2019 $139.84 6.65% 2,704.10 7.87%
43. Feb 28, 2019 $153.03 9.43% 2,784.49 2.97%
44. Mar 31, 2019 $159.74 $0.79 4.90% 2,834.40 1.79%
45. Apr 30, 2019 $164.39 2.91% 2,945.83 3.93%
46. May 31, 2019 $160.12 -2.60% 2,752.06 -6.58%
47. Jun 30, 2019 $165.33 $0.79 3.75% 2,941.76 6.89%
48. Jul 31, 2019 $166.52 0.72% 2,980.38 1.31%
49. Aug 31, 2019 $169.84 1.99% 2,926.46 -1.81%
50. Sep 30, 2019 $161.42 $0.79 -4.49% 2,976.74 1.72%
51. Oct 31, 2019 $162.23 0.50% 3,037.56 2.04%
52. Nov 30, 2019 $170.78 5.27% 3,140.98 3.40%
53. Dec 31, 2019 $170.50 $0.91 0.37% 3,230.78 2.86%
54. Jan 31, 2020 $171.39 0.52% 3,225.52 -0.16%
55. Feb 29, 2020 $154.74 -9.71% 2,954.22 -8.41%
56. Mar 31, 2020 $136.68 $0.91 -11.08% 2,584.59 -12.51%
57. Apr 30, 2020 $146.69 7.32% 2,912.43 12.68%
58. May 31, 2020 $146.49 -0.14% 3,044.31 4.53%
59. Jun 30, 2020 $148.89 $0.91 2.26% 3,100.29 1.84%
60. Jul 31, 2020 $132.91 -10.73% 3,271.12 5.51%
61. Aug 31, 2020 $139.09 4.65% 3,500.31 7.01%
62. Sep 30, 2020 $139.49 $0.91 0.94% 3,363.00 -3.92%
63. Oct 31, 2020 $157.96 13.24% 3,269.96 -2.77%
64. Nov 30, 2020 $173.88 10.08% 3,621.63 10.75%
65. Dec 31, 2020 $176.20 $0.93 1.87% 3,756.07 3.71%
66. Jan 31, 2021 $165.12 -6.29% 3,714.24 -1.11%
67. Feb 28, 2021 $174.02 5.39% 3,811.15 2.61%
68. Mar 31, 2021 $188.47 $0.93 8.84% 3,972.89 4.24%
69. Apr 30, 2021 $186.99 -0.79% 4,181.17 5.24%
70. May 31, 2021 $196.02 4.83% 4,204.11 0.55%
71. Jun 30, 2021 $198.62 $0.93 1.80% 4,297.50 2.22%
Average (R): 1.63% 1.10%
Standard deviation: 5.54% 4.32%

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 ADP during period t

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


Variance and Covariance

Automatic Data Processing Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RADP,t RS&P 500,t (RADP,tRADP)2 (RS&P 500,tRS&P 500)2 (RADP,tRADP)×(RS&P 500,tRS&P 500)
1. Aug 31, 2015 -3.07% -6.26% 22.13 54.19 34.63
2. Sep 30, 2015 4.57% -2.64% 8.60 14.05 -10.99
3. Oct 31, 2015 8.25% 8.30% 43.79 51.76 47.61
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2021 4.83% 0.55% 10.22 0.31 -1.77
71. Jun 30, 2021 1.80% 2.22% 0.03 1.25 0.19
Total (Σ): 2,150.24 1,307.41 918.31
t Date RADP,t RS&P 500,t (RADP,tRADP)2 (RS&P 500,tRS&P 500)2 (RADP,tRADP)×(RS&P 500,tRS&P 500)
1. Aug 31, 2015 -3.07% -6.26% 22.13 54.19 34.63
2. Sep 30, 2015 4.57% -2.64% 8.60 14.05 -10.99
3. Oct 31, 2015 8.25% 8.30% 43.79 51.76 47.61
4. Nov 30, 2015 -0.84% 0.05% 6.11 1.11 2.60
5. Dec 31, 2015 -1.17% -1.75% 7.86 8.16 8.01
6. Jan 31, 2016 -1.92% -5.07% 12.65 38.16 21.97
7. Feb 29, 2016 1.93% -0.41% 0.09 2.30 -0.44
8. Mar 31, 2016 6.55% 6.60% 24.21 30.20 27.04
9. Apr 30, 2016 -1.42% 0.27% 9.29 0.69 2.54
10. May 31, 2016 -0.68% 1.53% 5.34 0.18 -0.99
11. Jun 30, 2016 5.19% 0.09% 12.66 1.03 -3.60
12. Jul 31, 2016 -3.18% 3.56% 23.15 6.04 -11.82
13. Aug 31, 2016 0.97% -0.12% 0.44 1.50 0.82
14. Sep 30, 2016 -1.20% -0.12% 8.04 1.51 3.48
15. Oct 31, 2016 -1.29% -1.94% 8.56 9.28 8.91
16. Nov 30, 2016 10.29% 3.42% 74.98 5.35 20.04
17. Dec 31, 2016 7.63% 1.82% 36.01 0.51 4.30
18. Jan 31, 2017 -1.74% 1.79% 11.39 0.47 -2.31
19. Feb 28, 2017 1.61% 3.72% 0.00 6.84 -0.05
20. Mar 31, 2017 0.33% -0.04% 1.69 1.31 1.49
21. Apr 30, 2017 2.05% 0.91% 0.17 0.04 -0.08
22. May 31, 2017 -2.03% 1.16% 13.41 0.00 -0.20
23. Jun 30, 2017 0.64% 0.48% 0.98 0.39 0.61
24. Jul 31, 2017 16.06% 1.93% 208.00 0.69 11.99
25. Aug 31, 2017 -10.46% 0.05% 146.28 1.10 12.69
26. Sep 30, 2017 3.21% 1.93% 2.49 0.68 1.31
27. Oct 31, 2017 6.35% 2.22% 22.24 1.24 5.26
28. Nov 30, 2017 -1.55% 2.81% 10.12 2.91 -5.42
29. Dec 31, 2017 2.94% 0.98% 1.70 0.01 -0.16
30. Jan 31, 2018 5.50% 5.62% 14.92 20.38 17.44
31. Feb 28, 2018 -6.72% -3.89% 69.80 24.98 41.76
32. Mar 31, 2018 -1.05% -2.69% 7.19 14.38 10.17
33. Apr 30, 2018 4.05% 0.27% 5.86 0.69 -2.01
34. May 31, 2018 10.11% 2.16% 71.89 1.12 8.96
35. Jun 30, 2018 3.70% 0.48% 4.27 0.38 -1.28
36. Jul 31, 2018 0.63% 3.60% 1.00 6.24 -2.50
37. Aug 31, 2018 8.71% 3.03% 50.11 3.70 13.61
38. Sep 30, 2018 3.13% 0.43% 2.26 0.45 -1.01
39. Oct 31, 2018 -4.37% -6.94% 36.00 64.70 48.27
40. Nov 30, 2018 2.32% 1.79% 0.47 0.47 0.47
41. Dec 31, 2018 -10.52% -9.18% 147.71 105.71 124.96
42. Jan 31, 2019 6.65% 7.87% 25.18 45.76 33.94
43. Feb 28, 2019 9.43% 2.97% 60.83 3.49 14.58
44. Mar 31, 2019 4.90% 1.79% 10.68 0.47 2.25
45. Apr 30, 2019 2.91% 3.93% 1.63 8.00 3.61
46. May 31, 2019 -2.60% -6.58% 17.89 59.00 32.49
47. Jun 30, 2019 3.75% 6.89% 4.47 33.52 12.24
48. Jul 31, 2019 0.72% 1.31% 0.83 0.04 -0.19
49. Aug 31, 2019 1.99% -1.81% 0.13 8.48 -1.05
50. Sep 30, 2019 -4.49% 1.72% 37.52 0.38 -3.76
51. Oct 31, 2019 0.50% 2.04% 1.28 0.88 -1.06
52. Nov 30, 2019 5.27% 3.40% 13.23 5.30 8.37
53. Dec 31, 2019 0.37% 2.86% 1.60 3.08 -2.22
54. Jan 31, 2020 0.52% -0.16% 1.23 1.60 1.41
55. Feb 29, 2020 -9.71% -8.41% 128.76 90.53 107.97
56. Mar 31, 2020 -11.08% -12.51% 161.69 185.38 173.13
57. Apr 30, 2020 7.32% 12.68% 32.39 134.12 65.91
58. May 31, 2020 -0.14% 4.53% 3.13 11.73 -6.06
59. Jun 30, 2020 2.26% 1.84% 0.39 0.54 0.46
60. Jul 31, 2020 -10.73% 5.51% 152.91 19.42 -54.49
61. Aug 31, 2020 4.65% 7.01% 9.10 34.84 17.81
62. Sep 30, 2020 0.94% -3.92% 0.48 25.26 3.47
63. Oct 31, 2020 13.24% -2.77% 134.75 14.98 -44.93
64. Nov 30, 2020 10.08% 10.75% 71.33 93.14 81.51
65. Dec 31, 2020 1.87% 3.71% 0.06 6.80 0.62
66. Jan 31, 2021 -6.29% -1.11% 62.74 4.92 17.56
67. Feb 28, 2021 5.39% 2.61% 14.12 2.27 5.66
68. Mar 31, 2021 8.84% 4.24% 51.92 9.86 22.63
69. Apr 30, 2021 -0.79% 5.24% 5.85 17.13 -10.01
70. May 31, 2021 4.83% 0.55% 10.22 0.31 -1.77
71. Jun 30, 2021 1.80% 2.22% 0.03 1.25 0.19
Total (Σ): 2,150.24 1,307.41 918.31

Show all

VarianceADP = Σ(RADP,tRADP)2 ÷ (71 – 1)
= 2,150.24 ÷ (71 – 1)
= 30.72

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,307.41 ÷ (71 – 1)
= 18.68

CovarianceADP, S&P 500 = Σ(RADP,tRADP)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 918.31 ÷ (71 – 1)
= 13.12


Systematic Risk (β) Estimation

Microsoft Excel
VarianceADP 30.72
VarianceS&P 500 18.68
CovarianceADP, S&P 500 13.12
Correlation coefficientADP, S&P 5001 0.55
βADP2 0.70
αADP3 0.86%

Calculations

1 Correlation coefficientADP, S&P 500
= CovarianceADP, S&P 500 ÷ (Standard deviationADP × Standard deviationS&P 500)
= 13.12 ÷ (5.54% × 4.32%)
= 0.55

2 βADP
= CovarianceADP, S&P 500 ÷ VarianceS&P 500
= 13.12 ÷ 18.68
= 0.70

3 αADP
= AverageADP – βADP × AverageS&P 500
= 1.63%0.70 × 1.10%
= 0.86%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.43%
Expected rate of return on market portfolio2 E(RM) 13.60%
Systematic risk (β) of Automatic Data Processing Inc. common stock βADP 0.70
 
Expected rate of return on Automatic Data Processing Inc. common stock3 E(RADP) 10.87%

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(RADP) = RF + βADP [E(RM) – RF]
= 4.43% + 0.70 [13.60%4.43%]
= 10.87%