Stock Analysis on Net

Hershey Co. (NYSE:HSY)

This company has been moved to the archive! The financial data has not been updated since July 27, 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 Hershey Co. common stock.


Rates of Return

Hershey Co., monthly rates of return

Microsoft Excel
Hershey Co. (HSY) Standard & Poor’s 500 (S&P 500)
t Date PriceHSY,t1 DividendHSY,t1 RHSY,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $110.33 2,823.81
1. Feb 28, 2018 $98.26 $0.656 -10.35% 2,713.83 -3.89%
2. Mar 31, 2018 $98.96 0.71% 2,640.87 -2.69%
3. Apr 30, 2018 $91.94 -7.09% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022 $235.17 $1.036 -1.07% 4,080.11 5.38%
59. Dec 31, 2022 $231.57 -1.53% 3,839.50 -5.90%
Average (R): 1.57% 0.67%
Standard deviation: 4.95% 5.40%
Hershey Co. (HSY) Standard & Poor’s 500 (S&P 500)
t Date PriceHSY,t1 DividendHSY,t1 RHSY,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018 $110.33 2,823.81
1. Feb 28, 2018 $98.26 $0.656 -10.35% 2,713.83 -3.89%
2. Mar 31, 2018 $98.96 0.71% 2,640.87 -2.69%
3. Apr 30, 2018 $91.94 -7.09% 2,648.05 0.27%
4. May 31, 2018 $90.04 $0.656 -1.35% 2,705.27 2.16%
5. Jun 30, 2018 $93.06 3.35% 2,718.37 0.48%
6. Jul 31, 2018 $98.21 5.53% 2,816.29 3.60%
7. Aug 31, 2018 $100.52 $0.722 3.09% 2,901.52 3.03%
8. Sep 30, 2018 $102.00 1.47% 2,913.98 0.43%
9. Oct 31, 2018 $107.15 5.05% 2,711.74 -6.94%
10. Nov 30, 2018 $108.30 $0.722 1.75% 2,760.17 1.79%
11. Dec 31, 2018 $107.18 -1.03% 2,506.85 -9.18%
12. Jan 31, 2019 $106.10 -1.01% 2,704.10 7.87%
13. Feb 28, 2019 $110.68 $0.722 5.00% 2,784.49 2.97%
14. Mar 31, 2019 $114.83 3.75% 2,834.40 1.79%
15. Apr 30, 2019 $124.85 8.73% 2,945.83 3.93%
16. May 31, 2019 $131.96 $0.722 6.27% 2,752.06 -6.58%
17. Jun 30, 2019 $134.03 1.57% 2,941.76 6.89%
18. Jul 31, 2019 $151.74 13.21% 2,980.38 1.31%
19. Aug 31, 2019 $158.48 $0.773 4.95% 2,926.46 -1.81%
20. Sep 30, 2019 $154.99 -2.20% 2,976.74 1.72%
21. Oct 31, 2019 $146.87 -5.24% 3,037.56 2.04%
22. Nov 30, 2019 $148.16 $0.773 1.40% 3,140.98 3.40%
23. Dec 31, 2019 $146.98 -0.80% 3,230.78 2.86%
24. Jan 31, 2020 $155.17 5.57% 3,225.52 -0.16%
25. Feb 29, 2020 $143.99 $0.773 -6.71% 2,954.22 -8.41%
26. Mar 31, 2020 $132.50 -7.98% 2,584.59 -12.51%
27. Apr 30, 2020 $132.43 -0.05% 2,912.43 12.68%
28. May 31, 2020 $135.68 $0.773 3.04% 3,044.31 4.53%
29. Jun 30, 2020 $129.62 -4.47% 3,100.29 1.84%
30. Jul 31, 2020 $145.41 12.18% 3,271.12 5.51%
31. Aug 31, 2020 $148.64 $0.804 2.77% 3,500.31 7.01%
32. Sep 30, 2020 $143.34 -3.57% 3,363.00 -3.92%
33. Oct 31, 2020 $137.46 -4.10% 3,269.96 -2.77%
34. Nov 30, 2020 $147.89 $0.804 8.17% 3,621.63 10.75%
35. Dec 31, 2020 $152.33 3.00% 3,756.07 3.71%
36. Jan 31, 2021 $145.44 -4.52% 3,714.24 -1.11%
37. Feb 28, 2021 $145.65 $0.804 0.70% 3,811.15 2.61%
38. Mar 31, 2021 $158.16 8.59% 3,972.89 4.24%
39. Apr 30, 2021 $164.30 3.88% 4,181.17 5.24%
40. May 31, 2021 $173.05 $0.804 5.81% 4,204.11 0.55%
41. Jun 30, 2021 $174.18 0.65% 4,297.50 2.22%
42. Jul 31, 2021 $178.88 2.70% 4,395.26 2.27%
43. Aug 31, 2021 $177.70 $0.901 -0.16% 4,522.68 2.90%
44. Sep 30, 2021 $169.25 -4.76% 4,307.54 -4.76%
45. Oct 31, 2021 $175.35 3.60% 4,605.38 6.91%
46. Nov 30, 2021 $177.49 $0.901 1.73% 4,567.00 -0.83%
47. Dec 31, 2021 $193.47 9.00% 4,766.18 4.36%
48. Jan 31, 2022 $197.07 1.86% 4,515.55 -5.26%
49. Feb 28, 2022 $202.26 $0.901 3.09% 4,373.94 -3.14%
50. Mar 31, 2022 $216.63 7.10% 4,530.41 3.58%
51. Apr 30, 2022 $225.77 4.22% 4,131.93 -8.80%
52. May 31, 2022 $211.71 $0.901 -5.83% 4,132.15 0.01%
53. Jun 30, 2022 $215.16 1.63% 3,785.38 -8.39%
54. Jul 31, 2022 $227.96 5.95% 4,130.29 9.11%
55. Aug 31, 2022 $224.67 $1.036 -0.99% 3,955.00 -4.24%
56. Sep 30, 2022 $220.47 -1.87% 3,585.62 -9.34%
57. Oct 31, 2022 $238.77 8.30% 3,871.98 7.99%
58. Nov 30, 2022 $235.17 $1.036 -1.07% 4,080.11 5.38%
59. Dec 31, 2022 $231.57 -1.53% 3,839.50 -5.90%
Average (R): 1.57% 0.67%
Standard deviation: 4.95% 5.40%

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1 Data in US$ per share of common stock, adjusted for splits and stock dividends.

2 Rate of return on common stock of HSY during period t

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


Variance and Covariance

Hershey Co., calculation of variance and covariance of returns

Microsoft Excel
t Date RHSY,t RS&P 500,t (RHSY,tRHSY)2 (RS&P 500,tRS&P 500)2 (RHSY,tRHSY)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 -10.35% -3.89% 142.02 20.81 54.36
2. Mar 31, 2018 0.71% -2.69% 0.74 11.26 2.88
3. Apr 30, 2018 -7.09% 0.27% 75.09 0.16 3.42
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022 -1.07% 5.38% 7.00 22.17 -12.46
59. Dec 31, 2022 -1.53% -5.90% 9.63 43.08 20.37
Total (Σ): 1,420.62 1,691.48 625.74
t Date RHSY,t RS&P 500,t (RHSY,tRHSY)2 (RS&P 500,tRS&P 500)2 (RHSY,tRHSY)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018 -10.35% -3.89% 142.02 20.81 54.36
2. Mar 31, 2018 0.71% -2.69% 0.74 11.26 2.88
3. Apr 30, 2018 -7.09% 0.27% 75.09 0.16 3.42
4. May 31, 2018 -1.35% 2.16% 8.56 2.23 -4.37
5. Jun 30, 2018 3.35% 0.48% 3.18 0.03 -0.33
6. Jul 31, 2018 5.53% 3.60% 15.70 8.62 11.63
7. Aug 31, 2018 3.09% 3.03% 2.30 5.57 3.58
8. Sep 30, 2018 1.47% 0.43% 0.01 0.06 0.02
9. Oct 31, 2018 5.05% -6.94% 12.09 57.87 -26.45
10. Nov 30, 2018 1.75% 1.79% 0.03 1.25 0.20
11. Dec 31, 2018 -1.03% -9.18% 6.79 96.91 25.65
12. Jan 31, 2019 -1.01% 7.87% 6.65 51.87 -18.58
13. Feb 28, 2019 5.00% 2.97% 11.73 5.32 7.90
14. Mar 31, 2019 3.75% 1.79% 4.74 1.27 2.45
15. Apr 30, 2019 8.73% 3.93% 51.18 10.66 23.36
16. May 31, 2019 6.27% -6.58% 22.10 52.48 -34.06
17. Jun 30, 2019 1.57% 6.89% 0.00 38.77 -0.02
18. Jul 31, 2019 13.21% 1.31% 135.53 0.42 7.52
19. Aug 31, 2019 4.95% -1.81% 11.42 6.13 -8.37
20. Sep 30, 2019 -2.20% 1.72% 14.24 1.11 -3.97
21. Oct 31, 2019 -5.24% 2.04% 46.39 1.89 -9.38
22. Nov 30, 2019 1.40% 3.40% 0.03 7.50 -0.46
23. Dec 31, 2019 -0.80% 2.86% 5.61 4.81 -5.19
24. Jan 31, 2020 5.57% -0.16% 16.00 0.69 -3.32
25. Feb 29, 2020 -6.71% -8.41% 68.54 82.40 75.15
26. Mar 31, 2020 -7.98% -12.51% 91.23 173.67 125.88
27. Apr 30, 2020 -0.05% 12.68% 2.64 144.43 -19.53
28. May 31, 2020 3.04% 4.53% 2.15 14.91 5.66
29. Jun 30, 2020 -4.47% 1.84% 36.46 1.37 -7.08
30. Jul 31, 2020 12.18% 5.51% 112.57 23.46 51.39
31. Aug 31, 2020 2.77% 7.01% 1.45 40.19 7.62
32. Sep 30, 2020 -3.57% -3.92% 26.39 21.06 23.58
33. Oct 31, 2020 -4.10% -2.77% 32.19 11.79 19.48
34. Nov 30, 2020 8.17% 10.75% 43.57 101.77 66.59
35. Dec 31, 2020 3.00% 3.71% 2.05 9.28 4.36
36. Jan 31, 2021 -4.52% -1.11% 37.15 3.17 10.85
37. Feb 28, 2021 0.70% 2.61% 0.77 3.77 -1.70
38. Mar 31, 2021 8.59% 4.24% 49.24 12.80 25.10
39. Apr 30, 2021 3.88% 5.24% 5.34 20.94 10.57
40. May 31, 2021 5.81% 0.55% 18.00 0.01 -0.50
41. Jun 30, 2021 0.65% 2.22% 0.84 2.42 -1.43
42. Jul 31, 2021 2.70% 2.27% 1.27 2.59 1.81
43. Aug 31, 2021 -0.16% 2.90% 2.99 4.98 -3.86
44. Sep 30, 2021 -4.76% -4.76% 40.03 29.42 34.32
45. Oct 31, 2021 3.60% 6.91% 4.13 39.03 12.70
46. Nov 30, 2021 1.73% -0.83% 0.03 2.25 -0.24
47. Dec 31, 2021 9.00% 4.36% 55.23 13.65 27.46
48. Jan 31, 2022 1.86% -5.26% 0.08 35.11 -1.71
49. Feb 28, 2022 3.09% -3.14% 2.31 14.46 -5.78
50. Mar 31, 2022 7.10% 3.58% 30.61 8.47 16.10
51. Apr 30, 2022 4.22% -8.80% 7.01 89.54 -25.05
52. May 31, 2022 -5.83% 0.01% 54.77 0.44 4.89
53. Jun 30, 2022 1.63% -8.39% 0.00 82.06 -0.52
54. Jul 31, 2022 5.95% 9.11% 19.16 71.32 36.97
55. Aug 31, 2022 -0.99% -4.24% 6.56 24.11 12.57
56. Sep 30, 2022 -1.87% -9.34% 11.84 100.12 34.43
57. Oct 31, 2022 8.30% 7.99% 45.27 53.58 49.25
58. Nov 30, 2022 -1.07% 5.38% 7.00 22.17 -12.46
59. Dec 31, 2022 -1.53% -5.90% 9.63 43.08 20.37
Total (Σ): 1,420.62 1,691.48 625.74

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VarianceHSY = Σ(RHSY,tRHSY)2 ÷ (59 – 1)
= 1,420.62 ÷ (59 – 1)
= 24.49

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

CovarianceHSY, S&P 500 = Σ(RHSY,tRHSY)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 625.74 ÷ (59 – 1)
= 10.79


Systematic Risk (β) Estimation

Microsoft Excel
VarianceHSY 24.49
VarianceS&P 500 29.16
CovarianceHSY, S&P 500 10.79
Correlation coefficientHSY, S&P 5001 0.40
βHSY2 0.37
αHSY3 1.33%

Calculations

1 Correlation coefficientHSY, S&P 500
= CovarianceHSY, S&P 500 ÷ (Standard deviationHSY × Standard deviationS&P 500)
= 10.79 ÷ (4.95% × 5.40%)
= 0.40

2 βHSY
= CovarianceHSY, S&P 500 ÷ VarianceS&P 500
= 10.79 ÷ 29.16
= 0.37

3 αHSY
= AverageHSY – βHSY × AverageS&P 500
= 1.57%0.37 × 0.67%
= 1.33%


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 Hershey Co. common stock βHSY 0.37
 
Expected rate of return on Hershey Co. common stock3 E(RHSY) 8.04%

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(RHSY) = RF + βHSY [E(RM) – RF]
= 4.67% + 0.37 [13.79%4.67%]
= 8.04%