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Microsoft Excel LibreOffice Calc

Walt Disney Co. (NYSE:DIS)

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 Walt Disney Co.’s common stock.

Rates of Return

Walt Disney Co., monthly rates of return

Microsoft Excel LibreOffice Calc
Walt Disney Co. (DIS) Standard & Poor’s 500 (S&P 500)
t Date PriceDIS,t1 DividendDIS,t1 RDIS,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2013
1. Nov 30, 2013
2. Dec 31, 2013
3. Jan 31, 2014
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2019
71. Sep 30, 2019
Average:
Standard deviation:
Walt Disney Co. (DIS) Standard & Poor’s 500 (S&P 500)
t Date PriceDIS,t1 DividendDIS,t1 RDIS,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2013
1. Nov 30, 2013
2. Dec 31, 2013
3. Jan 31, 2014
4. Feb 28, 2014
5. Mar 31, 2014
6. Apr 30, 2014
7. May 31, 2014
8. Jun 30, 2014
9. Jul 31, 2014
10. Aug 31, 2014
11. Sep 30, 2014
12. Oct 31, 2014
13. Nov 30, 2014
14. Dec 31, 2014
15. Jan 31, 2015
16. Feb 28, 2015
17. Mar 31, 2015
18. Apr 30, 2015
19. May 31, 2015
20. Jun 30, 2015
21. Jul 31, 2015
22. Aug 31, 2015
23. Sep 30, 2015
24. Oct 31, 2015
25. Nov 30, 2015
26. Dec 31, 2015
27. Jan 31, 2016
28. Feb 29, 2016
29. Mar 31, 2016
30. Apr 30, 2016
31. May 31, 2016
32. Jun 30, 2016
33. Jul 31, 2016
34. Aug 31, 2016
35. Sep 30, 2016
36. Oct 31, 2016
37. Nov 30, 2016
38. Dec 31, 2016
39. Jan 31, 2017
40. Feb 28, 2017
41. Mar 31, 2017
42. Apr 30, 2017
43. May 31, 2017
44. Jun 30, 2017
45. Jul 31, 2017
46. Aug 31, 2017
47. Sep 30, 2017
48. Oct 31, 2017
49. Nov 30, 2017
50. Dec 31, 2017
51. Jan 31, 2018
52. Feb 28, 2018
53. Mar 31, 2018
54. Apr 30, 2018
55. May 31, 2018
56. Jun 30, 2018
57. Jul 31, 2018
58. Aug 31, 2018
59. Sep 30, 2018
60. Oct 31, 2018
61. Nov 30, 2018
62. Dec 31, 2018
63. Jan 31, 2019
64. Feb 28, 2019
65. Mar 31, 2019
66. Apr 30, 2019
67. May 31, 2019
68. Jun 30, 2019
69. Jul 31, 2019
70. Aug 31, 2019
71. Sep 30, 2019
Average:
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 DIS 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
VarianceDIS
VarianceS&P 500
CovarianceDIS, S&P 500
Correlation coefficientDIS, S&P 5001
βDIS2
αDIS3

Calculations

1 Correlation coefficientDIS, S&P 500
= CovarianceDIS, S&P 500 ÷ (Standard deviationDIS × Standard deviationS&P 500)
= ÷ ( × )

2 βDIS
= CovarianceDIS, S&P 500 ÷ VarianceS&P 500
= ÷

3 αDIS
= AverageDIS – βDIS × AverageS&P 500
= – ×

Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of Walt Disney Co.’s common stock βDIS
 
Expected rate of return on Walt Disney Co.’s common stock3 E(RDIS)

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(RDIS) = RF + βDIS [E(RM) – RF]
= + [ – ]
=