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

Abbott Laboratories (NYSE:ABT)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Abbott Laboratories, monthly rates of return

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Abbott Laboratories (ABT) Standard & Poor’s 500 (S&P 500)
t Date PriceABT,t1 DividendABT,t1 RABT,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 44.76 1,994.99
1. Feb 28, 2015 47.37 5.83% 2,104.50 5.49%
2. Mar 31, 2015 46.33 -2.20% 2,067.89 -1.74%
3. Apr 30, 2015 46.42 0.24 0.71% 2,085.51 0.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2019 85.45 2.20% 3,140.98 3.40%
59. Dec 31, 2019 86.86 1.65% 3,230.78 2.86%
Average: 1.46% 0.88%
Standard deviation: 5.66% 3.45%
Abbott Laboratories (ABT) Standard & Poor’s 500 (S&P 500)
t Date PriceABT,t1 DividendABT,t1 RABT,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 44.76 1,994.99
1. Feb 28, 2015 47.37 5.83% 2,104.50 5.49%
2. Mar 31, 2015 46.33 -2.20% 2,067.89 -1.74%
3. Apr 30, 2015 46.42 0.24 0.71% 2,085.51 0.85%
4. May 31, 2015 48.60 4.70% 2,107.39 1.05%
5. Jun 30, 2015 49.08 0.99% 2,063.11 -2.10%
6. Jul 31, 2015 50.69 0.24 3.77% 2,103.84 1.97%
7. Aug 31, 2015 45.29 -10.65% 1,972.18 -6.26%
8. Sep 30, 2015 40.22 -11.19% 1,920.03 -2.64%
9. Oct 31, 2015 44.80 0.24 11.98% 2,079.36 8.30%
10. Nov 30, 2015 44.92 0.27% 2,080.41 0.05%
11. Dec 31, 2015 44.91 -0.02% 2,043.94 -1.75%
12. Jan 31, 2016 37.85 0.26 -15.14% 1,940.24 -5.07%
13. Feb 29, 2016 38.74 2.35% 1,932.23 -0.41%
14. Mar 31, 2016 41.83 7.98% 2,059.74 6.60%
15. Apr 30, 2016 38.90 0.26 -6.38% 2,065.30 0.27%
16. May 31, 2016 39.63 1.88% 2,096.95 1.53%
17. Jun 30, 2016 39.31 -0.81% 2,098.86 0.09%
18. Jul 31, 2016 44.75 0.26 14.50% 2,173.60 3.56%
19. Aug 31, 2016 42.02 -6.10% 2,170.95 -0.12%
20. Sep 30, 2016 42.29 0.64% 2,168.27 -0.12%
21. Oct 31, 2016 39.24 0.26 -6.60% 2,126.15 -1.94%
22. Nov 30, 2016 38.07 -2.98% 2,198.81 3.42%
23. Dec 31, 2016 38.41 0.89% 2,238.83 1.82%
24. Jan 31, 2017 41.77 0.265 9.44% 2,278.87 1.79%
25. Feb 28, 2017 45.08 7.92% 2,363.64 3.72%
26. Mar 31, 2017 44.41 -1.49% 2,362.72 -0.04%
27. Apr 30, 2017 43.64 0.265 -1.14% 2,384.20 0.91%
28. May 31, 2017 45.66 4.63% 2,411.80 1.16%
29. Jun 30, 2017 48.61 6.46% 2,423.41 0.48%
30. Jul 31, 2017 49.18 0.265 1.72% 2,470.30 1.93%
31. Aug 31, 2017 50.94 3.58% 2,471.65 0.05%
32. Sep 30, 2017 53.36 4.75% 2,519.36 1.93%
33. Oct 31, 2017 54.23 0.265 2.13% 2,575.26 2.22%
34. Nov 30, 2017 56.37 3.95% 2,647.58 2.81%
35. Dec 31, 2017 57.07 1.24% 2,673.61 0.98%
36. Jan 31, 2018 62.16 0.28 9.41% 2,823.81 5.62%
37. Feb 28, 2018 60.33 -2.94% 2,713.83 -3.89%
38. Mar 31, 2018 59.92 -0.68% 2,640.87 -2.69%
39. Apr 30, 2018 58.13 0.28 -2.52% 2,648.05 0.27%
40. May 31, 2018 61.53 5.85% 2,705.27 2.16%
41. Jun 30, 2018 60.99 -0.88% 2,718.37 0.48%
42. Jul 31, 2018 65.54 0.28 7.92% 2,816.29 3.60%
43. Aug 31, 2018 66.84 1.98% 2,901.52 3.03%
44. Sep 30, 2018 73.36 9.75% 2,913.98 0.43%
45. Oct 31, 2018 68.94 0.28 -5.64% 2,711.74 -6.94%
46. Nov 30, 2018 74.05 7.41% 2,760.17 1.79%
47. Dec 31, 2018 72.33 -2.32% 2,506.85 -9.18%
48. Jan 31, 2019 72.98 0.32 1.34% 2,704.10 7.87%
49. Feb 28, 2019 77.62 6.36% 2,784.49 2.97%
50. Mar 31, 2019 79.94 2.99% 2,834.40 1.79%
51. Apr 30, 2019 79.56 0.32 -0.08% 2,945.83 3.93%
52. May 31, 2019 76.13 -4.31% 2,752.06 -6.58%
53. Jun 30, 2019 84.10 10.47% 2,941.76 6.89%
54. Jul 31, 2019 87.10 0.32 3.95% 2,980.38 1.31%
55. Aug 31, 2019 85.32 -2.04% 2,926.46 -1.81%
56. Sep 30, 2019 83.67 -1.93% 2,976.74 1.72%
57. Oct 31, 2019 83.61 0.32 0.31% 3,037.56 2.04%
58. Nov 30, 2019 85.45 2.20% 3,140.98 3.40%
59. Dec 31, 2019 86.86 1.65% 3,230.78 2.86%
Average: 1.46% 0.88%
Standard deviation: 5.66% 3.45%

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 ABT during period t

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


Systematic Risk (β) Estimation

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VarianceABT 32.08
VarianceS&P 500 11.88
CovarianceABT, S&P 500 13.45
Correlation coefficientABT, S&P 5001 0.69
βABT2 1.13
αABT3 0.46

Calculations

1 Correlation coefficientABT, S&P 500
= CovarianceABT, S&P 500 ÷ (Standard deviationABT × Standard deviationS&P 500)
= 13.45 ÷ (5.66 × 3.45)

2 βABT
= CovarianceABT, S&P 500 ÷ VarianceS&P 500
= 13.45 ÷ 11.88

3 αABT
= AverageABT – βABT × AverageS&P 500
= 1.461.13 × 0.88


Expected Rate of Return

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Assumptions
Rate of return on LT Treasury Composite1 RF 1.43%
Expected rate of return on market portfolio2 E(RM) 12.46%
Systematic risk (β) of Abbott Laboratories’s common stock βABT 1.13
 
Expected rate of return on Abbott Laboratories’s common stock3 E(RABT) 13.92%

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(RABT) = RF + βABT [E(RM) – RF]
= 1.43% + 1.13 [12.46%1.43%]
= 13.92%