Stock Analysis on Net

Take-Two Interactive Software Inc. (NASDAQ:TTWO)

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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 Take-Two Interactive Software Inc. common stock.

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Rates of Return

Take-Two Interactive Software Inc., monthly rates of return

Microsoft Excel
Take-Two Interactive Software Inc. (TTWO) Standard & Poor’s 500 (S&P 500)
t Date PriceTTWO,t1 DividendTTWO,t1 RTTWO,t2 PriceS&P 500,t RS&P 500,t3
Apr 30, 2019
1. May 31, 2019
2. Jun 30, 2019
3. Jul 31, 2019
. . . . . . .
. . . . . . .
. . . . . . .
70. Feb 28, 2025
71. Mar 31, 2025
Average (R):
Standard deviation:
Take-Two Interactive Software Inc. (TTWO) Standard & Poor’s 500 (S&P 500)
t Date PriceTTWO,t1 DividendTTWO,t1 RTTWO,t2 PriceS&P 500,t RS&P 500,t3
Apr 30, 2019
1. May 31, 2019
2. Jun 30, 2019
3. Jul 31, 2019
4. Aug 31, 2019
5. Sep 30, 2019
6. Oct 31, 2019
7. Nov 30, 2019
8. Dec 31, 2019
9. Jan 31, 2020
10. Feb 29, 2020
11. Mar 31, 2020
12. Apr 30, 2020
13. May 31, 2020
14. Jun 30, 2020
15. Jul 31, 2020
16. Aug 31, 2020
17. Sep 30, 2020
18. Oct 31, 2020
19. Nov 30, 2020
20. Dec 31, 2020
21. Jan 31, 2021
22. Feb 28, 2021
23. Mar 31, 2021
24. Apr 30, 2021
25. May 31, 2021
26. Jun 30, 2021
27. Jul 31, 2021
28. Aug 31, 2021
29. Sep 30, 2021
30. Oct 31, 2021
31. Nov 30, 2021
32. Dec 31, 2021
33. Jan 31, 2022
34. Feb 28, 2022
35. Mar 31, 2022
36. Apr 30, 2022
37. May 31, 2022
38. Jun 30, 2022
39. Jul 31, 2022
40. Aug 31, 2022
41. Sep 30, 2022
42. Oct 31, 2022
43. Nov 30, 2022
44. Dec 31, 2022
45. Jan 31, 2023
46. Feb 28, 2023
47. Mar 31, 2023
48. Apr 30, 2023
49. May 31, 2023
50. Jun 30, 2023
51. Jul 31, 2023
52. Aug 31, 2023
53. Sep 30, 2023
54. Oct 31, 2023
55. Nov 30, 2023
56. Dec 31, 2023
57. Jan 31, 2024
58. Feb 29, 2024
59. Mar 31, 2024
60. Apr 30, 2024
61. May 31, 2024
62. Jun 30, 2024
63. Jul 31, 2024
64. Aug 31, 2024
65. Sep 30, 2024
66. Oct 31, 2024
67. Nov 30, 2024
68. Dec 31, 2024
69. Jan 31, 2025
70. Feb 28, 2025
71. Mar 31, 2025
Average (R):
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 TTWO during period t

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


Variance and Covariance

Take-Two Interactive Software Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RTTWO,t RS&P 500,t (RTTWO,tRTTWO)2 (RS&P 500,tRS&P 500)2 (RTTWO,tRTTWO)×(RS&P 500,tRS&P 500)
1. May 31, 2019
2. Jun 30, 2019
3. Jul 31, 2019
. . . . . . .
. . . . . . .
. . . . . . .
70. Feb 28, 2025
71. Mar 31, 2025
Total (Σ):
t Date RTTWO,t RS&P 500,t (RTTWO,tRTTWO)2 (RS&P 500,tRS&P 500)2 (RTTWO,tRTTWO)×(RS&P 500,tRS&P 500)
1. May 31, 2019
2. Jun 30, 2019
3. Jul 31, 2019
4. Aug 31, 2019
5. Sep 30, 2019
6. Oct 31, 2019
7. Nov 30, 2019
8. Dec 31, 2019
9. Jan 31, 2020
10. Feb 29, 2020
11. Mar 31, 2020
12. Apr 30, 2020
13. May 31, 2020
14. Jun 30, 2020
15. Jul 31, 2020
16. Aug 31, 2020
17. Sep 30, 2020
18. Oct 31, 2020
19. Nov 30, 2020
20. Dec 31, 2020
21. Jan 31, 2021
22. Feb 28, 2021
23. Mar 31, 2021
24. Apr 30, 2021
25. May 31, 2021
26. Jun 30, 2021
27. Jul 31, 2021
28. Aug 31, 2021
29. Sep 30, 2021
30. Oct 31, 2021
31. Nov 30, 2021
32. Dec 31, 2021
33. Jan 31, 2022
34. Feb 28, 2022
35. Mar 31, 2022
36. Apr 30, 2022
37. May 31, 2022
38. Jun 30, 2022
39. Jul 31, 2022
40. Aug 31, 2022
41. Sep 30, 2022
42. Oct 31, 2022
43. Nov 30, 2022
44. Dec 31, 2022
45. Jan 31, 2023
46. Feb 28, 2023
47. Mar 31, 2023
48. Apr 30, 2023
49. May 31, 2023
50. Jun 30, 2023
51. Jul 31, 2023
52. Aug 31, 2023
53. Sep 30, 2023
54. Oct 31, 2023
55. Nov 30, 2023
56. Dec 31, 2023
57. Jan 31, 2024
58. Feb 29, 2024
59. Mar 31, 2024
60. Apr 30, 2024
61. May 31, 2024
62. Jun 30, 2024
63. Jul 31, 2024
64. Aug 31, 2024
65. Sep 30, 2024
66. Oct 31, 2024
67. Nov 30, 2024
68. Dec 31, 2024
69. Jan 31, 2025
70. Feb 28, 2025
71. Mar 31, 2025
Total (Σ):

Show all

VarianceTTWO = Σ(RTTWO,tRTTWO)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

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

CovarianceTTWO, S&P 500 = Σ(RTTWO,tRTTWO)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VarianceTTWO
VarianceS&P 500
CovarianceTTWO, S&P 500
Correlation coefficientTTWO, S&P 5001
βTTWO2
αTTWO3

Calculations

1 Correlation coefficientTTWO, S&P 500
= CovarianceTTWO, S&P 500 ÷ (Standard deviationTTWO × Standard deviationS&P 500)
= ÷ ( × )
=

2 βTTWO
= CovarianceTTWO, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αTTWO
= AverageTTWO – βTTWO × AverageS&P 500
= ×
=


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of Take-Two Interactive Software Inc. common stock βTTWO
 
Expected rate of return on Take-Two Interactive Software Inc. common stock3 E(RTTWO)

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(RTTWO) = RF + βTTWO [E(RM) – RF]
= + []
=