Stock Analysis on Net

Keurig Dr Pepper Inc. (NASDAQ:KDP)

This company has been moved to the archive! The financial data has not been updated since July 28, 2022.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Keurig Dr Pepper Inc. common stock.


Rates of Return

Keurig Dr Pepper Inc., monthly rates of return

Microsoft Excel
Keurig Dr Pepper Inc. (KDP) Standard & Poor’s 500 (S&P 500)
t Date PriceKDP,t1 DividendKDP,t1 RKDP,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $119.35 2,823.81
1. Feb 28, 2018 $116.25 -2.60% 2,713.83 -3.89%
2. Mar 31, 2018 $118.38 $0.58 2.33% 2,640.87 -2.69%
3. Apr 30, 2018 $119.96 1.33% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
46. Nov 30, 2021 $33.99 -5.82% 4,567.00 -0.83%
47. Dec 31, 2021 $36.86 8.44% 4,766.18 4.36%
Average (R): 1.39% 1.24%
Standard deviation: 5.96% 4.96%
Keurig Dr Pepper Inc. (KDP) Standard & Poor’s 500 (S&P 500)
t Date PriceKDP,t1 DividendKDP,t1 RKDP,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $119.35 2,823.81
1. Feb 28, 2018 $116.25 -2.60% 2,713.83 -3.89%
2. Mar 31, 2018 $118.38 $0.58 2.33% 2,640.87 -2.69%
3. Apr 30, 2018 $119.96 1.33% 2,648.05 0.27%
4. May 31, 2018 $119.30 -0.55% 2,705.27 2.16%
5. Jun 30, 2018 $122.00 2.26% 2,718.37 0.48%
6. Jul 31, 2018 $24.01 $103.75 4.72% 2,816.29 3.60%
7. Aug 31, 2018 $22.80 -5.04% 2,901.52 3.03%
8. Sep 30, 2018 $23.17 1.62% 2,913.98 0.43%
9. Oct 31, 2018 $26.00 $0.15 12.86% 2,711.74 -6.94%
10. Nov 30, 2018 $27.00 3.85% 2,760.17 1.79%
11. Dec 31, 2018 $25.64 -5.04% 2,506.85 -9.18%
12. Jan 31, 2019 $27.22 $0.15 6.75% 2,704.10 7.87%
13. Feb 28, 2019 $25.15 -7.60% 2,784.49 2.97%
14. Mar 31, 2019 $27.97 11.21% 2,834.40 1.79%
15. Apr 30, 2019 $29.07 $0.15 4.47% 2,945.83 3.93%
16. May 31, 2019 $28.19 -3.03% 2,752.06 -6.58%
17. Jun 30, 2019 $28.90 2.52% 2,941.76 6.89%
18. Jul 31, 2019 $28.14 $0.15 -2.11% 2,980.38 1.31%
19. Aug 31, 2019 $27.28 -3.06% 2,926.46 -1.81%
20. Sep 30, 2019 $27.32 0.15% 2,976.74 1.72%
21. Oct 31, 2019 $28.16 $0.15 3.62% 3,037.56 2.04%
22. Nov 30, 2019 $30.94 9.87% 3,140.98 3.40%
23. Dec 31, 2019 $28.95 -6.43% 3,230.78 2.86%
24. Jan 31, 2020 $28.53 $0.15 -0.93% 3,225.52 -0.16%
25. Feb 29, 2020 $27.88 -2.28% 2,954.22 -8.41%
26. Mar 31, 2020 $24.27 -12.95% 2,584.59 -12.51%
27. Apr 30, 2020 $26.46 $0.15 9.64% 2,912.43 12.68%
28. May 31, 2020 $27.92 5.52% 3,044.31 4.53%
29. Jun 30, 2020 $28.40 1.72% 3,100.29 1.84%
30. Jul 31, 2020 $30.59 $0.15 8.24% 3,271.12 5.51%
31. Aug 31, 2020 $29.83 -2.48% 3,500.31 7.01%
32. Sep 30, 2020 $27.60 -7.48% 3,363.00 -3.92%
33. Oct 31, 2020 $26.90 $0.15 -1.99% 3,269.96 -2.77%
34. Nov 30, 2020 $30.45 13.20% 3,621.63 10.75%
35. Dec 31, 2020 $32.00 5.09% 3,756.07 3.71%
36. Jan 31, 2021 $31.80 $0.15 -0.16% 3,714.24 -1.11%
37. Feb 28, 2021 $30.52 -4.03% 3,811.15 2.61%
38. Mar 31, 2021 $34.37 $0.15 13.11% 3,972.89 4.24%
39. Apr 30, 2021 $35.85 4.31% 4,181.17 5.24%
40. May 31, 2021 $36.96 3.10% 4,204.11 0.55%
41. Jun 30, 2021 $35.24 $0.1875 -4.15% 4,297.50 2.22%
42. Jul 31, 2021 $35.21 -0.09% 4,395.26 2.27%
43. Aug 31, 2021 $35.67 1.31% 4,522.68 2.90%
44. Sep 30, 2021 $34.16 $0.1875 -3.71% 4,307.54 -4.76%
45. Oct 31, 2021 $36.09 5.65% 4,605.38 6.91%
46. Nov 30, 2021 $33.99 -5.82% 4,567.00 -0.83%
47. Dec 31, 2021 $36.86 8.44% 4,766.18 4.36%
Average (R): 1.39% 1.24%
Standard deviation: 5.96% 4.96%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of KDP during period t

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


Variance and Covariance

Keurig Dr Pepper Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RKDP,t RS&P 500,t (RKDP,tRKDP)2 (RS&P 500,tRS&P 500)2 (RKDP,tRKDP)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 -2.60% -3.89% 15.91 26.38 20.48
2. Mar 31, 2018 2.33% -2.69% 0.88 15.44 -3.69
3. Apr 30, 2018 1.33% 0.27% 0.00 0.94 0.05
. . . . . . .
. . . . . . .
. . . . . . .
46. Nov 30, 2021 -5.82% -0.83% 51.98 4.30 14.96
47. Dec 31, 2021 8.44% 4.36% 49.74 9.73 22.00
Total (Σ): 1,634.61 1,131.50 738.06
t Date RKDP,t RS&P 500,t (RKDP,tRKDP)2 (RS&P 500,tRS&P 500)2 (RKDP,tRKDP)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 -2.60% -3.89% 15.91 26.38 20.48
2. Mar 31, 2018 2.33% -2.69% 0.88 15.44 -3.69
3. Apr 30, 2018 1.33% 0.27% 0.00 0.94 0.05
4. May 31, 2018 -0.55% 2.16% 3.77 0.85 -1.79
5. Jun 30, 2018 2.26% 0.48% 0.76 0.57 -0.66
6. Jul 31, 2018 4.72% 3.60% 11.09 5.57 7.86
7. Aug 31, 2018 -5.04% 3.03% 41.35 3.19 -11.48
8. Sep 30, 2018 1.62% 0.43% 0.05 0.66 -0.19
9. Oct 31, 2018 12.86% -6.94% 131.57 66.94 -93.85
10. Nov 30, 2018 3.85% 1.79% 6.03 0.30 1.34
11. Dec 31, 2018 -5.04% -9.18% 41.32 108.55 66.97
12. Jan 31, 2019 6.75% 7.87% 28.69 43.92 35.50
13. Feb 28, 2019 -7.60% 2.97% 80.92 3.00 -15.58
14. Mar 31, 2019 11.21% 1.79% 96.47 0.30 5.41
15. Apr 30, 2019 4.47% 3.93% 9.47 7.24 8.28
16. May 31, 2019 -3.03% -6.58% 19.52 61.14 34.55
17. Jun 30, 2019 2.52% 6.89% 1.27 31.94 6.37
18. Jul 31, 2019 -2.11% 1.31% 12.26 0.01 -0.25
19. Aug 31, 2019 -3.06% -1.81% 19.78 9.31 13.57
20. Sep 30, 2019 0.15% 1.72% 1.55 0.23 -0.59
21. Oct 31, 2019 3.62% 2.04% 4.98 0.64 1.79
22. Nov 30, 2019 9.87% 3.40% 71.93 4.68 18.35
23. Dec 31, 2019 -6.43% 2.86% 61.20 2.62 -12.66
24. Jan 31, 2020 -0.93% -0.16% 5.40 1.97 3.26
25. Feb 29, 2020 -2.28% -8.41% 13.46 93.17 35.42
26. Mar 31, 2020 -12.95% -12.51% 205.62 189.15 197.21
27. Apr 30, 2020 9.64% 12.68% 68.07 130.95 94.41
28. May 31, 2020 5.52% 4.53% 17.03 10.80 13.56
29. Jun 30, 2020 1.72% 1.84% 0.11 0.36 0.20
30. Jul 31, 2020 8.24% 5.51% 46.90 18.22 29.23
31. Aug 31, 2020 -2.48% 7.01% 15.02 33.24 -22.34
32. Sep 30, 2020 -7.48% -3.92% 78.62 26.67 45.79
33. Oct 31, 2020 -1.99% -2.77% 11.45 16.06 13.56
34. Nov 30, 2020 13.20% 10.75% 139.38 90.50 112.31
35. Dec 31, 2020 5.09% 3.71% 13.68 6.11 9.14
36. Jan 31, 2021 -0.16% -1.11% 2.39 5.55 3.64
37. Feb 28, 2021 -4.03% 2.61% 29.34 1.87 -7.41
38. Mar 31, 2021 13.11% 4.24% 137.24 9.02 35.18
39. Apr 30, 2021 4.31% 5.24% 8.50 16.01 11.66
40. May 31, 2021 3.10% 0.55% 2.91 0.48 -1.18
41. Jun 30, 2021 -4.15% 2.22% 30.66 0.96 -5.43
42. Jul 31, 2021 -0.09% 2.27% 2.18 1.07 -1.53
43. Aug 31, 2021 1.31% 2.90% 0.01 2.75 -0.14
44. Sep 30, 2021 -3.71% -4.76% 26.00 35.98 30.58
45. Oct 31, 2021 5.65% 6.91% 18.14 32.18 24.16
46. Nov 30, 2021 -5.82% -0.83% 51.98 4.30 14.96
47. Dec 31, 2021 8.44% 4.36% 49.74 9.73 22.00
Total (Σ): 1,634.61 1,131.50 738.06

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VarianceKDP = Σ(RKDP,tRKDP)2 ÷ (47 – 1)
= 1,634.61 ÷ (47 – 1)
= 35.54

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (47 – 1)
= 1,131.50 ÷ (47 – 1)
= 24.60

CovarianceKDP, S&P 500 = Σ(RKDP,tRKDP)×(RS&P 500,tRS&P 500) ÷ (47 – 1)
= 738.06 ÷ (47 – 1)
= 16.04


Systematic Risk (β) Estimation

Microsoft Excel
VarianceKDP 35.54
VarianceS&P 500 24.60
CovarianceKDP, S&P 500 16.04
Correlation coefficientKDP, S&P 5001 0.54
βKDP2 0.65
αKDP3 0.58%

Calculations

1 Correlation coefficientKDP, S&P 500
= CovarianceKDP, S&P 500 ÷ (Standard deviationKDP × Standard deviationS&P 500)
= 16.04 ÷ (5.96% × 4.96%)
= 0.54

2 βKDP
= CovarianceKDP, S&P 500 ÷ VarianceS&P 500
= 16.04 ÷ 24.60
= 0.65

3 αKDP
= AverageKDP – βKDP × AverageS&P 500
= 1.39%0.65 × 1.24%
= 0.58%


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 Keurig Dr Pepper Inc. common stock βKDP 0.65
 
Expected rate of return on Keurig Dr Pepper Inc. common stock3 E(RKDP) 10.41%

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(RKDP) = RF + βKDP [E(RM) – RF]
= 4.43% + 0.65 [13.60%4.43%]
= 10.41%