Stock Analysis on Net

Emerson Electric Co. (NYSE:EMR)

This company has been moved to the archive! The financial data has not been updated since April 24, 2020.

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

Emerson Electric Co., monthly rates of return

Microsoft Excel
Emerson Electric Co. (EMR) Standard & Poor’s 500 (S&P 500)
t Date PriceEMR,t1 DividendEMR,t1 REMR,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2013 $66.97 1,756.54
1. Nov 30, 2013 $66.99 $0.43 0.67% 1,805.81 2.80%
2. Dec 31, 2013 $70.18 4.76% 1,848.36 2.36%
3. Jan 31, 2014 $65.94 -6.04% 1,782.59 -3.56%
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2019 $59.59 $0.49 -7.40% 2,926.46 -1.81%
71. Sep 30, 2019 $66.86 12.20% 2,976.74 1.72%
Average (R): 0.42% 0.80%
Standard deviation: 5.69% 3.29%
Emerson Electric Co. (EMR) Standard & Poor’s 500 (S&P 500)
t Date PriceEMR,t1 DividendEMR,t1 REMR,t2 PriceS&P 500,t RS&P 500,t3
Oct 31, 2013 $66.97 1,756.54
1. Nov 30, 2013 $66.99 $0.43 0.67% 1,805.81 2.80%
2. Dec 31, 2013 $70.18 4.76% 1,848.36 2.36%
3. Jan 31, 2014 $65.94 -6.04% 1,782.59 -3.56%
4. Feb 28, 2014 $65.26 $0.43 -0.38% 1,859.45 4.31%
5. Mar 31, 2014 $66.80 2.36% 1,872.34 0.69%
6. Apr 30, 2014 $68.18 2.07% 1,883.95 0.62%
7. May 31, 2014 $66.73 $0.43 -1.50% 1,923.57 2.10%
8. Jun 30, 2014 $66.36 -0.55% 1,960.23 1.91%
9. Jul 31, 2014 $63.65 -4.08% 1,930.67 -1.51%
10. Aug 31, 2014 $64.02 $0.43 1.26% 2,003.37 3.77%
11. Sep 30, 2014 $62.58 -2.25% 1,972.29 -1.55%
12. Oct 31, 2014 $64.06 2.36% 2,018.05 2.32%
13. Nov 30, 2014 $63.75 $0.47 0.25% 2,067.56 2.45%
14. Dec 31, 2014 $61.73 -3.17% 2,058.90 -0.42%
15. Jan 31, 2015 $56.94 -7.76% 1,994.99 -3.10%
16. Feb 28, 2015 $57.92 $0.47 2.55% 2,104.50 5.49%
17. Mar 31, 2015 $56.62 -2.24% 2,067.89 -1.74%
18. Apr 30, 2015 $58.83 3.90% 2,085.51 0.85%
19. May 31, 2015 $60.31 $0.47 3.31% 2,107.39 1.05%
20. Jun 30, 2015 $55.43 -8.09% 2,063.11 -2.10%
21. Jul 31, 2015 $51.75 -6.64% 2,103.84 1.97%
22. Aug 31, 2015 $47.72 $0.47 -6.88% 1,972.18 -6.26%
23. Sep 30, 2015 $44.17 -7.44% 1,920.03 -2.64%
24. Oct 31, 2015 $47.23 6.93% 2,079.36 8.30%
25. Nov 30, 2015 $50.00 $0.475 6.87% 2,080.41 0.05%
26. Dec 31, 2015 $47.83 -4.34% 2,043.94 -1.75%
27. Jan 31, 2016 $45.98 -3.87% 1,940.24 -5.07%
28. Feb 29, 2016 $48.83 $0.475 7.23% 1,932.23 -0.41%
29. Mar 31, 2016 $54.38 11.37% 2,059.74 6.60%
30. Apr 30, 2016 $54.63 0.46% 2,065.30 0.27%
31. May 31, 2016 $52.02 $0.475 -3.91% 2,096.95 1.53%
32. Jun 30, 2016 $52.16 0.27% 2,098.86 0.09%
33. Jul 31, 2016 $55.90 7.17% 2,173.60 3.56%
34. Aug 31, 2016 $52.68 $0.475 -4.91% 2,170.95 -0.12%
35. Sep 30, 2016 $54.51 3.47% 2,168.27 -0.12%
36. Oct 31, 2016 $50.68 -7.03% 2,126.15 -1.94%
37. Nov 30, 2016 $56.44 $0.48 12.31% 2,198.81 3.42%
38. Dec 31, 2016 $55.75 -1.22% 2,238.83 1.82%
39. Jan 31, 2017 $58.66 5.22% 2,278.87 1.79%
40. Feb 28, 2017 $60.10 $0.48 3.27% 2,363.64 3.72%
41. Mar 31, 2017 $59.86 -0.40% 2,362.72 -0.04%
42. Apr 30, 2017 $60.28 0.70% 2,384.20 0.91%
43. May 31, 2017 $59.12 $0.48 -1.13% 2,411.80 1.16%
44. Jun 30, 2017 $59.62 0.85% 2,423.41 0.48%
45. Jul 31, 2017 $59.61 -0.02% 2,470.30 1.93%
46. Aug 31, 2017 $59.04 $0.48 -0.15% 2,471.65 0.05%
47. Sep 30, 2017 $62.84 6.44% 2,519.36 1.93%
48. Oct 31, 2017 $64.46 2.58% 2,575.26 2.22%
49. Nov 30, 2017 $64.82 $0.485 1.31% 2,647.58 2.81%
50. Dec 31, 2017 $69.69 7.51% 2,673.61 0.98%
51. Jan 31, 2018 $72.23 3.64% 2,823.81 5.62%
52. Feb 28, 2018 $71.06 $0.485 -0.95% 2,713.83 -3.89%
53. Mar 31, 2018 $68.30 -3.88% 2,640.87 -2.69%
54. Apr 30, 2018 $66.41 -2.77% 2,648.05 0.27%
55. May 31, 2018 $70.84 $0.485 7.40% 2,705.27 2.16%
56. Jun 30, 2018 $69.14 -2.40% 2,718.37 0.48%
57. Jul 31, 2018 $72.28 4.54% 2,816.29 3.60%
58. Aug 31, 2018 $76.73 $0.485 6.83% 2,901.52 3.03%
59. Sep 30, 2018 $76.58 -0.20% 2,913.98 0.43%
60. Oct 31, 2018 $67.88 -11.36% 2,711.74 -6.94%
61. Nov 30, 2018 $67.52 $0.49 0.19% 2,760.17 1.79%
62. Dec 31, 2018 $59.75 -11.51% 2,506.85 -9.18%
63. Jan 31, 2019 $65.47 9.57% 2,704.10 7.87%
64. Feb 28, 2019 $68.15 $0.49 4.84% 2,784.49 2.97%
65. Mar 31, 2019 $68.47 0.47% 2,834.40 1.79%
66. Apr 30, 2019 $70.99 3.68% 2,945.83 3.93%
67. May 31, 2019 $60.24 $0.49 -14.45% 2,752.06 -6.58%
68. Jun 30, 2019 $66.72 10.76% 2,941.76 6.89%
69. Jul 31, 2019 $64.88 -2.76% 2,980.38 1.31%
70. Aug 31, 2019 $59.59 $0.49 -7.40% 2,926.46 -1.81%
71. Sep 30, 2019 $66.86 12.20% 2,976.74 1.72%
Average (R): 0.42% 0.80%
Standard deviation: 5.69% 3.29%

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 EMR during period t

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


Variance and Covariance

Emerson Electric Co., calculation of variance and covariance of returns

Microsoft Excel
t Date REMR,t RS&P 500,t (REMR,tREMR)2 (RS&P 500,tRS&P 500)2 (REMR,tREMR)×(RS&P 500,tRS&P 500)
1. Nov 30, 2013 0.67% 2.80% 0.06 4.02 0.50
2. Dec 31, 2013 4.76% 2.36% 18.84 2.42 6.76
3. Jan 31, 2014 -6.04% -3.56% 41.77 18.99 28.16
. . . . . . .
. . . . . . .
. . . . . . .
70. Aug 31, 2019 -7.40% -1.81% 61.15 6.80 20.40
71. Sep 30, 2019 12.20% 1.72% 138.74 0.84 10.82
Total (Σ): 2,262.58 758.73 1,001.26
t Date REMR,t RS&P 500,t (REMR,tREMR)2 (RS&P 500,tRS&P 500)2 (REMR,tREMR)×(RS&P 500,tRS&P 500)
1. Nov 30, 2013 0.67% 2.80% 0.06 4.02 0.50
2. Dec 31, 2013 4.76% 2.36% 18.84 2.42 6.76
3. Jan 31, 2014 -6.04% -3.56% 41.77 18.99 28.16
4. Feb 28, 2014 -0.38% 4.31% 0.64 12.34 -2.81
5. Mar 31, 2014 2.36% 0.69% 3.76 0.01 -0.21
6. Apr 30, 2014 2.07% 0.62% 2.70 0.03 -0.29
7. May 31, 2014 -1.50% 2.10% 3.68 1.70 -2.50
8. Jun 30, 2014 -0.55% 1.91% 0.95 1.22 -1.08
9. Jul 31, 2014 -4.08% -1.51% 20.30 5.32 10.39
10. Aug 31, 2014 1.26% 3.77% 0.70 8.80 2.48
11. Sep 30, 2014 -2.25% -1.55% 7.13 5.53 6.28
12. Oct 31, 2014 2.36% 2.32% 3.78 2.31 2.96
13. Nov 30, 2014 0.25% 2.45% 0.03 2.74 -0.28
14. Dec 31, 2014 -3.17% -0.42% 12.89 1.48 4.37
15. Jan 31, 2015 -7.76% -3.10% 66.93 15.24 31.93
16. Feb 28, 2015 2.55% 5.49% 4.52 22.00 9.97
17. Mar 31, 2015 -2.24% -1.74% 7.11 6.45 6.77
18. Apr 30, 2015 3.90% 0.85% 12.12 0.00 0.18
19. May 31, 2015 3.31% 1.05% 8.37 0.06 0.72
20. Jun 30, 2015 -8.09% -2.10% 72.47 8.41 24.69
21. Jul 31, 2015 -6.64% 1.97% 49.85 1.38 -8.29
22. Aug 31, 2015 -6.88% -6.26% 53.30 49.81 51.52
23. Sep 30, 2015 -7.44% -2.64% 61.79 11.86 27.07
24. Oct 31, 2015 6.93% 8.30% 42.33 56.23 48.79
25. Nov 30, 2015 6.87% 0.05% 41.59 0.56 -4.83
26. Dec 31, 2015 -4.34% -1.75% 22.67 6.51 12.15
27. Jan 31, 2016 -3.87% -5.07% 18.40 34.49 25.19
28. Feb 29, 2016 7.23% -0.41% 46.38 1.47 -8.26
29. Mar 31, 2016 11.37% 6.60% 119.78 33.64 63.48
30. Apr 30, 2016 0.46% 0.27% 0.00 0.28 -0.02
31. May 31, 2016 -3.91% 1.53% 18.74 0.54 -3.17
32. Jun 30, 2016 0.27% 0.09% 0.02 0.50 0.11
33. Jul 31, 2016 7.17% 3.56% 45.55 7.63 18.64
34. Aug 31, 2016 -4.91% -0.12% 28.43 0.85 4.91
35. Sep 30, 2016 3.47% -0.12% 9.32 0.85 -2.82
36. Oct 31, 2016 -7.03% -1.94% 55.47 7.52 20.42
37. Nov 30, 2016 12.31% 3.42% 141.40 6.85 31.13
38. Dec 31, 2016 -1.22% 1.82% 2.70 1.04 -1.68
39. Jan 31, 2017 5.22% 1.79% 23.02 0.98 4.75
40. Feb 28, 2017 3.27% 3.72% 8.13 8.53 8.33
41. Mar 31, 2017 -0.40% -0.04% 0.67 0.70 0.69
42. Apr 30, 2017 0.70% 0.91% 0.08 0.01 0.03
43. May 31, 2017 -1.13% 1.16% 2.40 0.13 -0.56
44. Jun 30, 2017 0.85% 0.48% 0.18 0.10 -0.13
45. Jul 31, 2017 -0.02% 1.93% 0.19 1.29 -0.50
46. Aug 31, 2017 -0.15% 0.05% 0.33 0.55 0.43
47. Sep 30, 2017 6.44% 1.93% 36.18 1.28 6.80
48. Oct 31, 2017 2.58% 2.22% 4.65 2.01 3.06
49. Nov 30, 2017 1.31% 2.81% 0.79 4.04 1.79
50. Dec 31, 2017 7.51% 0.98% 50.29 0.03 1.30
51. Jan 31, 2018 3.64% 5.62% 10.39 23.22 15.53
52. Feb 28, 2018 -0.95% -3.89% 1.88 22.03 6.43
53. Mar 31, 2018 -3.88% -2.69% 18.54 12.16 15.02
54. Apr 30, 2018 -2.77% 0.27% 10.17 0.28 1.68
55. May 31, 2018 7.40% 2.16% 48.72 1.85 9.50
56. Jun 30, 2018 -2.40% 0.48% 7.96 0.10 0.89
57. Jul 31, 2018 4.54% 3.60% 16.98 7.86 11.55
58. Aug 31, 2018 6.83% 3.03% 41.04 4.96 14.27
59. Sep 30, 2018 -0.20% 0.43% 0.38 0.14 0.23
60. Oct 31, 2018 -11.36% -6.94% 138.82 59.90 91.19
61. Nov 30, 2018 0.19% 1.79% 0.05 0.97 -0.23
62. Dec 31, 2018 -11.51% -9.18% 142.30 99.54 119.02
63. Jan 31, 2019 9.57% 7.87% 83.76 49.97 64.70
64. Feb 28, 2019 4.84% 2.97% 19.54 4.72 9.61
65. Mar 31, 2019 0.47% 1.79% 0.00 0.99 0.05
66. Apr 30, 2019 3.68% 3.93% 10.62 9.81 10.21
67. May 31, 2019 -14.45% -6.58% 221.24 54.42 109.73
68. Jun 30, 2019 10.76% 6.89% 106.83 37.13 62.98
69. Jul 31, 2019 -2.76% 1.31% 10.11 0.26 -1.63
70. Aug 31, 2019 -7.40% -1.81% 61.15 6.80 20.40
71. Sep 30, 2019 12.20% 1.72% 138.74 0.84 10.82
Total (Σ): 2,262.58 758.73 1,001.26

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VarianceEMR = Σ(REMR,tREMR)2 ÷ (71 – 1)
= 2,262.58 ÷ (71 – 1)
= 32.32

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 758.73 ÷ (71 – 1)
= 10.84

CovarianceEMR, S&P 500 = Σ(REMR,tREMR)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,001.26 ÷ (71 – 1)
= 14.30


Systematic Risk (β) Estimation

Microsoft Excel
VarianceEMR 32.32
VarianceS&P 500 10.84
CovarianceEMR, S&P 500 14.30
Correlation coefficientEMR, S&P 5001 0.76
βEMR2 1.32
αEMR3 -0.63%

Calculations

1 Correlation coefficientEMR, S&P 500
= CovarianceEMR, S&P 500 ÷ (Standard deviationEMR × Standard deviationS&P 500)
= 14.30 ÷ (5.69% × 3.29%)
= 0.76

2 βEMR
= CovarianceEMR, S&P 500 ÷ VarianceS&P 500
= 14.30 ÷ 10.84
= 1.32

3 αEMR
= AverageEMR – βEMR × AverageS&P 500
= 0.42%1.32 × 0.80%
= -0.63%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.67%
Expected rate of return on market portfolio2 E(RM) 13.79%
Systematic risk (β) of Emerson Electric Co. common stock βEMR 1.32
 
Expected rate of return on Emerson Electric Co. common stock3 E(REMR) 16.70%

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(REMR) = RF + βEMR [E(RM) – RF]
= 4.67% + 1.32 [13.79%4.67%]
= 16.70%