Stock Analysis on Net

Allergan Inc. (NYSE:AGN.)

$22.49

This company has been moved to the archive! The financial data has not been updated since February 19, 2015.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

Rates of Return

Allergan Inc., monthly rates of return

Microsoft Excel
Allergan Inc. (AGN.) Standard & Poor’s 500 (S&P 500)
t Date PriceAGN.,t1 DividendAGN.,t1 RAGN.,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010
1. Feb 28, 2010
2. Mar 31, 2010
3. Apr 30, 2010
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014
59. Dec 31, 2014
Average (R):
Standard deviation:
Allergan Inc. (AGN.) Standard & Poor’s 500 (S&P 500)
t Date PriceAGN.,t1 DividendAGN.,t1 RAGN.,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2010
1. Feb 28, 2010
2. Mar 31, 2010
3. Apr 30, 2010
4. May 31, 2010
5. Jun 30, 2010
6. Jul 31, 2010
7. Aug 31, 2010
8. Sep 30, 2010
9. Oct 31, 2010
10. Nov 30, 2010
11. Dec 31, 2010
12. Jan 31, 2011
13. Feb 28, 2011
14. Mar 31, 2011
15. Apr 30, 2011
16. May 31, 2011
17. Jun 30, 2011
18. Jul 31, 2011
19. Aug 31, 2011
20. Sep 30, 2011
21. Oct 31, 2011
22. Nov 30, 2011
23. Dec 31, 2011
24. Jan 31, 2012
25. Feb 29, 2012
26. Mar 31, 2012
27. Apr 30, 2012
28. May 31, 2012
29. Jun 30, 2012
30. Jul 31, 2012
31. Aug 31, 2012
32. Sep 30, 2012
33. Oct 31, 2012
34. Nov 30, 2012
35. Dec 31, 2012
36. Jan 31, 2013
37. Feb 28, 2013
38. Mar 31, 2013
39. Apr 30, 2013
40. May 31, 2013
41. Jun 30, 2013
42. Jul 31, 2013
43. Aug 31, 2013
44. Sep 30, 2013
45. Oct 31, 2013
46. Nov 30, 2013
47. Dec 31, 2013
48. Jan 31, 2014
49. Feb 28, 2014
50. Mar 31, 2014
51. Apr 30, 2014
52. May 31, 2014
53. Jun 30, 2014
54. Jul 31, 2014
55. Aug 31, 2014
56. Sep 30, 2014
57. Oct 31, 2014
58. Nov 30, 2014
59. Dec 31, 2014
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 AGN. during period t

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


Variance and Covariance

Allergan Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RAGN.,t RS&P 500,t (RAGN.,tRAGN.)2 (RS&P 500,tRS&P 500)2 (RAGN.,tRAGN.)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010
2. Mar 31, 2010
3. Apr 30, 2010
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2014
59. Dec 31, 2014
Total (Σ):
t Date RAGN.,t RS&P 500,t (RAGN.,tRAGN.)2 (RS&P 500,tRS&P 500)2 (RAGN.,tRAGN.)×(RS&P 500,tRS&P 500)
1. Feb 28, 2010
2. Mar 31, 2010
3. Apr 30, 2010
4. May 31, 2010
5. Jun 30, 2010
6. Jul 31, 2010
7. Aug 31, 2010
8. Sep 30, 2010
9. Oct 31, 2010
10. Nov 30, 2010
11. Dec 31, 2010
12. Jan 31, 2011
13. Feb 28, 2011
14. Mar 31, 2011
15. Apr 30, 2011
16. May 31, 2011
17. Jun 30, 2011
18. Jul 31, 2011
19. Aug 31, 2011
20. Sep 30, 2011
21. Oct 31, 2011
22. Nov 30, 2011
23. Dec 31, 2011
24. Jan 31, 2012
25. Feb 29, 2012
26. Mar 31, 2012
27. Apr 30, 2012
28. May 31, 2012
29. Jun 30, 2012
30. Jul 31, 2012
31. Aug 31, 2012
32. Sep 30, 2012
33. Oct 31, 2012
34. Nov 30, 2012
35. Dec 31, 2012
36. Jan 31, 2013
37. Feb 28, 2013
38. Mar 31, 2013
39. Apr 30, 2013
40. May 31, 2013
41. Jun 30, 2013
42. Jul 31, 2013
43. Aug 31, 2013
44. Sep 30, 2013
45. Oct 31, 2013
46. Nov 30, 2013
47. Dec 31, 2013
48. Jan 31, 2014
49. Feb 28, 2014
50. Mar 31, 2014
51. Apr 30, 2014
52. May 31, 2014
53. Jun 30, 2014
54. Jul 31, 2014
55. Aug 31, 2014
56. Sep 30, 2014
57. Oct 31, 2014
58. Nov 30, 2014
59. Dec 31, 2014
Total (Σ):

Show all

VarianceAGN. = Σ(RAGN.,tRAGN.)2 ÷ (59 – 1)
= ÷ (59 – 1)
=

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

CovarianceAGN., S&P 500 = Σ(RAGN.,tRAGN.)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= ÷ (59 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VarianceAGN.
VarianceS&P 500
CovarianceAGN., S&P 500
Correlation coefficientAGN., S&P 5001
βAGN.2
αAGN.3

Calculations

1 Correlation coefficientAGN., S&P 500
= CovarianceAGN., S&P 500 ÷ (Standard deviationAGN. × Standard deviationS&P 500)
= ÷ ( × )
=

2 βAGN.
= CovarianceAGN., S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αAGN.
= AverageAGN. – βAGN. × 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 Allergan Inc. common stock βAGN.
 
Expected rate of return on Allergan Inc. common stock3 E(RAGN.)

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(RAGN.) = RF + βAGN. [E(RM) – RF]
= + []
=