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Microsoft Excel LibreOffice Calc

Thermo Fisher Scientific Inc. (TMO)


Capital Asset Pricing Model (CAPM)

Difficulty: Intermediate

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


Rates of Return

Thermo Fisher Scientific Inc., monthly rates of return

Microsoft Excel LibreOffice Calc
Thermo Fisher Scientific Inc. (TMO) Standard & Poor’s 500 (S&P 500)
t Date PriceTMO,t1 DividendTMO,t1 RTMO,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2014 hidden hidden
1. Feb 28, 2014 hidden hidden hidden hidden
2. Mar 31, 2014 hidden hidden hidden hidden hidden
3. Apr 30, 2014 hidden hidden hidden hidden
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2018 hidden hidden hidden hidden
59. Dec 31, 2018 hidden hidden hidden hidden hidden
Average: hidden hidden
Standard Deviation: hidden hidden
Thermo Fisher Scientific Inc. (TMO) Standard & Poor’s 500 (S&P 500)
t Date PriceTMO,t1 DividendTMO,t1 RTMO,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2014 hidden hidden
1. Feb 28, 2014 hidden hidden hidden hidden
2. Mar 31, 2014 hidden hidden hidden hidden hidden
3. Apr 30, 2014 hidden hidden hidden hidden
4. May 31, 2014 hidden hidden hidden hidden
5. Jun 30, 2014 hidden hidden hidden hidden hidden
6. Jul 31, 2014 hidden hidden hidden hidden
7. Aug 31, 2014 hidden hidden hidden hidden
8. Sep 30, 2014 hidden hidden hidden hidden hidden
9. Oct 31, 2014 hidden hidden hidden hidden
10. Nov 30, 2014 hidden hidden hidden hidden
11. Dec 31, 2014 hidden hidden hidden hidden hidden
12. Jan 31, 2015 hidden hidden hidden hidden
13. Feb 28, 2015 hidden hidden hidden hidden
14. Mar 31, 2015 hidden hidden hidden hidden hidden
15. Apr 30, 2015 hidden hidden hidden hidden
16. May 31, 2015 hidden hidden hidden hidden
17. Jun 30, 2015 hidden hidden hidden hidden hidden
18. Jul 31, 2015 hidden hidden hidden hidden
19. Aug 31, 2015 hidden hidden hidden hidden
20. Sep 30, 2015 hidden hidden hidden hidden hidden
21. Oct 31, 2015 hidden hidden hidden hidden
22. Nov 30, 2015 hidden hidden hidden hidden
23. Dec 31, 2015 hidden hidden hidden hidden hidden
24. Jan 31, 2016 hidden hidden hidden hidden
25. Feb 29, 2016 hidden hidden hidden hidden
26. Mar 31, 2016 hidden hidden hidden hidden hidden
27. Apr 30, 2016 hidden hidden hidden hidden
28. May 31, 2016 hidden hidden hidden hidden
29. Jun 30, 2016 hidden hidden hidden hidden hidden
30. Jul 31, 2016 hidden hidden hidden hidden
31. Aug 31, 2016 hidden hidden hidden hidden
32. Sep 30, 2016 hidden hidden hidden hidden hidden
33. Oct 31, 2016 hidden hidden hidden hidden
34. Nov 30, 2016 hidden hidden hidden hidden
35. Dec 31, 2016 hidden hidden hidden hidden hidden
36. Jan 31, 2017 hidden hidden hidden hidden
37. Feb 28, 2017 hidden hidden hidden hidden
38. Mar 31, 2017 hidden hidden hidden hidden hidden
39. Apr 30, 2017 hidden hidden hidden hidden
40. May 31, 2017 hidden hidden hidden hidden
41. Jun 30, 2017 hidden hidden hidden hidden hidden
42. Jul 31, 2017 hidden hidden hidden hidden
43. Aug 31, 2017 hidden hidden hidden hidden
44. Sep 30, 2017 hidden hidden hidden hidden hidden
45. Oct 31, 2017 hidden hidden hidden hidden
46. Nov 30, 2017 hidden hidden hidden hidden
47. Dec 31, 2017 hidden hidden hidden hidden hidden
48. Jan 31, 2018 hidden hidden hidden hidden
49. Feb 28, 2018 hidden hidden hidden hidden
50. Mar 31, 2018 hidden hidden hidden hidden hidden
51. Apr 30, 2018 hidden hidden hidden hidden
52. May 31, 2018 hidden hidden hidden hidden
53. Jun 30, 2018 hidden hidden hidden hidden hidden
54. Jul 31, 2018 hidden hidden hidden hidden
55. Aug 31, 2018 hidden hidden hidden hidden
56. Sep 30, 2018 hidden hidden hidden hidden hidden
57. Oct 31, 2018 hidden hidden hidden hidden
58. Nov 30, 2018 hidden hidden hidden hidden
59. Dec 31, 2018 hidden hidden hidden hidden hidden
Average: hidden hidden
Standard Deviation: hidden hidden

Show All

1 Data in USD $ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of TMO 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
VarianceTMO hidden
VarianceS&P 500 hidden
CovarianceTMO, S&P 500 hidden
Correlation CoefficientTMO, S&P 5001 hidden
βTMO2 hidden
αTMO3 hidden

Calculations

1 CovarianceTMO, S&P 500 ÷ (Standard DeviationTMO × Standard DeviationS&P 500)
= hidden ÷ (hidden × hidden)

2 CovarianceTMO, S&P 500 ÷ VarianceS&P 500
= hidden ÷ hidden

3 AverageTMO – βTMO × 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 Thermo Fisher Scientific Inc.’s common stock βTMO hidden
Expected rate of return on Thermo Fisher Scientific Inc.’s common stock3 E(RTMO) 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).

Calculations

2 See Details »

3 E(RTMO) = RF + βTMO [E(RM) – RF]
= hidden + hidden [hiddenhidden]
= hidden