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

AbbVie Inc. (NYSE:ABBV)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

AbbVie Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
AbbVie Inc. (ABBV) Standard & Poor’s 500 (S&P 500)
t Date PriceABBV,t1 DividendABBV,t1 RABBV,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $54.90 1,940.24
1. Feb 29, 2016 $54.61 -0.53% 1,932.23 -0.41%
2. Mar 31, 2016 $57.12 4.60% 2,059.74 6.60%
3. Apr 30, 2016 $61.00 $0.57 7.79% 2,065.30 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 $104.58 22.89% 3,621.63 10.75%
59. Dec 31, 2020 $107.15 2.46% 3,756.07 3.71%
Average (R): 1.83% 1.22%
Standard deviation: 8.20% 4.36%
AbbVie Inc. (ABBV) Standard & Poor’s 500 (S&P 500)
t Date PriceABBV,t1 DividendABBV,t1 RABBV,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2016 $54.90 1,940.24
1. Feb 29, 2016 $54.61 -0.53% 1,932.23 -0.41%
2. Mar 31, 2016 $57.12 4.60% 2,059.74 6.60%
3. Apr 30, 2016 $61.00 $0.57 7.79% 2,065.30 0.27%
4. May 31, 2016 $62.93 3.16% 2,096.95 1.53%
5. Jun 30, 2016 $61.91 -1.62% 2,098.86 0.09%
6. Jul 31, 2016 $66.23 $0.57 7.90% 2,173.60 3.56%
7. Aug 31, 2016 $64.10 -3.22% 2,170.95 -0.12%
8. Sep 30, 2016 $63.07 -1.61% 2,168.27 -0.12%
9. Oct 31, 2016 $55.78 $0.57 -10.65% 2,126.15 -1.94%
10. Nov 30, 2016 $60.80 9.00% 2,198.81 3.42%
11. Dec 31, 2016 $62.62 2.99% 2,238.83 1.82%
12. Jan 31, 2017 $61.11 $0.64 -1.39% 2,278.87 1.79%
13. Feb 28, 2017 $61.84 1.19% 2,363.64 3.72%
14. Mar 31, 2017 $65.16 5.37% 2,362.72 -0.04%
15. Apr 30, 2017 $65.94 $0.64 2.18% 2,384.20 0.91%
16. May 31, 2017 $66.02 0.12% 2,411.80 1.16%
17. Jun 30, 2017 $72.51 9.83% 2,423.41 0.48%
18. Jul 31, 2017 $69.91 $0.64 -2.70% 2,470.30 1.93%
19. Aug 31, 2017 $75.30 7.71% 2,471.65 0.05%
20. Sep 30, 2017 $88.86 18.01% 2,519.36 1.93%
21. Oct 31, 2017 $90.25 $0.64 2.28% 2,575.26 2.22%
22. Nov 30, 2017 $96.92 7.39% 2,647.58 2.81%
23. Dec 31, 2017 $96.71 -0.22% 2,673.61 0.98%
24. Jan 31, 2018 $112.22 $0.71 16.77% 2,823.81 5.62%
25. Feb 28, 2018 $115.83 3.22% 2,713.83 -3.89%
26. Mar 31, 2018 $94.65 -18.29% 2,640.87 -2.69%
27. Apr 30, 2018 $96.55 $0.96 3.02% 2,648.05 0.27%
28. May 31, 2018 $98.94 2.48% 2,705.27 2.16%
29. Jun 30, 2018 $92.65 -6.36% 2,718.37 0.48%
30. Jul 31, 2018 $92.23 $0.96 0.58% 2,816.29 3.60%
31. Aug 31, 2018 $95.98 4.07% 2,901.52 3.03%
32. Sep 30, 2018 $94.58 -1.46% 2,913.98 0.43%
33. Oct 31, 2018 $77.85 $0.96 -16.67% 2,711.74 -6.94%
34. Nov 30, 2018 $94.27 21.09% 2,760.17 1.79%
35. Dec 31, 2018 $92.19 -2.21% 2,506.85 -9.18%
36. Jan 31, 2019 $80.29 $1.07 -11.75% 2,704.10 7.87%
37. Feb 28, 2019 $79.24 -1.31% 2,784.49 2.97%
38. Mar 31, 2019 $80.59 1.70% 2,834.40 1.79%
39. Apr 30, 2019 $79.39 $1.07 -0.16% 2,945.83 3.93%
40. May 31, 2019 $76.71 -3.38% 2,752.06 -6.58%
41. Jun 30, 2019 $72.72 -5.20% 2,941.76 6.89%
42. Jul 31, 2019 $66.62 $1.07 -6.92% 2,980.38 1.31%
43. Aug 31, 2019 $65.74 -1.32% 2,926.46 -1.81%
44. Sep 30, 2019 $75.72 15.18% 2,976.74 1.72%
45. Oct 31, 2019 $79.55 $1.07 6.47% 3,037.56 2.04%
46. Nov 30, 2019 $87.73 10.28% 3,140.98 3.40%
47. Dec 31, 2019 $88.54 0.92% 3,230.78 2.86%
48. Jan 31, 2020 $81.02 $1.18 -7.16% 3,225.52 -0.16%
49. Feb 29, 2020 $85.71 5.79% 2,954.22 -8.41%
50. Mar 31, 2020 $76.19 -11.11% 2,584.59 -12.51%
51. Apr 30, 2020 $82.20 $1.18 9.44% 2,912.43 12.68%
52. May 31, 2020 $92.67 12.74% 3,044.31 4.53%
53. Jun 30, 2020 $98.18 5.95% 3,100.29 1.84%
54. Jul 31, 2020 $94.91 $1.18 -2.13% 3,271.12 5.51%
55. Aug 31, 2020 $95.77 0.91% 3,500.31 7.01%
56. Sep 30, 2020 $87.59 -8.54% 3,363.00 -3.92%
57. Oct 31, 2020 $85.10 $1.18 -1.50% 3,269.96 -2.77%
58. Nov 30, 2020 $104.58 22.89% 3,621.63 10.75%
59. Dec 31, 2020 $107.15 2.46% 3,756.07 3.71%
Average (R): 1.83% 1.22%
Standard deviation: 8.20% 4.36%

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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 ABBV during period t

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


Variance and Covariance

AbbVie Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RABBV,t RS&P 500,t (RABBV,tRABBV)2 (RS&P 500,tRS&P 500)2 (RABBV,tRABBV)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 -0.53% -0.41% 5.57 2.67 3.85
2. Mar 31, 2016 4.60% 6.60% 7.64 28.93 14.87
3. Apr 30, 2016 7.79% 0.27% 35.50 0.90 -5.66
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2020 22.89% 10.75% 443.46 90.91 200.78
59. Dec 31, 2020 2.46% 3.71% 0.39 6.21 1.56
Total (Σ): 3,903.37 1,103.45 906.65
t Date RABBV,t RS&P 500,t (RABBV,tRABBV)2 (RS&P 500,tRS&P 500)2 (RABBV,tRABBV)×(RS&P 500,tRS&P 500)
1. Feb 29, 2016 -0.53% -0.41% 5.57 2.67 3.85
2. Mar 31, 2016 4.60% 6.60% 7.64 28.93 14.87
3. Apr 30, 2016 7.79% 0.27% 35.50 0.90 -5.66
4. May 31, 2016 3.16% 1.53% 1.77 0.10 0.42
5. Jun 30, 2016 -1.62% 0.09% 11.92 1.27 3.90
6. Jul 31, 2016 7.90% 3.56% 36.80 5.48 14.20
7. Aug 31, 2016 -3.22% -0.12% 25.48 1.80 6.77
8. Sep 30, 2016 -1.61% -0.12% 11.83 1.81 4.62
9. Oct 31, 2016 -10.65% -1.94% 155.93 10.00 39.49
10. Nov 30, 2016 9.00% 3.42% 51.37 4.83 15.75
11. Dec 31, 2016 2.99% 1.82% 1.35 0.36 0.70
12. Jan 31, 2017 -1.39% 1.79% 10.38 0.32 -1.83
13. Feb 28, 2017 1.19% 3.72% 0.41 6.25 -1.59
14. Mar 31, 2017 5.37% -0.04% 12.51 1.59 -4.45
15. Apr 30, 2017 2.18% 0.91% 0.12 0.10 -0.11
16. May 31, 2017 0.12% 1.16% 2.93 0.00 0.11
17. Jun 30, 2017 9.83% 0.48% 63.97 0.55 -5.91
18. Jul 31, 2017 -2.70% 1.93% 20.57 0.51 -3.24
19. Aug 31, 2017 7.71% 0.05% 34.55 1.36 -6.85
20. Sep 30, 2017 18.01% 1.93% 261.66 0.50 11.49
21. Oct 31, 2017 2.28% 2.22% 0.20 1.00 0.45
22. Nov 30, 2017 7.39% 2.81% 30.90 2.52 8.83
23. Dec 31, 2017 -0.22% 0.98% 4.20 0.06 0.49
24. Jan 31, 2018 16.77% 5.62% 223.19 19.34 65.70
25. Feb 28, 2018 3.22% -3.89% 1.92 26.16 -7.08
26. Mar 31, 2018 -18.29% -2.69% 404.72 15.28 78.63
27. Apr 30, 2018 3.02% 0.27% 1.41 0.90 -1.13
28. May 31, 2018 2.48% 2.16% 0.41 0.89 0.61
29. Jun 30, 2018 -6.36% 0.48% 67.07 0.54 6.03
30. Jul 31, 2018 0.58% 3.60% 1.56 5.67 -2.98
31. Aug 31, 2018 4.07% 3.03% 4.99 3.26 4.03
32. Sep 30, 2018 -1.46% 0.43% 10.83 0.63 2.60
33. Oct 31, 2018 -16.67% -6.94% 342.47 66.59 151.02
34. Nov 30, 2018 21.09% 1.79% 370.93 0.32 10.90
35. Dec 31, 2018 -2.21% -9.18% 16.31 108.11 41.99
36. Jan 31, 2019 -11.75% 7.87% 184.41 44.20 -90.28
37. Feb 28, 2019 -1.31% 2.97% 9.86 3.07 -5.50
38. Mar 31, 2019 1.70% 1.79% 0.02 0.33 -0.07
39. Apr 30, 2019 -0.16% 3.93% 3.97 7.35 -5.40
40. May 31, 2019 -3.38% -6.58% 27.12 60.81 40.61
41. Jun 30, 2019 -5.20% 6.89% 49.47 32.18 -39.90
42. Jul 31, 2019 -6.92% 1.31% 76.55 0.01 -0.81
43. Aug 31, 2019 -1.32% -1.81% 9.94 9.18 9.55
44. Sep 30, 2019 15.18% 1.72% 178.19 0.25 6.65
45. Oct 31, 2019 6.47% 2.04% 21.52 0.68 3.82
46. Nov 30, 2019 10.28% 3.40% 71.41 4.77 18.46
47. Dec 31, 2019 0.92% 2.86% 0.83 2.69 -1.49
48. Jan 31, 2020 -7.16% -0.16% 80.87 1.91 12.44
49. Feb 29, 2020 5.79% -8.41% 15.65 92.76 -38.11
50. Mar 31, 2020 -11.11% -12.51% 167.43 188.57 177.68
51. Apr 30, 2020 9.44% 12.68% 57.83 131.43 87.18
52. May 31, 2020 12.74% 4.53% 118.92 10.94 36.08
53. Jun 30, 2020 5.95% 1.84% 16.92 0.38 2.55
54. Jul 31, 2020 -2.13% 5.51% 15.69 18.40 -16.99
55. Aug 31, 2020 0.91% 7.01% 0.86 33.48 -5.36
56. Sep 30, 2020 -8.54% -3.92% 107.61 26.45 53.35
57. Oct 31, 2020 -1.50% -2.77% 11.07 15.89 13.27
58. Nov 30, 2020 22.89% 10.75% 443.46 90.91 200.78
59. Dec 31, 2020 2.46% 3.71% 0.39 6.21 1.56
Total (Σ): 3,903.37 1,103.45 906.65

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VarianceABBV = Σ(RABBV,tRABBV)2 ÷ (59 – 1)
= 3,903.37 ÷ (59 – 1)
= 67.30

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02

CovarianceABBV, S&P 500 = Σ(RABBV,tRABBV)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 906.65 ÷ (59 – 1)
= 15.63


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceABBV 67.30
VarianceS&P 500 19.02
CovarianceABBV, S&P 500 15.63
Correlation coefficientABBV, S&P 5001 0.44
βABBV2 0.82
αABBV3 0.83%

Calculations

1 Correlation coefficientABBV, S&P 500
= CovarianceABBV, S&P 500 ÷ (Standard deviationABBV × Standard deviationS&P 500)
= 15.63 ÷ (8.20% × 4.36%)
= 0.44

2 βABBV
= CovarianceABBV, S&P 500 ÷ VarianceS&P 500
= 15.63 ÷ 19.02
= 0.82

3 αABBV
= AverageABBV – βABBV × AverageS&P 500
= 1.83%0.82 × 1.22%
= 0.83%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 2.22%
Expected rate of return on market portfolio2 E(RM) 11.72%
Systematic risk (β) of AbbVie Inc.’s common stock βABBV 0.82
 
Expected rate of return on AbbVie Inc.’s common stock3 E(RABBV) 10.03%

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(RABBV) = RF + βABBV [E(RM) – RF]
= 2.22% + 0.82 [11.72%2.22%]
= 10.03%