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

Becton, Dickinson & Co. (NYSE:BDX)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Becton, Dickinson & Co., monthly rates of return

Microsoft Excel LibreOffice Calc
Becton, Dickinson & Co. (BDX) Standard & Poor’s 500 (S&P 500)
t Date PriceBDX,t1 DividendBDX,t1 RBDX,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2014 $128.70 2,018.05
1. Nov 30, 2014 $140.33 9.04% 2,067.56 2.45%
2. Dec 31, 2014 $139.16 $0.60 -0.41% 2,058.90 -0.42%
3. Jan 31, 2015 $138.08 -0.78% 1,994.99 -3.10%
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2020 $242.77 -13.71% 3,500.31 7.01%
71. Sep 30, 2020 $232.68 $0.79 -3.83% 3,363.00 -3.92%
Average (R): 1.14% 0.81%
Standard deviation: 6.01% 4.16%
Becton, Dickinson & Co. (BDX) Standard & Poor’s 500 (S&P 500)
t Date PriceBDX,t1 DividendBDX,t1 RBDX,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2014 $128.70 2,018.05
1. Nov 30, 2014 $140.33 9.04% 2,067.56 2.45%
2. Dec 31, 2014 $139.16 $0.60 -0.41% 2,058.90 -0.42%
3. Jan 31, 2015 $138.08 -0.78% 1,994.99 -3.10%
4. Feb 28, 2015 $146.72 6.26% 2,104.50 5.49%
5. Mar 31, 2015 $143.59 $0.60 -1.72% 2,067.89 -1.74%
6. Apr 30, 2015 $140.87 -1.89% 2,085.51 0.85%
7. May 31, 2015 $140.51 -0.26% 2,107.39 1.05%
8. Jun 30, 2015 $141.65 $0.60 1.24% 2,063.11 -2.10%
9. Jul 31, 2015 $152.15 7.41% 2,103.84 1.97%
10. Aug 31, 2015 $141.02 -7.32% 1,972.18 -6.26%
11. Sep 30, 2015 $132.66 $0.60 -5.50% 1,920.03 -2.64%
12. Oct 31, 2015 $142.52 7.43% 2,079.36 8.30%
13. Nov 30, 2015 $150.25 5.42% 2,080.41 0.05%
14. Dec 31, 2015 $154.09 $0.66 3.00% 2,043.94 -1.75%
15. Jan 31, 2016 $145.37 -5.66% 1,940.24 -5.07%
16. Feb 29, 2016 $147.45 1.43% 1,932.23 -0.41%
17. Mar 31, 2016 $151.82 $0.66 3.41% 2,059.74 6.60%
18. Apr 30, 2016 $161.26 6.22% 2,065.30 0.27%
19. May 31, 2016 $166.45 3.22% 2,096.95 1.53%
20. Jun 30, 2016 $169.59 $0.66 2.28% 2,098.86 0.09%
21. Jul 31, 2016 $176.00 3.78% 2,173.60 3.56%
22. Aug 31, 2016 $177.21 0.69% 2,170.95 -0.12%
23. Sep 30, 2016 $179.73 $0.66 1.79% 2,168.27 -0.12%
24. Oct 31, 2016 $167.91 -6.58% 2,126.15 -1.94%
25. Nov 30, 2016 $169.10 0.71% 2,198.81 3.42%
26. Dec 31, 2016 $165.55 $0.73 -1.67% 2,238.83 1.82%
27. Jan 31, 2017 $177.29 7.09% 2,278.87 1.79%
28. Feb 28, 2017 $183.05 3.25% 2,363.64 3.72%
29. Mar 31, 2017 $183.44 $0.73 0.61% 2,362.72 -0.04%
30. Apr 30, 2017 $186.97 1.92% 2,384.20 0.91%
31. May 31, 2017 $189.23 1.21% 2,411.80 1.16%
32. Jun 30, 2017 $195.11 $0.73 3.49% 2,423.41 0.48%
33. Jul 31, 2017 $201.40 3.22% 2,470.30 1.93%
34. Aug 31, 2017 $199.44 -0.97% 2,471.65 0.05%
35. Sep 30, 2017 $195.95 $0.73 -1.38% 2,519.36 1.93%
36. Oct 31, 2017 $208.67 6.49% 2,575.26 2.22%
37. Nov 30, 2017 $228.21 9.36% 2,647.58 2.81%
38. Dec 31, 2017 $214.06 $0.75 -5.87% 2,673.61 0.98%
39. Jan 31, 2018 $242.94 13.49% 2,823.81 5.62%
40. Feb 28, 2018 $222.02 -8.61% 2,713.83 -3.89%
41. Mar 31, 2018 $216.70 $0.75 -2.06% 2,640.87 -2.69%
42. Apr 30, 2018 $231.87 7.00% 2,648.05 0.27%
43. May 31, 2018 $221.59 -4.43% 2,705.27 2.16%
44. Jun 30, 2018 $239.56 $0.75 8.45% 2,718.37 0.48%
45. Jul 31, 2018 $250.37 4.51% 2,816.29 3.60%
46. Aug 31, 2018 $261.87 4.59% 2,901.52 3.03%
47. Sep 30, 2018 $261.00 $0.75 -0.05% 2,913.98 0.43%
48. Oct 31, 2018 $230.50 -11.69% 2,711.74 -6.94%
49. Nov 30, 2018 $252.75 9.65% 2,760.17 1.79%
50. Dec 31, 2018 $225.32 $0.77 -10.55% 2,506.85 -9.18%
51. Jan 31, 2019 $249.46 10.71% 2,704.10 7.87%
52. Feb 28, 2019 $248.79 -0.27% 2,784.49 2.97%
53. Mar 31, 2019 $249.73 $0.77 0.69% 2,834.40 1.79%
54. Apr 30, 2019 $240.74 -3.60% 2,945.83 3.93%
55. May 31, 2019 $233.44 -3.03% 2,752.06 -6.58%
56. Jun 30, 2019 $252.01 $0.77 8.28% 2,941.76 6.89%
57. Jul 31, 2019 $252.80 0.31% 2,980.38 1.31%
58. Aug 31, 2019 $253.92 0.44% 2,926.46 -1.81%
59. Sep 30, 2019 $252.96 $0.77 -0.07% 2,976.74 1.72%
60. Oct 31, 2019 $256.00 1.20% 3,037.56 2.04%
61. Nov 30, 2019 $258.50 0.98% 3,140.98 3.40%
62. Dec 31, 2019 $271.97 $0.79 5.52% 3,230.78 2.86%
63. Jan 31, 2020 $275.18 1.18% 3,225.52 -0.16%
64. Feb 29, 2020 $237.82 -13.58% 2,954.22 -8.41%
65. Mar 31, 2020 $229.77 $0.79 -3.05% 2,584.59 -12.51%
66. Apr 30, 2020 $252.53 9.91% 2,912.43 12.68%
67. May 31, 2020 $246.93 -2.22% 3,044.31 4.53%
68. Jun 30, 2020 $239.27 $0.79 -2.78% 3,100.29 1.84%
69. Jul 31, 2020 $281.34 17.58% 3,271.12 5.51%
70. Aug 31, 2020 $242.77 -13.71% 3,500.31 7.01%
71. Sep 30, 2020 $232.68 $0.79 -3.83% 3,363.00 -3.92%
Average (R): 1.14% 0.81%
Standard deviation: 6.01% 4.16%

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 BDX during period t

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


Variance and Covariance

Becton, Dickinson & Co., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RBDX,t RS&P 500,t (RBDX,tRBDX)2 (RS&P 500,tRS&P 500)2 (RBDX,tRBDX)×(RS&P 500,tRS&P 500)
1. Nov 30, 2014 9.04% 2.45% 62.35 2.71 12.99
2. Dec 31, 2014 -0.41% -0.42% 2.39 1.50 1.90
3. Jan 31, 2015 -0.78% -3.10% 3.67 15.30 7.50
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2020 -13.71% 7.01% 220.51 38.42 -92.05
71. Sep 30, 2020 -3.83% -3.92% 24.71 22.38 23.52
Total (Σ): 2,530.13 1,210.80 1,058.43
t Date RBDX,t RS&P 500,t (RBDX,tRBDX)2 (RS&P 500,tRS&P 500)2 (RBDX,tRBDX)×(RS&P 500,tRS&P 500)
1. Nov 30, 2014 9.04% 2.45% 62.35 2.71 12.99
2. Dec 31, 2014 -0.41% -0.42% 2.39 1.50 1.90
3. Jan 31, 2015 -0.78% -3.10% 3.67 15.30 7.50
4. Feb 28, 2015 6.26% 5.49% 26.18 21.92 23.95
5. Mar 31, 2015 -1.72% -1.74% 8.21 6.49 7.30
6. Apr 30, 2015 -1.89% 0.85% 9.21 0.00 -0.13
7. May 31, 2015 -0.26% 1.05% 1.95 0.06 -0.34
8. Jun 30, 2015 1.24% -2.10% 0.01 8.46 -0.29
9. Jul 31, 2015 7.41% 1.97% 39.34 1.36 7.32
10. Aug 31, 2015 -7.32% -6.26% 71.49 49.93 59.75
11. Sep 30, 2015 -5.50% -2.64% 44.13 11.92 22.93
12. Oct 31, 2015 7.43% 8.30% 39.59 56.11 47.13
13. Nov 30, 2015 5.42% 0.05% 18.35 0.57 -3.24
14. Dec 31, 2015 3.00% -1.75% 3.44 6.56 -4.75
15. Jan 31, 2016 -5.66% -5.07% 46.23 34.59 39.99
16. Feb 29, 2016 1.43% -0.41% 0.08 1.49 -0.35
17. Mar 31, 2016 3.41% 6.60% 5.16 33.54 13.15
18. Apr 30, 2016 6.22% 0.27% 25.78 0.29 -2.73
19. May 31, 2016 3.22% 1.53% 4.32 0.53 1.51
20. Jun 30, 2016 2.28% 0.09% 1.31 0.51 -0.82
21. Jul 31, 2016 3.78% 3.56% 6.97 7.58 7.27
22. Aug 31, 2016 0.69% -0.12% 0.20 0.86 0.42
23. Sep 30, 2016 1.79% -0.12% 0.43 0.87 -0.61
24. Oct 31, 2016 -6.58% -1.94% 59.55 7.56 21.22
25. Nov 30, 2016 0.71% 3.42% 0.19 6.81 -1.13
26. Dec 31, 2016 -1.67% 1.82% 7.88 1.02 -2.84
27. Jan 31, 2017 7.09% 1.79% 35.42 0.96 5.84
28. Feb 28, 2017 3.25% 3.72% 4.45 8.48 6.14
29. Mar 31, 2017 0.61% -0.04% 0.28 0.72 0.45
30. Apr 30, 2017 1.92% 0.91% 0.61 0.01 0.08
31. May 31, 2017 1.21% 1.16% 0.00 0.12 0.02
32. Jun 30, 2017 3.49% 0.48% 5.54 0.11 -0.77
33. Jul 31, 2017 3.22% 1.93% 4.34 1.27 2.35
34. Aug 31, 2017 -0.97% 0.05% 4.47 0.57 1.59
35. Sep 30, 2017 -1.38% 1.93% 6.37 1.26 -2.83
36. Oct 31, 2017 6.49% 2.22% 28.64 1.99 7.55
37. Nov 30, 2017 9.36% 2.81% 67.63 4.00 16.45
38. Dec 31, 2017 -5.87% 0.98% 49.17 0.03 -1.23
39. Jan 31, 2018 13.49% 5.62% 152.56 23.14 59.41
40. Feb 28, 2018 -8.61% -3.89% 95.09 22.11 45.86
41. Mar 31, 2018 -2.06% -2.69% 10.23 12.22 11.18
42. Apr 30, 2018 7.00% 0.27% 34.34 0.29 -3.14
43. May 31, 2018 -4.43% 2.16% 31.07 1.83 -7.54
44. Jun 30, 2018 8.45% 0.48% 53.40 0.10 -2.36
45. Jul 31, 2018 4.51% 3.60% 11.37 7.81 9.42
46. Aug 31, 2018 4.59% 3.03% 11.92 4.92 7.66
47. Sep 30, 2018 -0.05% 0.43% 1.41 0.14 0.45
48. Oct 31, 2018 -11.69% -6.94% 164.51 60.03 99.38
49. Nov 30, 2018 9.65% 1.79% 72.47 0.96 8.33
50. Dec 31, 2018 -10.55% -9.18% 136.61 99.71 116.71
51. Jan 31, 2019 10.71% 7.87% 91.65 49.85 67.59
52. Feb 28, 2019 -0.27% 2.97% 1.98 4.69 -3.05
53. Mar 31, 2019 0.69% 1.79% 0.21 0.97 -0.45
54. Apr 30, 2019 -3.60% 3.93% 22.47 9.76 -14.81
55. May 31, 2019 -3.03% -6.58% 17.41 54.55 30.82
56. Jun 30, 2019 8.28% 6.89% 51.04 37.03 43.48
57. Jul 31, 2019 0.31% 1.31% 0.68 0.25 -0.42
58. Aug 31, 2019 0.44% -1.81% 0.49 6.85 1.82
59. Sep 30, 2019 -0.07% 1.72% 1.48 0.83 -1.11
60. Oct 31, 2019 1.20% 2.04% 0.00 1.53 0.08
61. Nov 30, 2019 0.98% 3.40% 0.03 6.74 -0.43
62. Dec 31, 2019 5.52% 2.86% 19.15 4.21 8.98
63. Jan 31, 2020 1.18% -0.16% 0.00 0.94 -0.04
64. Feb 29, 2020 -13.58% -8.41% 216.58 84.99 135.67
65. Mar 31, 2020 -3.05% -12.51% 17.58 177.42 55.85
66. Apr 30, 2020 9.91% 12.68% 76.83 141.05 104.10
67. May 31, 2020 -2.22% 4.53% 11.27 13.84 -12.49
68. Jun 30, 2020 -2.78% 1.84% 15.39 1.06 -4.04
69. Jul 31, 2020 17.58% 5.51% 270.35 22.11 77.32
70. Aug 31, 2020 -13.71% 7.01% 220.51 38.42 -92.05
71. Sep 30, 2020 -3.83% -3.92% 24.71 22.38 23.52
Total (Σ): 2,530.13 1,210.80 1,058.43

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VarianceBDX = Σ(RBDX,tRBDX)2 ÷ (71 – 1)
= 2,530.13 ÷ (71 – 1)
= 36.14

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,210.80 ÷ (71 – 1)
= 17.30

CovarianceBDX, S&P 500 = Σ(RBDX,tRBDX)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,058.43 ÷ (71 – 1)
= 15.12


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceBDX 36.14
VarianceS&P 500 17.30
CovarianceBDX, S&P 500 15.12
Correlation coefficientBDX, S&P 5001 0.60
βBDX2 0.87
αBDX3 0.43%

Calculations

1 Correlation coefficientBDX, S&P 500
= CovarianceBDX, S&P 500 ÷ (Standard deviationBDX × Standard deviationS&P 500)
= 15.12 ÷ (6.01% × 4.16%)
= 0.60

2 βBDX
= CovarianceBDX, S&P 500 ÷ VarianceS&P 500
= 15.12 ÷ 17.30
= 0.87

3 αBDX
= AverageBDX – βBDX × AverageS&P 500
= 1.14%0.87 × 0.81%
= 0.43%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 1.66%
Expected rate of return on market portfolio2 E(RM) 12.16%
Systematic risk (β) of Becton, Dickinson & Co.’s common stock βBDX 0.87
 
Expected rate of return on Becton, Dickinson & Co.’s common stock3 E(RBDX) 10.84%

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(RBDX) = RF + βBDX [E(RM) – RF]
= 1.66% + 0.87 [12.16%1.66%]
= 10.84%