Stock Analysis on Net
Stock Analysis on Net

CSX Corp. (NASDAQ:CSX)

$22.49

This company has been moved to the archive! The financial data has not been updated since April 20, 2023.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like CSX Corp. common stock.

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Rates of Return

CSX Corp., monthly rates of return

Microsoft Excel
CSX Corp. (CSX) Standard & Poor’s 500 (S&P 500)
t Date PriceCSX,t1 DividendCSX,t1 RCSX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022
59. Dec 31, 2022
Average (R):
Standard deviation:
CSX Corp. (CSX) Standard & Poor’s 500 (S&P 500)
t Date PriceCSX,t1 DividendCSX,t1 RCSX,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
4. May 31, 2018
5. Jun 30, 2018
6. Jul 31, 2018
7. Aug 31, 2018
8. Sep 30, 2018
9. Oct 31, 2018
10. Nov 30, 2018
11. Dec 31, 2018
12. Jan 31, 2019
13. Feb 28, 2019
14. Mar 31, 2019
15. Apr 30, 2019
16. May 31, 2019
17. Jun 30, 2019
18. Jul 31, 2019
19. Aug 31, 2019
20. Sep 30, 2019
21. Oct 31, 2019
22. Nov 30, 2019
23. Dec 31, 2019
24. Jan 31, 2020
25. Feb 29, 2020
26. Mar 31, 2020
27. Apr 30, 2020
28. May 31, 2020
29. Jun 30, 2020
30. Jul 31, 2020
31. Aug 31, 2020
32. Sep 30, 2020
33. Oct 31, 2020
34. Nov 30, 2020
35. Dec 31, 2020
36. Jan 31, 2021
37. Feb 28, 2021
38. Mar 31, 2021
39. Apr 30, 2021
40. May 31, 2021
41. Jun 30, 2021
42. Jul 31, 2021
43. Aug 31, 2021
44. Sep 30, 2021
45. Oct 31, 2021
46. Nov 30, 2021
47. Dec 31, 2021
48. Jan 31, 2022
49. Feb 28, 2022
50. Mar 31, 2022
51. Apr 30, 2022
52. May 31, 2022
53. Jun 30, 2022
54. Jul 31, 2022
55. Aug 31, 2022
56. Sep 30, 2022
57. Oct 31, 2022
58. Nov 30, 2022
59. Dec 31, 2022
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 CSX during period t

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

Variance and Covariance

CSX Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RCSX,t RS&P 500,t (RCSX,t–RCSX)2 (RS&P 500,t–RS&P 500)2 (RCSX,t–RCSX)×(RS&P 500,t–RS&P 500)
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022
59. Dec 31, 2022
Total (Σ):
t Date RCSX,t RS&P 500,t (RCSX,t–RCSX)2 (RS&P 500,t–RS&P 500)2 (RCSX,t–RCSX)×(RS&P 500,t–RS&P 500)
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
4. May 31, 2018
5. Jun 30, 2018
6. Jul 31, 2018
7. Aug 31, 2018
8. Sep 30, 2018
9. Oct 31, 2018
10. Nov 30, 2018
11. Dec 31, 2018
12. Jan 31, 2019
13. Feb 28, 2019
14. Mar 31, 2019
15. Apr 30, 2019
16. May 31, 2019
17. Jun 30, 2019
18. Jul 31, 2019
19. Aug 31, 2019
20. Sep 30, 2019
21. Oct 31, 2019
22. Nov 30, 2019
23. Dec 31, 2019
24. Jan 31, 2020
25. Feb 29, 2020
26. Mar 31, 2020
27. Apr 30, 2020
28. May 31, 2020
29. Jun 30, 2020
30. Jul 31, 2020
31. Aug 31, 2020
32. Sep 30, 2020
33. Oct 31, 2020
34. Nov 30, 2020
35. Dec 31, 2020
36. Jan 31, 2021
37. Feb 28, 2021
38. Mar 31, 2021
39. Apr 30, 2021
40. May 31, 2021
41. Jun 30, 2021
42. Jul 31, 2021
43. Aug 31, 2021
44. Sep 30, 2021
45. Oct 31, 2021
46. Nov 30, 2021
47. Dec 31, 2021
48. Jan 31, 2022
49. Feb 28, 2022
50. Mar 31, 2022
51. Apr 30, 2022
52. May 31, 2022
53. Jun 30, 2022
54. Jul 31, 2022
55. Aug 31, 2022
56. Sep 30, 2022
57. Oct 31, 2022
58. Nov 30, 2022
59. Dec 31, 2022
Total (Σ):

Show all

VarianceCSX = Σ(RCSX,t–RCSX)2 ÷ (59 – 1)
= ÷ (59 – 1)
=

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= ÷ (59 – 1)
=

CovarianceCSX, S&P 500 = Σ(RCSX,t–RCSX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= ÷ (59 – 1)
=

Systematic Risk (β) Estimation

Microsoft Excel
VarianceCSX
VarianceS&P 500
CovarianceCSX, S&P 500
Correlation coefficientCSX, S&P 5001
βCSX2
αCSX3

Calculations

1 Correlation coefficientCSX, S&P 500
= CovarianceCSX, S&P 500 ÷ (Standard deviationCSX × Standard deviationS&P 500)
= ÷ ( × )
=

2 βCSX
= CovarianceCSX, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αCSX
= AverageCSX – βCSX × AverageS&P 500
= – ×
=

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF
Expected rate of return on market portfolio2 E(RM)
Systematic risk (β) of CSX Corp. common stock βCSX
 
Expected rate of return on CSX Corp. common stock3 E(RCSX)

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(RCSX) = RF + βCSX [E(RM) – RF]
= + [ – ]
=