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

Accenture PLC (NYSE:ACN)

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 Accenture PLC’s common stock.


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, 2014 $81.32 1,972.29
1. Oct 31, 2014 $81.12 $1.02 1.01% 2,018.05 2.32%
2. Nov 30, 2014 $86.33 6.42% 2,067.56 2.45%
3. Dec 31, 2014 $89.31 3.45% 2,058.90 -0.42%
. . . . . . .
. . . . . . .
. . . . . . .
70. Jul 31, 2020 $224.78 $0.80 5.06% 3,271.12 5.51%
71. Aug 31, 2020 $239.93 6.74% 3,500.31 7.01%
Average (R): 1.85% 0.90%
Standard deviation: 5.50% 4.12%
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, 2014 $81.32 1,972.29
1. Oct 31, 2014 $81.12 $1.02 1.01% 2,018.05 2.32%
2. Nov 30, 2014 $86.33 6.42% 2,067.56 2.45%
3. Dec 31, 2014 $89.31 3.45% 2,058.90 -0.42%
4. Jan 31, 2015 $84.03 -5.91% 1,994.99 -3.10%
5. Feb 28, 2015 $90.03 7.14% 2,104.50 5.49%
6. Mar 31, 2015 $93.69 4.07% 2,067.89 -1.74%
7. Apr 30, 2015 $92.65 $1.02 -0.02% 2,085.51 0.85%
8. May 31, 2015 $96.04 3.66% 2,107.39 1.05%
9. Jun 30, 2015 $96.78 0.77% 2,063.11 -2.10%
10. Jul 31, 2015 $103.11 6.54% 2,103.84 1.97%
11. Aug 31, 2015 $94.27 -8.57% 1,972.18 -6.26%
12. Sep 30, 2015 $98.26 4.23% 1,920.03 -2.64%
13. Oct 31, 2015 $107.20 $1.10 10.22% 2,079.36 8.30%
14. Nov 30, 2015 $107.22 0.02% 2,080.41 0.05%
15. Dec 31, 2015 $104.50 -2.54% 2,043.94 -1.75%
16. Jan 31, 2016 $105.54 1.00% 1,940.24 -5.07%
17. Feb 29, 2016 $100.26 -5.00% 1,932.23 -0.41%
18. Mar 31, 2016 $115.40 15.10% 2,059.74 6.60%
19. Apr 30, 2016 $112.92 $1.10 -1.20% 2,065.30 0.27%
20. May 31, 2016 $118.97 5.36% 2,096.95 1.53%
21. Jun 30, 2016 $113.29 -4.77% 2,098.86 0.09%
22. Jul 31, 2016 $112.81 -0.42% 2,173.60 3.56%
23. Aug 31, 2016 $115.00 1.94% 2,170.95 -0.12%
24. Sep 30, 2016 $122.17 6.23% 2,168.27 -0.12%
25. Oct 31, 2016 $116.24 $1.21 -3.86% 2,126.15 -1.94%
26. Nov 30, 2016 $119.43 2.74% 2,198.81 3.42%
27. Dec 31, 2016 $117.13 -1.93% 2,238.83 1.82%
28. Jan 31, 2017 $113.87 -2.78% 2,278.87 1.79%
29. Feb 28, 2017 $122.50 7.58% 2,363.64 3.72%
30. Mar 31, 2017 $119.88 -2.14% 2,362.72 -0.04%
31. Apr 30, 2017 $121.30 $1.21 2.19% 2,384.20 0.91%
32. May 31, 2017 $124.47 2.61% 2,411.80 1.16%
33. Jun 30, 2017 $123.68 -0.63% 2,423.41 0.48%
34. Jul 31, 2017 $128.82 4.16% 2,470.30 1.93%
35. Aug 31, 2017 $130.76 1.51% 2,471.65 0.05%
36. Sep 30, 2017 $135.07 3.30% 2,519.36 1.93%
37. Oct 31, 2017 $142.36 $1.33 6.38% 2,575.26 2.22%
38. Nov 30, 2017 $148.01 3.97% 2,647.58 2.81%
39. Dec 31, 2017 $153.09 3.43% 2,673.61 0.98%
40. Jan 31, 2018 $160.70 4.97% 2,823.81 5.62%
41. Feb 28, 2018 $161.01 0.19% 2,713.83 -3.89%
42. Mar 31, 2018 $153.50 -4.66% 2,640.87 -2.69%
43. Apr 30, 2018 $151.20 $1.33 -0.63% 2,648.05 0.27%
44. May 31, 2018 $155.74 3.00% 2,705.27 2.16%
45. Jun 30, 2018 $163.59 5.04% 2,718.37 0.48%
46. Jul 31, 2018 $159.33 -2.60% 2,816.29 3.60%
47. Aug 31, 2018 $169.07 6.11% 2,901.52 3.03%
48. Sep 30, 2018 $170.20 0.67% 2,913.98 0.43%
49. Oct 31, 2018 $157.62 $1.46 -6.53% 2,711.74 -6.94%
50. Nov 30, 2018 $164.52 4.38% 2,760.17 1.79%
51. Dec 31, 2018 $141.01 -14.29% 2,506.85 -9.18%
52. Jan 31, 2019 $153.55 8.89% 2,704.10 7.87%
53. Feb 28, 2019 $161.38 5.10% 2,784.49 2.97%
54. Mar 31, 2019 $176.02 9.07% 2,834.40 1.79%
55. Apr 30, 2019 $182.67 $1.46 4.61% 2,945.83 3.93%
56. May 31, 2019 $178.07 -2.52% 2,752.06 -6.58%
57. Jun 30, 2019 $184.77 3.76% 2,941.76 6.89%
58. Jul 31, 2019 $192.58 4.23% 2,980.38 1.31%
59. Aug 31, 2019 $198.17 2.90% 2,926.46 -1.81%
60. Sep 30, 2019 $192.35 -2.94% 2,976.74 1.72%
61. Oct 31, 2019 $185.42 $0.80 -3.19% 3,037.56 2.04%
62. Nov 30, 2019 $201.16 8.49% 3,140.98 3.40%
63. Dec 31, 2019 $210.57 4.68% 3,230.78 2.86%
64. Jan 31, 2020 $205.21 $0.80 -2.17% 3,225.52 -0.16%
65. Feb 29, 2020 $180.59 -12.00% 2,954.22 -8.41%
66. Mar 31, 2020 $163.26 -9.60% 2,584.59 -12.51%
67. Apr 30, 2020 $185.19 $0.80 13.92% 2,912.43 12.68%
68. May 31, 2020 $201.62 8.87% 3,044.31 4.53%
69. Jun 30, 2020 $214.72 6.50% 3,100.29 1.84%
70. Jul 31, 2020 $224.78 $0.80 5.06% 3,271.12 5.51%
71. Aug 31, 2020 $239.93 6.74% 3,500.31 7.01%
Average (R): 1.85% 0.90%
Standard deviation: 5.50% 4.12%

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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 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, 2014 1.01% 2.32% 0.71 2.03 -1.20
2. Nov 30, 2014 6.42% 2.45% 20.91 2.43 7.12
3. Dec 31, 2014 3.45% -0.42% 2.57 1.73 -2.11
. . . . . . .
. . . . . . .
. . . . . . .
70. Jul 31, 2020 5.06% 5.51% 10.29 21.29 14.80
71. Aug 31, 2020 6.74% 7.01% 23.92 37.34 29.88
Total (Σ): 2,115.87 1,190.16 1,242.84
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, 2014 1.01% 2.32% 0.71 2.03 -1.20
2. Nov 30, 2014 6.42% 2.45% 20.91 2.43 7.12
3. Dec 31, 2014 3.45% -0.42% 2.57 1.73 -2.11
4. Jan 31, 2015 -5.91% -3.10% 60.24 16.00 31.04
5. Feb 28, 2015 7.14% 5.49% 27.99 21.10 24.30
6. Mar 31, 2015 4.07% -1.74% 4.91 6.95 -5.84
7. Apr 30, 2015 -0.02% 0.85% 3.50 0.00 0.08
8. May 31, 2015 3.66% 1.05% 3.27 0.02 0.28
9. Jun 30, 2015 0.77% -2.10% 1.16 8.98 3.23
10. Jul 31, 2015 6.54% 1.97% 22.01 1.16 5.06
11. Aug 31, 2015 -8.57% -6.26% 108.63 51.18 74.56
12. Sep 30, 2015 4.23% -2.64% 5.68 12.53 -8.44
13. Oct 31, 2015 10.22% 8.30% 70.03 54.80 61.95
14. Nov 30, 2015 0.02% 0.05% 3.35 0.71 1.55
15. Dec 31, 2015 -2.54% -1.75% 19.24 7.02 11.62
16. Jan 31, 2016 1.00% -5.07% 0.73 35.63 5.10
17. Feb 29, 2016 -5.00% -0.41% 46.95 1.71 8.97
18. Mar 31, 2016 15.10% 6.60% 175.60 32.53 75.58
19. Apr 30, 2016 -1.20% 0.27% 9.27 0.39 1.91
20. May 31, 2016 5.36% 1.53% 12.31 0.41 2.23
21. Jun 30, 2016 -4.77% 0.09% 43.87 0.65 5.33
22. Jul 31, 2016 -0.42% 3.56% 5.17 7.10 -6.06
23. Aug 31, 2016 1.94% -0.12% 0.01 1.04 -0.09
24. Sep 30, 2016 6.23% -0.12% 19.23 1.04 -4.47
25. Oct 31, 2016 -3.86% -1.94% 32.64 8.06 16.21
26. Nov 30, 2016 2.74% 3.42% 0.80 6.36 2.26
27. Dec 31, 2016 -1.93% 1.82% 14.25 0.85 -3.49
28. Jan 31, 2017 -2.78% 1.79% 21.46 0.80 -4.14
29. Feb 28, 2017 7.58% 3.72% 32.83 7.98 16.18
30. Mar 31, 2017 -2.14% -0.04% 15.91 0.87 3.73
31. Apr 30, 2017 2.19% 0.91% 0.12 0.00 0.00
32. May 31, 2017 2.61% 1.16% 0.58 0.07 0.20
33. Jun 30, 2017 -0.63% 0.48% 6.17 0.17 1.03
34. Jul 31, 2017 4.16% 1.93% 5.32 1.08 2.40
35. Aug 31, 2017 1.51% 0.05% 0.12 0.71 0.29
36. Sep 30, 2017 3.30% 1.93% 2.09 1.07 1.50
37. Oct 31, 2017 6.38% 2.22% 20.54 1.75 6.00
38. Nov 30, 2017 3.97% 2.81% 4.49 3.66 4.05
39. Dec 31, 2017 3.43% 0.98% 2.51 0.01 0.14
40. Jan 31, 2018 4.97% 5.62% 9.74 22.30 14.74
41. Feb 28, 2018 0.19% -3.89% 2.74 22.95 7.94
42. Mar 31, 2018 -4.66% -2.69% 42.43 12.85 23.35
43. Apr 30, 2018 -0.63% 0.27% 6.16 0.39 1.55
44. May 31, 2018 3.00% 2.16% 1.33 1.60 1.46
45. Jun 30, 2018 5.04% 0.48% 10.18 0.17 -1.31
46. Jul 31, 2018 -2.60% 3.60% 19.83 7.32 -12.05
47. Aug 31, 2018 6.11% 3.03% 18.18 4.54 9.08
48. Sep 30, 2018 0.67% 0.43% 1.39 0.22 0.55
49. Oct 31, 2018 -6.53% -6.94% 70.27 61.40 65.69
50. Nov 30, 2018 4.38% 1.79% 6.39 0.79 2.25
51. Dec 31, 2018 -14.29% -9.18% 260.48 101.48 162.58
52. Jan 31, 2019 8.89% 7.87% 49.61 48.62 49.11
53. Feb 28, 2019 5.10% 2.97% 10.56 4.31 6.75
54. Mar 31, 2019 9.07% 1.79% 52.16 0.80 6.48
55. Apr 30, 2019 4.61% 3.93% 7.61 9.21 8.37
56. May 31, 2019 -2.52% -6.58% 19.08 55.85 32.64
57. Jun 30, 2019 3.76% 6.89% 3.66 35.97 11.47
58. Jul 31, 2019 4.23% 1.31% 5.65 0.17 0.99
59. Aug 31, 2019 2.90% -1.81% 1.11 7.32 -2.85
60. Sep 30, 2019 -2.94% 1.72% 22.91 0.68 -3.94
61. Oct 31, 2019 -3.19% 2.04% 25.36 1.32 -5.78
62. Nov 30, 2019 8.49% 3.40% 44.08 6.29 16.66
63. Dec 31, 2019 4.68% 2.86% 8.00 3.85 5.55
64. Jan 31, 2020 -2.17% -0.16% 16.12 1.12 4.25
65. Feb 29, 2020 -12.00% -8.41% 191.73 86.62 128.87
66. Mar 31, 2020 -9.60% -12.51% 131.00 179.77 153.46
67. Apr 30, 2020 13.92% 12.68% 145.76 138.97 142.33
68. May 31, 2020 8.87% 4.53% 49.32 13.19 25.51
69. Jun 30, 2020 6.50% 1.84% 21.60 0.89 4.38
70. Jul 31, 2020 5.06% 5.51% 10.29 21.29 14.80
71. Aug 31, 2020 6.74% 7.01% 23.92 37.34 29.88
Total (Σ): 2,115.87 1,190.16 1,242.84

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VarianceACN = Σ(RACN,tRACN)2 ÷ (71 – 1)
= 2,115.87 ÷ (71 – 1)
= 30.23

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,190.16 ÷ (71 – 1)
= 17.00

CovarianceACN, S&P 500 = Σ(RACN,tRACN)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,242.84 ÷ (71 – 1)
= 17.75


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceACN 30.23
VarianceS&P 500 17.00
CovarianceACN, S&P 500 17.75
Correlation coefficientACN, S&P 5001 0.78
βACN2 1.04
αACN3 0.91%

Calculations

1 Correlation coefficientACN, S&P 500
= CovarianceACN, S&P 500 ÷ (Standard deviationACN × Standard deviationS&P 500)
= 17.75 ÷ (5.50% × 4.12%)
= 0.78

2 βACN
= CovarianceACN, S&P 500 ÷ VarianceS&P 500
= 17.75 ÷ 17.00
= 1.04

3 αACN
= AverageACN – βACN × AverageS&P 500
= 1.85%1.04 × 0.90%
= 0.91%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 2.15%
Expected rate of return on market portfolio2 E(RM) 11.70%
Systematic risk (β) of Accenture PLC’s common stock βACN 1.04
 
Expected rate of return on Accenture PLC’s common stock3 E(RACN) 12.13%

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]
= 2.15% + 1.04 [11.70%2.15%]
= 12.13%