Stock Analysis on Net

Procter & Gamble Co. (NYSE:PG)

$24.99

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 Procter & Gamble Co. common stock.

Paying user area

The data is hidden behind: . Unhide it.

This is a one-time payment. There is no automatic renewal.


We accept:

Visa Mastercard American Express Maestro Discover JCB PayPal Apple Pay Google Pay
Visa Secure Mastercard Identity Check American Express SafeKey

Rates of Return

Procter & Gamble Co., monthly rates of return

Microsoft Excel
Procter & Gamble Co. (PG) Standard & Poor’s 500 (S&P 500)
t Date PricePG,t1 DividendPG,t1 RPG,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2018
1. Aug 31, 2018
2. Sep 30, 2018
3. Oct 31, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2024
71. Jun 30, 2024
Average (R):
Standard deviation:
Procter & Gamble Co. (PG) Standard & Poor’s 500 (S&P 500)
t Date PricePG,t1 DividendPG,t1 RPG,t2 PriceS&P 500,t RS&P 500,t3
Jul 31, 2018
1. Aug 31, 2018
2. Sep 30, 2018
3. Oct 31, 2018
4. Nov 30, 2018
5. Dec 31, 2018
6. Jan 31, 2019
7. Feb 28, 2019
8. Mar 31, 2019
9. Apr 30, 2019
10. May 31, 2019
11. Jun 30, 2019
12. Jul 31, 2019
13. Aug 31, 2019
14. Sep 30, 2019
15. Oct 31, 2019
16. Nov 30, 2019
17. Dec 31, 2019
18. Jan 31, 2020
19. Feb 29, 2020
20. Mar 31, 2020
21. Apr 30, 2020
22. May 31, 2020
23. Jun 30, 2020
24. Jul 31, 2020
25. Aug 31, 2020
26. Sep 30, 2020
27. Oct 31, 2020
28. Nov 30, 2020
29. Dec 31, 2020
30. Jan 31, 2021
31. Feb 28, 2021
32. Mar 31, 2021
33. Apr 30, 2021
34. May 31, 2021
35. Jun 30, 2021
36. Jul 31, 2021
37. Aug 31, 2021
38. Sep 30, 2021
39. Oct 31, 2021
40. Nov 30, 2021
41. Dec 31, 2021
42. Jan 31, 2022
43. Feb 28, 2022
44. Mar 31, 2022
45. Apr 30, 2022
46. May 31, 2022
47. Jun 30, 2022
48. Jul 31, 2022
49. Aug 31, 2022
50. Sep 30, 2022
51. Oct 31, 2022
52. Nov 30, 2022
53. Dec 31, 2022
54. Jan 31, 2023
55. Feb 28, 2023
56. Mar 31, 2023
57. Apr 30, 2023
58. May 31, 2023
59. Jun 30, 2023
60. Jul 31, 2023
61. Aug 31, 2023
62. Sep 30, 2023
63. Oct 31, 2023
64. Nov 30, 2023
65. Dec 31, 2023
66. Jan 31, 2024
67. Feb 29, 2024
68. Mar 31, 2024
69. Apr 30, 2024
70. May 31, 2024
71. Jun 30, 2024
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 PG during period t

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


Variance and Covariance

Procter & Gamble Co., calculation of variance and covariance of returns

Microsoft Excel
t Date RPG,t RS&P 500,t (RPG,tRPG)2 (RS&P 500,tRS&P 500)2 (RPG,tRPG)×(RS&P 500,tRS&P 500)
1. Aug 31, 2018
2. Sep 30, 2018
3. Oct 31, 2018
. . . . . . .
. . . . . . .
. . . . . . .
70. May 31, 2024
71. Jun 30, 2024
Total (Σ):
t Date RPG,t RS&P 500,t (RPG,tRPG)2 (RS&P 500,tRS&P 500)2 (RPG,tRPG)×(RS&P 500,tRS&P 500)
1. Aug 31, 2018
2. Sep 30, 2018
3. Oct 31, 2018
4. Nov 30, 2018
5. Dec 31, 2018
6. Jan 31, 2019
7. Feb 28, 2019
8. Mar 31, 2019
9. Apr 30, 2019
10. May 31, 2019
11. Jun 30, 2019
12. Jul 31, 2019
13. Aug 31, 2019
14. Sep 30, 2019
15. Oct 31, 2019
16. Nov 30, 2019
17. Dec 31, 2019
18. Jan 31, 2020
19. Feb 29, 2020
20. Mar 31, 2020
21. Apr 30, 2020
22. May 31, 2020
23. Jun 30, 2020
24. Jul 31, 2020
25. Aug 31, 2020
26. Sep 30, 2020
27. Oct 31, 2020
28. Nov 30, 2020
29. Dec 31, 2020
30. Jan 31, 2021
31. Feb 28, 2021
32. Mar 31, 2021
33. Apr 30, 2021
34. May 31, 2021
35. Jun 30, 2021
36. Jul 31, 2021
37. Aug 31, 2021
38. Sep 30, 2021
39. Oct 31, 2021
40. Nov 30, 2021
41. Dec 31, 2021
42. Jan 31, 2022
43. Feb 28, 2022
44. Mar 31, 2022
45. Apr 30, 2022
46. May 31, 2022
47. Jun 30, 2022
48. Jul 31, 2022
49. Aug 31, 2022
50. Sep 30, 2022
51. Oct 31, 2022
52. Nov 30, 2022
53. Dec 31, 2022
54. Jan 31, 2023
55. Feb 28, 2023
56. Mar 31, 2023
57. Apr 30, 2023
58. May 31, 2023
59. Jun 30, 2023
60. Jul 31, 2023
61. Aug 31, 2023
62. Sep 30, 2023
63. Oct 31, 2023
64. Nov 30, 2023
65. Dec 31, 2023
66. Jan 31, 2024
67. Feb 29, 2024
68. Mar 31, 2024
69. Apr 30, 2024
70. May 31, 2024
71. Jun 30, 2024
Total (Σ):

Show all

VariancePG = Σ(RPG,tRPG)2 ÷ (71 – 1)
= ÷ (71 – 1)
=

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

CovariancePG, S&P 500 = Σ(RPG,tRPG)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= ÷ (71 – 1)
=


Systematic Risk (β) Estimation

Microsoft Excel
VariancePG
VarianceS&P 500
CovariancePG, S&P 500
Correlation coefficientPG, S&P 5001
βPG2
αPG3

Calculations

1 Correlation coefficientPG, S&P 500
= CovariancePG, S&P 500 ÷ (Standard deviationPG × Standard deviationS&P 500)
= ÷ ( × )
=

2 βPG
= CovariancePG, S&P 500 ÷ VarianceS&P 500
= ÷
=

3 αPG
= AveragePG – βPG × 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 Procter & Gamble Co. common stock βPG
 
Expected rate of return on Procter & Gamble Co. common stock3 E(RPG)

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(RPG) = RF + βPG [E(RM) – RF]
= + []
=