Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Walt Disney Co. common stock.
Paying users area
Try for free
Walt Disney Co. pages available for free this week:
- Balance Sheet: Liabilities and Stockholders’ Equity
- Common-Size Balance Sheet: Liabilities and Stockholders’ Equity
- Analysis of Short-term (Operating) Activity Ratios
- DuPont Analysis: Disaggregation of ROE, ROA, and Net Profit Margin
- Analysis of Geographic Areas
- Enterprise Value to FCFF (EV/FCFF)
- Return on Assets (ROA) since 2005
- Price to Earnings (P/E) since 2005
- Analysis of Debt
- Aggregate Accruals
The data is hidden behind: . Unhide it.
Get 1-month access to Walt Disney Co. for $19.99, or
get full access to the entire website for at least 3 months from $49.99.
This is a one-time payment. There is no automatic renewal.
We accept:
Rates of Return
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
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
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
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. common stock | βDIS | |
Expected rate of return on Walt Disney Co. 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).
3 E(RDIS) = RF + βDIS [E(RM) – RF]
= + [ – ]
=