Stock Analysis on Net
Stock Analysis on Net

Parker-Hannifin Corp. (NYSE:PH)

This company has been moved to the archive! The financial data has not been updated since February 7, 2023.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Parker-Hannifin Corp. common stock.

Rates of Return

Parker-Hannifin Corp., monthly rates of return

Microsoft Excel
Parker-Hannifin Corp. (PH) Standard & Poor’s 500 (S&P 500)
t Date PricePH,t1 DividendPH,t1 RPH,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2016 $114.19 2,173.60
1. Aug 31, 2016 $122.53 $0.63 7.86% 2,170.95 -0.12%
2. Sep 30, 2016 $125.53 2.45% 2,168.27 -0.12%
3. Oct 31, 2016 $122.75 -2.21% 2,126.15 -1.94%
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2022 $272.17 $1.33 0.99% 4,132.15 0.01%
71. Jun 30, 2022 $246.05 -9.60% 3,785.38 -8.39%
Average (R): 1.61% 0.89%
Standard deviation: 8.72% 4.53%
Parker-Hannifin Corp. (PH) Standard & Poor’s 500 (S&P 500)
t Date PricePH,t1 DividendPH,t1 RPH,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2016 $114.19 2,173.60
1. Aug 31, 2016 $122.53 $0.63 7.86% 2,170.95 -0.12%
2. Sep 30, 2016 $125.53 2.45% 2,168.27 -0.12%
3. Oct 31, 2016 $122.75 -2.21% 2,126.15 -1.94%
4. Nov 30, 2016 $138.93 $0.63 13.69% 2,198.81 3.42%
5. Dec 31, 2016 $140.00 0.77% 2,238.83 1.82%
6. Jan 31, 2017 $147.13 5.09% 2,278.87 1.79%
7. Feb 28, 2017 $154.84 $0.66 5.69% 2,363.64 3.72%
8. Mar 31, 2017 $160.32 3.54% 2,362.72 -0.04%
9. Apr 30, 2017 $160.80 0.30% 2,384.20 0.91%
10. May 31, 2017 $157.47 $0.66 -1.66% 2,411.80 1.16%
11. Jun 30, 2017 $159.82 1.49% 2,423.41 0.48%
12. Jul 31, 2017 $165.98 3.85% 2,470.30 1.93%
13. Aug 31, 2017 $160.89 $0.66 -2.67% 2,471.65 0.05%
14. Sep 30, 2017 $175.02 8.78% 2,519.36 1.93%
15. Oct 31, 2017 $182.61 4.34% 2,575.26 2.22%
16. Nov 30, 2017 $187.49 $0.66 3.03% 2,647.58 2.81%
17. Dec 31, 2017 $199.58 6.45% 2,673.61 0.98%
18. Jan 31, 2018 $201.42 0.92% 2,823.81 5.62%
19. Feb 28, 2018 $178.47 $0.66 -11.07% 2,713.83 -3.89%
20. Mar 31, 2018 $171.03 -4.17% 2,640.87 -2.69%
21. Apr 30, 2018 $164.62 -3.75% 2,648.05 0.27%
22. May 31, 2018 $170.90 $0.76 4.28% 2,705.27 2.16%
23. Jun 30, 2018 $155.85 -8.81% 2,718.37 0.48%
24. Jul 31, 2018 $169.05 8.47% 2,816.29 3.60%
25. Aug 31, 2018 $175.60 $0.76 4.32% 2,901.52 3.03%
26. Sep 30, 2018 $183.93 4.74% 2,913.98 0.43%
27. Oct 31, 2018 $151.63 -17.56% 2,711.74 -6.94%
28. Nov 30, 2018 $172.04 $0.76 13.96% 2,760.17 1.79%
29. Dec 31, 2018 $149.14 -13.31% 2,506.85 -9.18%
30. Jan 31, 2019 $164.81 10.51% 2,704.10 7.87%
31. Feb 28, 2019 $176.16 $0.76 7.35% 2,784.49 2.97%
32. Mar 31, 2019 $171.62 -2.58% 2,834.40 1.79%
33. Apr 30, 2019 $181.08 5.51% 2,945.83 3.93%
34. May 31, 2019 $152.32 $0.88 -15.40% 2,752.06 -6.58%
35. Jun 30, 2019 $170.01 11.61% 2,941.76 6.89%
36. Jul 31, 2019 $175.08 2.98% 2,980.38 1.31%
37. Aug 31, 2019 $165.77 $0.88 -4.81% 2,926.46 -1.81%
38. Sep 30, 2019 $180.61 8.95% 2,976.74 1.72%
39. Oct 31, 2019 $183.49 1.59% 3,037.56 2.04%
40. Nov 30, 2019 $198.79 $0.88 8.82% 3,140.98 3.40%
41. Dec 31, 2019 $205.82 3.54% 3,230.78 2.86%
42. Jan 31, 2020 $195.69 -4.92% 3,225.52 -0.16%
43. Feb 29, 2020 $184.77 $0.88 -5.13% 2,954.22 -8.41%
44. Mar 31, 2020 $129.73 -29.79% 2,584.59 -12.51%
45. Apr 30, 2020 $158.12 21.88% 2,912.43 12.68%
46. May 31, 2020 $179.97 $0.88 14.38% 3,044.31 4.53%
47. Jun 30, 2020 $183.27 1.83% 3,100.29 1.84%
48. Jul 31, 2020 $178.92 -2.37% 3,271.12 5.51%
49. Aug 31, 2020 $206.01 $0.88 15.63% 3,500.31 7.01%
50. Sep 30, 2020 $202.34 -1.78% 3,363.00 -3.92%
51. Oct 31, 2020 $208.36 2.98% 3,269.96 -2.77%
52. Nov 30, 2020 $267.26 $0.88 28.69% 3,621.63 10.75%
53. Dec 31, 2020 $272.41 1.93% 3,756.07 3.71%
54. Jan 31, 2021 $264.61 -2.86% 3,714.24 -1.11%
55. Feb 28, 2021 $286.96 $0.88 8.78% 3,811.15 2.61%
56. Mar 31, 2021 $315.43 9.92% 3,972.89 4.24%
57. Apr 30, 2021 $313.81 -0.51% 4,181.17 5.24%
58. May 31, 2021 $308.15 $1.03 -1.48% 4,204.11 0.55%
59. Jun 30, 2021 $307.11 -0.34% 4,297.50 2.22%
60. Jul 31, 2021 $312.03 1.60% 4,395.26 2.27%
61. Aug 31, 2021 $296.67 $1.03 -4.59% 4,522.68 2.90%
62. Sep 30, 2021 $279.62 -5.75% 4,307.54 -4.76%
63. Oct 31, 2021 $296.59 6.07% 4,605.38 6.91%
64. Nov 30, 2021 $302.06 $1.03 2.19% 4,567.00 -0.83%
65. Dec 31, 2021 $318.12 5.32% 4,766.18 4.36%
66. Jan 31, 2022 $310.01 -2.55% 4,515.55 -5.26%
67. Feb 28, 2022 $296.39 $1.03 -4.06% 4,373.94 -3.14%
68. Mar 31, 2022 $283.76 -4.26% 4,530.41 3.58%
69. Apr 30, 2022 $270.82 -4.56% 4,131.93 -8.80%
70. May 31, 2022 $272.17 $1.33 0.99% 4,132.15 0.01%
71. Jun 30, 2022 $246.05 -9.60% 3,785.38 -8.39%
Average (R): 1.61% 0.89%
Standard deviation: 8.72% 4.53%

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 PH during period t

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

Variance and Covariance

Parker-Hannifin Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RPH,t RS&P 500,t (RPH,t–RPH)2 (RS&P 500,t–RS&P 500)2 (RPH,t–RPH)×(RS&P 500,t–RS&P 500)
1. Aug 31, 2016 7.86% -0.12% 38.96 1.02 -6.30
2. Sep 30, 2016 2.45% -0.12% 0.70 1.02 -0.84
3. Oct 31, 2016 -2.21% -1.94% 14.65 8.00 10.83
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2022 0.99% 0.01% 0.39 0.78 0.55
71. Jun 30, 2022 -9.60% -8.39% 125.67 86.09 104.02
Total (Σ): 5,326.54 1,437.21 2,230.11
t Date RPH,t RS&P 500,t (RPH,t–RPH)2 (RS&P 500,t–RS&P 500)2 (RPH,t–RPH)×(RS&P 500,t–RS&P 500)
1. Aug 31, 2016 7.86% -0.12% 38.96 1.02 -6.30
2. Sep 30, 2016 2.45% -0.12% 0.70 1.02 -0.84
3. Oct 31, 2016 -2.21% -1.94% 14.65 8.00 10.83
4. Nov 30, 2016 13.69% 3.42% 145.96 6.40 30.57
5. Dec 31, 2016 0.77% 1.82% 0.71 0.87 -0.79
6. Jan 31, 2017 5.09% 1.79% 12.11 0.81 3.14
7. Feb 28, 2017 5.69% 3.72% 16.61 8.03 11.55
8. Mar 31, 2017 3.54% -0.04% 3.71 0.86 -1.78
9. Apr 30, 2017 0.30% 0.91% 1.73 0.00 -0.03
10. May 31, 2017 -1.66% 1.16% 10.72 0.07 -0.89
11. Jun 30, 2017 1.49% 0.48% 0.01 0.16 0.05
12. Jul 31, 2017 3.85% 1.93% 5.02 1.10 2.35
13. Aug 31, 2017 -2.67% 0.05% 18.34 0.69 3.56
14. Sep 30, 2017 8.78% 1.93% 51.40 1.09 7.48
15. Oct 31, 2017 4.34% 2.22% 7.42 1.77 3.63
16. Nov 30, 2017 3.03% 2.81% 2.02 3.69 2.73
17. Dec 31, 2017 6.45% 0.98% 23.38 0.01 0.47
18. Jan 31, 2018 0.92% 5.62% 0.48 22.38 -3.27
19. Feb 28, 2018 -11.07% -3.89% 160.77 22.86 60.63
20. Mar 31, 2018 -4.17% -2.69% 33.43 12.78 20.67
21. Apr 30, 2018 -3.75% 0.27% 28.74 0.38 3.30
22. May 31, 2018 4.28% 2.16% 7.09 1.62 3.39
23. Jun 30, 2018 -8.81% 0.48% 108.57 0.16 4.19
24. Jul 31, 2018 8.47% 3.60% 47.01 7.37 18.62
25. Aug 31, 2018 4.32% 3.03% 7.35 4.58 5.80
26. Sep 30, 2018 4.74% 0.43% 9.80 0.21 -1.43
27. Oct 31, 2018 -17.56% -6.94% 367.65 61.26 150.08
28. Nov 30, 2018 13.96% 1.79% 152.48 0.81 11.10
29. Dec 31, 2018 -13.31% -9.18% 222.73 101.29 150.20
30. Jan 31, 2019 10.51% 7.87% 79.10 48.74 62.09
31. Feb 28, 2019 7.35% 2.97% 32.89 4.35 11.96
32. Mar 31, 2019 -2.58% 1.79% 17.56 0.82 -3.80
33. Apr 30, 2019 5.51% 3.93% 15.20 9.27 11.87
34. May 31, 2019 -15.40% -6.58% 289.33 55.72 126.97
35. Jun 30, 2019 11.61% 6.89% 100.01 36.08 60.07
36. Jul 31, 2019 2.98% 1.31% 1.87 0.18 0.58
37. Aug 31, 2019 -4.81% -1.81% 41.32 7.27 17.33
38. Sep 30, 2019 8.95% 1.72% 53.86 0.69 6.10
39. Oct 31, 2019 1.59% 2.04% 0.00 1.34 -0.02
40. Nov 30, 2019 8.82% 3.40% 51.91 6.34 18.14
41. Dec 31, 2019 3.54% 2.86% 3.70 3.89 3.79
42. Jan 31, 2020 -4.92% -0.16% 42.71 1.10 6.86
43. Feb 29, 2020 -5.13% -8.41% 45.48 86.45 62.70
44. Mar 31, 2020 -29.79% -12.51% 986.06 179.52 420.74
45. Apr 30, 2020 21.88% 12.68% 410.90 139.19 239.15
46. May 31, 2020 14.38% 4.53% 162.87 13.26 46.47
47. Jun 30, 2020 1.83% 1.84% 0.05 0.91 0.21
48. Jul 31, 2020 -2.37% 5.51% 15.89 21.38 -18.43
49. Aug 31, 2020 15.63% 7.01% 196.55 37.45 85.80
50. Sep 30, 2020 -1.78% -3.92% 11.52 23.13 16.33
51. Oct 31, 2020 2.98% -2.77% 1.86 13.35 -4.98
52. Nov 30, 2020 28.69% 10.75% 733.19 97.38 267.20
53. Dec 31, 2020 1.93% 3.71% 0.10 7.98 0.89
54. Jan 31, 2021 -2.86% -1.11% 20.04 4.00 8.95
55. Feb 28, 2021 8.78% 2.61% 51.35 2.97 12.34
56. Mar 31, 2021 9.92% 4.24% 69.02 11.27 27.89
57. Apr 30, 2021 -0.51% 5.24% 4.52 18.97 -9.26
58. May 31, 2021 -1.48% 0.55% 9.54 0.11 1.04
59. Jun 30, 2021 -0.34% 2.22% 3.81 1.78 -2.60
60. Jul 31, 2021 1.60% 2.27% 0.00 1.93 -0.02
61. Aug 31, 2021 -4.59% 2.90% 38.51 4.05 -12.49
62. Sep 30, 2021 -5.75% -4.76% 54.17 31.85 41.54
63. Oct 31, 2021 6.07% 6.91% 19.85 36.33 26.86
64. Nov 30, 2021 2.19% -0.83% 0.33 2.96 -0.99
65. Dec 31, 2021 5.32% 4.36% 13.72 12.07 12.87
66. Jan 31, 2022 -2.55% -5.26% 17.33 37.76 25.58
67. Feb 28, 2022 -4.06% -3.14% 32.20 16.18 22.83
68. Mar 31, 2022 -4.26% 3.58% 34.51 7.24 -15.81
69. Apr 30, 2022 -4.56% -8.80% 38.11 93.75 59.77
70. May 31, 2022 0.99% 0.01% 0.39 0.78 0.55
71. Jun 30, 2022 -9.60% -8.39% 125.67 86.09 104.02
Total (Σ): 5,326.54 1,437.21 2,230.11

Show all

VariancePH = Σ(RPH,t–RPH)2 ÷ (71 – 1)
= 5,326.54 ÷ (71 – 1)
= 76.09

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,437.21 ÷ (71 – 1)
= 20.53

CovariancePH, S&P 500 = Σ(RPH,t–RPH)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,230.11 ÷ (71 – 1)
= 31.86

Systematic Risk (β) Estimation

Microsoft Excel
VariancePH 76.09
VarianceS&P 500 20.53
CovariancePH, S&P 500 31.86
Correlation coefficientPH, S&P 5001 0.81
βPH2 1.55
αPH3 0.24%

Calculations

1 Correlation coefficientPH, S&P 500
= CovariancePH, S&P 500 ÷ (Standard deviationPH × Standard deviationS&P 500)
= 31.86 ÷ (8.72% × 4.53%)
= 0.81

2 βPH
= CovariancePH, S&P 500 ÷ VarianceS&P 500
= 31.86 ÷ 20.53
= 1.55

3 αPH
= AveragePH – βPH × AverageS&P 500
= 1.61% – 1.55 × 0.89%
= 0.24%

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.62%
Expected rate of return on market portfolio2 E(RM) 13.69%
Systematic risk (β) of Parker-Hannifin Corp. common stock βPH 1.55
 
Expected rate of return on Parker-Hannifin Corp. common stock3 E(RPH) 18.69%

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(RPH) = RF + βPH [E(RM) – RF]
= 4.62% + 1.55 [13.69% – 4.62%]
= 18.69%