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

Nike Inc. (NYSE:NKE)

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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 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, 2014
1. Jul 31, 2014
2. Aug 31, 2014
3. Sep 30, 2014
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2020
71. May 31, 2020
Average:
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, 2014
1. Jul 31, 2014
2. Aug 31, 2014
3. Sep 30, 2014
4. Oct 31, 2014
5. Nov 30, 2014
6. Dec 31, 2014
7. Jan 31, 2015
8. Feb 28, 2015
9. Mar 31, 2015
10. Apr 30, 2015
11. May 31, 2015
12. Jun 30, 2015
13. Jul 31, 2015
14. Aug 31, 2015
15. Sep 30, 2015
16. Oct 31, 2015
17. Nov 30, 2015
18. Dec 31, 2015
19. Jan 31, 2016
20. Feb 29, 2016
21. Mar 31, 2016
22. Apr 30, 2016
23. May 31, 2016
24. Jun 30, 2016
25. Jul 31, 2016
26. Aug 31, 2016
27. Sep 30, 2016
28. Oct 31, 2016
29. Nov 30, 2016
30. Dec 31, 2016
31. Jan 31, 2017
32. Feb 28, 2017
33. Mar 31, 2017
34. Apr 30, 2017
35. May 31, 2017
36. Jun 30, 2017
37. Jul 31, 2017
38. Aug 31, 2017
39. Sep 30, 2017
40. Oct 31, 2017
41. Nov 30, 2017
42. Dec 31, 2017
43. Jan 31, 2018
44. Feb 28, 2018
45. Mar 31, 2018
46. Apr 30, 2018
47. May 31, 2018
48. Jun 30, 2018
49. Jul 31, 2018
50. Aug 31, 2018
51. Sep 30, 2018
52. Oct 31, 2018
53. Nov 30, 2018
54. Dec 31, 2018
55. Jan 31, 2019
56. Feb 28, 2019
57. Mar 31, 2019
58. Apr 30, 2019
59. May 31, 2019
60. Jun 30, 2019
61. Jul 31, 2019
62. Aug 31, 2019
63. Sep 30, 2019
64. Oct 31, 2019
65. Nov 30, 2019
66. Dec 31, 2019
67. Jan 31, 2020
68. Feb 29, 2020
69. Mar 31, 2020
70. Apr 30, 2020
71. May 31, 2020
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 NKE 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
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]
= + []
=