Stock Analysis on Net

Regeneron Pharmaceuticals Inc. (NASDAQ:REGN)

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

Regeneron Pharmaceuticals Inc., monthly rates of return

Microsoft Excel
Regeneron Pharmaceuticals Inc. (REGN) Standard & Poor’s 500 (S&P 500)
t Date PriceREGN,t1 DividendREGN,t1 RREGN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $429.27 2,704.10
1. Feb 28, 2019 $430.74 0.34% 2,784.49 2.97%
2. Mar 31, 2019 $410.62 -4.67% 2,834.40 1.79%
3. Apr 30, 2019 $343.14 -16.43% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 $823.81 5.63% 4,567.80 8.92%
59. Dec 31, 2023 $878.29 6.61% 4,769.83 4.42%
Average (R): 1.59% 1.11%
Standard deviation: 8.83% 5.31%
Regeneron Pharmaceuticals Inc. (REGN) Standard & Poor’s 500 (S&P 500)
t Date PriceREGN,t1 DividendREGN,t1 RREGN,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $429.27 2,704.10
1. Feb 28, 2019 $430.74 0.34% 2,784.49 2.97%
2. Mar 31, 2019 $410.62 -4.67% 2,834.40 1.79%
3. Apr 30, 2019 $343.14 -16.43% 2,945.83 3.93%
4. May 31, 2019 $301.72 -12.07% 2,752.06 -6.58%
5. Jun 30, 2019 $313.00 3.74% 2,941.76 6.89%
6. Jul 31, 2019 $304.76 -2.63% 2,980.38 1.31%
7. Aug 31, 2019 $290.05 -4.83% 2,926.46 -1.81%
8. Sep 30, 2019 $277.40 -4.36% 2,976.74 1.72%
9. Oct 31, 2019 $306.28 10.41% 3,037.56 2.04%
10. Nov 30, 2019 $369.00 20.48% 3,140.98 3.40%
11. Dec 31, 2019 $375.48 1.76% 3,230.78 2.86%
12. Jan 31, 2020 $337.94 -10.00% 3,225.52 -0.16%
13. Feb 29, 2020 $444.57 31.55% 2,954.22 -8.41%
14. Mar 31, 2020 $488.29 9.83% 2,584.59 -12.51%
15. Apr 30, 2020 $525.88 7.70% 2,912.43 12.68%
16. May 31, 2020 $612.81 16.53% 3,044.31 4.53%
17. Jun 30, 2020 $623.65 1.77% 3,100.29 1.84%
18. Jul 31, 2020 $632.07 1.35% 3,271.12 5.51%
19. Aug 31, 2020 $619.93 -1.92% 3,500.31 7.01%
20. Sep 30, 2020 $559.78 -9.70% 3,363.00 -3.92%
21. Oct 31, 2020 $543.56 -2.90% 3,269.96 -2.77%
22. Nov 30, 2020 $516.03 -5.06% 3,621.63 10.75%
23. Dec 31, 2020 $483.11 -6.38% 3,756.07 3.71%
24. Jan 31, 2021 $503.84 4.29% 3,714.24 -1.11%
25. Feb 28, 2021 $450.57 -10.57% 3,811.15 2.61%
26. Mar 31, 2021 $473.14 5.01% 3,972.89 4.24%
27. Apr 30, 2021 $481.30 1.72% 4,181.17 5.24%
28. May 31, 2021 $502.43 4.39% 4,204.11 0.55%
29. Jun 30, 2021 $558.54 11.17% 4,297.50 2.22%
30. Jul 31, 2021 $574.61 2.88% 4,395.26 2.27%
31. Aug 31, 2021 $673.40 17.19% 4,522.68 2.90%
32. Sep 30, 2021 $605.18 -10.13% 4,307.54 -4.76%
33. Oct 31, 2021 $639.94 5.74% 4,605.38 6.91%
34. Nov 30, 2021 $636.53 -0.53% 4,567.00 -0.83%
35. Dec 31, 2021 $631.52 -0.79% 4,766.18 4.36%
36. Jan 31, 2022 $608.59 -3.63% 4,515.55 -5.26%
37. Feb 28, 2022 $618.36 1.61% 4,373.94 -3.14%
38. Mar 31, 2022 $698.42 12.95% 4,530.41 3.58%
39. Apr 30, 2022 $659.11 -5.63% 4,131.93 -8.80%
40. May 31, 2022 $664.74 0.85% 4,132.15 0.01%
41. Jun 30, 2022 $591.13 -11.07% 3,785.38 -8.39%
42. Jul 31, 2022 $581.69 -1.60% 4,130.29 9.11%
43. Aug 31, 2022 $581.06 -0.11% 3,955.00 -4.24%
44. Sep 30, 2022 $688.87 18.55% 3,585.62 -9.34%
45. Oct 31, 2022 $748.75 8.69% 3,871.98 7.99%
46. Nov 30, 2022 $751.70 0.39% 4,080.11 5.38%
47. Dec 31, 2022 $721.49 -4.02% 3,839.50 -5.90%
48. Jan 31, 2023 $758.47 5.13% 4,076.60 6.18%
49. Feb 28, 2023 $760.42 0.26% 3,970.15 -2.61%
50. Mar 31, 2023 $821.67 8.05% 4,109.31 3.51%
51. Apr 30, 2023 $801.79 -2.42% 4,169.48 1.46%
52. May 31, 2023 $735.56 -8.26% 4,179.83 0.25%
53. Jun 30, 2023 $718.54 -2.31% 4,376.86 4.71%
54. Jul 31, 2023 $741.91 3.25% 4,588.96 4.85%
55. Aug 31, 2023 $826.49 11.40% 4,507.66 -1.77%
56. Sep 30, 2023 $822.96 -0.43% 4,288.05 -4.87%
57. Oct 31, 2023 $779.89 -5.23% 4,193.80 -2.20%
58. Nov 30, 2023 $823.81 5.63% 4,567.80 8.92%
59. Dec 31, 2023 $878.29 6.61% 4,769.83 4.42%
Average (R): 1.59% 1.11%
Standard deviation: 8.83% 5.31%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of REGN during period t

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


Variance and Covariance

Regeneron Pharmaceuticals Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RREGN,t RS&P 500,t (RREGN,tRREGN)2 (RS&P 500,tRS&P 500)2 (RREGN,tRREGN)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 0.34% 2.97% 1.55 3.49 -2.32
2. Mar 31, 2019 -4.67% 1.79% 39.14 0.47 -4.30
3. Apr 30, 2019 -16.43% 3.93% 324.69 7.98 -50.91
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 5.63% 8.92% 16.37 61.03 31.61
59. Dec 31, 2023 6.61% 4.42% 25.28 11.00 16.68
Total (Σ): 4,519.70 1,634.30 182.87
t Date RREGN,t RS&P 500,t (RREGN,tRREGN)2 (RS&P 500,tRS&P 500)2 (RREGN,tRREGN)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 0.34% 2.97% 1.55 3.49 -2.32
2. Mar 31, 2019 -4.67% 1.79% 39.14 0.47 -4.30
3. Apr 30, 2019 -16.43% 3.93% 324.69 7.98 -50.91
4. May 31, 2019 -12.07% -6.58% 186.50 59.04 104.93
5. Jun 30, 2019 3.74% 6.89% 4.64 33.49 12.46
6. Jul 31, 2019 -2.63% 1.31% 17.79 0.04 -0.87
7. Aug 31, 2019 -4.83% -1.81% 41.12 8.50 18.69
8. Sep 30, 2019 -4.36% 1.72% 35.36 0.37 -3.64
9. Oct 31, 2019 10.41% 2.04% 77.89 0.88 8.27
10. Nov 30, 2019 20.48% 3.40% 356.93 5.28 43.43
11. Dec 31, 2019 1.76% 2.86% 0.03 3.07 0.30
12. Jan 31, 2020 -10.00% -0.16% 134.17 1.61 14.70
13. Feb 29, 2020 31.55% -8.41% 898.05 90.57 -285.20
14. Mar 31, 2020 9.83% -12.51% 68.04 185.44 -112.33
15. Apr 30, 2020 7.70% 12.68% 37.37 134.06 70.78
16. May 31, 2020 16.53% 4.53% 223.35 11.71 51.15
17. Jun 30, 2020 1.77% 1.84% 0.03 0.54 0.13
18. Jul 31, 2020 1.35% 5.51% 0.06 19.40 -1.04
19. Aug 31, 2020 -1.92% 7.01% 12.29 34.82 -20.69
20. Sep 30, 2020 -9.70% -3.92% 127.42 25.29 56.76
21. Oct 31, 2020 -2.90% -2.77% 20.10 15.00 17.36
22. Nov 30, 2020 -5.06% 10.75% 44.23 93.10 -64.17
23. Dec 31, 2020 -6.38% 3.71% 63.44 6.79 -20.76
24. Jan 31, 2021 4.29% -1.11% 7.32 4.93 -6.00
25. Feb 28, 2021 -10.57% 2.61% 147.82 2.26 -18.28
26. Mar 31, 2021 5.01% 4.24% 11.72 9.85 10.74
27. Apr 30, 2021 1.72% 5.24% 0.02 17.11 0.58
28. May 31, 2021 4.39% 0.55% 7.87 0.31 -1.56
29. Jun 30, 2021 11.17% 2.22% 91.82 1.24 10.69
30. Jul 31, 2021 2.88% 2.27% 1.67 1.37 1.51
31. Aug 31, 2021 17.19% 2.90% 243.58 3.22 27.99
32. Sep 30, 2021 -10.13% -4.76% 137.27 34.37 68.69
33. Oct 31, 2021 5.74% 6.91% 17.29 33.74 24.15
34. Nov 30, 2021 -0.53% -0.83% 4.49 3.76 4.11
35. Dec 31, 2021 -0.79% 4.36% 5.63 10.60 -7.72
36. Jan 31, 2022 -3.63% -5.26% 27.21 40.51 33.20
37. Feb 28, 2022 1.61% -3.14% 0.00 17.99 -0.08
38. Mar 31, 2022 12.95% 3.58% 129.09 6.11 28.08
39. Apr 30, 2022 -5.63% -8.80% 52.04 98.04 71.43
40. May 31, 2022 0.85% 0.01% 0.53 1.21 0.80
41. Jun 30, 2022 -11.07% -8.39% 160.25 90.21 120.23
42. Jul 31, 2022 -1.60% 9.11% 10.13 64.09 -25.48
43. Aug 31, 2022 -0.11% -4.24% 2.87 28.62 9.06
44. Sep 30, 2022 18.55% -9.34% 287.93 109.11 -177.24
45. Oct 31, 2022 8.69% 7.99% 50.51 47.34 48.90
46. Nov 30, 2022 0.39% 5.38% 1.42 18.23 -5.09
47. Dec 31, 2022 -4.02% -5.90% 31.41 49.04 39.25
48. Jan 31, 2023 5.13% 6.18% 12.53 25.70 17.95
49. Feb 28, 2023 0.26% -2.61% 1.76 13.82 4.94
50. Mar 31, 2023 8.05% 3.51% 41.85 5.76 15.52
51. Apr 30, 2023 -2.42% 1.46% 16.04 0.13 -1.44
52. May 31, 2023 -8.26% 0.25% 96.94 0.74 8.44
53. Jun 30, 2023 -2.31% 4.71% 15.21 13.02 -14.07
54. Jul 31, 2023 3.25% 4.85% 2.78 13.99 6.23
55. Aug 31, 2023 11.40% -1.77% 96.33 8.28 -28.24
56. Sep 30, 2023 -0.43% -4.87% 4.05 35.73 12.03
57. Oct 31, 2023 -5.23% -2.20% 46.50 10.92 22.53
58. Nov 30, 2023 5.63% 8.92% 16.37 61.03 31.61
59. Dec 31, 2023 6.61% 4.42% 25.28 11.00 16.68
Total (Σ): 4,519.70 1,634.30 182.87

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VarianceREGN = Σ(RREGN,tRREGN)2 ÷ (59 – 1)
= 4,519.70 ÷ (59 – 1)
= 77.93

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianceREGN, S&P 500 = Σ(RREGN,tRREGN)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 182.87 ÷ (59 – 1)
= 3.15


Systematic Risk (β) Estimation

Microsoft Excel
VarianceREGN 77.93
VarianceS&P 500 28.18
CovarianceREGN, S&P 500 3.15
Correlation coefficientREGN, S&P 5001 0.07
βREGN2 0.11
αREGN3 1.46%

Calculations

1 Correlation coefficientREGN, S&P 500
= CovarianceREGN, S&P 500 ÷ (Standard deviationREGN × Standard deviationS&P 500)
= 3.15 ÷ (8.83% × 5.31%)
= 0.07

2 βREGN
= CovarianceREGN, S&P 500 ÷ VarianceS&P 500
= 3.15 ÷ 28.18
= 0.11

3 αREGN
= AverageREGN – βREGN × AverageS&P 500
= 1.59%0.11 × 1.11%
= 1.46%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.57%
Expected rate of return on market portfolio2 E(RM) 13.82%
Systematic risk (β) of Regeneron Pharmaceuticals Inc. common stock βREGN 0.11
 
Expected rate of return on Regeneron Pharmaceuticals Inc. common stock3 E(RREGN) 5.61%

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(RREGN) = RF + βREGN [E(RM) – RF]
= 4.57% + 0.11 [13.82%4.57%]
= 5.61%