Stock Analysis on Net

Western Digital Corp. (NASDAQ:WDC)

This company has been moved to the archive! The financial data has not been updated since February 12, 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 Western Digital Corp. common stock.


Rates of Return

Western Digital Corp., monthly rates of return

Microsoft Excel
Western Digital Corp. (WDC) Standard & Poor’s 500 (S&P 500)
t Date PriceWDC,t1 DividendWDC,t1 RWDC,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2017 $85.12 2,470.30
1. Aug 31, 2017 $88.27 3.70% 2,471.65 0.05%
2. Sep 30, 2017 $86.40 $0.50 -1.55% 2,519.36 1.93%
3. Oct 31, 2017 $89.27 3.32% 2,575.26 2.22%
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2023 $38.73 12.46% 4,179.83 0.25%
71. Jun 30, 2023 $37.93 -2.07% 4,376.86 4.71%
Average (R): -0.09% 0.94%
Standard deviation: 13.54% 5.05%
Western Digital Corp. (WDC) Standard & Poor’s 500 (S&P 500)
t Date PriceWDC,t1 DividendWDC,t1 RWDC,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2017 $85.12 2,470.30
1. Aug 31, 2017 $88.27 3.70% 2,471.65 0.05%
2. Sep 30, 2017 $86.40 $0.50 -1.55% 2,519.36 1.93%
3. Oct 31, 2017 $89.27 3.32% 2,575.26 2.22%
4. Nov 30, 2017 $78.86 -11.66% 2,647.58 2.81%
5. Dec 31, 2017 $79.53 $0.50 1.48% 2,673.61 0.98%
6. Jan 31, 2018 $88.98 11.88% 2,823.81 5.62%
7. Feb 28, 2018 $87.04 -2.18% 2,713.83 -3.89%
8. Mar 31, 2018 $92.27 $0.50 6.58% 2,640.87 -2.69%
9. Apr 30, 2018 $78.79 -14.61% 2,648.05 0.27%
10. May 31, 2018 $83.51 5.99% 2,705.27 2.16%
11. Jun 30, 2018 $77.41 $0.50 -6.71% 2,718.37 0.48%
12. Jul 31, 2018 $70.15 -9.38% 2,816.29 3.60%
13. Aug 31, 2018 $63.24 -9.85% 2,901.52 3.03%
14. Sep 30, 2018 $58.54 $0.50 -6.64% 2,913.98 0.43%
15. Oct 31, 2018 $43.07 -26.43% 2,711.74 -6.94%
16. Nov 30, 2018 $45.39 5.39% 2,760.17 1.79%
17. Dec 31, 2018 $36.97 $0.50 -17.45% 2,506.85 -9.18%
18. Jan 31, 2019 $44.99 21.69% 2,704.10 7.87%
19. Feb 28, 2019 $50.30 11.80% 2,784.49 2.97%
20. Mar 31, 2019 $48.06 $0.50 -3.46% 2,834.40 1.79%
21. Apr 30, 2019 $51.12 6.37% 2,945.83 3.93%
22. May 31, 2019 $37.22 -27.19% 2,752.06 -6.58%
23. Jun 30, 2019 $47.55 $0.50 29.10% 2,941.76 6.89%
24. Jul 31, 2019 $53.89 13.33% 2,980.38 1.31%
25. Aug 31, 2019 $57.27 6.27% 2,926.46 -1.81%
26. Sep 30, 2019 $59.64 4.14% 2,976.74 1.72%
27. Oct 31, 2019 $51.65 $0.50 -12.56% 3,037.56 2.04%
28. Nov 30, 2019 $50.33 -2.56% 3,140.98 3.40%
29. Dec 31, 2019 $63.47 26.11% 3,230.78 2.86%
30. Jan 31, 2020 $65.50 $0.50 3.99% 3,225.52 -0.16%
31. Feb 29, 2020 $55.56 -15.18% 2,954.22 -8.41%
32. Mar 31, 2020 $41.62 -25.09% 2,584.59 -12.51%
33. Apr 30, 2020 $46.08 $0.50 11.92% 2,912.43 12.68%
34. May 31, 2020 $44.37 -3.71% 3,044.31 4.53%
35. Jun 30, 2020 $44.15 -0.50% 3,100.29 1.84%
36. Jul 31, 2020 $43.10 -2.38% 3,271.12 5.51%
37. Aug 31, 2020 $38.42 -10.86% 3,500.31 7.01%
38. Sep 30, 2020 $36.55 -4.87% 3,363.00 -3.92%
39. Oct 31, 2020 $37.73 3.23% 3,269.96 -2.77%
40. Nov 30, 2020 $44.88 18.95% 3,621.63 10.75%
41. Dec 31, 2020 $55.39 23.42% 3,756.07 3.71%
42. Jan 31, 2021 $56.43 1.88% 3,714.24 -1.11%
43. Feb 28, 2021 $68.53 21.44% 3,811.15 2.61%
44. Mar 31, 2021 $66.75 -2.60% 3,972.89 4.24%
45. Apr 30, 2021 $70.63 5.81% 4,181.17 5.24%
46. May 31, 2021 $75.23 6.51% 4,204.11 0.55%
47. Jun 30, 2021 $71.17 -5.40% 4,297.50 2.22%
48. Jul 31, 2021 $64.93 -8.77% 4,395.26 2.27%
49. Aug 31, 2021 $63.20 -2.66% 4,522.68 2.90%
50. Sep 30, 2021 $56.44 -10.70% 4,307.54 -4.76%
51. Oct 31, 2021 $52.29 -7.35% 4,605.38 6.91%
52. Nov 30, 2021 $57.84 10.61% 4,567.00 -0.83%
53. Dec 31, 2021 $65.21 12.74% 4,766.18 4.36%
54. Jan 31, 2022 $51.74 -20.66% 4,515.55 -5.26%
55. Feb 28, 2022 $50.94 -1.55% 4,373.94 -3.14%
56. Mar 31, 2022 $49.65 -2.53% 4,530.41 3.58%
57. Apr 30, 2022 $53.07 6.89% 4,131.93 -8.80%
58. May 31, 2022 $60.69 14.36% 4,132.15 0.01%
59. Jun 30, 2022 $44.83 -26.13% 3,785.38 -8.39%
60. Jul 31, 2022 $49.10 9.52% 4,130.29 9.11%
61. Aug 31, 2022 $42.26 -13.93% 3,955.00 -4.24%
62. Sep 30, 2022 $32.55 -22.98% 3,585.62 -9.34%
63. Oct 31, 2022 $34.37 5.59% 3,871.98 7.99%
64. Nov 30, 2022 $36.75 6.92% 4,080.11 5.38%
65. Dec 31, 2022 $31.55 -14.15% 3,839.50 -5.90%
66. Jan 31, 2023 $43.95 39.30% 4,076.60 6.18%
67. Feb 28, 2023 $38.48 -12.45% 3,970.15 -2.61%
68. Mar 31, 2023 $37.67 -2.10% 4,109.31 3.51%
69. Apr 30, 2023 $34.44 -8.57% 4,169.48 1.46%
70. May 31, 2023 $38.73 12.46% 4,179.83 0.25%
71. Jun 30, 2023 $37.93 -2.07% 4,376.86 4.71%
Average (R): -0.09% 0.94%
Standard deviation: 13.54% 5.05%

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 WDC during period t

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


Variance and Covariance

Western Digital Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RWDC,t RS&P 500,t (RWDC,tRWDC)2 (RS&P 500,tRS&P 500)2 (RWDC,tRWDC)×(RS&P 500,tRS&P 500)
1. Aug 31, 2017 3.70% 0.05% 14.40 0.78 -3.34
2. Sep 30, 2017 -1.55% 1.93% 2.13 0.99 -1.45
3. Oct 31, 2017 3.32% 2.22% 11.67 1.65 4.38
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2023 12.46% 0.25% 157.51 0.47 -8.63
71. Jun 30, 2023 -2.07% 4.71% 3.89 14.27 -7.45
Total (Σ): 12,838.63 1,786.26 2,894.84
t Date RWDC,t RS&P 500,t (RWDC,tRWDC)2 (RS&P 500,tRS&P 500)2 (RWDC,tRWDC)×(RS&P 500,tRS&P 500)
1. Aug 31, 2017 3.70% 0.05% 14.40 0.78 -3.34
2. Sep 30, 2017 -1.55% 1.93% 2.13 0.99 -1.45
3. Oct 31, 2017 3.32% 2.22% 11.67 1.65 4.38
4. Nov 30, 2017 -11.66% 2.81% 133.80 3.51 -21.66
5. Dec 31, 2017 1.48% 0.98% 2.49 0.00 0.07
6. Jan 31, 2018 11.88% 5.62% 143.43 21.92 56.07
7. Feb 28, 2018 -2.18% -3.89% 4.35 23.33 10.08
8. Mar 31, 2018 6.58% -2.69% 44.59 13.14 -24.20
9. Apr 30, 2018 -14.61% 0.27% 210.69 0.44 9.64
10. May 31, 2018 5.99% 2.16% 37.02 1.50 7.45
11. Jun 30, 2018 -6.71% 0.48% 43.72 0.20 2.99
12. Jul 31, 2018 -9.38% 3.60% 86.20 7.11 -24.76
13. Aug 31, 2018 -9.85% 3.03% 95.18 4.37 -20.40
14. Sep 30, 2018 -6.64% 0.43% 42.87 0.26 3.32
15. Oct 31, 2018 -26.43% -6.94% 693.39 62.03 207.40
16. Nov 30, 2018 5.39% 1.79% 30.04 0.72 4.66
17. Dec 31, 2018 -17.45% -9.18% 301.19 102.28 175.52
18. Jan 31, 2019 21.69% 7.87% 474.69 48.06 151.04
19. Feb 28, 2019 11.80% 2.97% 141.53 4.15 24.23
20. Mar 31, 2019 -3.46% 1.79% 11.32 0.73 -2.88
21. Apr 30, 2019 6.37% 3.93% 41.75 8.97 19.35
22. May 31, 2019 -27.19% -6.58% 734.24 56.45 203.59
23. Jun 30, 2019 29.10% 6.89% 852.13 35.49 173.90
24. Jul 31, 2019 13.33% 1.31% 180.29 0.14 5.06
25. Aug 31, 2019 6.27% -1.81% 40.53 7.53 -17.47
26. Sep 30, 2019 4.14% 1.72% 17.91 0.61 3.31
27. Oct 31, 2019 -12.56% 2.04% 155.37 1.23 -13.80
28. Nov 30, 2019 -2.56% 3.40% 6.06 6.10 -6.08
29. Dec 31, 2019 26.11% 2.86% 686.53 3.70 50.39
30. Jan 31, 2020 3.99% -0.16% 16.65 1.21 -4.48
31. Feb 29, 2020 -15.18% -8.41% 227.45 87.36 140.96
32. Mar 31, 2020 -25.09% -12.51% 624.80 180.84 336.14
33. Apr 30, 2020 11.92% 12.68% 144.27 138.03 141.12
34. May 31, 2020 -3.71% 4.53% 13.08 12.91 -12.99
35. Jun 30, 2020 -0.50% 1.84% 0.16 0.82 -0.36
36. Jul 31, 2020 -2.38% 5.51% 5.22 20.92 -10.45
37. Aug 31, 2020 -10.86% 7.01% 115.87 36.85 -65.35
38. Sep 30, 2020 -4.87% -3.92% 22.78 23.61 23.19
39. Oct 31, 2020 3.23% -2.77% 11.04 13.71 -12.30
40. Nov 30, 2020 18.95% 10.75% 362.69 96.41 186.99
41. Dec 31, 2020 23.42% 3.71% 552.82 7.71 65.28
42. Jan 31, 2021 1.88% -1.11% 3.89 4.20 -4.04
43. Feb 28, 2021 21.44% 2.61% 463.82 2.80 36.04
44. Mar 31, 2021 -2.60% 4.24% 6.27 10.94 -8.28
45. Apr 30, 2021 5.81% 5.24% 34.89 18.55 25.44
46. May 31, 2021 6.51% 0.55% 43.65 0.15 -2.56
47. Jun 30, 2021 -5.40% 2.22% 28.12 1.65 -6.82
48. Jul 31, 2021 -8.77% 2.27% 75.23 1.79 -11.61
49. Aug 31, 2021 -2.66% 2.90% 6.61 3.85 -5.05
50. Sep 30, 2021 -10.70% -4.76% 112.41 32.41 60.35
51. Oct 31, 2021 -7.35% 6.91% 52.69 35.74 -43.40
52. Nov 30, 2021 10.61% -0.83% 114.66 3.13 -18.94
53. Dec 31, 2021 12.74% 4.36% 164.77 11.73 43.97
54. Jan 31, 2022 -20.66% -5.26% 422.81 38.37 127.37
55. Feb 28, 2022 -1.55% -3.14% 2.11 16.58 5.91
56. Mar 31, 2022 -2.53% 3.58% 5.95 6.98 -6.44
57. Apr 30, 2022 6.89% -8.80% 48.75 94.70 -67.95
58. May 31, 2022 14.36% 0.01% 208.87 0.87 -13.45
59. Jun 30, 2022 -26.13% -8.39% 678.02 87.01 242.88
60. Jul 31, 2022 9.52% 9.11% 92.52 66.84 78.64
61. Aug 31, 2022 -13.93% -4.24% 191.45 26.83 71.67
62. Sep 30, 2022 -22.98% -9.34% 523.62 105.58 235.13
63. Oct 31, 2022 5.59% 7.99% 32.32 49.71 40.09
64. Nov 30, 2022 6.92% 5.38% 49.26 19.71 31.16
65. Dec 31, 2022 -14.15% -5.90% 197.56 46.69 96.04
66. Jan 31, 2023 39.30% 6.18% 1,552.10 27.45 206.42
67. Feb 28, 2023 -12.45% -2.61% 152.57 12.58 43.81
68. Mar 31, 2023 -2.10% 3.51% 4.04 6.60 -5.17
69. Apr 30, 2023 -8.57% 1.46% 71.92 0.28 -4.48
70. May 31, 2023 12.46% 0.25% 157.51 0.47 -8.63
71. Jun 30, 2023 -2.07% 4.71% 3.89 14.27 -7.45
Total (Σ): 12,838.63 1,786.26 2,894.84

Show all

VarianceWDC = Σ(RWDC,tRWDC)2 ÷ (71 – 1)
= 12,838.63 ÷ (71 – 1)
= 183.41

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,786.26 ÷ (71 – 1)
= 25.52

CovarianceWDC, S&P 500 = Σ(RWDC,tRWDC)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,894.84 ÷ (71 – 1)
= 41.35


Systematic Risk (β) Estimation

Microsoft Excel
VarianceWDC 183.41
VarianceS&P 500 25.52
CovarianceWDC, S&P 500 41.35
Correlation coefficientWDC, S&P 5001 0.60
βWDC2 1.62
αWDC3 -1.61%

Calculations

1 Correlation coefficientWDC, S&P 500
= CovarianceWDC, S&P 500 ÷ (Standard deviationWDC × Standard deviationS&P 500)
= 41.35 ÷ (13.54% × 5.05%)
= 0.60

2 βWDC
= CovarianceWDC, S&P 500 ÷ VarianceS&P 500
= 41.35 ÷ 25.52
= 1.62

3 αWDC
= AverageWDC – βWDC × AverageS&P 500
= -0.09%1.62 × 0.94%
= -1.61%


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 Western Digital Corp. common stock βWDC 1.62
 
Expected rate of return on Western Digital Corp. common stock3 E(RWDC) 19.43%

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(RWDC) = RF + βWDC [E(RM) – RF]
= 4.68% + 1.62 [13.78%4.68%]
= 19.43%