Stock Analysis on Net
Stock Analysis on Net

Walt Disney Co. (NYSE:DIS)

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Capital Asset Pricing Model (CAPM)

Microsoft Excel LibreOffice Calc

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, 2015
1. Nov 30, 2015
2. Dec 31, 2015
3. Jan 31, 2016
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2021
71. Sep 30, 2021
Average (R):
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, 2015
1. Nov 30, 2015
2. Dec 31, 2015
3. Jan 31, 2016
4. Feb 29, 2016
5. Mar 31, 2016
6. Apr 30, 2016
7. May 31, 2016
8. Jun 30, 2016
9. Jul 31, 2016
10. Aug 31, 2016
11. Sep 30, 2016
12. Oct 31, 2016
13. Nov 30, 2016
14. Dec 31, 2016
15. Jan 31, 2017
16. Feb 28, 2017
17. Mar 31, 2017
18. Apr 30, 2017
19. May 31, 2017
20. Jun 30, 2017
21. Jul 31, 2017
22. Aug 31, 2017
23. Sep 30, 2017
24. Oct 31, 2017
25. Nov 30, 2017
26. Dec 31, 2017
27. Jan 31, 2018
28. Feb 28, 2018
29. Mar 31, 2018
30. Apr 30, 2018
31. May 31, 2018
32. Jun 30, 2018
33. Jul 31, 2018
34. Aug 31, 2018
35. Sep 30, 2018
36. Oct 31, 2018
37. Nov 30, 2018
38. Dec 31, 2018
39. Jan 31, 2019
40. Feb 28, 2019
41. Mar 31, 2019
42. Apr 30, 2019
43. May 31, 2019
44. Jun 30, 2019
45. Jul 31, 2019
46. Aug 31, 2019
47. Sep 30, 2019
48. Oct 31, 2019
49. Nov 30, 2019
50. Dec 31, 2019
51. Jan 31, 2020
52. Feb 29, 2020
53. Mar 31, 2020
54. Apr 30, 2020
55. May 31, 2020
56. Jun 30, 2020
57. Jul 31, 2020
58. Aug 31, 2020
59. Sep 30, 2020
60. Oct 31, 2020
61. Nov 30, 2020
62. Dec 31, 2020
63. Jan 31, 2021
64. Feb 28, 2021
65. Mar 31, 2021
66. Apr 30, 2021
67. May 31, 2021
68. Jun 30, 2021
69. Jul 31, 2021
70. Aug 31, 2021
71. Sep 30, 2021
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 DIS during period t

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

Variance and Covariance

Walt Disney Co., calculation of variance and covariance of returns

Microsoft Excel LibreOffice Calc
t Date RDIS,t RS&P 500,t (RDIS,t–RDIS)2 (RS&P 500,t–RS&P 500)2 (RDIS,t–RDIS)×(RS&P 500,t–RS&P 500)
1. Nov 30, 2015
2. Dec 31, 2015
3. Jan 31, 2016
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2021
71. Sep 30, 2021
Total (Σ):
t Date RDIS,t RS&P 500,t (RDIS,t–RDIS)2 (RS&P 500,t–RS&P 500)2 (RDIS,t–RDIS)×(RS&P 500,t–RS&P 500)
1. Nov 30, 2015
2. Dec 31, 2015
3. Jan 31, 2016
4. Feb 29, 2016
5. Mar 31, 2016
6. Apr 30, 2016
7. May 31, 2016
8. Jun 30, 2016
9. Jul 31, 2016
10. Aug 31, 2016
11. Sep 30, 2016
12. Oct 31, 2016
13. Nov 30, 2016
14. Dec 31, 2016
15. Jan 31, 2017
16. Feb 28, 2017
17. Mar 31, 2017
18. Apr 30, 2017
19. May 31, 2017
20. Jun 30, 2017
21. Jul 31, 2017
22. Aug 31, 2017
23. Sep 30, 2017
24. Oct 31, 2017
25. Nov 30, 2017
26. Dec 31, 2017
27. Jan 31, 2018
28. Feb 28, 2018
29. Mar 31, 2018
30. Apr 30, 2018
31. May 31, 2018
32. Jun 30, 2018
33. Jul 31, 2018
34. Aug 31, 2018
35. Sep 30, 2018
36. Oct 31, 2018
37. Nov 30, 2018
38. Dec 31, 2018
39. Jan 31, 2019
40. Feb 28, 2019
41. Mar 31, 2019
42. Apr 30, 2019
43. May 31, 2019
44. Jun 30, 2019
45. Jul 31, 2019
46. Aug 31, 2019
47. Sep 30, 2019
48. Oct 31, 2019
49. Nov 30, 2019
50. Dec 31, 2019
51. Jan 31, 2020
52. Feb 29, 2020
53. Mar 31, 2020
54. Apr 30, 2020
55. May 31, 2020
56. Jun 30, 2020
57. Jul 31, 2020
58. Aug 31, 2020
59. Sep 30, 2020
60. Oct 31, 2020
61. Nov 30, 2020
62. Dec 31, 2020
63. Jan 31, 2021
64. Feb 28, 2021
65. Mar 31, 2021
66. Apr 30, 2021
67. May 31, 2021
68. Jun 30, 2021
69. Jul 31, 2021
70. Aug 31, 2021
71. Sep 30, 2021
Total (Σ):

Show all

VarianceDIS = Σ(RDIS,t–RDIS)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

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

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

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]
= + [ – ]
=