Stock Analysis on Net

Northrop Grumman Corp. (NYSE:NOC)

$22.49

This company has been moved to the archive! The financial data has not been updated since April 27, 2023.

Capital Asset Pricing Model (CAPM)

Microsoft Excel

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Rates of Return

Northrop Grumman Corp., monthly rates of return

Microsoft Excel
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t Date PriceNOC,t1 DividendNOC,t1 RNOC,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022
59. Dec 31, 2022
Average (R):
Standard deviation:
Northrop Grumman Corp. (NOC) Standard & Poor’s 500 (S&P 500)
t Date PriceNOC,t1 DividendNOC,t1 RNOC,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2018
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
4. May 31, 2018
5. Jun 30, 2018
6. Jul 31, 2018
7. Aug 31, 2018
8. Sep 30, 2018
9. Oct 31, 2018
10. Nov 30, 2018
11. Dec 31, 2018
12. Jan 31, 2019
13. Feb 28, 2019
14. Mar 31, 2019
15. Apr 30, 2019
16. May 31, 2019
17. Jun 30, 2019
18. Jul 31, 2019
19. Aug 31, 2019
20. Sep 30, 2019
21. Oct 31, 2019
22. Nov 30, 2019
23. Dec 31, 2019
24. Jan 31, 2020
25. Feb 29, 2020
26. Mar 31, 2020
27. Apr 30, 2020
28. May 31, 2020
29. Jun 30, 2020
30. Jul 31, 2020
31. Aug 31, 2020
32. Sep 30, 2020
33. Oct 31, 2020
34. Nov 30, 2020
35. Dec 31, 2020
36. Jan 31, 2021
37. Feb 28, 2021
38. Mar 31, 2021
39. Apr 30, 2021
40. May 31, 2021
41. Jun 30, 2021
42. Jul 31, 2021
43. Aug 31, 2021
44. Sep 30, 2021
45. Oct 31, 2021
46. Nov 30, 2021
47. Dec 31, 2021
48. Jan 31, 2022
49. Feb 28, 2022
50. Mar 31, 2022
51. Apr 30, 2022
52. May 31, 2022
53. Jun 30, 2022
54. Jul 31, 2022
55. Aug 31, 2022
56. Sep 30, 2022
57. Oct 31, 2022
58. Nov 30, 2022
59. Dec 31, 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 NOC during period t

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


Variance and Covariance

Northrop Grumman Corp., calculation of variance and covariance of returns

Microsoft Excel
t Date RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2022
59. Dec 31, 2022
Total (Σ):
t Date RNOC,t RS&P 500,t (RNOC,tRNOC)2 (RS&P 500,tRS&P 500)2 (RNOC,tRNOC)×(RS&P 500,tRS&P 500)
1. Feb 28, 2018
2. Mar 31, 2018
3. Apr 30, 2018
4. May 31, 2018
5. Jun 30, 2018
6. Jul 31, 2018
7. Aug 31, 2018
8. Sep 30, 2018
9. Oct 31, 2018
10. Nov 30, 2018
11. Dec 31, 2018
12. Jan 31, 2019
13. Feb 28, 2019
14. Mar 31, 2019
15. Apr 30, 2019
16. May 31, 2019
17. Jun 30, 2019
18. Jul 31, 2019
19. Aug 31, 2019
20. Sep 30, 2019
21. Oct 31, 2019
22. Nov 30, 2019
23. Dec 31, 2019
24. Jan 31, 2020
25. Feb 29, 2020
26. Mar 31, 2020
27. Apr 30, 2020
28. May 31, 2020
29. Jun 30, 2020
30. Jul 31, 2020
31. Aug 31, 2020
32. Sep 30, 2020
33. Oct 31, 2020
34. Nov 30, 2020
35. Dec 31, 2020
36. Jan 31, 2021
37. Feb 28, 2021
38. Mar 31, 2021
39. Apr 30, 2021
40. May 31, 2021
41. Jun 30, 2021
42. Jul 31, 2021
43. Aug 31, 2021
44. Sep 30, 2021
45. Oct 31, 2021
46. Nov 30, 2021
47. Dec 31, 2021
48. Jan 31, 2022
49. Feb 28, 2022
50. Mar 31, 2022
51. Apr 30, 2022
52. May 31, 2022
53. Jun 30, 2022
54. Jul 31, 2022
55. Aug 31, 2022
56. Sep 30, 2022
57. Oct 31, 2022
58. Nov 30, 2022
59. Dec 31, 2022
Total (Σ):

Show all

VarianceNOC = Σ(RNOC,tRNOC)2 ÷ (59 – 1)
= ÷ (59 – 1)
=

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

CovarianceNOC, S&P 500 = Σ(RNOC,tRNOC)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= ÷ (59 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VarianceNOC
VarianceS&P 500
CovarianceNOC, S&P 500
Correlation coefficientNOC, S&P 5001
βNOC2
αNOC3

Calculations

1 Correlation coefficientNOC, S&P 500
= CovarianceNOC, S&P 500 ÷ (Standard deviationNOC × Standard deviationS&P 500)
= ÷ ( × )
=

2 βNOC
= CovarianceNOC, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αNOC
= AverageNOC – βNOC × 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 Northrop Grumman Corp. common stock βNOC
 
Expected rate of return on Northrop Grumman Corp. common stock3 E(RNOC)

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(RNOC) = RF + βNOC [E(RM) – RF]
= + []
=