Stock Analysis on Net

Bristol-Myers Squibb Co. (NYSE:BMY)

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

Bristol-Myers Squibb Co., monthly rates of return

Microsoft Excel
Bristol-Myers Squibb Co. (BMY) Standard & Poor’s 500 (S&P 500)
t Date PriceBMY,t1 DividendBMY,t1 RBMY,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $62.95 3,225.52
1. Feb 29, 2020 $59.06 -6.18% 2,954.22 -8.41%
2. Mar 31, 2020 $55.74 -5.62% 2,584.59 -12.51%
3. Apr 30, 2020 $60.81 $0.45 9.90% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 $59.22 6.19% 6,032.38 5.73%
59. Dec 31, 2024 $56.56 -4.49% 5,881.63 -2.50%
Average (R): 0.30% 1.16%
Standard deviation: 6.33% 5.28%
Bristol-Myers Squibb Co. (BMY) Standard & Poor’s 500 (S&P 500)
t Date PriceBMY,t1 DividendBMY,t1 RBMY,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $62.95 3,225.52
1. Feb 29, 2020 $59.06 -6.18% 2,954.22 -8.41%
2. Mar 31, 2020 $55.74 -5.62% 2,584.59 -12.51%
3. Apr 30, 2020 $60.81 $0.45 9.90% 2,912.43 12.68%
4. May 31, 2020 $59.72 -1.79% 3,044.31 4.53%
5. Jun 30, 2020 $58.80 -1.54% 3,100.29 1.84%
6. Jul 31, 2020 $58.66 $0.45 0.53% 3,271.12 5.51%
7. Aug 31, 2020 $62.20 6.03% 3,500.31 7.01%
8. Sep 30, 2020 $60.29 -3.07% 3,363.00 -3.92%
9. Oct 31, 2020 $58.45 $0.45 -2.31% 3,269.96 -2.77%
10. Nov 30, 2020 $62.40 6.76% 3,621.63 10.75%
11. Dec 31, 2020 $62.03 $0.49 0.19% 3,756.07 3.71%
12. Jan 31, 2021 $61.43 -0.97% 3,714.24 -1.11%
13. Feb 28, 2021 $61.33 -0.16% 3,811.15 2.61%
14. Mar 31, 2021 $63.13 $0.49 3.73% 3,972.89 4.24%
15. Apr 30, 2021 $62.42 -1.12% 4,181.17 5.24%
16. May 31, 2021 $65.72 5.29% 4,204.11 0.55%
17. Jun 30, 2021 $66.82 1.67% 4,297.50 2.22%
18. Jul 31, 2021 $67.87 $0.49 2.30% 4,395.26 2.27%
19. Aug 31, 2021 $66.86 -1.49% 4,522.68 2.90%
20. Sep 30, 2021 $59.17 $0.49 -10.77% 4,307.54 -4.76%
21. Oct 31, 2021 $58.40 -1.30% 4,605.38 6.91%
22. Nov 30, 2021 $53.63 -8.17% 4,567.00 -0.83%
23. Dec 31, 2021 $62.35 16.26% 4,766.18 4.36%
24. Jan 31, 2022 $64.89 $0.54 4.94% 4,515.55 -5.26%
25. Feb 28, 2022 $68.67 5.83% 4,373.94 -3.14%
26. Mar 31, 2022 $73.03 $0.54 7.14% 4,530.41 3.58%
27. Apr 30, 2022 $75.27 3.07% 4,131.93 -8.80%
28. May 31, 2022 $75.45 0.24% 4,132.15 0.01%
29. Jun 30, 2022 $77.00 $0.54 2.77% 3,785.38 -8.39%
30. Jul 31, 2022 $73.78 -4.18% 4,130.29 9.11%
31. Aug 31, 2022 $67.41 -8.63% 3,955.00 -4.24%
32. Sep 30, 2022 $71.09 5.46% 3,585.62 -9.34%
33. Oct 31, 2022 $77.47 $0.54 9.73% 3,871.98 7.99%
34. Nov 30, 2022 $80.28 3.63% 4,080.11 5.38%
35. Dec 31, 2022 $71.95 -10.38% 3,839.50 -5.90%
36. Jan 31, 2023 $72.65 $0.57 1.77% 4,076.60 6.18%
37. Feb 28, 2023 $68.96 -5.08% 3,970.15 -2.61%
38. Mar 31, 2023 $69.31 0.51% 4,109.31 3.51%
39. Apr 30, 2023 $66.77 $0.57 -2.84% 4,169.48 1.46%
40. May 31, 2023 $64.44 -3.49% 4,179.83 0.25%
41. Jun 30, 2023 $63.95 -0.76% 4,376.86 4.71%
42. Jul 31, 2023 $62.19 $0.57 -1.86% 4,588.96 4.85%
43. Aug 31, 2023 $61.65 -0.87% 4,507.66 -1.77%
44. Sep 30, 2023 $58.04 -5.86% 4,288.05 -4.87%
45. Oct 31, 2023 $51.53 $0.57 -10.23% 4,193.80 -2.20%
46. Nov 30, 2023 $49.38 -4.17% 4,567.80 8.92%
47. Dec 31, 2023 $51.31 3.91% 4,769.83 4.42%
48. Jan 31, 2024 $48.87 $0.60 -3.59% 4,845.65 1.59%
49. Feb 29, 2024 $50.75 3.85% 5,096.27 5.17%
50. Mar 31, 2024 $54.23 6.86% 5,254.35 3.10%
51. Apr 30, 2024 $43.94 $0.60 -17.87% 5,035.69 -4.16%
52. May 31, 2024 $41.09 -6.49% 5,277.51 4.80%
53. Jun 30, 2024 $41.53 1.07% 5,460.48 3.47%
54. Jul 31, 2024 $47.56 $0.60 15.96% 5,522.30 1.13%
55. Aug 31, 2024 $49.95 5.03% 5,648.40 2.28%
56. Sep 30, 2024 $51.74 3.58% 5,762.48 2.02%
57. Oct 31, 2024 $55.77 $0.60 8.95% 5,705.45 -0.99%
58. Nov 30, 2024 $59.22 6.19% 6,032.38 5.73%
59. Dec 31, 2024 $56.56 -4.49% 5,881.63 -2.50%
Average (R): 0.30% 1.16%
Standard deviation: 6.33% 5.28%

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 BMY during period t

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


Variance and Covariance

Bristol-Myers Squibb Co., calculation of variance and covariance of returns

Microsoft Excel
t Date RBMY,t RS&P 500,t (RBMY,tRBMY)2 (RS&P 500,tRS&P 500)2 (RBMY,tRBMY)×(RS&P 500,tRS&P 500)
1. Feb 29, 2020 -6.18% -8.41% 42.02 91.63 62.05
2. Mar 31, 2020 -5.62% -12.51% 35.09 186.96 81.00
3. Apr 30, 2020 9.90% 12.68% 92.17 132.78 110.63
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 6.19% 5.73% 34.61 20.87 26.88
59. Dec 31, 2024 -4.49% -2.50% 22.99 13.40 17.55
Total (Σ): 2,326.76 1,618.62 726.32
t Date RBMY,t RS&P 500,t (RBMY,tRBMY)2 (RS&P 500,tRS&P 500)2 (RBMY,tRBMY)×(RS&P 500,tRS&P 500)
1. Feb 29, 2020 -6.18% -8.41% 42.02 91.63 62.05
2. Mar 31, 2020 -5.62% -12.51% 35.09 186.96 81.00
3. Apr 30, 2020 9.90% 12.68% 92.17 132.78 110.63
4. May 31, 2020 -1.79% 4.53% 4.39 11.34 -7.05
5. Jun 30, 2020 -1.54% 1.84% 3.40 0.46 -1.25
6. Jul 31, 2020 0.53% 5.51% 0.05 18.91 0.98
7. Aug 31, 2020 6.03% 7.01% 32.86 34.17 33.51
8. Sep 30, 2020 -3.07% -3.92% 11.38 25.85 17.15
9. Oct 31, 2020 -2.31% -2.77% 6.80 15.43 10.24
10. Nov 30, 2020 6.76% 10.75% 41.67 92.03 61.93
11. Dec 31, 2020 0.19% 3.71% 0.01 6.51 -0.28
12. Jan 31, 2021 -0.97% -1.11% 1.61 5.18 2.89
13. Feb 28, 2021 -0.16% 2.61% 0.22 2.10 -0.67
14. Mar 31, 2021 3.73% 4.24% 11.77 9.50 10.58
15. Apr 30, 2021 -1.12% 5.24% 2.04 16.66 -5.83
16. May 31, 2021 5.29% 0.55% 24.84 0.38 -3.05
17. Jun 30, 2021 1.67% 2.22% 1.88 1.12 1.45
18. Jul 31, 2021 2.30% 2.27% 4.01 1.24 2.23
19. Aug 31, 2021 -1.49% 2.90% 3.21 3.02 -3.11
20. Sep 30, 2021 -10.77% -4.76% 122.58 35.02 65.52
21. Oct 31, 2021 -1.30% 6.91% 2.57 33.10 -9.23
22. Nov 30, 2021 -8.17% -0.83% 71.75 3.98 16.90
23. Dec 31, 2021 16.26% 4.36% 254.62 10.24 51.06
24. Jan 31, 2022 4.94% -5.26% 21.50 41.21 -29.77
25. Feb 28, 2022 5.83% -3.14% 30.50 18.47 -23.73
26. Mar 31, 2022 7.14% 3.58% 46.69 5.84 16.51
27. Apr 30, 2022 3.07% -8.80% 7.64 99.14 -27.53
28. May 31, 2022 0.24% 0.01% 0.00 1.34 0.07
29. Jun 30, 2022 2.77% -8.39% 6.09 91.26 -23.57
30. Jul 31, 2022 -4.18% 9.11% 20.11 63.21 -35.65
31. Aug 31, 2022 -8.63% -4.24% 79.86 29.22 48.30
32. Sep 30, 2022 5.46% -9.34% 26.59 110.27 -54.15
33. Oct 31, 2022 9.73% 7.99% 88.95 46.58 64.37
34. Nov 30, 2022 3.63% 5.38% 11.05 17.76 14.01
35. Dec 31, 2022 -10.38% -5.90% 114.04 49.82 75.38
36. Jan 31, 2023 1.77% 6.18% 2.14 25.14 7.33
37. Feb 28, 2023 -5.08% -2.61% 28.96 14.23 20.30
38. Mar 31, 2023 0.51% 3.51% 0.04 5.49 0.48
39. Apr 30, 2023 -2.84% 1.46% 9.89 0.09 -0.95
40. May 31, 2023 -3.49% 0.25% 14.38 0.83 3.46
41. Jun 30, 2023 -0.76% 4.71% 1.13 12.62 -3.78
42. Jul 31, 2023 -1.86% 4.85% 4.68 13.58 -7.97
43. Aug 31, 2023 -0.87% -1.77% 1.37 8.60 3.43
44. Sep 30, 2023 -5.86% -4.87% 37.92 36.40 37.15
45. Oct 31, 2023 -10.23% -2.20% 111.03 11.28 35.40
46. Nov 30, 2023 -4.17% 8.92% 20.03 60.17 -34.71
47. Dec 31, 2023 3.91% 4.42% 13.00 10.64 11.76
48. Jan 31, 2024 -3.59% 1.59% 15.12 0.18 -1.67
49. Feb 29, 2024 3.85% 5.17% 12.56 16.09 14.22
50. Mar 31, 2024 6.86% 3.10% 42.96 3.77 12.72
51. Apr 30, 2024 -17.87% -4.16% 330.19 28.33 96.72
52. May 31, 2024 -6.49% 4.80% 46.09 13.26 -24.72
53. Jun 30, 2024 1.07% 3.47% 0.59 5.32 1.77
54. Jul 31, 2024 15.96% 1.13% 245.29 0.00 -0.46
55. Aug 31, 2024 5.03% 2.28% 22.30 1.26 5.30
56. Sep 30, 2024 3.58% 2.02% 10.76 0.74 2.82
57. Oct 31, 2024 8.95% -0.99% 74.75 4.63 -18.60
58. Nov 30, 2024 6.19% 5.73% 34.61 20.87 26.88
59. Dec 31, 2024 -4.49% -2.50% 22.99 13.40 17.55
Total (Σ): 2,326.76 1,618.62 726.32

Show all

VarianceBMY = Σ(RBMY,tRBMY)2 ÷ (59 – 1)
= 2,326.76 ÷ (59 – 1)
= 40.12

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

CovarianceBMY, S&P 500 = Σ(RBMY,tRBMY)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 726.32 ÷ (59 – 1)
= 12.52


Systematic Risk (β) Estimation

Microsoft Excel
VarianceBMY 40.12
VarianceS&P 500 27.91
CovarianceBMY, S&P 500 12.52
Correlation coefficientBMY, S&P 5001 0.37
βBMY2 0.45
αBMY3 -0.22%

Calculations

1 Correlation coefficientBMY, S&P 500
= CovarianceBMY, S&P 500 ÷ (Standard deviationBMY × Standard deviationS&P 500)
= 12.52 ÷ (6.33% × 5.28%)
= 0.37

2 βBMY
= CovarianceBMY, S&P 500 ÷ VarianceS&P 500
= 12.52 ÷ 27.91
= 0.45

3 αBMY
= AverageBMY – βBMY × AverageS&P 500
= 0.30%0.45 × 1.16%
= -0.22%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.64%
Expected rate of return on market portfolio2 E(RM) 14.89%
Systematic risk (β) of Bristol-Myers Squibb Co. common stock βBMY 0.45
 
Expected rate of return on Bristol-Myers Squibb Co. common stock3 E(RBMY) 9.24%

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(RBMY) = RF + βBMY [E(RM) – RF]
= 4.64% + 0.45 [14.89%4.64%]
= 9.24%