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Microsoft Excel LibreOffice Calc

Intuit Inc. (NASDAQ:INTU)


Capital Asset Pricing Model (CAPM)

Intermediate level


Rates of Return

Intuit Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Intuit Inc. (INTU) Standard & Poor’s 500 (S&P 500)
t Date PriceINTU,t1 DividendINTU,t1 RINTU,t2 PriceS&P 500,t RS&P 500,t3
Aug 31, 2013
1. Sep 30, 2013
2. Oct 31, 2013
3. Nov 30, 2013
. . . . . . .
. . . . . . .
. . . . . . .
70. Jun 30, 2019
71. Jul 31, 2019
Average:
Standard deviation:
Intuit Inc. (INTU) Standard & Poor’s 500 (S&P 500)
t Date PriceINTU,t1 DividendINTU,t1 RINTU,t2 PriceS&P 500,t RS&P 500,t3
Aug 31, 2013
1. Sep 30, 2013
2. Oct 31, 2013
3. Nov 30, 2013
4. Dec 31, 2013
5. Jan 31, 2014
6. Feb 28, 2014
7. Mar 31, 2014
8. Apr 30, 2014
9. May 31, 2014
10. Jun 30, 2014
11. Jul 31, 2014
12. Aug 31, 2014
13. Sep 30, 2014
14. Oct 31, 2014
15. Nov 30, 2014
16. Dec 31, 2014
17. Jan 31, 2015
18. Feb 28, 2015
19. Mar 31, 2015
20. Apr 30, 2015
21. May 31, 2015
22. Jun 30, 2015
23. Jul 31, 2015
24. Aug 31, 2015
25. Sep 30, 2015
26. Oct 31, 2015
27. Nov 30, 2015
28. Dec 31, 2015
29. Jan 31, 2016
30. Feb 29, 2016
31. Mar 31, 2016
32. Apr 30, 2016
33. May 31, 2016
34. Jun 30, 2016
35. Jul 31, 2016
36. Aug 31, 2016
37. Sep 30, 2016
38. Oct 31, 2016
39. Nov 30, 2016
40. Dec 31, 2016
41. Jan 31, 2017
42. Feb 28, 2017
43. Mar 31, 2017
44. Apr 30, 2017
45. May 31, 2017
46. Jun 30, 2017
47. Jul 31, 2017
48. Aug 31, 2017
49. Sep 30, 2017
50. Oct 31, 2017
51. Nov 30, 2017
52. Dec 31, 2017
53. Jan 31, 2018
54. Feb 28, 2018
55. Mar 31, 2018
56. Apr 30, 2018
57. May 31, 2018
58. Jun 30, 2018
59. Jul 31, 2018
60. Aug 31, 2018
61. Sep 30, 2018
62. Oct 31, 2018
63. Nov 30, 2018
64. Dec 31, 2018
65. Jan 31, 2019
66. Feb 28, 2019
67. Mar 31, 2019
68. Apr 30, 2019
69. May 31, 2019
70. Jun 30, 2019
71. Jul 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 INTU 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
VarianceINTU
VarianceS&P 500
CovarianceINTU, S&P 500
Correlation coefficientINTU, S&P 5001
βINTU2
αINTU3

Calculations

1 Correlation coefficientINTU, S&P 500
= CovarianceINTU, S&P 500 ÷ (Standard deviationINTU × Standard deviationS&P 500)
= ÷ ( × )

2 βINTU
= CovarianceINTU, S&P 500 ÷ VarianceS&P 500
= ÷

3 αINTU
= AverageINTU – βINTU × 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 Intuit Inc.’s common stock βINTU
 
Expected rate of return on Intuit Inc.’s common stock3 E(RINTU)

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(RINTU) = RF + βINTU [E(RM) – RF]
= + []
=