Stock Analysis on Net
Stock Analysis on Net

Parker-Hannifin Corp. (NYSE:PH)

$22.49

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.

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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
1. Aug 31, 2016
2. Sep 30, 2016
3. Oct 31, 2016
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2022
71. Jun 30, 2022
Average (R):
Standard deviation:
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
1. Aug 31, 2016
2. Sep 30, 2016
3. Oct 31, 2016
4. Nov 30, 2016
5. Dec 31, 2016
6. Jan 31, 2017
7. Feb 28, 2017
8. Mar 31, 2017
9. Apr 30, 2017
10. May 31, 2017
11. Jun 30, 2017
12. Jul 31, 2017
13. Aug 31, 2017
14. Sep 30, 2017
15. Oct 31, 2017
16. Nov 30, 2017
17. Dec 31, 2017
18. Jan 31, 2018
19. Feb 28, 2018
20. Mar 31, 2018
21. Apr 30, 2018
22. May 31, 2018
23. Jun 30, 2018
24. Jul 31, 2018
25. Aug 31, 2018
26. Sep 30, 2018
27. Oct 31, 2018
28. Nov 30, 2018
29. Dec 31, 2018
30. Jan 31, 2019
31. Feb 28, 2019
32. Mar 31, 2019
33. Apr 30, 2019
34. May 31, 2019
35. Jun 30, 2019
36. Jul 31, 2019
37. Aug 31, 2019
38. Sep 30, 2019
39. Oct 31, 2019
40. Nov 30, 2019
41. Dec 31, 2019
42. Jan 31, 2020
43. Feb 29, 2020
44. Mar 31, 2020
45. Apr 30, 2020
46. May 31, 2020
47. Jun 30, 2020
48. Jul 31, 2020
49. Aug 31, 2020
50. Sep 30, 2020
51. Oct 31, 2020
52. Nov 30, 2020
53. Dec 31, 2020
54. Jan 31, 2021
55. Feb 28, 2021
56. Mar 31, 2021
57. Apr 30, 2021
58. May 31, 2021
59. Jun 30, 2021
60. Jul 31, 2021
61. Aug 31, 2021
62. Sep 30, 2021
63. Oct 31, 2021
64. Nov 30, 2021
65. Dec 31, 2021
66. Jan 31, 2022
67. Feb 28, 2022
68. Mar 31, 2022
69. Apr 30, 2022
70. May 31, 2022
71. Jun 30, 2022
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 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
2. Sep 30, 2016
3. Oct 31, 2016
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2022
71. Jun 30, 2022
Total (Σ):
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
2. Sep 30, 2016
3. Oct 31, 2016
4. Nov 30, 2016
5. Dec 31, 2016
6. Jan 31, 2017
7. Feb 28, 2017
8. Mar 31, 2017
9. Apr 30, 2017
10. May 31, 2017
11. Jun 30, 2017
12. Jul 31, 2017
13. Aug 31, 2017
14. Sep 30, 2017
15. Oct 31, 2017
16. Nov 30, 2017
17. Dec 31, 2017
18. Jan 31, 2018
19. Feb 28, 2018
20. Mar 31, 2018
21. Apr 30, 2018
22. May 31, 2018
23. Jun 30, 2018
24. Jul 31, 2018
25. Aug 31, 2018
26. Sep 30, 2018
27. Oct 31, 2018
28. Nov 30, 2018
29. Dec 31, 2018
30. Jan 31, 2019
31. Feb 28, 2019
32. Mar 31, 2019
33. Apr 30, 2019
34. May 31, 2019
35. Jun 30, 2019
36. Jul 31, 2019
37. Aug 31, 2019
38. Sep 30, 2019
39. Oct 31, 2019
40. Nov 30, 2019
41. Dec 31, 2019
42. Jan 31, 2020
43. Feb 29, 2020
44. Mar 31, 2020
45. Apr 30, 2020
46. May 31, 2020
47. Jun 30, 2020
48. Jul 31, 2020
49. Aug 31, 2020
50. Sep 30, 2020
51. Oct 31, 2020
52. Nov 30, 2020
53. Dec 31, 2020
54. Jan 31, 2021
55. Feb 28, 2021
56. Mar 31, 2021
57. Apr 30, 2021
58. May 31, 2021
59. Jun 30, 2021
60. Jul 31, 2021
61. Aug 31, 2021
62. Sep 30, 2021
63. Oct 31, 2021
64. Nov 30, 2021
65. Dec 31, 2021
66. Jan 31, 2022
67. Feb 28, 2022
68. Mar 31, 2022
69. Apr 30, 2022
70. May 31, 2022
71. Jun 30, 2022
Total (Σ):

Show all

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

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

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

Systematic Risk (β) Estimation

Microsoft Excel
VariancePH
VarianceS&P 500
CovariancePH, S&P 500
Correlation coefficientPH, S&P 5001
βPH2
αPH3

Calculations

1 Correlation coefficientPH, S&P 500
= CovariancePH, S&P 500 ÷ (Standard deviationPH × Standard deviationS&P 500)
= ÷ ( × )
=

2 βPH
= CovariancePH, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αPH
= AveragePH – βPH × AverageS&P 500
= – ×
=

Expected Rate of Return

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

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]
= + [ – ]
=