Capital Asset Pricing Model (CAPM)
Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Carnival Corp. & plc common stock.
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Carnival Corp. & plc pages available for free this week:
- Balance Sheet: Assets
- Analysis of Liquidity Ratios
- Analysis of Long-term (Investment) Activity Ratios
- Common Stock Valuation Ratios
- Enterprise Value to FCFF (EV/FCFF)
- Net Profit Margin since 2005
- Return on Assets (ROA) since 2005
- Price to Earnings (P/E) since 2005
- Price to Operating Profit (P/OP) since 2005
- Analysis of Revenues
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Rates of Return
Carnival Corp. & plc, monthly rates of return
| Carnival Corp. & plc (CCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceCCL,t1 | DividendCCL,t1 | RCCL,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Dec 31, 2017 | ||||||
| 1. | Jan 31, 2018 | |||||
| 2. | Feb 28, 2018 | |||||
| 3. | Mar 31, 2018 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | Oct 31, 2023 | |||||
| 71. | Nov 30, 2023 | |||||
| Average (R): | ||||||
| Standard deviation: | ||||||
| Carnival Corp. & plc (CCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | PriceCCL,t1 | DividendCCL,t1 | RCCL,t2 | PriceS&P 500,t | RS&P 500,t3 |
| Dec 31, 2017 | ||||||
| 1. | Jan 31, 2018 | |||||
| 2. | Feb 28, 2018 | |||||
| 3. | Mar 31, 2018 | |||||
| 4. | Apr 30, 2018 | |||||
| 5. | May 31, 2018 | |||||
| 6. | Jun 30, 2018 | |||||
| 7. | Jul 31, 2018 | |||||
| 8. | Aug 31, 2018 | |||||
| 9. | Sep 30, 2018 | |||||
| 10. | Oct 31, 2018 | |||||
| 11. | Nov 30, 2018 | |||||
| 12. | Dec 31, 2018 | |||||
| 13. | Jan 31, 2019 | |||||
| 14. | Feb 28, 2019 | |||||
| 15. | Mar 31, 2019 | |||||
| 16. | Apr 30, 2019 | |||||
| 17. | May 31, 2019 | |||||
| 18. | Jun 30, 2019 | |||||
| 19. | Jul 31, 2019 | |||||
| 20. | Aug 31, 2019 | |||||
| 21. | Sep 30, 2019 | |||||
| 22. | Oct 31, 2019 | |||||
| 23. | Nov 30, 2019 | |||||
| 24. | Dec 31, 2019 | |||||
| 25. | Jan 31, 2020 | |||||
| 26. | Feb 29, 2020 | |||||
| 27. | Mar 31, 2020 | |||||
| 28. | Apr 30, 2020 | |||||
| 29. | May 31, 2020 | |||||
| 30. | Jun 30, 2020 | |||||
| 31. | Jul 31, 2020 | |||||
| 32. | Aug 31, 2020 | |||||
| 33. | Sep 30, 2020 | |||||
| 34. | Oct 31, 2020 | |||||
| 35. | Nov 30, 2020 | |||||
| 36. | Dec 31, 2020 | |||||
| 37. | Jan 31, 2021 | |||||
| 38. | Feb 28, 2021 | |||||
| 39. | Mar 31, 2021 | |||||
| 40. | Apr 30, 2021 | |||||
| 41. | May 31, 2021 | |||||
| 42. | Jun 30, 2021 | |||||
| 43. | Jul 31, 2021 | |||||
| 44. | Aug 31, 2021 | |||||
| 45. | Sep 30, 2021 | |||||
| 46. | Oct 31, 2021 | |||||
| 47. | Nov 30, 2021 | |||||
| 48. | Dec 31, 2021 | |||||
| 49. | Jan 31, 2022 | |||||
| 50. | Feb 28, 2022 | |||||
| 51. | Mar 31, 2022 | |||||
| 52. | Apr 30, 2022 | |||||
| 53. | May 31, 2022 | |||||
| 54. | Jun 30, 2022 | |||||
| 55. | Jul 31, 2022 | |||||
| 56. | Aug 31, 2022 | |||||
| 57. | Sep 30, 2022 | |||||
| 58. | Oct 31, 2022 | |||||
| 59. | Nov 30, 2022 | |||||
| 60. | Dec 31, 2022 | |||||
| 61. | Jan 31, 2023 | |||||
| 62. | Feb 28, 2023 | |||||
| 63. | Mar 31, 2023 | |||||
| 64. | Apr 30, 2023 | |||||
| 65. | May 31, 2023 | |||||
| 66. | Jun 30, 2023 | |||||
| 67. | Jul 31, 2023 | |||||
| 68. | Aug 31, 2023 | |||||
| 69. | Sep 30, 2023 | |||||
| 70. | Oct 31, 2023 | |||||
| 71. | Nov 30, 2023 | |||||
| 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 CCL during period t
3 Rate of return on S&P 500 (the market portfolio proxy) during period t
Variance and Covariance
Carnival Corp. & plc, calculation of variance and covariance of returns
| t | Date | RCCL,t | RS&P 500,t | (RCCL,t–RCCL)2 | (RS&P 500,t–RS&P 500)2 | (RCCL,t–RCCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Jan 31, 2018 | |||||
| 2. | Feb 28, 2018 | |||||
| 3. | Mar 31, 2018 | |||||
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | Oct 31, 2023 | |||||
| 71. | Nov 30, 2023 | |||||
| Total (Σ): | ||||||
| t | Date | RCCL,t | RS&P 500,t | (RCCL,t–RCCL)2 | (RS&P 500,t–RS&P 500)2 | (RCCL,t–RCCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | Jan 31, 2018 | |||||
| 2. | Feb 28, 2018 | |||||
| 3. | Mar 31, 2018 | |||||
| 4. | Apr 30, 2018 | |||||
| 5. | May 31, 2018 | |||||
| 6. | Jun 30, 2018 | |||||
| 7. | Jul 31, 2018 | |||||
| 8. | Aug 31, 2018 | |||||
| 9. | Sep 30, 2018 | |||||
| 10. | Oct 31, 2018 | |||||
| 11. | Nov 30, 2018 | |||||
| 12. | Dec 31, 2018 | |||||
| 13. | Jan 31, 2019 | |||||
| 14. | Feb 28, 2019 | |||||
| 15. | Mar 31, 2019 | |||||
| 16. | Apr 30, 2019 | |||||
| 17. | May 31, 2019 | |||||
| 18. | Jun 30, 2019 | |||||
| 19. | Jul 31, 2019 | |||||
| 20. | Aug 31, 2019 | |||||
| 21. | Sep 30, 2019 | |||||
| 22. | Oct 31, 2019 | |||||
| 23. | Nov 30, 2019 | |||||
| 24. | Dec 31, 2019 | |||||
| 25. | Jan 31, 2020 | |||||
| 26. | Feb 29, 2020 | |||||
| 27. | Mar 31, 2020 | |||||
| 28. | Apr 30, 2020 | |||||
| 29. | May 31, 2020 | |||||
| 30. | Jun 30, 2020 | |||||
| 31. | Jul 31, 2020 | |||||
| 32. | Aug 31, 2020 | |||||
| 33. | Sep 30, 2020 | |||||
| 34. | Oct 31, 2020 | |||||
| 35. | Nov 30, 2020 | |||||
| 36. | Dec 31, 2020 | |||||
| 37. | Jan 31, 2021 | |||||
| 38. | Feb 28, 2021 | |||||
| 39. | Mar 31, 2021 | |||||
| 40. | Apr 30, 2021 | |||||
| 41. | May 31, 2021 | |||||
| 42. | Jun 30, 2021 | |||||
| 43. | Jul 31, 2021 | |||||
| 44. | Aug 31, 2021 | |||||
| 45. | Sep 30, 2021 | |||||
| 46. | Oct 31, 2021 | |||||
| 47. | Nov 30, 2021 | |||||
| 48. | Dec 31, 2021 | |||||
| 49. | Jan 31, 2022 | |||||
| 50. | Feb 28, 2022 | |||||
| 51. | Mar 31, 2022 | |||||
| 52. | Apr 30, 2022 | |||||
| 53. | May 31, 2022 | |||||
| 54. | Jun 30, 2022 | |||||
| 55. | Jul 31, 2022 | |||||
| 56. | Aug 31, 2022 | |||||
| 57. | Sep 30, 2022 | |||||
| 58. | Oct 31, 2022 | |||||
| 59. | Nov 30, 2022 | |||||
| 60. | Dec 31, 2022 | |||||
| 61. | Jan 31, 2023 | |||||
| 62. | Feb 28, 2023 | |||||
| 63. | Mar 31, 2023 | |||||
| 64. | Apr 30, 2023 | |||||
| 65. | May 31, 2023 | |||||
| 66. | Jun 30, 2023 | |||||
| 67. | Jul 31, 2023 | |||||
| 68. | Aug 31, 2023 | |||||
| 69. | Sep 30, 2023 | |||||
| 70. | Oct 31, 2023 | |||||
| 71. | Nov 30, 2023 | |||||
| Total (Σ): | ||||||
Show all
VarianceCCL = Σ(RCCL,t–RCCL)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
CovarianceCCL, S&P 500 = Σ(RCCL,t–RCCL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=
Systematic Risk (β) Estimation
| VarianceCCL | |
| VarianceS&P 500 | |
| CovarianceCCL, S&P 500 | |
| Correlation coefficientCCL, S&P 5001 | |
| βCCL2 | |
| αCCL3 |
Calculations
1 Correlation coefficientCCL, S&P 500
= CovarianceCCL, S&P 500 ÷ (Standard deviationCCL × Standard deviationS&P 500)
= ÷ ( × )
=
2 βCCL
= CovarianceCCL, S&P 500 ÷ VarianceS&P 500
= ÷
=
3 αCCL
= AverageCCL – βCCL × AverageS&P 500
= – ×
=
Expected Rate of Return
| Assumptions | ||
| Rate of return on LT Treasury Composite1 | RF | |
| Expected rate of return on market portfolio2 | E(RM) | |
| Systematic risk (β) of Carnival Corp. & plc common stock | βCCL | |
| Expected rate of return on Carnival Corp. & plc common stock3 | E(RCCL) | |
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).
3 E(RCCL) = RF + βCCL [E(RM) – RF]
= + [ – ]
=