Stock Analysis on Net

Accenture PLC (NYSE:ACN)

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Capital Asset Pricing Model (CAPM)

Microsoft Excel LibreOffice Calc

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Rates of Return

Accenture PLC, monthly rates of return

Microsoft Excel LibreOffice Calc
Accenture PLC (ACN) Standard & Poor’s 500 (S&P 500)
t Date PriceACN,t1 DividendACN,t1 RACN,t2 PriceS&P 500,t RS&P 500,t3
Sep 30, 2015
1. Oct 31, 2015
2. Nov 30, 2015
3. Dec 31, 2015
. . . . . . .
. . . . . . .
. . . . . . .
70. Jul 31, 2021
71. Aug 31, 2021
Average (R):
Standard deviation:
Accenture PLC (ACN) Standard & Poor’s 500 (S&P 500)
t Date PriceACN,t1 DividendACN,t1 RACN,t2 PriceS&P 500,t RS&P 500,t3
Sep 30, 2015
1. Oct 31, 2015
2. Nov 30, 2015
3. Dec 31, 2015
4. Jan 31, 2016
5. Feb 29, 2016
6. Mar 31, 2016
7. Apr 30, 2016
8. May 31, 2016
9. Jun 30, 2016
10. Jul 31, 2016
11. Aug 31, 2016
12. Sep 30, 2016
13. Oct 31, 2016
14. Nov 30, 2016
15. Dec 31, 2016
16. Jan 31, 2017
17. Feb 28, 2017
18. Mar 31, 2017
19. Apr 30, 2017
20. May 31, 2017
21. Jun 30, 2017
22. Jul 31, 2017
23. Aug 31, 2017
24. Sep 30, 2017
25. Oct 31, 2017
26. Nov 30, 2017
27. Dec 31, 2017
28. Jan 31, 2018
29. Feb 28, 2018
30. Mar 31, 2018
31. Apr 30, 2018
32. May 31, 2018
33. Jun 30, 2018
34. Jul 31, 2018
35. Aug 31, 2018
36. Sep 30, 2018
37. Oct 31, 2018
38. Nov 30, 2018
39. Dec 31, 2018
40. Jan 31, 2019
41. Feb 28, 2019
42. Mar 31, 2019
43. Apr 30, 2019
44. May 31, 2019
45. Jun 30, 2019
46. Jul 31, 2019
47. Aug 31, 2019
48. Sep 30, 2019
49. Oct 31, 2019
50. Nov 30, 2019
51. Dec 31, 2019
52. Jan 31, 2020
53. Feb 29, 2020
54. Mar 31, 2020
55. Apr 30, 2020
56. May 31, 2020
57. Jun 30, 2020
58. Jul 31, 2020
59. Aug 31, 2020
60. Sep 30, 2020
61. Oct 31, 2020
62. Nov 30, 2020
63. Dec 31, 2020
64. Jan 31, 2021
65. Feb 28, 2021
66. Mar 31, 2021
67. Apr 30, 2021
68. May 31, 2021
69. Jun 30, 2021
70. Jul 31, 2021
71. Aug 31, 2021
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 ACN during period t

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


Variance and Covariance

Accenture PLC, calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RACN,t RS&P 500,t (RACN,tRACN)2 (RS&P 500,tRS&P 500)2 (RACN,tRACN)×(RS&P 500,tRS&P 500)
1. Oct 31, 2015
2. Nov 30, 2015
3. Dec 31, 2015
. . . . . . .
. . . . . . .
. . . . . . .
70. Jul 31, 2021
71. Aug 31, 2021
Total (Σ):
t Date RACN,t RS&P 500,t (RACN,tRACN)2 (RS&P 500,tRS&P 500)2 (RACN,tRACN)×(RS&P 500,tRS&P 500)
1. Oct 31, 2015
2. Nov 30, 2015
3. Dec 31, 2015
4. Jan 31, 2016
5. Feb 29, 2016
6. Mar 31, 2016
7. Apr 30, 2016
8. May 31, 2016
9. Jun 30, 2016
10. Jul 31, 2016
11. Aug 31, 2016
12. Sep 30, 2016
13. Oct 31, 2016
14. Nov 30, 2016
15. Dec 31, 2016
16. Jan 31, 2017
17. Feb 28, 2017
18. Mar 31, 2017
19. Apr 30, 2017
20. May 31, 2017
21. Jun 30, 2017
22. Jul 31, 2017
23. Aug 31, 2017
24. Sep 30, 2017
25. Oct 31, 2017
26. Nov 30, 2017
27. Dec 31, 2017
28. Jan 31, 2018
29. Feb 28, 2018
30. Mar 31, 2018
31. Apr 30, 2018
32. May 31, 2018
33. Jun 30, 2018
34. Jul 31, 2018
35. Aug 31, 2018
36. Sep 30, 2018
37. Oct 31, 2018
38. Nov 30, 2018
39. Dec 31, 2018
40. Jan 31, 2019
41. Feb 28, 2019
42. Mar 31, 2019
43. Apr 30, 2019
44. May 31, 2019
45. Jun 30, 2019
46. Jul 31, 2019
47. Aug 31, 2019
48. Sep 30, 2019
49. Oct 31, 2019
50. Nov 30, 2019
51. Dec 31, 2019
52. Jan 31, 2020
53. Feb 29, 2020
54. Mar 31, 2020
55. Apr 30, 2020
56. May 31, 2020
57. Jun 30, 2020
58. Jul 31, 2020
59. Aug 31, 2020
60. Sep 30, 2020
61. Oct 31, 2020
62. Nov 30, 2020
63. Dec 31, 2020
64. Jan 31, 2021
65. Feb 28, 2021
66. Mar 31, 2021
67. Apr 30, 2021
68. May 31, 2021
69. Jun 30, 2021
70. Jul 31, 2021
71. Aug 31, 2021
Total (Σ):

Show all

VarianceACN = Σ(RACN,tRACN)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

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

CovarianceACN, S&P 500 = Σ(RACN,tRACN)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceACN
VarianceS&P 500
CovarianceACN, S&P 500
Correlation coefficientACN, S&P 5001
βACN2
αACN3

Calculations

1 Correlation coefficientACN, S&P 500
= CovarianceACN, S&P 500 ÷ (Standard deviationACN × Standard deviationS&P 500)
= ÷ ( × )
=

2 βACN
= CovarianceACN, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αACN
= AverageACN – βACN × 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 Accenture PLC common stock βACN
 
Expected rate of return on Accenture PLC common stock3 E(RACN)

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(RACN) = RF + βACN [E(RM) – RF]
= + []
=