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

Eli Lilly & Co. (NYSE:LLY)

Capital Asset Pricing Model (CAPM)

Intermediate level

Rates of Return

Eli Lilly & Co., monthly rates of return

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Eli Lilly & Co. (LLY) Standard & Poor’s 500 (S&P 500)
t Date PriceLLY,t1 DividendLLY,t1 RLLY,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 72.00 1,994.99
1. Feb 28, 2015 70.17 0.50 -1.85% 2,104.50 5.49%
2. Mar 31, 2015 72.65 3.53% 2,067.89 -1.74%
3. Apr 30, 2015 71.87 -1.07% 2,085.51 0.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2019 117.35 0.645 3.55% 3,140.98 3.40%
59. Dec 31, 2019 131.43 12.00% 3,230.78 2.86%
Average: 1.37% 0.88%
Standard deviation: 5.18% 3.45%
Eli Lilly & Co. (LLY) Standard & Poor’s 500 (S&P 500)
t Date PriceLLY,t1 DividendLLY,t1 RLLY,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 72.00 1,994.99
1. Feb 28, 2015 70.17 0.50 -1.85% 2,104.50 5.49%
2. Mar 31, 2015 72.65 3.53% 2,067.89 -1.74%
3. Apr 30, 2015 71.87 -1.07% 2,085.51 0.85%
4. May 31, 2015 78.90 0.50 10.48% 2,107.39 1.05%
5. Jun 30, 2015 83.49 5.82% 2,063.11 -2.10%
6. Jul 31, 2015 84.51 1.22% 2,103.84 1.97%
7. Aug 31, 2015 82.35 0.50 -1.96% 1,972.18 -6.26%
8. Sep 30, 2015 83.69 1.63% 1,920.03 -2.64%
9. Oct 31, 2015 81.57 -2.53% 2,079.36 8.30%
10. Nov 30, 2015 82.04 0.50 1.19% 2,080.41 0.05%
11. Dec 31, 2015 84.26 2.71% 2,043.94 -1.75%
12. Jan 31, 2016 79.10 -6.12% 1,940.24 -5.07%
13. Feb 29, 2016 72.00 0.51 -8.33% 1,932.23 -0.41%
14. Mar 31, 2016 72.01 0.01% 2,059.74 6.60%
15. Apr 30, 2016 75.53 4.89% 2,065.30 0.27%
16. May 31, 2016 75.03 0.51 0.01% 2,096.95 1.53%
17. Jun 30, 2016 78.75 4.96% 2,098.86 0.09%
18. Jul 31, 2016 82.89 5.26% 2,173.60 3.56%
19. Aug 31, 2016 77.75 0.51 -5.59% 2,170.95 -0.12%
20. Sep 30, 2016 80.26 3.23% 2,168.27 -0.12%
21. Oct 31, 2016 73.84 -8.00% 2,126.15 -1.94%
22. Nov 30, 2016 67.12 0.51 -8.41% 2,198.81 3.42%
23. Dec 31, 2016 73.55 9.58% 2,238.83 1.82%
24. Jan 31, 2017 77.03 4.73% 2,278.87 1.79%
25. Feb 28, 2017 82.81 0.52 8.18% 2,363.64 3.72%
26. Mar 31, 2017 84.11 1.57% 2,362.72 -0.04%
27. Apr 30, 2017 82.06 -2.44% 2,384.20 0.91%
28. May 31, 2017 79.57 0.52 -2.40% 2,411.80 1.16%
29. Jun 30, 2017 82.30 3.43% 2,423.41 0.48%
30. Jul 31, 2017 82.66 0.44% 2,470.30 1.93%
31. Aug 31, 2017 81.29 0.52 -1.03% 2,471.65 0.05%
32. Sep 30, 2017 85.54 5.23% 2,519.36 1.93%
33. Oct 31, 2017 81.94 -4.21% 2,575.26 2.22%
34. Nov 30, 2017 84.64 0.52 3.93% 2,647.58 2.81%
35. Dec 31, 2017 84.46 -0.21% 2,673.61 0.98%
36. Jan 31, 2018 81.45 -3.56% 2,823.81 5.62%
37. Feb 28, 2018 77.02 0.5625 -4.75% 2,713.83 -3.89%
38. Mar 31, 2018 77.37 0.45% 2,640.87 -2.69%
39. Apr 30, 2018 81.07 4.78% 2,648.05 0.27%
40. May 31, 2018 85.04 0.5625 5.59% 2,705.27 2.16%
41. Jun 30, 2018 85.33 0.34% 2,718.37 0.48%
42. Jul 31, 2018 98.81 15.80% 2,816.29 3.60%
43. Aug 31, 2018 105.65 0.5625 7.49% 2,901.52 3.03%
44. Sep 30, 2018 107.31 1.57% 2,913.98 0.43%
45. Oct 31, 2018 108.44 1.05% 2,711.74 -6.94%
46. Nov 30, 2018 118.64 0.5625 9.92% 2,760.17 1.79%
47. Dec 31, 2018 115.72 -2.46% 2,506.85 -9.18%
48. Jan 31, 2019 119.86 3.58% 2,704.10 7.87%
49. Feb 28, 2019 126.29 0.645 5.90% 2,784.49 2.97%
50. Mar 31, 2019 129.76 2.75% 2,834.40 1.79%
51. Apr 30, 2019 117.04 -9.80% 2,945.83 3.93%
52. May 31, 2019 115.94 0.645 -0.39% 2,752.06 -6.58%
53. Jun 30, 2019 110.79 -4.44% 2,941.76 6.89%
54. Jul 31, 2019 108.95 -1.66% 2,980.38 1.31%
55. Aug 31, 2019 112.97 0.645 4.28% 2,926.46 -1.81%
56. Sep 30, 2019 111.83 -1.01% 2,976.74 1.72%
57. Oct 31, 2019 113.95 1.90% 3,037.56 2.04%
58. Nov 30, 2019 117.35 0.645 3.55% 3,140.98 3.40%
59. Dec 31, 2019 131.43 12.00% 3,230.78 2.86%
Average: 1.37% 0.88%
Standard deviation: 5.18% 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 LLY 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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VarianceLLY 26.87
VarianceS&P 500 11.88
CovarianceLLY, S&P 500 2.58
Correlation coefficientLLY, S&P 5001 0.14
βLLY2 0.22
αLLY3 1.18

Calculations

1 Correlation coefficientLLY, S&P 500
= CovarianceLLY, S&P 500 ÷ (Standard deviationLLY × Standard deviationS&P 500)
= 2.58 ÷ (5.18 × 3.45)

2 βLLY
= CovarianceLLY, S&P 500 ÷ VarianceS&P 500
= 2.58 ÷ 11.88

3 αLLY
= AverageLLY – βLLY × AverageS&P 500
= 1.370.22 × 0.88


Expected Rate of Return

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Assumptions
Rate of return on LT Treasury Composite1 RF 1.47%
Expected rate of return on market portfolio2 E(RM) 12.43%
Systematic risk (β) of Eli Lilly & Co.’s common stock βLLY 0.22
 
Expected rate of return on Eli Lilly & Co.’s common stock3 E(RLLY) 3.85%

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(RLLY) = RF + βLLY [E(RM) – RF]
= 1.47% + 0.22 [12.43%1.47%]
= 3.85%