Paying users zone. Data is covered by .

  • Get to Time Warner Inc. for $15.99, or

  • get to whole website for at least 3 months from $49.99.

 

$15.99

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 Time Warner's common stock.


Rates of Return

Time Warner Inc., monthly rates of return

 
Time Warner Inc. (TWX) Standard & Poor's 500 (S&P 500)
t Date PriceTWX,t1 DividendTWX,t1 RTWX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2013
1. Feb 28, 2013 % %
2. Mar 31, 2013 % %
3. Apr 30, 2013 % %
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2017 % %
59. Dec 31, 2017 % %
Average: % %
Standard Deviation: % %
Time Warner Inc. (TWX) Standard & Poor's 500 (S&P 500)
t Date PriceTWX,t1 DividendTWX,t1 RTWX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2013
1. Feb 28, 2013 % %
2. Mar 31, 2013 % %
3. Apr 30, 2013 % %
4. May 31, 2013 % %
5. Jun 30, 2013 % %
6. Jul 31, 2013 % %
7. Aug 31, 2013 % %
8. Sep 30, 2013 % %
9. Oct 31, 2013 % %
10. Nov 30, 2013 % %
11. Dec 31, 2013 % %
12. Jan 31, 2014 % %
13. Feb 28, 2014 % %
14. Mar 31, 2014 % %
15. Apr 30, 2014 % %
16. May 31, 2014 % %
17. Jun 30, 2014 % %
18. Jul 31, 2014 % %
19. Aug 31, 2014 % %
20. Sep 30, 2014 % %
21. Oct 31, 2014 % %
22. Nov 30, 2014 % %
23. Dec 31, 2014 % %
24. Jan 31, 2015 % %
25. Feb 28, 2015 % %
26. Mar 31, 2015 % %
27. Apr 30, 2015 % %
28. May 31, 2015 % %
29. Jun 30, 2015 % %
30. Jul 31, 2015 % %
31. Aug 31, 2015 % %
32. Sep 30, 2015 % %
33. Oct 31, 2015 % %
34. Nov 30, 2015 % %
35. Dec 31, 2015 % %
36. Jan 31, 2016 % %
37. Feb 29, 2016 % %
38. Mar 31, 2016 % %
39. Apr 30, 2016 % %
40. May 31, 2016 % %
41. Jun 30, 2016 % %
42. Jul 31, 2016 % %
43. Aug 31, 2016 % %
44. Sep 30, 2016 % %
45. Oct 31, 2016 % %
46. Nov 30, 2016 % %
47. Dec 31, 2016 % %
48. Jan 31, 2017 % %
49. Feb 28, 2017 % %
50. Mar 31, 2017 % %
51. Apr 30, 2017 % %
52. May 31, 2017 % %
53. Jun 30, 2017 % %
54. Jul 31, 2017 % %
55. Aug 31, 2017 % %
56. Sep 30, 2017 % %
57. Oct 31, 2017 % %
58. Nov 30, 2017 % %
59. Dec 31, 2017 % %
Average: % %
Standard Deviation: % %

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 TWX during period t

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

Top


Systematic Risk (β) Estimation

 
VarianceTWX
VarianceS&P 500
CovarianceTWX, S&P 500
Correlation CoefficientTWX, S&P 5001
βTWX2
αTWX3

Calculations

1 CovarianceTWX, S&P 500 ÷ (Standard DeviationTWX × Standard DeviationS&P 500)
= ÷ ( × )

2 CovarianceTWX, S&P 500 ÷ VarianceS&P 500
= ÷

3 AverageTWX – βTWX × AverageS&P 500
= ×

Top


Expected Rate of Return

 
Assumptions
Rate of return on LT Treasury Composite1 RF %
Expected rate of return on market portfolio2 E(RM) %
Systematic risk (β) of Time Warner's common stock βTWX
Expected rate of return on Time Warner's common stock3 E(RTWX) %

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(RTWX) = RF + βTWX [E(RM) – RF]
= % + [% – %]
= %

Top