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

Twenty-First Century Fox Inc. (NASDAQ:FOX)

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Capital Asset Pricing Model (CAPM)

Intermediate level

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Twenty-First Century Fox Inc.’s common stock.


Rates of Return

Twenty-First Century Fox Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Twenty-First Century Fox Inc. (FOX) Standard & Poor’s 500 (S&P 500)
t Date PriceFOX,t1 DividendFOX,t1 RFOX,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2012
1. Aug 31, 2012
2. Sep 30, 2012
3. Oct 31, 2012
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2018
71. Jun 30, 2018
Average:
Standard deviation:
Twenty-First Century Fox Inc. (FOX) Standard & Poor’s 500 (S&P 500)
t Date PriceFOX,t1 DividendFOX,t1 RFOX,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2012
1. Aug 31, 2012
2. Sep 30, 2012
3. Oct 31, 2012
4. Nov 30, 2012
5. Dec 31, 2012
6. Jan 31, 2013
7. Feb 28, 2013
8. Mar 31, 2013
9. Apr 30, 2013
10. May 31, 2013
11. Jun 30, 2013
12. Jul 31, 2013
13. Aug 31, 2013
14. Sep 30, 2013
15. Oct 31, 2013
16. Nov 30, 2013
17. Dec 31, 2013
18. Jan 31, 2014
19. Feb 28, 2014
20. Mar 31, 2014
21. Apr 30, 2014
22. May 31, 2014
23. Jun 30, 2014
24. Jul 31, 2014
25. Aug 31, 2014
26. Sep 30, 2014
27. Oct 31, 2014
28. Nov 30, 2014
29. Dec 31, 2014
30. Jan 31, 2015
31. Feb 28, 2015
32. Mar 31, 2015
33. Apr 30, 2015
34. May 31, 2015
35. Jun 30, 2015
36. Jul 31, 2015
37. Aug 31, 2015
38. Sep 30, 2015
39. Oct 31, 2015
40. Nov 30, 2015
41. Dec 31, 2015
42. Jan 31, 2016
43. Feb 29, 2016
44. Mar 31, 2016
45. Apr 30, 2016
46. May 31, 2016
47. Jun 30, 2016
48. Jul 31, 2016
49. Aug 31, 2016
50. Sep 30, 2016
51. Oct 31, 2016
52. Nov 30, 2016
53. Dec 31, 2016
54. Jan 31, 2017
55. Feb 28, 2017
56. Mar 31, 2017
57. Apr 30, 2017
58. May 31, 2017
59. Jun 30, 2017
60. Jul 31, 2017
61. Aug 31, 2017
62. Sep 30, 2017
63. Oct 31, 2017
64. Nov 30, 2017
65. Dec 31, 2017
66. Jan 31, 2018
67. Feb 28, 2018
68. Mar 31, 2018
69. Apr 30, 2018
70. May 31, 2018
71. Jun 30, 2018
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 FOX 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
VarianceFOX
VarianceS&P 500
CovarianceFOX, S&P 500
Correlation coefficientFOX, S&P 5001
βFOX2
αFOX3

Calculations

1 Correlation coefficientFOX, S&P 500
= CovarianceFOX, S&P 500 ÷ (Standard deviationFOX × Standard deviationS&P 500)
= ÷ ( × )

2 βFOX
= CovarianceFOX, S&P 500 ÷ VarianceS&P 500
= ÷

3 αFOX
= AverageFOX – βFOX × 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 Twenty-First Century Fox Inc.’s common stock βFOX
 
Expected rate of return on Twenty-First Century Fox Inc.’s common stock3 E(RFOX)

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(RFOX) = RF + βFOX [E(RM) – RF]
= + []
=