Stock Analysis on Net

Pfizer Inc. (NYSE:PFE)

Capital Asset Pricing Model (CAPM) 

Microsoft Excel

Rates of Return

Pfizer Inc., monthly rates of return

Microsoft Excel
Pfizer Inc. (PFE) Standard & Poor’s 500 (S&P 500)
t Date PricePFE,t1 DividendPFE,t1 RPFE,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $37.24 3,225.52
1. Feb 29, 2020 $33.42 -10.26% 2,954.22 -8.41%
2. Mar 31, 2020 $32.64 -2.33% 2,584.59 -12.51%
3. Apr 30, 2020 $38.36 17.52% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 $26.21 $0.42 -5.90% 6,032.38 5.73%
59. Dec 31, 2024 $26.53 1.22% 5,881.63 -2.50%
Average (R): 0.16% 1.16%
Standard deviation: 8.12% 5.28%
Pfizer Inc. (PFE) Standard & Poor’s 500 (S&P 500)
t Date PricePFE,t1 DividendPFE,t1 RPFE,t2 PriceS&P 500,t RS&P 500,t3
Jan 31, 2020 $37.24 3,225.52
1. Feb 29, 2020 $33.42 -10.26% 2,954.22 -8.41%
2. Mar 31, 2020 $32.64 -2.33% 2,584.59 -12.51%
3. Apr 30, 2020 $38.36 17.52% 2,912.43 12.68%
4. May 31, 2020 $38.19 $0.38 0.55% 3,044.31 4.53%
5. Jun 30, 2020 $32.70 -14.38% 3,100.29 1.84%
6. Jul 31, 2020 $38.48 $0.38 18.84% 3,271.12 5.51%
7. Aug 31, 2020 $37.79 -1.79% 3,500.31 7.01%
8. Sep 30, 2020 $36.70 -2.88% 3,363.00 -3.92%
9. Oct 31, 2020 $35.48 -3.32% 3,269.96 -2.77%
10. Nov 30, 2020 $38.31 $2.30819 14.48% 3,621.63 10.75%
11. Dec 31, 2020 $36.81 -3.92% 3,756.07 3.71%
12. Jan 31, 2021 $35.90 $0.39 -1.41% 3,714.24 -1.11%
13. Feb 28, 2021 $33.49 -6.71% 3,811.15 2.61%
14. Mar 31, 2021 $36.23 8.18% 3,972.89 4.24%
15. Apr 30, 2021 $38.65 6.68% 4,181.17 5.24%
16. May 31, 2021 $38.73 $0.39 1.22% 4,204.11 0.55%
17. Jun 30, 2021 $39.16 1.11% 4,297.50 2.22%
18. Jul 31, 2021 $42.81 $0.39 10.32% 4,395.26 2.27%
19. Aug 31, 2021 $46.07 7.62% 4,522.68 2.90%
20. Sep 30, 2021 $43.01 -6.64% 4,307.54 -4.76%
21. Oct 31, 2021 $43.74 1.70% 4,605.38 6.91%
22. Nov 30, 2021 $53.73 $0.39 23.73% 4,567.00 -0.83%
23. Dec 31, 2021 $59.05 9.90% 4,766.18 4.36%
24. Jan 31, 2022 $52.69 $0.40 -10.09% 4,515.55 -5.26%
25. Feb 28, 2022 $46.94 -10.91% 4,373.94 -3.14%
26. Mar 31, 2022 $51.77 10.29% 4,530.41 3.58%
27. Apr 30, 2022 $49.07 -5.22% 4,131.93 -8.80%
28. May 31, 2022 $53.04 $0.40 8.91% 4,132.15 0.01%
29. Jun 30, 2022 $52.43 -1.15% 3,785.38 -8.39%
30. Jul 31, 2022 $50.51 $0.40 -2.90% 4,130.29 9.11%
31. Aug 31, 2022 $45.23 -10.45% 3,955.00 -4.24%
32. Sep 30, 2022 $43.76 -3.25% 3,585.62 -9.34%
33. Oct 31, 2022 $46.55 6.38% 3,871.98 7.99%
34. Nov 30, 2022 $50.13 $0.40 8.55% 4,080.11 5.38%
35. Dec 31, 2022 $51.24 2.21% 3,839.50 -5.90%
36. Jan 31, 2023 $44.16 $0.41 -13.02% 4,076.60 6.18%
37. Feb 28, 2023 $40.57 -8.13% 3,970.15 -2.61%
38. Mar 31, 2023 $40.80 0.57% 4,109.31 3.51%
39. Apr 30, 2023 $38.89 -4.68% 4,169.48 1.46%
40. May 31, 2023 $38.02 $0.41 -1.18% 4,179.83 0.25%
41. Jun 30, 2023 $36.68 -3.52% 4,376.86 4.71%
42. Jul 31, 2023 $36.06 $0.41 -0.57% 4,588.96 4.85%
43. Aug 31, 2023 $35.38 -1.89% 4,507.66 -1.77%
44. Sep 30, 2023 $33.17 -6.25% 4,288.05 -4.87%
45. Oct 31, 2023 $30.56 -7.87% 4,193.80 -2.20%
46. Nov 30, 2023 $30.47 $0.41 1.05% 4,567.80 8.92%
47. Dec 31, 2023 $28.79 -5.51% 4,769.83 4.42%
48. Jan 31, 2024 $27.08 $0.42 -4.48% 4,845.65 1.59%
49. Feb 29, 2024 $26.56 -1.92% 5,096.27 5.17%
50. Mar 31, 2024 $27.75 4.48% 5,254.35 3.10%
51. Apr 30, 2024 $25.62 -7.68% 5,035.69 -4.16%
52. May 31, 2024 $28.66 $0.42 13.51% 5,277.51 4.80%
53. Jun 30, 2024 $27.98 -2.37% 5,460.48 3.47%
54. Jul 31, 2024 $30.54 $0.42 10.65% 5,522.30 1.13%
55. Aug 31, 2024 $29.01 -5.01% 5,648.40 2.28%
56. Sep 30, 2024 $28.94 -0.24% 5,762.48 2.02%
57. Oct 31, 2024 $28.30 -2.21% 5,705.45 -0.99%
58. Nov 30, 2024 $26.21 $0.42 -5.90% 6,032.38 5.73%
59. Dec 31, 2024 $26.53 1.22% 5,881.63 -2.50%
Average (R): 0.16% 1.16%
Standard deviation: 8.12% 5.28%

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 PFE during period t

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


Variance and Covariance

Pfizer Inc., calculation of variance and covariance of returns

Microsoft Excel
t Date RPFE,t RS&P 500,t (RPFE,tRPFE)2 (RS&P 500,tRS&P 500)2 (RPFE,tRPFE)×(RS&P 500,tRS&P 500)
1. Feb 29, 2020 -10.26% -8.41% 108.58 91.63 99.75
2. Mar 31, 2020 -2.33% -12.51% 6.23 186.96 34.13
3. Apr 30, 2020 17.52% 12.68% 301.44 132.78 200.07
. . . . . . .
. . . . . . .
. . . . . . .
58. Nov 30, 2024 -5.90% 5.73% 36.77 20.87 -27.70
59. Dec 31, 2024 1.22% -2.50% 1.12 13.40 -3.87
Total (Σ): 3,819.67 1,618.62 1,039.84
t Date RPFE,t RS&P 500,t (RPFE,tRPFE)2 (RS&P 500,tRS&P 500)2 (RPFE,tRPFE)×(RS&P 500,tRS&P 500)
1. Feb 29, 2020 -10.26% -8.41% 108.58 91.63 99.75
2. Mar 31, 2020 -2.33% -12.51% 6.23 186.96 34.13
3. Apr 30, 2020 17.52% 12.68% 301.44 132.78 200.07
4. May 31, 2020 0.55% 4.53% 0.15 11.34 1.30
5. Jun 30, 2020 -14.38% 1.84% 211.35 0.46 -9.85
6. Jul 31, 2020 18.84% 5.51% 348.77 18.91 81.22
7. Aug 31, 2020 -1.79% 7.01% 3.82 34.17 -11.43
8. Sep 30, 2020 -2.88% -3.92% 9.28 25.85 15.49
9. Oct 31, 2020 -3.32% -2.77% 12.16 15.43 13.70
10. Nov 30, 2020 14.48% 10.75% 205.05 92.03 137.37
11. Dec 31, 2020 -3.92% 3.71% 16.63 6.51 -10.40
12. Jan 31, 2021 -1.41% -1.11% 2.48 5.18 3.58
13. Feb 28, 2021 -6.71% 2.61% 47.27 2.10 -9.95
14. Mar 31, 2021 8.18% 4.24% 64.31 9.50 24.72
15. Apr 30, 2021 6.68% 5.24% 42.47 16.66 26.60
16. May 31, 2021 1.22% 0.55% 1.11 0.38 -0.65
17. Jun 30, 2021 1.11% 2.22% 0.90 1.12 1.00
18. Jul 31, 2021 10.32% 2.27% 103.11 1.24 11.31
19. Aug 31, 2021 7.62% 2.90% 55.54 3.02 12.95
20. Sep 30, 2021 -6.64% -4.76% 46.30 35.02 40.27
21. Oct 31, 2021 1.70% 6.91% 2.36 33.10 8.83
22. Nov 30, 2021 23.73% -0.83% 555.48 3.98 -47.01
23. Dec 31, 2021 9.90% 4.36% 94.85 10.24 31.16
24. Jan 31, 2022 -10.09% -5.26% 105.18 41.21 65.84
25. Feb 28, 2022 -10.91% -3.14% 122.66 18.47 47.59
26. Mar 31, 2022 10.29% 3.58% 102.56 5.84 24.47
27. Apr 30, 2022 -5.22% -8.80% 28.92 99.14 53.55
28. May 31, 2022 8.91% 0.01% 76.44 1.34 -10.11
29. Jun 30, 2022 -1.15% -8.39% 1.72 91.26 12.54
30. Jul 31, 2022 -2.90% 9.11% 9.37 63.21 -24.34
31. Aug 31, 2022 -10.45% -4.24% 112.70 29.22 57.38
32. Sep 30, 2022 -3.25% -9.34% 11.65 110.27 35.83
33. Oct 31, 2022 6.38% 7.99% 38.60 46.58 42.41
34. Nov 30, 2022 8.55% 5.38% 70.35 17.76 35.34
35. Dec 31, 2022 2.21% -5.90% 4.21 49.82 -14.48
36. Jan 31, 2023 -13.02% 6.18% 173.70 25.14 -66.08
37. Feb 28, 2023 -8.13% -2.61% 68.76 14.23 31.28
38. Mar 31, 2023 0.57% 3.51% 0.16 5.49 0.95
39. Apr 30, 2023 -4.68% 1.46% 23.46 0.09 -1.47
40. May 31, 2023 -1.18% 0.25% 1.81 0.83 1.23
41. Jun 30, 2023 -3.52% 4.71% 13.59 12.62 -13.10
42. Jul 31, 2023 -0.57% 4.85% 0.54 13.58 -2.71
43. Aug 31, 2023 -1.89% -1.77% 4.20 8.60 6.01
44. Sep 30, 2023 -6.25% -4.87% 41.07 36.40 38.67
45. Oct 31, 2023 -7.87% -2.20% 64.50 11.28 26.98
46. Nov 30, 2023 1.05% 8.92% 0.78 60.17 6.86
47. Dec 31, 2023 -5.51% 4.42% 32.22 10.64 -18.51
48. Jan 31, 2024 -4.48% 1.59% 21.56 0.18 -1.99
49. Feb 29, 2024 -1.92% 5.17% 4.34 16.09 -8.35
50. Mar 31, 2024 4.48% 3.10% 18.64 3.77 8.38
51. Apr 30, 2024 -7.68% -4.16% 61.44 28.33 41.72
52. May 31, 2024 13.51% 4.80% 178.03 13.26 48.58
53. Jun 30, 2024 -2.37% 3.47% 6.43 5.32 -5.85
54. Jul 31, 2024 10.65% 1.13% 110.00 0.00 -0.31
55. Aug 31, 2024 -5.01% 2.28% 26.75 1.26 -5.80
56. Sep 30, 2024 -0.24% 2.02% 0.16 0.74 -0.35
57. Oct 31, 2024 -2.21% -0.99% 5.64 4.63 5.11
58. Nov 30, 2024 -5.90% 5.73% 36.77 20.87 -27.70
59. Dec 31, 2024 1.22% -2.50% 1.12 13.40 -3.87
Total (Σ): 3,819.67 1,618.62 1,039.84

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VariancePFE = Σ(RPFE,tRPFE)2 ÷ (59 – 1)
= 3,819.67 ÷ (59 – 1)
= 65.86

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

CovariancePFE, S&P 500 = Σ(RPFE,tRPFE)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,039.84 ÷ (59 – 1)
= 17.93


Systematic Risk (β) Estimation

Microsoft Excel
VariancePFE 65.86
VarianceS&P 500 27.91
CovariancePFE, S&P 500 17.93
Correlation coefficientPFE, S&P 5001 0.42
βPFE2 0.64
αPFE3 -0.58%

Calculations

1 Correlation coefficientPFE, S&P 500
= CovariancePFE, S&P 500 ÷ (Standard deviationPFE × Standard deviationS&P 500)
= 17.93 ÷ (8.12% × 5.28%)
= 0.42

2 βPFE
= CovariancePFE, S&P 500 ÷ VarianceS&P 500
= 17.93 ÷ 27.91
= 0.64

3 αPFE
= AveragePFE – βPFE × AverageS&P 500
= 0.16%0.64 × 1.16%
= -0.58%


Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 4.64%
Expected rate of return on market portfolio2 E(RM) 14.89%
Systematic risk (β) of Pfizer Inc. common stock βPFE 0.64
 
Expected rate of return on Pfizer Inc. common stock3 E(RPFE) 11.23%

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(RPFE) = RF + βPFE [E(RM) – RF]
= 4.64% + 0.64 [14.89%4.64%]
= 11.23%