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

Express Scripts Holding Co. (NASDAQ:ESRX)

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Capital Asset Pricing Model (CAPM)

Intermediate level


Rates of Return

Express Scripts Holding Co., monthly rates of return

Microsoft Excel LibreOffice Calc
Express Scripts Holding Co. (ESRX) Standard & Poor’s 500 (S&P 500)
t Date PriceESRX,t1 DividendESRX,t1 RESRX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2013
1. Feb 28, 2013
2. Mar 31, 2013
3. Apr 30, 2013
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2017
59. Dec 31, 2017
Average:
Standard deviation:
Express Scripts Holding Co. (ESRX) Standard & Poor’s 500 (S&P 500)
t Date PriceESRX,t1 DividendESRX,t1 RESRX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2013
1. Feb 28, 2013
2. Mar 31, 2013
3. Apr 30, 2013
4. May 31, 2013
5. Jun 30, 2013
6. Jul 31, 2013
7. Aug 31, 2013
8. Sep 30, 2013
9. Oct 31, 2013
10. Nov 30, 2013
11. Dec 31, 2013
12. Jan 31, 2014
13. Feb 28, 2014
14. Mar 31, 2014
15. Apr 30, 2014
16. May 31, 2014
17. Jun 30, 2014
18. Jul 31, 2014
19. Aug 31, 2014
20. Sep 30, 2014
21. Oct 31, 2014
22. Nov 30, 2014
23. Dec 31, 2014
24. Jan 31, 2015
25. Feb 28, 2015
26. Mar 31, 2015
27. Apr 30, 2015
28. May 31, 2015
29. Jun 30, 2015
30. Jul 31, 2015
31. Aug 31, 2015
32. Sep 30, 2015
33. Oct 31, 2015
34. Nov 30, 2015
35. Dec 31, 2015
36. Jan 31, 2016
37. Feb 29, 2016
38. Mar 31, 2016
39. Apr 30, 2016
40. May 31, 2016
41. Jun 30, 2016
42. Jul 31, 2016
43. Aug 31, 2016
44. Sep 30, 2016
45. Oct 31, 2016
46. Nov 30, 2016
47. Dec 31, 2016
48. Jan 31, 2017
49. Feb 28, 2017
50. Mar 31, 2017
51. Apr 30, 2017
52. May 31, 2017
53. Jun 30, 2017
54. Jul 31, 2017
55. Aug 31, 2017
56. Sep 30, 2017
57. Oct 31, 2017
58. Nov 30, 2017
59. Dec 31, 2017
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 ESRX 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
VarianceESRX
VarianceS&P 500
CovarianceESRX, S&P 500
Correlation coefficientESRX, S&P 5001
βESRX2
αESRX3

Calculations

1 Correlation coefficientESRX, S&P 500
= CovarianceESRX, S&P 500 ÷ (Standard deviationESRX × Standard deviationS&P 500)
= ÷ ( × )

2 βESRX
= CovarianceESRX, S&P 500 ÷ VarianceS&P 500
= ÷

3 αESRX
= AverageESRX – βESRX × 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 Express Scripts Holding Co.’s common stock βESRX
 
Expected rate of return on Express Scripts Holding Co.’s common stock3 E(RESRX)

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(RESRX) = RF + βESRX [E(RM) – RF]
= + []
=