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Microsoft Excel LibreOffice Calc

Walt Disney Co. (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 hidden hidden
1. Nov 30, 2013 hidden hidden hidden hidden
2. Dec 31, 2013 hidden hidden hidden hidden hidden
3. Jan 31, 2014 hidden hidden hidden hidden
. . . . . . .
. . . . . . .
. . . . . . .
63. Jan 31, 2019 hidden hidden hidden hidden
64. Feb 28, 2019 hidden hidden hidden hidden
Average: hidden hidden
Standard deviation: hidden hidden
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 hidden hidden
1. Nov 30, 2013 hidden hidden hidden hidden
2. Dec 31, 2013 hidden hidden hidden hidden hidden
3. Jan 31, 2014 hidden hidden hidden hidden
4. Feb 28, 2014 hidden hidden hidden hidden
5. Mar 31, 2014 hidden hidden hidden hidden
6. Apr 30, 2014 hidden hidden hidden hidden
7. May 31, 2014 hidden hidden hidden hidden
8. Jun 30, 2014 hidden hidden hidden hidden
9. Jul 31, 2014 hidden hidden hidden hidden
10. Aug 31, 2014 hidden hidden hidden hidden
11. Sep 30, 2014 hidden hidden hidden hidden
12. Oct 31, 2014 hidden hidden hidden hidden
13. Nov 30, 2014 hidden hidden hidden hidden
14. Dec 31, 2014 hidden hidden hidden hidden hidden
15. Jan 31, 2015 hidden hidden hidden hidden
16. Feb 28, 2015 hidden hidden hidden hidden
17. Mar 31, 2015 hidden hidden hidden hidden
18. Apr 30, 2015 hidden hidden hidden hidden
19. May 31, 2015 hidden hidden hidden hidden
20. Jun 30, 2015 hidden hidden hidden hidden
21. Jul 31, 2015 hidden hidden hidden hidden hidden
22. Aug 31, 2015 hidden hidden hidden hidden
23. Sep 30, 2015 hidden hidden hidden hidden
24. Oct 31, 2015 hidden hidden hidden hidden
25. Nov 30, 2015 hidden hidden hidden hidden
26. Dec 31, 2015 hidden hidden hidden hidden hidden
27. Jan 31, 2016 hidden hidden hidden hidden
28. Feb 29, 2016 hidden hidden hidden hidden
29. Mar 31, 2016 hidden hidden hidden hidden
30. Apr 30, 2016 hidden hidden hidden hidden
31. May 31, 2016 hidden hidden hidden hidden
32. Jun 30, 2016 hidden hidden hidden hidden
33. Jul 31, 2016 hidden hidden hidden hidden hidden
34. Aug 31, 2016 hidden hidden hidden hidden
35. Sep 30, 2016 hidden hidden hidden hidden
36. Oct 31, 2016 hidden hidden hidden hidden
37. Nov 30, 2016 hidden hidden hidden hidden
38. Dec 31, 2016 hidden hidden hidden hidden hidden
39. Jan 31, 2017 hidden hidden hidden hidden
40. Feb 28, 2017 hidden hidden hidden hidden
41. Mar 31, 2017 hidden hidden hidden hidden
42. Apr 30, 2017 hidden hidden hidden hidden
43. May 31, 2017 hidden hidden hidden hidden
44. Jun 30, 2017 hidden hidden hidden hidden
45. Jul 31, 2017 hidden hidden hidden hidden hidden
46. Aug 31, 2017 hidden hidden hidden hidden
47. Sep 30, 2017 hidden hidden hidden hidden
48. Oct 31, 2017 hidden hidden hidden hidden
49. Nov 30, 2017 hidden hidden hidden hidden
50. Dec 31, 2017 hidden hidden hidden hidden hidden
51. Jan 31, 2018 hidden hidden hidden hidden
52. Feb 28, 2018 hidden hidden hidden hidden
53. Mar 31, 2018 hidden hidden hidden hidden
54. Apr 30, 2018 hidden hidden hidden hidden
55. May 31, 2018 hidden hidden hidden hidden
56. Jun 30, 2018 hidden hidden hidden hidden
57. Jul 31, 2018 hidden hidden hidden hidden hidden
58. Aug 31, 2018 hidden hidden hidden hidden
59. Sep 30, 2018 hidden hidden hidden hidden
60. Oct 31, 2018 hidden hidden hidden hidden
61. Nov 30, 2018 hidden hidden hidden hidden
62. Dec 31, 2018 hidden hidden hidden hidden hidden
63. Jan 31, 2019 hidden hidden hidden hidden
64. Feb 28, 2019 hidden hidden hidden hidden
Average: hidden hidden
Standard deviation: hidden hidden

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 hidden
VarianceS&P 500 hidden
CovarianceDIS, S&P 500 hidden
Correlation coefficientDIS, S&P 5001 hidden
βDIS2 hidden
αDIS3 hidden

Calculations

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

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

3 αDIS
= AverageDIS – βDIS × 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 Walt Disney Co.’s common stock βDIS hidden
 
Expected rate of return on Walt Disney Co.’s common stock3 E(RDIS) 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).

2 See details »

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