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

Johnson & Johnson (NYSE:JNJ)

Capital Asset Pricing Model (CAPM)

Intermediate level


Rates of Return

Johnson & Johnson, monthly rates of return

Microsoft Excel LibreOffice Calc
Johnson & Johnson (JNJ) Standard & Poor’s 500 (S&P 500)
t Date PriceJNJ,t1 DividendJNJ,t1 RJNJ,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 100.14 1,994.99
1. Feb 28, 2015 102.51 0.70 3.07% 2,104.50 5.49%
2. Mar 31, 2015 100.60 -1.86% 2,067.89 -1.74%
3. Apr 30, 2015 99.20 -1.39% 2,085.51 0.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2019 137.49 0.95 4.85% 3,140.98 3.40%
59. Dec 31, 2019 145.87 6.09% 3,230.78 2.86%
Average: 0.95% 0.88%
Standard deviation: 4.03% 3.45%
Johnson & Johnson (JNJ) Standard & Poor’s 500 (S&P 500)
t Date PriceJNJ,t1 DividendJNJ,t1 RJNJ,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2015 100.14 1,994.99
1. Feb 28, 2015 102.51 0.70 3.07% 2,104.50 5.49%
2. Mar 31, 2015 100.60 -1.86% 2,067.89 -1.74%
3. Apr 30, 2015 99.20 -1.39% 2,085.51 0.85%
4. May 31, 2015 100.14 0.75 1.70% 2,107.39 1.05%
5. Jun 30, 2015 97.46 -2.68% 2,063.11 -2.10%
6. Jul 31, 2015 100.21 2.82% 2,103.84 1.97%
7. Aug 31, 2015 93.98 0.75 -5.47% 1,972.18 -6.26%
8. Sep 30, 2015 93.35 -0.67% 1,920.03 -2.64%
9. Oct 31, 2015 101.03 8.23% 2,079.36 8.30%
10. Nov 30, 2015 101.24 0.75 0.95% 2,080.41 0.05%
11. Dec 31, 2015 102.72 1.46% 2,043.94 -1.75%
12. Jan 31, 2016 104.44 1.67% 1,940.24 -5.07%
13. Feb 29, 2016 105.21 0.75 1.46% 1,932.23 -0.41%
14. Mar 31, 2016 108.20 2.84% 2,059.74 6.60%
15. Apr 30, 2016 112.08 3.59% 2,065.30 0.27%
16. May 31, 2016 112.69 0.80 1.26% 2,096.95 1.53%
17. Jun 30, 2016 121.30 7.64% 2,098.86 0.09%
18. Jul 31, 2016 125.23 3.24% 2,173.60 3.56%
19. Aug 31, 2016 119.34 0.80 -4.06% 2,170.95 -0.12%
20. Sep 30, 2016 118.13 -1.01% 2,168.27 -0.12%
21. Oct 31, 2016 115.99 -1.81% 2,126.15 -1.94%
22. Nov 30, 2016 111.30 0.80 -3.35% 2,198.81 3.42%
23. Dec 31, 2016 115.21 3.51% 2,238.83 1.82%
24. Jan 31, 2017 113.25 -1.70% 2,278.87 1.79%
25. Feb 28, 2017 122.21 0.80 8.62% 2,363.64 3.72%
26. Mar 31, 2017 124.55 1.91% 2,362.72 -0.04%
27. Apr 30, 2017 123.47 -0.87% 2,384.20 0.91%
28. May 31, 2017 128.25 0.84 4.55% 2,411.80 1.16%
29. Jun 30, 2017 132.29 3.15% 2,423.41 0.48%
30. Jul 31, 2017 132.72 0.33% 2,470.30 1.93%
31. Aug 31, 2017 132.37 0.84 0.37% 2,471.65 0.05%
32. Sep 30, 2017 130.01 -1.78% 2,519.36 1.93%
33. Oct 31, 2017 139.41 7.23% 2,575.26 2.22%
34. Nov 30, 2017 139.33 0.84 0.55% 2,647.58 2.81%
35. Dec 31, 2017 139.72 0.28% 2,673.61 0.98%
36. Jan 31, 2018 138.19 -1.10% 2,823.81 5.62%
37. Feb 28, 2018 129.88 0.84 -5.41% 2,713.83 -3.89%
38. Mar 31, 2018 128.15 -1.33% 2,640.87 -2.69%
39. Apr 30, 2018 126.49 -1.30% 2,648.05 0.27%
40. May 31, 2018 119.62 0.90 -4.72% 2,705.27 2.16%
41. Jun 30, 2018 121.34 1.44% 2,718.37 0.48%
42. Jul 31, 2018 132.52 9.21% 2,816.29 3.60%
43. Aug 31, 2018 134.69 0.90 2.32% 2,901.52 3.03%
44. Sep 30, 2018 138.17 2.58% 2,913.98 0.43%
45. Oct 31, 2018 139.99 1.32% 2,711.74 -6.94%
46. Nov 30, 2018 146.90 0.90 5.58% 2,760.17 1.79%
47. Dec 31, 2018 129.05 -12.15% 2,506.85 -9.18%
48. Jan 31, 2019 133.08 3.12% 2,704.10 7.87%
49. Feb 28, 2019 136.64 0.90 3.35% 2,784.49 2.97%
50. Mar 31, 2019 139.79 2.31% 2,834.40 1.79%
51. Apr 30, 2019 141.20 1.01% 2,945.83 3.93%
52. May 31, 2019 131.15 0.95 -6.44% 2,752.06 -6.58%
53. Jun 30, 2019 139.28 6.20% 2,941.76 6.89%
54. Jul 31, 2019 130.22 -6.50% 2,980.38 1.31%
55. Aug 31, 2019 128.36 0.95 -0.70% 2,926.46 -1.81%
56. Sep 30, 2019 129.38 0.79% 2,976.74 1.72%
57. Oct 31, 2019 132.04 2.06% 3,037.56 2.04%
58. Nov 30, 2019 137.49 0.95 4.85% 3,140.98 3.40%
59. Dec 31, 2019 145.87 6.09% 3,230.78 2.86%
Average: 0.95% 0.88%
Standard deviation: 4.03% 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 JNJ 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
VarianceJNJ 16.21
VarianceS&P 500 11.88
CovarianceJNJ, S&P 500 8.28
Correlation coefficientJNJ, S&P 5001 0.60
βJNJ2 0.70
αJNJ3 0.34

Calculations

1 Correlation coefficientJNJ, S&P 500
= CovarianceJNJ, S&P 500 ÷ (Standard deviationJNJ × Standard deviationS&P 500)
= 8.28 ÷ (4.03 × 3.45)

2 βJNJ
= CovarianceJNJ, S&P 500 ÷ VarianceS&P 500
= 8.28 ÷ 11.88

3 αJNJ
= AverageJNJ – βJNJ × AverageS&P 500
= 0.950.70 × 0.88


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 1.22%
Expected rate of return on market portfolio2 E(RM) 12.07%
Systematic risk (β) of Johnson & Johnson’s common stock βJNJ 0.70
 
Expected rate of return on Johnson & Johnson’s common stock3 E(RJNJ) 8.79%

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(RJNJ) = RF + βJNJ [E(RM) – RF]
= 1.22% + 0.70 [12.07%1.22%]
= 8.79%