Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Constellation Brands Inc. common stock.
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- Cash Flow Statement
- Common-Size Balance Sheet: Liabilities and Stockholders’ Equity
- Analysis of Profitability Ratios
- Analysis of Short-term (Operating) Activity Ratios
- Analysis of Reportable Segments
- Analysis of Geographic Areas
- Common Stock Valuation Ratios
- Dividend Discount Model (DDM)
- Operating Profit Margin since 2005
- Current Ratio since 2005
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Rates of Return
Constellation Brands Inc. (STZ) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | Date | PriceSTZ,t1 | DividendSTZ,t1 | RSTZ,t2 | PriceS&P 500,t | RS&P 500,t3 |
Mar 31, 2016 | ||||||
1. | Apr 30, 2016 | |||||
2. | May 31, 2016 | |||||
3. | Jun 30, 2016 | |||||
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | Jan 31, 2022 | |||||
71. | Feb 28, 2022 | |||||
Average (R): | ||||||
Standard deviation: |
Constellation Brands Inc. (STZ) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | Date | PriceSTZ,t1 | DividendSTZ,t1 | RSTZ,t2 | PriceS&P 500,t | RS&P 500,t3 |
Mar 31, 2016 | ||||||
1. | Apr 30, 2016 | |||||
2. | May 31, 2016 | |||||
3. | Jun 30, 2016 | |||||
4. | Jul 31, 2016 | |||||
5. | Aug 31, 2016 | |||||
6. | Sep 30, 2016 | |||||
7. | Oct 31, 2016 | |||||
8. | Nov 30, 2016 | |||||
9. | Dec 31, 2016 | |||||
10. | Jan 31, 2017 | |||||
11. | Feb 28, 2017 | |||||
12. | Mar 31, 2017 | |||||
13. | Apr 30, 2017 | |||||
14. | May 31, 2017 | |||||
15. | Jun 30, 2017 | |||||
16. | Jul 31, 2017 | |||||
17. | Aug 31, 2017 | |||||
18. | Sep 30, 2017 | |||||
19. | Oct 31, 2017 | |||||
20. | Nov 30, 2017 | |||||
21. | Dec 31, 2017 | |||||
22. | Jan 31, 2018 | |||||
23. | Feb 28, 2018 | |||||
24. | Mar 31, 2018 | |||||
25. | Apr 30, 2018 | |||||
26. | May 31, 2018 | |||||
27. | Jun 30, 2018 | |||||
28. | Jul 31, 2018 | |||||
29. | Aug 31, 2018 | |||||
30. | Sep 30, 2018 | |||||
31. | Oct 31, 2018 | |||||
32. | Nov 30, 2018 | |||||
33. | Dec 31, 2018 | |||||
34. | Jan 31, 2019 | |||||
35. | Feb 28, 2019 | |||||
36. | Mar 31, 2019 | |||||
37. | Apr 30, 2019 | |||||
38. | May 31, 2019 | |||||
39. | Jun 30, 2019 | |||||
40. | Jul 31, 2019 | |||||
41. | Aug 31, 2019 | |||||
42. | Sep 30, 2019 | |||||
43. | Oct 31, 2019 | |||||
44. | Nov 30, 2019 | |||||
45. | Dec 31, 2019 | |||||
46. | Jan 31, 2020 | |||||
47. | Feb 29, 2020 | |||||
48. | Mar 31, 2020 | |||||
49. | Apr 30, 2020 | |||||
50. | May 31, 2020 | |||||
51. | Jun 30, 2020 | |||||
52. | Jul 31, 2020 | |||||
53. | Aug 31, 2020 | |||||
54. | Sep 30, 2020 | |||||
55. | Oct 31, 2020 | |||||
56. | Nov 30, 2020 | |||||
57. | Dec 31, 2020 | |||||
58. | Jan 31, 2021 | |||||
59. | Feb 28, 2021 | |||||
60. | Mar 31, 2021 | |||||
61. | Apr 30, 2021 | |||||
62. | May 31, 2021 | |||||
63. | Jun 30, 2021 | |||||
64. | Jul 31, 2021 | |||||
65. | Aug 31, 2021 | |||||
66. | Sep 30, 2021 | |||||
67. | Oct 31, 2021 | |||||
68. | Nov 30, 2021 | |||||
69. | Dec 31, 2021 | |||||
70. | Jan 31, 2022 | |||||
71. | Feb 28, 2022 | |||||
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 STZ during period t
3 Rate of return on S&P 500 (the market portfolio proxy) during period t
Variance and Covariance
t | Date | RSTZ,t | RS&P 500,t | (RSTZ,t–RSTZ)2 | (RS&P 500,t–RS&P 500)2 | (RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | Apr 30, 2016 | |||||
2. | May 31, 2016 | |||||
3. | Jun 30, 2016 | |||||
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | Jan 31, 2022 | |||||
71. | Feb 28, 2022 | |||||
Total (Σ): |
t | Date | RSTZ,t | RS&P 500,t | (RSTZ,t–RSTZ)2 | (RS&P 500,t–RS&P 500)2 | (RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | Apr 30, 2016 | |||||
2. | May 31, 2016 | |||||
3. | Jun 30, 2016 | |||||
4. | Jul 31, 2016 | |||||
5. | Aug 31, 2016 | |||||
6. | Sep 30, 2016 | |||||
7. | Oct 31, 2016 | |||||
8. | Nov 30, 2016 | |||||
9. | Dec 31, 2016 | |||||
10. | Jan 31, 2017 | |||||
11. | Feb 28, 2017 | |||||
12. | Mar 31, 2017 | |||||
13. | Apr 30, 2017 | |||||
14. | May 31, 2017 | |||||
15. | Jun 30, 2017 | |||||
16. | Jul 31, 2017 | |||||
17. | Aug 31, 2017 | |||||
18. | Sep 30, 2017 | |||||
19. | Oct 31, 2017 | |||||
20. | Nov 30, 2017 | |||||
21. | Dec 31, 2017 | |||||
22. | Jan 31, 2018 | |||||
23. | Feb 28, 2018 | |||||
24. | Mar 31, 2018 | |||||
25. | Apr 30, 2018 | |||||
26. | May 31, 2018 | |||||
27. | Jun 30, 2018 | |||||
28. | Jul 31, 2018 | |||||
29. | Aug 31, 2018 | |||||
30. | Sep 30, 2018 | |||||
31. | Oct 31, 2018 | |||||
32. | Nov 30, 2018 | |||||
33. | Dec 31, 2018 | |||||
34. | Jan 31, 2019 | |||||
35. | Feb 28, 2019 | |||||
36. | Mar 31, 2019 | |||||
37. | Apr 30, 2019 | |||||
38. | May 31, 2019 | |||||
39. | Jun 30, 2019 | |||||
40. | Jul 31, 2019 | |||||
41. | Aug 31, 2019 | |||||
42. | Sep 30, 2019 | |||||
43. | Oct 31, 2019 | |||||
44. | Nov 30, 2019 | |||||
45. | Dec 31, 2019 | |||||
46. | Jan 31, 2020 | |||||
47. | Feb 29, 2020 | |||||
48. | Mar 31, 2020 | |||||
49. | Apr 30, 2020 | |||||
50. | May 31, 2020 | |||||
51. | Jun 30, 2020 | |||||
52. | Jul 31, 2020 | |||||
53. | Aug 31, 2020 | |||||
54. | Sep 30, 2020 | |||||
55. | Oct 31, 2020 | |||||
56. | Nov 30, 2020 | |||||
57. | Dec 31, 2020 | |||||
58. | Jan 31, 2021 | |||||
59. | Feb 28, 2021 | |||||
60. | Mar 31, 2021 | |||||
61. | Apr 30, 2021 | |||||
62. | May 31, 2021 | |||||
63. | Jun 30, 2021 | |||||
64. | Jul 31, 2021 | |||||
65. | Aug 31, 2021 | |||||
66. | Sep 30, 2021 | |||||
67. | Oct 31, 2021 | |||||
68. | Nov 30, 2021 | |||||
69. | Dec 31, 2021 | |||||
70. | Jan 31, 2022 | |||||
71. | Feb 28, 2022 | |||||
Total (Σ): |
Show all
VarianceSTZ = Σ(RSTZ,t–RSTZ)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= ÷ (71 – 1)
=
CovarianceSTZ, S&P 500 = Σ(RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=
Systematic Risk (β) Estimation
VarianceSTZ | |
VarianceS&P 500 | |
CovarianceSTZ, S&P 500 | |
Correlation coefficientSTZ, S&P 5001 | |
βSTZ2 | |
αSTZ3 |
Calculations
1 Correlation coefficientSTZ, S&P 500
= CovarianceSTZ, S&P 500 ÷ (Standard deviationSTZ × Standard deviationS&P 500)
= ÷ ( × )
=
2 βSTZ
= CovarianceSTZ, S&P 500 ÷ VarianceS&P 500
= ÷
=
3 αSTZ
= AverageSTZ – βSTZ × 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 Constellation Brands Inc. common stock | βSTZ | |
Expected rate of return on Constellation Brands Inc. common stock3 | E(RSTZ) |
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(RSTZ) = RF + βSTZ [E(RM) – RF]
= + [ – ]
=