Stock Analysis on Net

United Airlines Holdings Inc. (NASDAQ:UAL)

This company has been moved to the archive! The financial data has not been updated since April 17, 2024.

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 United Airlines Holdings Inc. common stock.


Rates of Return

United Airlines Holdings Inc., monthly rates of return

Microsoft Excel
United Airlines Holdings Inc. (UAL) Standard & Poor’s 500 (S&P 500)
t Date PriceUAL,t1 DividendUAL,t1 RUAL,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $87.27 2,704.10
1. Feb 28, 2019 $87.81 0.62% 2,784.49 2.97%
2. Mar 31, 2019 $79.78 -9.14% 2,834.40 1.79%
3. Apr 30, 2019 $88.86 11.38% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 $39.40 12.54% 4,567.80 8.92%
59. Dec 31, 2023 $41.26 4.72% 4,769.83 4.42%
Average (R): -0.22% 1.11%
Standard deviation: 14.14% 5.31%
United Airlines Holdings Inc. (UAL) Standard & Poor’s 500 (S&P 500)
t Date PriceUAL,t1 DividendUAL,t1 RUAL,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2019 $87.27 2,704.10
1. Feb 28, 2019 $87.81 0.62% 2,784.49 2.97%
2. Mar 31, 2019 $79.78 -9.14% 2,834.40 1.79%
3. Apr 30, 2019 $88.86 11.38% 2,945.83 3.93%
4. May 31, 2019 $77.65 -12.62% 2,752.06 -6.58%
5. Jun 30, 2019 $87.55 12.75% 2,941.76 6.89%
6. Jul 31, 2019 $91.91 4.98% 2,980.38 1.31%
7. Aug 31, 2019 $84.31 -8.27% 2,926.46 -1.81%
8. Sep 30, 2019 $88.41 4.86% 2,976.74 1.72%
9. Oct 31, 2019 $90.84 2.75% 3,037.56 2.04%
10. Nov 30, 2019 $92.80 2.16% 3,140.98 3.40%
11. Dec 31, 2019 $88.09 -5.08% 3,230.78 2.86%
12. Jan 31, 2020 $74.80 -15.09% 3,225.52 -0.16%
13. Feb 29, 2020 $61.59 -17.66% 2,954.22 -8.41%
14. Mar 31, 2020 $31.55 -48.77% 2,584.59 -12.51%
15. Apr 30, 2020 $29.58 -6.24% 2,912.43 12.68%
16. May 31, 2020 $28.04 -5.21% 3,044.31 4.53%
17. Jun 30, 2020 $34.61 23.43% 3,100.29 1.84%
18. Jul 31, 2020 $31.38 -9.33% 3,271.12 5.51%
19. Aug 31, 2020 $36.00 14.72% 3,500.31 7.01%
20. Sep 30, 2020 $34.75 -3.47% 3,363.00 -3.92%
21. Oct 31, 2020 $33.86 -2.56% 3,269.96 -2.77%
22. Nov 30, 2020 $45.05 33.05% 3,621.63 10.75%
23. Dec 31, 2020 $43.25 -4.00% 3,756.07 3.71%
24. Jan 31, 2021 $39.99 -7.54% 3,714.24 -1.11%
25. Feb 28, 2021 $52.68 31.73% 3,811.15 2.61%
26. Mar 31, 2021 $57.54 9.23% 3,972.89 4.24%
27. Apr 30, 2021 $54.40 -5.46% 4,181.17 5.24%
28. May 31, 2021 $58.35 7.26% 4,204.11 0.55%
29. Jun 30, 2021 $52.29 -10.39% 4,297.50 2.22%
30. Jul 31, 2021 $46.72 -10.65% 4,395.26 2.27%
31. Aug 31, 2021 $46.51 -0.45% 4,522.68 2.90%
32. Sep 30, 2021 $47.57 2.28% 4,307.54 -4.76%
33. Oct 31, 2021 $46.14 -3.01% 4,605.38 6.91%
34. Nov 30, 2021 $42.26 -8.41% 4,567.00 -0.83%
35. Dec 31, 2021 $43.78 3.60% 4,766.18 4.36%
36. Jan 31, 2022 $42.88 -2.06% 4,515.55 -5.26%
37. Feb 28, 2022 $44.40 3.54% 4,373.94 -3.14%
38. Mar 31, 2022 $46.36 4.41% 4,530.41 3.58%
39. Apr 30, 2022 $50.50 8.93% 4,131.93 -8.80%
40. May 31, 2022 $47.63 -5.68% 4,132.15 0.01%
41. Jun 30, 2022 $35.42 -25.64% 3,785.38 -8.39%
42. Jul 31, 2022 $36.75 3.75% 4,130.29 9.11%
43. Aug 31, 2022 $35.01 -4.73% 3,955.00 -4.24%
44. Sep 30, 2022 $32.53 -7.08% 3,585.62 -9.34%
45. Oct 31, 2022 $43.08 32.43% 3,871.98 7.99%
46. Nov 30, 2022 $44.17 2.53% 4,080.11 5.38%
47. Dec 31, 2022 $37.70 -14.65% 3,839.50 -5.90%
48. Jan 31, 2023 $48.96 29.87% 4,076.60 6.18%
49. Feb 28, 2023 $51.96 6.13% 3,970.15 -2.61%
50. Mar 31, 2023 $44.25 -14.84% 4,109.31 3.51%
51. Apr 30, 2023 $43.80 -1.02% 4,169.48 1.46%
52. May 31, 2023 $47.47 8.38% 4,179.83 0.25%
53. Jun 30, 2023 $54.87 15.59% 4,376.86 4.71%
54. Jul 31, 2023 $54.31 -1.02% 4,588.96 4.85%
55. Aug 31, 2023 $49.81 -8.29% 4,507.66 -1.77%
56. Sep 30, 2023 $42.30 -15.08% 4,288.05 -4.87%
57. Oct 31, 2023 $35.01 -17.23% 4,193.80 -2.20%
58. Nov 30, 2023 $39.40 12.54% 4,567.80 8.92%
59. Dec 31, 2023 $41.26 4.72% 4,769.83 4.42%
Average (R): -0.22% 1.11%
Standard deviation: 14.14% 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 UAL during period t

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


Variance and Covariance

United Airlines Holdings Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RUAL,t RS&P 500,t (RUAL,tRUAL)2 (RS&P 500,tRS&P 500)2 (RUAL,tRUAL)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 0.62% 2.97% 0.70 3.49 1.57
2. Mar 31, 2019 -9.14% 1.79% 79.64 0.47 -6.13
3. Apr 30, 2019 11.38% 3.93% 134.61 7.98 32.78
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2023 12.54% 8.92% 162.82 61.03 99.68
59. Dec 31, 2023 4.72% 4.42% 24.42 11.00 16.39
Total (Σ): 11,604.63 1,634.30 2,482.30
t Date RUAL,t RS&P 500,t (RUAL,tRUAL)2 (RS&P 500,tRS&P 500)2 (RUAL,tRUAL)×(RS&P 500,tRS&P 500)
1. Feb 28, 2019 0.62% 2.97% 0.70 3.49 1.57
2. Mar 31, 2019 -9.14% 1.79% 79.64 0.47 -6.13
3. Apr 30, 2019 11.38% 3.93% 134.61 7.98 32.78
4. May 31, 2019 -12.62% -6.58% 153.63 59.04 95.24
5. Jun 30, 2019 12.75% 6.89% 168.23 33.49 75.06
6. Jul 31, 2019 4.98% 1.31% 27.05 0.04 1.08
7. Aug 31, 2019 -8.27% -1.81% 64.77 8.50 23.46
8. Sep 30, 2019 4.86% 1.72% 25.84 0.37 3.11
9. Oct 31, 2019 2.75% 2.04% 8.82 0.88 2.78
10. Nov 30, 2019 2.16% 3.40% 5.66 5.28 5.47
11. Dec 31, 2019 -5.08% 2.86% 23.57 3.07 -8.51
12. Jan 31, 2020 -15.09% -0.16% 221.00 1.61 18.86
13. Feb 29, 2020 -17.66% -8.41% 304.14 90.57 165.97
14. Mar 31, 2020 -48.77% -12.51% 2,357.43 185.44 661.19
15. Apr 30, 2020 -6.24% 12.68% 36.28 134.06 -69.74
16. May 31, 2020 -5.21% 4.53% 24.85 11.71 -17.06
17. Jun 30, 2020 23.43% 1.84% 559.40 0.54 17.34
18. Jul 31, 2020 -9.33% 5.51% 83.03 19.40 -40.13
19. Aug 31, 2020 14.72% 7.01% 223.31 34.82 88.18
20. Sep 30, 2020 -3.47% -3.92% 10.57 25.29 16.35
21. Oct 31, 2020 -2.56% -2.77% 5.48 15.00 9.06
22. Nov 30, 2020 33.05% 10.75% 1,106.80 93.10 321.00
23. Dec 31, 2020 -4.00% 3.71% 14.25 6.79 -9.84
24. Jan 31, 2021 -7.54% -1.11% 53.54 4.93 16.24
25. Feb 28, 2021 31.73% 2.61% 1,021.04 2.26 48.04
26. Mar 31, 2021 9.23% 4.24% 89.23 9.85 29.64
27. Apr 30, 2021 -5.46% 5.24% 27.42 17.11 -21.66
28. May 31, 2021 7.26% 0.55% 55.98 0.31 -4.17
29. Jun 30, 2021 -10.39% 2.22% 103.32 1.24 -11.34
30. Jul 31, 2021 -10.65% 2.27% 108.81 1.37 -12.19
31. Aug 31, 2021 -0.45% 2.90% 0.05 3.22 -0.41
32. Sep 30, 2021 2.28% -4.76% 6.25 34.37 -14.66
33. Oct 31, 2021 -3.01% 6.91% 7.76 33.74 -16.18
34. Nov 30, 2021 -8.41% -0.83% 67.05 3.76 15.88
35. Dec 31, 2021 3.60% 4.36% 14.57 10.60 12.43
36. Jan 31, 2022 -2.06% -5.26% 3.37 40.51 11.68
37. Feb 28, 2022 3.54% -3.14% 14.18 17.99 -15.97
38. Mar 31, 2022 4.41% 3.58% 21.48 6.11 11.46
39. Apr 30, 2022 8.93% -8.80% 83.74 98.04 -90.61
40. May 31, 2022 -5.68% 0.01% 29.84 1.21 6.01
41. Jun 30, 2022 -25.64% -8.39% 645.89 90.21 241.38
42. Jul 31, 2022 3.75% 9.11% 15.81 64.09 31.83
43. Aug 31, 2022 -4.73% -4.24% 20.38 28.62 24.15
44. Sep 30, 2022 -7.08% -9.34% 47.10 109.11 71.69
45. Oct 31, 2022 32.43% 7.99% 1,066.18 47.34 224.66
46. Nov 30, 2022 2.53% 5.38% 7.57 18.23 11.74
47. Dec 31, 2022 -14.65% -5.90% 208.14 49.04 101.03
48. Jan 31, 2023 29.87% 6.18% 905.29 25.70 152.53
49. Feb 28, 2023 6.13% -2.61% 40.30 13.82 -23.60
50. Mar 31, 2023 -14.84% 3.51% 213.67 5.76 -35.07
51. Apr 30, 2023 -1.02% 1.46% 0.63 0.13 -0.29
52. May 31, 2023 8.38% 0.25% 73.96 0.74 -7.38
53. Jun 30, 2023 15.59% 4.71% 249.94 13.02 57.04
54. Jul 31, 2023 -1.02% 4.85% 0.64 13.99 -2.99
55. Aug 31, 2023 -8.29% -1.77% 65.04 8.28 23.21
56. Sep 30, 2023 -15.08% -4.87% 220.72 35.73 88.81
57. Oct 31, 2023 -17.23% -2.20% 289.45 10.92 56.21
58. Nov 30, 2023 12.54% 8.92% 162.82 61.03 99.68
59. Dec 31, 2023 4.72% 4.42% 24.42 11.00 16.39
Total (Σ): 11,604.63 1,634.30 2,482.30

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VarianceUAL = Σ(RUAL,tRUAL)2 ÷ (59 – 1)
= 11,604.63 ÷ (59 – 1)
= 200.08

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

CovarianceUAL, S&P 500 = Σ(RUAL,tRUAL)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,482.30 ÷ (59 – 1)
= 42.80


Systematic Risk (β) Estimation

Microsoft Excel
VarianceUAL 200.08
VarianceS&P 500 28.18
CovarianceUAL, S&P 500 42.80
Correlation coefficientUAL, S&P 5001 0.57
βUAL2 1.52
αUAL3 -1.90%

Calculations

1 Correlation coefficientUAL, S&P 500
= CovarianceUAL, S&P 500 ÷ (Standard deviationUAL × Standard deviationS&P 500)
= 42.80 ÷ (14.14% × 5.31%)
= 0.57

2 βUAL
= CovarianceUAL, S&P 500 ÷ VarianceS&P 500
= 42.80 ÷ 28.18
= 1.52

3 αUAL
= AverageUAL – βUAL × AverageS&P 500
= -0.22%1.52 × 1.11%
= -1.90%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.68%
Expected rate of return on market portfolio2 E(RM) 13.78%
Systematic risk (β) of United Airlines Holdings Inc. common stock βUAL 1.52
 
Expected rate of return on United Airlines Holdings Inc. common stock3 E(RUAL) 18.51%

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(RUAL) = RF + βUAL [E(RM) – RF]
= 4.68% + 1.52 [13.78%4.68%]
= 18.51%