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

Estée Lauder Cos. Inc. (NYSE:EL)

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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 Estée Lauder Cos. Inc.’s common stock.


Rates of Return

Estée Lauder Cos. Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Estée Lauder Cos. Inc. (EL) Standard & Poor’s 500 (S&P 500)
t Date PriceEL,t1 DividendEL,t1 REL,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2013
1. Aug 31, 2013
2. Sep 30, 2013
3. Oct 31, 2013
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2019
71. Jun 30, 2019
Average:
Standard deviation:
Estée Lauder Cos. Inc. (EL) Standard & Poor’s 500 (S&P 500)
t Date PriceEL,t1 DividendEL,t1 REL,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2013
1. Aug 31, 2013
2. Sep 30, 2013
3. Oct 31, 2013
4. Nov 30, 2013
5. Dec 31, 2013
6. Jan 31, 2014
7. Feb 28, 2014
8. Mar 31, 2014
9. Apr 30, 2014
10. May 31, 2014
11. Jun 30, 2014
12. Jul 31, 2014
13. Aug 31, 2014
14. Sep 30, 2014
15. Oct 31, 2014
16. Nov 30, 2014
17. Dec 31, 2014
18. Jan 31, 2015
19. Feb 28, 2015
20. Mar 31, 2015
21. Apr 30, 2015
22. May 31, 2015
23. Jun 30, 2015
24. Jul 31, 2015
25. Aug 31, 2015
26. Sep 30, 2015
27. Oct 31, 2015
28. Nov 30, 2015
29. Dec 31, 2015
30. Jan 31, 2016
31. Feb 29, 2016
32. Mar 31, 2016
33. Apr 30, 2016
34. May 31, 2016
35. Jun 30, 2016
36. Jul 31, 2016
37. Aug 31, 2016
38. Sep 30, 2016
39. Oct 31, 2016
40. Nov 30, 2016
41. Dec 31, 2016
42. Jan 31, 2017
43. Feb 28, 2017
44. Mar 31, 2017
45. Apr 30, 2017
46. May 31, 2017
47. Jun 30, 2017
48. Jul 31, 2017
49. Aug 31, 2017
50. Sep 30, 2017
51. Oct 31, 2017
52. Nov 30, 2017
53. Dec 31, 2017
54. Jan 31, 2018
55. Feb 28, 2018
56. Mar 31, 2018
57. Apr 30, 2018
58. May 31, 2018
59. Jun 30, 2018
60. Jul 31, 2018
61. Aug 31, 2018
62. Sep 30, 2018
63. Oct 31, 2018
64. Nov 30, 2018
65. Dec 31, 2018
66. Jan 31, 2019
67. Feb 28, 2019
68. Mar 31, 2019
69. Apr 30, 2019
70. May 31, 2019
71. Jun 30, 2019
Average:
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 EL during period t

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


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceEL
VarianceS&P 500
CovarianceEL, S&P 500
Correlation coefficientEL, S&P 5001
βEL2
αEL3

Calculations

1 Correlation coefficientEL, S&P 500
= CovarianceEL, S&P 500 ÷ (Standard deviationEL × Standard deviationS&P 500)
= ÷ ( × )

2 βEL
= CovarianceEL, S&P 500 ÷ VarianceS&P 500
= ÷

3 αEL
= AverageEL – βEL × 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 Estée Lauder Cos. Inc.’s common stock βEL
 
Expected rate of return on Estée Lauder Cos. Inc.’s common stock3 E(REL)

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(REL) = RF + βEL [E(RM) – RF]
= + []
=