Stock Analysis on Net

Allergan Inc. (NYSE:AGN.)

This company has been moved to the archive! The financial data has not been updated since February 19, 2015.

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

Allergan Inc., monthly rates of return

Microsoft Excel
Allergan Inc. (AGN.) Standard & Poor’s 500 (S&P 500)
t Date PriceAGN.,t1 DividendAGN.,t1 RAGN.,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010 $57.50 1,073.87
1. Feb 28, 2010 $58.43 $0.05 1.70% 1,104.49 2.85%
2. Mar 31, 2010 $65.32 11.79% 1,169.43 5.88%
3. Apr 30, 2010 $63.69 -2.50% 1,186.69 1.48%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014 $213.89 $0.05 12.56% 2,067.56 2.45%
59. Dec 31, 2014 $212.59 -0.61% 2,058.90 -0.42%
Average (R): 2.51% 1.18%
Standard deviation: 7.35% 3.73%
Allergan Inc. (AGN.) Standard & Poor’s 500 (S&P 500)
t Date PriceAGN.,t1 DividendAGN.,t1 RAGN.,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010 $57.50 1,073.87
1. Feb 28, 2010 $58.43 $0.05 1.70% 1,104.49 2.85%
2. Mar 31, 2010 $65.32 11.79% 1,169.43 5.88%
3. Apr 30, 2010 $63.69 -2.50% 1,186.69 1.48%
4. May 31, 2010 $60.19 $0.05 -5.42% 1,089.41 -8.20%
5. Jun 30, 2010 $58.26 -3.21% 1,030.71 -5.39%
6. Jul 31, 2010 $61.06 4.81% 1,101.60 6.88%
7. Aug 31, 2010 $61.42 $0.05 0.67% 1,049.33 -4.74%
8. Sep 30, 2010 $66.53 8.32% 1,141.20 8.76%
9. Oct 31, 2010 $72.41 8.84% 1,183.26 3.69%
10. Nov 30, 2010 $66.27 $0.05 -8.41% 1,180.55 -0.23%
11. Dec 31, 2010 $68.67 3.62% 1,257.64 6.53%
12. Jan 31, 2011 $70.61 2.83% 1,286.12 2.26%
13. Feb 28, 2011 $74.17 $0.05 5.11% 1,327.22 3.20%
14. Mar 31, 2011 $71.02 -4.25% 1,325.83 -0.10%
15. Apr 30, 2011 $79.56 12.02% 1,363.61 2.85%
16. May 31, 2011 $82.73 $0.05 4.05% 1,345.20 -1.35%
17. Jun 30, 2011 $83.25 0.63% 1,320.64 -1.83%
18. Jul 31, 2011 $81.31 -2.33% 1,292.28 -2.15%
19. Aug 31, 2011 $81.81 $0.05 0.68% 1,218.89 -5.68%
20. Sep 30, 2011 $82.38 0.70% 1,131.42 -7.18%
21. Oct 31, 2011 $84.12 2.11% 1,253.30 10.77%
22. Nov 30, 2011 $83.72 $0.05 -0.42% 1,246.96 -0.51%
23. Dec 31, 2011 $87.74 4.80% 1,257.60 0.85%
24. Jan 31, 2012 $87.91 0.19% 1,312.41 4.36%
25. Feb 29, 2012 $89.59 $0.05 1.97% 1,365.68 4.06%
26. Mar 31, 2012 $95.43 6.52% 1,408.47 3.13%
27. Apr 30, 2012 $96.00 0.60% 1,397.91 -0.75%
28. May 31, 2012 $90.25 $0.05 -5.94% 1,310.33 -6.27%
29. Jun 30, 2012 $92.57 2.57% 1,362.16 3.96%
30. Jul 31, 2012 $82.07 -11.34% 1,379.32 1.26%
31. Aug 31, 2012 $86.13 $0.05 5.01% 1,406.58 1.98%
32. Sep 30, 2012 $91.58 6.33% 1,440.67 2.42%
33. Oct 31, 2012 $89.92 -1.81% 1,412.16 -1.98%
34. Nov 30, 2012 $92.75 $0.05 3.20% 1,416.18 0.28%
35. Dec 31, 2012 $91.73 -1.10% 1,426.19 0.71%
36. Jan 31, 2013 $105.01 14.48% 1,498.11 5.04%
37. Feb 28, 2013 $108.42 $0.05 3.29% 1,514.68 1.11%
38. Mar 31, 2013 $111.63 2.96% 1,569.19 3.60%
39. Apr 30, 2013 $113.55 1.72% 1,597.57 1.81%
40. May 31, 2013 $99.49 $0.05 -12.34% 1,630.74 2.08%
41. Jun 30, 2013 $84.24 -15.33% 1,606.28 -1.50%
42. Jul 31, 2013 $91.12 8.17% 1,685.73 4.95%
43. Aug 31, 2013 $88.38 $0.05 -2.95% 1,632.97 -3.13%
44. Sep 30, 2013 $90.45 2.34% 1,681.55 2.97%
45. Oct 31, 2013 $90.61 0.18% 1,756.54 4.46%
46. Nov 30, 2013 $97.05 $0.05 7.16% 1,805.81 2.80%
47. Dec 31, 2013 $111.08 14.46% 1,848.36 2.36%
48. Jan 31, 2014 $114.60 3.17% 1,782.59 -3.56%
49. Feb 28, 2014 $127.00 $0.05 10.86% 1,859.45 4.31%
50. Mar 31, 2014 $124.10 -2.28% 1,872.34 0.69%
51. Apr 30, 2014 $165.84 33.63% 1,883.95 0.62%
52. May 31, 2014 $167.46 $0.05 1.01% 1,923.57 2.10%
53. Jun 30, 2014 $169.22 1.05% 1,960.23 1.91%
54. Jul 31, 2014 $165.86 -1.99% 1,930.67 -1.51%
55. Aug 31, 2014 $163.68 $0.05 -1.28% 2,003.37 3.77%
56. Sep 30, 2014 $178.19 8.86% 1,972.29 -1.55%
57. Oct 31, 2014 $190.06 6.66% 2,018.05 2.32%
58. Nov 30, 2014 $213.89 $0.05 12.56% 2,067.56 2.45%
59. Dec 31, 2014 $212.59 -0.61% 2,058.90 -0.42%
Average (R): 2.51% 1.18%
Standard deviation: 7.35% 3.73%

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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 AGN. during period t

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


Variance and Covariance

Allergan Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RAGN.,t RS&P 500,t (RAGN.,tRAGN.)2 (RS&P 500,tRS&P 500)2 (RAGN.,tRAGN.)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010 1.70% 2.85% 0.65 2.80 -1.35
2. Mar 31, 2010 11.79% 5.88% 86.14 22.11 43.64
3. Apr 30, 2010 -2.50% 1.48% 25.06 0.09 -1.49
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014 12.56% 2.45% 101.07 1.63 12.82
59. Dec 31, 2014 -0.61% -0.42% 9.73 2.55 4.98
Total (Σ): 3,129.33 809.11 572.71
t Date RAGN.,t RS&P 500,t (RAGN.,tRAGN.)2 (RS&P 500,tRS&P 500)2 (RAGN.,tRAGN.)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010 1.70% 2.85% 0.65 2.80 -1.35
2. Mar 31, 2010 11.79% 5.88% 86.14 22.11 43.64
3. Apr 30, 2010 -2.50% 1.48% 25.06 0.09 -1.49
4. May 31, 2010 -5.42% -8.20% 62.85 87.90 74.33
5. Jun 30, 2010 -3.21% -5.39% 32.69 43.11 37.54
6. Jul 31, 2010 4.81% 6.88% 5.27 32.49 13.08
7. Aug 31, 2010 0.67% -4.74% 3.38 35.08 10.89
8. Sep 30, 2010 8.32% 8.76% 33.74 57.42 44.02
9. Oct 31, 2010 8.84% 3.69% 40.03 6.29 15.87
10. Nov 30, 2010 -8.41% -0.23% 119.28 1.98 15.36
11. Dec 31, 2010 3.62% 6.53% 1.23 28.65 5.94
12. Jan 31, 2011 2.83% 2.26% 0.10 1.18 0.34
13. Feb 28, 2011 5.11% 3.20% 6.77 4.07 5.25
14. Mar 31, 2011 -4.25% -0.10% 45.67 1.64 8.67
15. Apr 30, 2011 12.02% 2.85% 90.51 2.79 15.91
16. May 31, 2011 4.05% -1.35% 2.36 6.39 -3.88
17. Jun 30, 2011 0.63% -1.83% 3.54 9.02 5.65
18. Jul 31, 2011 -2.33% -2.15% 23.44 11.06 16.10
19. Aug 31, 2011 0.68% -5.68% 3.37 47.02 12.58
20. Sep 30, 2011 0.70% -7.18% 3.29 69.79 15.16
21. Oct 31, 2011 2.11% 10.77% 0.16 92.06 -3.83
22. Nov 30, 2011 -0.42% -0.51% 8.57 2.83 4.93
23. Dec 31, 2011 4.80% 0.85% 5.25 0.11 -0.74
24. Jan 31, 2012 0.19% 4.36% 5.37 10.12 -7.37
25. Feb 29, 2012 1.97% 4.06% 0.29 8.30 -1.56
26. Mar 31, 2012 6.52% 3.13% 16.06 3.82 7.84
27. Apr 30, 2012 0.60% -0.75% 3.66 3.72 3.69
28. May 31, 2012 -5.94% -6.27% 71.38 55.40 62.88
29. Jun 30, 2012 2.57% 3.96% 0.00 7.72 0.17
30. Jul 31, 2012 -11.34% 1.26% 191.92 0.01 -1.14
31. Aug 31, 2012 5.01% 1.98% 6.24 0.64 1.99
32. Sep 30, 2012 6.33% 2.42% 14.57 1.55 4.76
33. Oct 31, 2012 -1.81% -1.98% 18.69 9.96 13.65
34. Nov 30, 2012 3.20% 0.28% 0.48 0.80 -0.62
35. Dec 31, 2012 -1.10% 0.71% 13.04 0.22 1.70
36. Jan 31, 2013 14.48% 5.04% 143.19 14.94 46.25
37. Feb 28, 2013 3.29% 1.11% 0.61 0.01 -0.06
38. Mar 31, 2013 2.96% 3.60% 0.20 5.86 1.09
39. Apr 30, 2013 1.72% 1.81% 0.63 0.40 -0.50
40. May 31, 2013 -12.34% 2.08% 220.50 0.81 -13.34
41. Jun 30, 2013 -15.33% -1.50% 318.23 7.17 47.77
42. Jul 31, 2013 8.17% 4.95% 31.99 14.20 21.32
43. Aug 31, 2013 -2.95% -3.13% 29.85 18.55 23.53
44. Sep 30, 2013 2.34% 2.97% 0.03 3.23 -0.30
45. Oct 31, 2013 0.18% 4.46% 5.45 10.77 -7.66
46. Nov 30, 2013 7.16% 2.80% 21.64 2.65 7.57
47. Dec 31, 2013 14.46% 2.36% 142.70 1.39 14.08
48. Jan 31, 2014 3.17% -3.56% 0.43 22.43 -3.12
49. Feb 28, 2014 10.86% 4.31% 69.77 9.82 26.18
50. Mar 31, 2014 -2.28% 0.69% 22.99 0.23 2.32
51. Apr 30, 2014 33.63% 0.62% 968.66 0.31 -17.36
52. May 31, 2014 1.01% 2.10% 2.26 0.86 -1.39
53. Jun 30, 2014 1.05% 1.91% 2.13 0.53 -1.06
54. Jul 31, 2014 -1.99% -1.51% 20.22 7.21 12.08
55. Aug 31, 2014 -1.28% 3.77% 14.40 6.70 -9.82
56. Sep 30, 2014 8.86% -1.55% 40.37 7.45 -17.34
57. Oct 31, 2014 6.66% 2.32% 17.23 1.31 4.74
58. Nov 30, 2014 12.56% 2.45% 101.07 1.63 12.82
59. Dec 31, 2014 -0.61% -0.42% 9.73 2.55 4.98
Total (Σ): 3,129.33 809.11 572.71

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VarianceAGN. = Σ(RAGN.,tRAGN.)2 ÷ (59 – 1)
= 3,129.33 ÷ (59 – 1)
= 53.95

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 809.11 ÷ (59 – 1)
= 13.95

CovarianceAGN., S&P 500 = Σ(RAGN.,tRAGN.)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 572.71 ÷ (59 – 1)
= 9.87


Systematic Risk (β) Estimation

Microsoft Excel
VarianceAGN. 53.95
VarianceS&P 500 13.95
CovarianceAGN., S&P 500 9.87
Correlation coefficientAGN., S&P 5001 0.36
βAGN.2 0.71
αAGN.3 1.68%

Calculations

1 Correlation coefficientAGN., S&P 500
= CovarianceAGN., S&P 500 ÷ (Standard deviationAGN. × Standard deviationS&P 500)
= 9.87 ÷ (7.35% × 3.73%)
= 0.36

2 βAGN.
= CovarianceAGN., S&P 500 ÷ VarianceS&P 500
= 9.87 ÷ 13.95
= 0.71

3 αAGN.
= AverageAGN. – βAGN. × AverageS&P 500
= 2.51%0.71 × 1.18%
= 1.68%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.81%
Expected rate of return on market portfolio2 E(RM) 13.55%
Systematic risk (β) of Allergan Inc. common stock βAGN. 0.71
 
Expected rate of return on Allergan Inc. common stock3 E(RAGN.) 11.00%

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(RAGN.) = RF + βAGN. [E(RM) – RF]
= 4.81% + 0.71 [13.55%4.81%]
= 11.00%