Stock Analysis on Net
Stock Analysis on Net

Constellation Brands Inc. (NYSE:STZ)

$22.49

This company has been moved to the archive! The financial data has not been updated since January 5, 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 Constellation Brands Inc. common stock.

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Rates of Return

Constellation Brands Inc., monthly rates of return

Microsoft Excel
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

Constellation Brands Inc., calculation of variance and covariance of returns

Microsoft Excel
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

Microsoft Excel
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

Microsoft Excel
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).

2 See details »

3 E(RSTZ) = RF + βSTZ [E(RM) – RF]
= + [ – ]
=