Stock Analysis on Net
Stock Analysis on Net

AmerisourceBergen Corp. (NYSE:ABC)

This company has been moved to the archive! The financial data has not been updated since August 2, 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 AmerisourceBergen Corp. common stock.

Rates of Return

AmerisourceBergen Corp., monthly rates of return

Microsoft Excel
AmerisourceBergen Corp. (ABC) Standard & Poor’s 500 (S&P 500)
t Date PriceABC,t1 DividendABC,t1 RABC,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2016 $70.32 2,126.15
1. Nov 30, 2016 $77.99 $0.365 11.43% 2,198.81 3.42%
2. Dec 31, 2016 $78.19 0.26% 2,238.83 1.82%
3. Jan 31, 2017 $87.28 11.63% 2,278.87 1.79%
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2022 $146.56 $0.46 0.75% 3,955.00 -4.24%
71. Sep 30, 2022 $135.33 -7.66% 3,585.62 -9.34%
Average (R): 1.28% 0.85%
Standard deviation: 6.60% 4.82%
AmerisourceBergen Corp. (ABC) Standard & Poor’s 500 (S&P 500)
t Date PriceABC,t1 DividendABC,t1 RABC,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2016 $70.32 2,126.15
1. Nov 30, 2016 $77.99 $0.365 11.43% 2,198.81 3.42%
2. Dec 31, 2016 $78.19 0.26% 2,238.83 1.82%
3. Jan 31, 2017 $87.28 11.63% 2,278.87 1.79%
4. Feb 28, 2017 $91.51 $0.365 5.26% 2,363.64 3.72%
5. Mar 31, 2017 $88.50 -3.29% 2,362.72 -0.04%
6. Apr 30, 2017 $82.05 -7.29% 2,384.20 0.91%
7. May 31, 2017 $91.77 $0.365 12.29% 2,411.80 1.16%
8. Jun 30, 2017 $94.53 3.01% 2,423.41 0.48%
9. Jul 31, 2017 $93.82 -0.75% 2,470.30 1.93%
10. Aug 31, 2017 $80.25 $0.365 -14.07% 2,471.65 0.05%
11. Sep 30, 2017 $82.75 3.12% 2,519.36 1.93%
12. Oct 31, 2017 $76.95 -7.01% 2,575.26 2.22%
13. Nov 30, 2017 $84.82 $0.38 10.72% 2,647.58 2.81%
14. Dec 31, 2017 $91.82 8.25% 2,673.61 0.98%
15. Jan 31, 2018 $99.67 8.55% 2,823.81 5.62%
16. Feb 28, 2018 $95.16 $0.38 -4.14% 2,713.83 -3.89%
17. Mar 31, 2018 $86.21 -9.41% 2,640.87 -2.69%
18. Apr 30, 2018 $90.58 5.07% 2,648.05 0.27%
19. May 31, 2018 $82.14 $0.38 -8.90% 2,705.27 2.16%
20. Jun 30, 2018 $85.27 3.81% 2,718.37 0.48%
21. Jul 31, 2018 $81.83 -4.03% 2,816.29 3.60%
22. Aug 31, 2018 $89.97 $0.38 10.41% 2,901.52 3.03%
23. Sep 30, 2018 $92.22 2.50% 2,913.98 0.43%
24. Oct 31, 2018 $88.00 -4.58% 2,711.74 -6.94%
25. Nov 30, 2018 $88.90 $0.40 1.48% 2,760.17 1.79%
26. Dec 31, 2018 $74.40 -16.31% 2,506.85 -9.18%
27. Jan 31, 2019 $83.37 12.06% 2,704.10 7.87%
28. Feb 28, 2019 $83.30 $0.40 0.40% 2,784.49 2.97%
29. Mar 31, 2019 $79.52 -4.54% 2,834.40 1.79%
30. Apr 30, 2019 $74.76 -5.99% 2,945.83 3.93%
31. May 31, 2019 $77.86 $0.40 4.68% 2,752.06 -6.58%
32. Jun 30, 2019 $85.26 9.50% 2,941.76 6.89%
33. Jul 31, 2019 $87.15 2.22% 2,980.38 1.31%
34. Aug 31, 2019 $82.27 $0.40 -5.14% 2,926.46 -1.81%
35. Sep 30, 2019 $82.33 0.07% 2,976.74 1.72%
36. Oct 31, 2019 $85.38 3.70% 3,037.56 2.04%
37. Nov 30, 2019 $87.91 $0.40 3.43% 3,140.98 3.40%
38. Dec 31, 2019 $85.02 -3.29% 3,230.78 2.86%
39. Jan 31, 2020 $85.56 0.64% 3,225.52 -0.16%
40. Feb 29, 2020 $84.32 $0.42 -0.96% 2,954.22 -8.41%
41. Mar 31, 2020 $88.50 4.96% 2,584.59 -12.51%
42. Apr 30, 2020 $89.66 1.31% 2,912.43 12.68%
43. May 31, 2020 $95.34 $0.42 6.80% 3,044.31 4.53%
44. Jun 30, 2020 $100.77 5.70% 3,100.29 1.84%
45. Jul 31, 2020 $100.19 -0.58% 3,271.12 5.51%
46. Aug 31, 2020 $97.03 $0.42 -2.73% 3,500.31 7.01%
47. Sep 30, 2020 $96.92 -0.11% 3,363.00 -3.92%
48. Oct 31, 2020 $96.07 -0.88% 3,269.96 -2.77%
49. Nov 30, 2020 $103.11 $0.44 7.79% 3,621.63 10.75%
50. Dec 31, 2020 $97.76 -5.19% 3,756.07 3.71%
51. Jan 31, 2021 $104.20 6.59% 3,714.24 -1.11%
52. Feb 28, 2021 $101.22 $0.44 -2.44% 3,811.15 2.61%
53. Mar 31, 2021 $118.07 16.65% 3,972.89 4.24%
54. Apr 30, 2021 $120.80 2.31% 4,181.17 5.24%
55. May 31, 2021 $114.74 $0.44 -4.65% 4,204.11 0.55%
56. Jun 30, 2021 $114.49 -0.22% 4,297.50 2.22%
57. Jul 31, 2021 $122.17 6.71% 4,395.26 2.27%
58. Aug 31, 2021 $122.21 $0.44 0.39% 4,522.68 2.90%
59. Sep 30, 2021 $119.45 -2.26% 4,307.54 -4.76%
60. Oct 31, 2021 $122.02 2.15% 4,605.38 6.91%
61. Nov 30, 2021 $115.75 $0.46 -4.76% 4,567.00 -0.83%
62. Dec 31, 2021 $132.89 14.81% 4,766.18 4.36%
63. Jan 31, 2022 $136.20 2.49% 4,515.55 -5.26%
64. Feb 28, 2022 $142.53 $0.46 4.99% 4,373.94 -3.14%
65. Mar 31, 2022 $154.71 8.55% 4,530.41 3.58%
66. Apr 30, 2022 $151.29 -2.21% 4,131.93 -8.80%
67. May 31, 2022 $154.79 $0.46 2.62% 4,132.15 0.01%
68. Jun 30, 2022 $141.48 -8.60% 3,785.38 -8.39%
69. Jul 31, 2022 $145.93 3.15% 4,130.29 9.11%
70. Aug 31, 2022 $146.56 $0.46 0.75% 3,955.00 -4.24%
71. Sep 30, 2022 $135.33 -7.66% 3,585.62 -9.34%
Average (R): 1.28% 0.85%
Standard deviation: 6.60% 4.82%

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 ABC during period t

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

Variance and Covariance

AmerisourceBergen Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RABC,t RS&P 500,t (RABC,t–RABC)2 (RS&P 500,t–RS&P 500)2 (RABC,t–RABC)×(RS&P 500,t–RS&P 500)
1. Nov 30, 2016 11.43% 3.42% 102.86 6.57 25.99
2. Dec 31, 2016 0.26% 1.82% 1.06 0.93 -0.99
3. Jan 31, 2017 11.63% 1.79% 106.94 0.87 9.66
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2022 0.75% -4.24% 0.29 25.99 2.74
71. Sep 30, 2022 -7.66% -9.34% 80.04 103.92 91.20
Total (Σ): 3,052.74 1,625.64 850.44
t Date RABC,t RS&P 500,t (RABC,t–RABC)2 (RS&P 500,t–RS&P 500)2 (RABC,t–RABC)×(RS&P 500,t–RS&P 500)
1. Nov 30, 2016 11.43% 3.42% 102.86 6.57 25.99
2. Dec 31, 2016 0.26% 1.82% 1.06 0.93 -0.99
3. Jan 31, 2017 11.63% 1.79% 106.94 0.87 9.66
4. Feb 28, 2017 5.26% 3.72% 15.84 8.21 11.40
5. Mar 31, 2017 -3.29% -0.04% 20.92 0.80 4.09
6. Apr 30, 2017 -7.29% 0.91% 73.49 0.00 -0.47
7. May 31, 2017 12.29% 1.16% 121.15 0.09 3.34
8. Jun 30, 2017 3.01% 0.48% 2.97 0.14 -0.64
9. Jul 31, 2017 -0.75% 1.93% 4.14 1.17 -2.20
10. Aug 31, 2017 -14.07% 0.05% 235.91 0.64 12.29
11. Sep 30, 2017 3.12% 1.93% 3.35 1.16 1.97
12. Oct 31, 2017 -7.01% 2.22% 68.78 1.86 -11.31
13. Nov 30, 2017 10.72% 2.81% 89.05 3.82 18.44
14. Dec 31, 2017 8.25% 0.98% 48.56 0.02 0.90
15. Jan 31, 2018 8.55% 5.62% 52.78 22.69 34.61
16. Feb 28, 2018 -4.14% -3.89% 29.46 22.56 25.78
17. Mar 31, 2018 -9.41% -2.69% 114.27 12.55 37.87
18. Apr 30, 2018 5.07% 0.27% 14.32 0.34 -2.21
19. May 31, 2018 -8.90% 2.16% 103.69 1.71 -13.30
20. Jun 30, 2018 3.81% 0.48% 6.38 0.14 -0.94
21. Jul 31, 2018 -4.03% 3.60% 28.29 7.55 -14.61
22. Aug 31, 2018 10.41% 3.03% 83.31 4.72 19.82
23. Sep 30, 2018 2.50% 0.43% 1.48 0.18 -0.52
24. Oct 31, 2018 -4.58% -6.94% 34.34 60.76 45.68
25. Nov 30, 2018 1.48% 1.79% 0.04 0.87 0.18
26. Dec 31, 2018 -16.31% -9.18% 309.58 100.65 176.52
27. Jan 31, 2019 12.06% 7.87% 116.04 49.20 75.55
28. Feb 28, 2019 0.40% 2.97% 0.79 4.49 -1.88
29. Mar 31, 2019 -4.54% 1.79% 33.90 0.88 -5.46
30. Apr 30, 2019 -5.99% 3.93% 52.86 9.47 -22.37
31. May 31, 2019 4.68% -6.58% 11.54 55.24 -25.25
32. Jun 30, 2019 9.50% 6.89% 67.57 36.46 49.64
33. Jul 31, 2019 2.22% 1.31% 0.87 0.21 0.43
34. Aug 31, 2019 -5.14% -1.81% 41.28 7.10 17.11
35. Sep 30, 2019 0.07% 1.72% 1.47 0.75 -1.05
36. Oct 31, 2019 3.70% 2.04% 5.86 1.41 2.88
37. Nov 30, 2019 3.43% 3.40% 4.61 6.50 5.48
38. Dec 31, 2019 -3.29% 2.86% 20.90 4.02 -9.16
39. Jan 31, 2020 0.64% -0.16% 0.42 1.03 0.66
40. Feb 29, 2020 -0.96% -8.41% 5.03 85.85 20.78
41. Mar 31, 2020 4.96% -12.51% 13.49 178.66 -49.09
42. Apr 30, 2020 1.31% 12.68% 0.00 139.95 0.31
43. May 31, 2020 6.80% 4.53% 30.46 13.50 20.28
44. Jun 30, 2020 5.70% 1.84% 19.46 0.97 4.34
45. Jul 31, 2020 -0.58% 5.51% 3.46 21.67 -8.66
46. Aug 31, 2020 -2.73% 7.01% 16.15 37.85 -24.73
47. Sep 30, 2020 -0.11% -3.92% 1.95 22.82 6.68
48. Oct 31, 2020 -0.88% -2.77% 4.67 13.11 7.83
49. Nov 30, 2020 7.79% 10.75% 42.27 98.01 64.37
50. Dec 31, 2020 -5.19% 3.71% 41.90 8.17 -18.50
51. Jan 31, 2021 6.59% -1.11% 28.12 3.87 -10.44
52. Feb 28, 2021 -2.44% 2.61% 13.85 3.08 -6.53
53. Mar 31, 2021 16.65% 4.24% 236.01 11.49 52.07
54. Apr 30, 2021 2.31% 5.24% 1.06 19.25 4.51
55. May 31, 2021 -4.65% 0.55% 35.24 0.09 1.82
56. Jun 30, 2021 -0.22% 2.22% 2.26 1.87 -2.05
57. Jul 31, 2021 6.71% 2.27% 29.42 2.02 7.70
58. Aug 31, 2021 0.39% 2.90% 0.79 4.18 -1.82
59. Sep 30, 2021 -2.26% -4.76% 12.55 31.49 19.88
60. Oct 31, 2021 2.15% 6.91% 0.75 36.72 5.25
61. Nov 30, 2021 -4.76% -0.83% 36.55 2.85 10.20
62. Dec 31, 2021 14.81% 4.36% 182.88 12.30 47.42
63. Jan 31, 2022 2.49% -5.26% 1.46 37.37 -7.37
64. Feb 28, 2022 4.99% -3.14% 13.70 15.92 -14.77
65. Mar 31, 2022 8.55% 3.58% 52.72 7.41 19.77
66. Apr 30, 2022 -2.21% -8.80% 12.21 93.13 33.73
67. May 31, 2022 2.62% 0.01% 1.78 0.72 -1.13
68. Jun 30, 2022 -8.60% -8.39% 97.68 85.50 91.38
69. Jul 31, 2022 3.15% 9.11% 3.46 68.18 15.37
70. Aug 31, 2022 0.75% -4.24% 0.29 25.99 2.74
71. Sep 30, 2022 -7.66% -9.34% 80.04 103.92 91.20
Total (Σ): 3,052.74 1,625.64 850.44

Show all

VarianceABC = Σ(RABC,t–RABC)2 ÷ (71 – 1)
= 3,052.74 ÷ (71 – 1)
= 43.61

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,625.64 ÷ (71 – 1)
= 23.22

CovarianceABC, S&P 500 = Σ(RABC,t–RABC)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 850.44 ÷ (71 – 1)
= 12.15

Systematic Risk (β) Estimation

Microsoft Excel
VarianceABC 43.61
VarianceS&P 500 23.22
CovarianceABC, S&P 500 12.15
Correlation coefficientABC, S&P 5001 0.38
βABC2 0.52
αABC3 0.84%

Calculations

1 Correlation coefficientABC, S&P 500
= CovarianceABC, S&P 500 ÷ (Standard deviationABC × Standard deviationS&P 500)
= 12.15 ÷ (6.60% × 4.82%)
= 0.38

2 βABC
= CovarianceABC, S&P 500 ÷ VarianceS&P 500
= 12.15 ÷ 23.22
= 0.52

3 αABC
= AverageABC – βABC × AverageS&P 500
= 1.28% – 0.52 × 0.85%
= 0.84%

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.83%
Expected rate of return on market portfolio2 E(RM) 14.44%
Systematic risk (β) of AmerisourceBergen Corp. common stock βABC 0.52
 
Expected rate of return on AmerisourceBergen Corp. common stock3 E(RABC) 9.86%

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(RABC) = RF + βABC [E(RM) – RF]
= 4.83% + 0.52 [14.44% – 4.83%]
= 9.86%