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Microsoft Excel LibreOffice Calc

Oracle Corp. (ORCL)


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 Oracle Corp.’s common stock.


Rates of Return

Oracle Corp., monthly rates of return

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

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 ORCL 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
VarianceORCL hidden
VarianceS&P 500 hidden
CovarianceORCL, S&P 500 hidden
Correlation coefficientORCL, S&P 5001 hidden
βORCL2 hidden
αORCL3 hidden

Calculations

1 Correlation coefficientORCL, S&P 500
= CovarianceORCL, S&P 500 ÷ (Standard deviationORCL × Standard deviationS&P 500)
= hidden ÷ (hidden × hidden)

2 βORCL
= CovarianceORCL, S&P 500 ÷ VarianceS&P 500
= hidden ÷ hidden

3 αORCL
= AverageORCL – βORCL × AverageS&P 500
= hiddenhidden × hidden


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF hidden
Expected rate of return on market portfolio2 E(RM) hidden
Systematic risk (β) of Oracle Corp.’s common stock βORCL hidden
 
Expected rate of return on Oracle Corp.’s common stock3 E(RORCL) hidden

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(RORCL) = RF + βORCL [E(RM) – RF]
= hidden + hidden [hiddenhidden]
= hidden