Stock Analysis on Net
Stock Analysis on Net

Nike Inc. (NYSE:NKE)

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Capital Asset Pricing Model (CAPM)

Microsoft Excel LibreOffice Calc

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Nike Inc.’s common stock.


Rates of Return

Nike Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Nike Inc. (NKE) Standard & Poor’s 500 (S&P 500)
t Date PriceNKE,t1 DividendNKE,t1 RNKE,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2015
1. Jul 31, 2015
2. Aug 31, 2015
3. Sep 30, 2015
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2021
71. May 31, 2021
Average (R):
Standard deviation:
Nike Inc. (NKE) Standard & Poor’s 500 (S&P 500)
t Date PriceNKE,t1 DividendNKE,t1 RNKE,t2 PriceS&P 500,t RS&P 500,t3
Jun 30, 2015
1. Jul 31, 2015
2. Aug 31, 2015
3. Sep 30, 2015
4. Oct 31, 2015
5. Nov 30, 2015
6. Dec 31, 2015
7. Jan 31, 2016
8. Feb 29, 2016
9. Mar 31, 2016
10. Apr 30, 2016
11. May 31, 2016
12. Jun 30, 2016
13. Jul 31, 2016
14. Aug 31, 2016
15. Sep 30, 2016
16. Oct 31, 2016
17. Nov 30, 2016
18. Dec 31, 2016
19. Jan 31, 2017
20. Feb 28, 2017
21. Mar 31, 2017
22. Apr 30, 2017
23. May 31, 2017
24. Jun 30, 2017
25. Jul 31, 2017
26. Aug 31, 2017
27. Sep 30, 2017
28. Oct 31, 2017
29. Nov 30, 2017
30. Dec 31, 2017
31. Jan 31, 2018
32. Feb 28, 2018
33. Mar 31, 2018
34. Apr 30, 2018
35. May 31, 2018
36. Jun 30, 2018
37. Jul 31, 2018
38. Aug 31, 2018
39. Sep 30, 2018
40. Oct 31, 2018
41. Nov 30, 2018
42. Dec 31, 2018
43. Jan 31, 2019
44. Feb 28, 2019
45. Mar 31, 2019
46. Apr 30, 2019
47. May 31, 2019
48. Jun 30, 2019
49. Jul 31, 2019
50. Aug 31, 2019
51. Sep 30, 2019
52. Oct 31, 2019
53. Nov 30, 2019
54. Dec 31, 2019
55. Jan 31, 2020
56. Feb 29, 2020
57. Mar 31, 2020
58. Apr 30, 2020
59. May 31, 2020
60. Jun 30, 2020
61. Jul 31, 2020
62. Aug 31, 2020
63. Sep 30, 2020
64. Oct 31, 2020
65. Nov 30, 2020
66. Dec 31, 2020
67. Jan 31, 2021
68. Feb 28, 2021
69. Mar 31, 2021
70. Apr 30, 2021
71. May 31, 2021
Average (R):
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 NKE during period t

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


Variance and Covariance

Nike Inc., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RNKE,t RS&P 500,t (RNKE,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&P 500)
1. Jul 31, 2015
2. Aug 31, 2015
3. Sep 30, 2015
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2021
71. May 31, 2021
Total (Σ):
t Date RNKE,t RS&P 500,t (RNKE,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&P 500)
1. Jul 31, 2015
2. Aug 31, 2015
3. Sep 30, 2015
4. Oct 31, 2015
5. Nov 30, 2015
6. Dec 31, 2015
7. Jan 31, 2016
8. Feb 29, 2016
9. Mar 31, 2016
10. Apr 30, 2016
11. May 31, 2016
12. Jun 30, 2016
13. Jul 31, 2016
14. Aug 31, 2016
15. Sep 30, 2016
16. Oct 31, 2016
17. Nov 30, 2016
18. Dec 31, 2016
19. Jan 31, 2017
20. Feb 28, 2017
21. Mar 31, 2017
22. Apr 30, 2017
23. May 31, 2017
24. Jun 30, 2017
25. Jul 31, 2017
26. Aug 31, 2017
27. Sep 30, 2017
28. Oct 31, 2017
29. Nov 30, 2017
30. Dec 31, 2017
31. Jan 31, 2018
32. Feb 28, 2018
33. Mar 31, 2018
34. Apr 30, 2018
35. May 31, 2018
36. Jun 30, 2018
37. Jul 31, 2018
38. Aug 31, 2018
39. Sep 30, 2018
40. Oct 31, 2018
41. Nov 30, 2018
42. Dec 31, 2018
43. Jan 31, 2019
44. Feb 28, 2019
45. Mar 31, 2019
46. Apr 30, 2019
47. May 31, 2019
48. Jun 30, 2019
49. Jul 31, 2019
50. Aug 31, 2019
51. Sep 30, 2019
52. Oct 31, 2019
53. Nov 30, 2019
54. Dec 31, 2019
55. Jan 31, 2020
56. Feb 29, 2020
57. Mar 31, 2020
58. Apr 30, 2020
59. May 31, 2020
60. Jun 30, 2020
61. Jul 31, 2020
62. Aug 31, 2020
63. Sep 30, 2020
64. Oct 31, 2020
65. Nov 30, 2020
66. Dec 31, 2020
67. Jan 31, 2021
68. Feb 28, 2021
69. Mar 31, 2021
70. Apr 30, 2021
71. May 31, 2021
Total (Σ):

Show all

VarianceNKE = Σ(RNKE,tRNKE)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

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

CovarianceNKE, S&P 500 = Σ(RNKE,tRNKE)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceNKE
VarianceS&P 500
CovarianceNKE, S&P 500
Correlation coefficientNKE, S&P 5001
βNKE2
αNKE3

Calculations

1 Correlation coefficientNKE, S&P 500
= CovarianceNKE, S&P 500 ÷ (Standard deviationNKE × Standard deviationS&P 500)
= ÷ ( × )
=

2 βNKE
= CovarianceNKE, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αNKE
= AverageNKE – βNKE × 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 Nike Inc.’s common stock βNKE
 
Expected rate of return on Nike Inc.’s common stock3 E(RNKE)

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(RNKE) = RF + βNKE [E(RM) – RF]
= + []
=