Walt Disney Co. (NYSE:DIS)

Capital Asset Pricing Model (CAPM)

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Walt Disney Co. common stock.

Rates of Return
Variance and Covariance
Systematic Risk (β) Estimation
Expected Rate of Return

Rates of Return

Walt Disney Co., monthly rates of return

		Walt Disney Co. (DIS)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_DIS,t¹	Dividend_DIS,t¹	R_DIS,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Oct 31, 2018	$114.83			2,711.74
1.	Nov 30, 2018	$115.49		0.57%	2,760.17	1.79%
2.	Dec 31, 2018	$109.65	$0.88	-4.29%	2,506.85	-9.18%
3.	Jan 31, 2019	$111.52		1.71%	2,704.10	7.87%
.	.	.	.	.	.	.
.	.	.	.	.	.	.
.	.	.	.	.	.	.
70.	Aug 31, 2024	$90.38		-3.53%	5,648.40	2.28%
71.	Sep 30, 2024	$96.19		6.43%	5,762.48	2.02%
Average (R):				0.25%		1.20%
Standard deviation:				9.82%		5.15%

		Walt Disney Co. (DIS)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_DIS,t¹	Dividend_DIS,t¹	R_DIS,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Oct 31, 2018	$114.83			2,711.74
1.	Nov 30, 2018	$115.49		0.57%	2,760.17	1.79%
2.	Dec 31, 2018	$109.65	$0.88	-4.29%	2,506.85	-9.18%
3.	Jan 31, 2019	$111.52		1.71%	2,704.10	7.87%
4.	Feb 28, 2019	$112.84		1.18%	2,784.49	2.97%
5.	Mar 31, 2019	$111.03		-1.60%	2,834.40	1.79%
6.	Apr 30, 2019	$136.97		23.36%	2,945.83	3.93%
7.	May 31, 2019	$132.04		-3.60%	2,752.06	-6.58%
8.	Jun 30, 2019	$139.64		5.76%	2,941.76	6.89%
9.	Jul 31, 2019	$143.01	$0.88	3.04%	2,980.38	1.31%
10.	Aug 31, 2019	$137.26		-4.02%	2,926.46	-1.81%
11.	Sep 30, 2019	$130.32		-5.06%	2,976.74	1.72%
12.	Oct 31, 2019	$129.92		-0.31%	3,037.56	2.04%
13.	Nov 30, 2019	$151.58		16.67%	3,140.98	3.40%
14.	Dec 31, 2019	$144.63	$0.88	-4.00%	3,230.78	2.86%
15.	Jan 31, 2020	$138.31		-4.37%	3,225.52	-0.16%
16.	Feb 29, 2020	$117.65		-14.94%	2,954.22	-8.41%
17.	Mar 31, 2020	$96.60		-17.89%	2,584.59	-12.51%
18.	Apr 30, 2020	$108.15		11.96%	2,912.43	12.68%
19.	May 31, 2020	$117.30		8.46%	3,044.31	4.53%
20.	Jun 30, 2020	$111.51		-4.94%	3,100.29	1.84%
21.	Jul 31, 2020	$116.94		4.87%	3,271.12	5.51%
22.	Aug 31, 2020	$131.87		12.77%	3,500.31	7.01%
23.	Sep 30, 2020	$124.08		-5.91%	3,363.00	-3.92%
24.	Oct 31, 2020	$121.25		-2.28%	3,269.96	-2.77%
25.	Nov 30, 2020	$148.01		22.07%	3,621.63	10.75%
26.	Dec 31, 2020	$181.18		22.41%	3,756.07	3.71%
27.	Jan 31, 2021	$168.17		-7.18%	3,714.24	-1.11%
28.	Feb 28, 2021	$189.04		12.41%	3,811.15	2.61%
29.	Mar 31, 2021	$184.52		-2.39%	3,972.89	4.24%
30.	Apr 30, 2021	$186.02		0.81%	4,181.17	5.24%
31.	May 31, 2021	$178.65		-3.96%	4,204.11	0.55%
32.	Jun 30, 2021	$175.77		-1.61%	4,297.50	2.22%
33.	Jul 31, 2021	$176.02		0.14%	4,395.26	2.27%
34.	Aug 31, 2021	$181.30		3.00%	4,522.68	2.90%
35.	Sep 30, 2021	$169.17		-6.69%	4,307.54	-4.76%
36.	Oct 31, 2021	$169.07		-0.06%	4,605.38	6.91%
37.	Nov 30, 2021	$144.90		-14.30%	4,567.00	-0.83%
38.	Dec 31, 2021	$154.89		6.89%	4,766.18	4.36%
39.	Jan 31, 2022	$142.97		-7.70%	4,515.55	-5.26%
40.	Feb 28, 2022	$148.46		3.84%	4,373.94	-3.14%
41.	Mar 31, 2022	$137.16		-7.61%	4,530.41	3.58%
42.	Apr 30, 2022	$111.63		-18.61%	4,131.93	-8.80%
43.	May 31, 2022	$110.44		-1.07%	4,132.15	0.01%
44.	Jun 30, 2022	$94.40		-14.52%	3,785.38	-8.39%
45.	Jul 31, 2022	$106.10		12.39%	4,130.29	9.11%
46.	Aug 31, 2022	$112.08		5.64%	3,955.00	-4.24%
47.	Sep 30, 2022	$94.33		-15.84%	3,585.62	-9.34%
48.	Oct 31, 2022	$106.54		12.94%	3,871.98	7.99%
49.	Nov 30, 2022	$97.87		-8.14%	4,080.11	5.38%
50.	Dec 31, 2022	$86.88		-11.23%	3,839.50	-5.90%
51.	Jan 31, 2023	$108.49		24.87%	4,076.60	6.18%
52.	Feb 28, 2023	$99.61		-8.19%	3,970.15	-2.61%
53.	Mar 31, 2023	$100.13		0.52%	4,109.31	3.51%
54.	Apr 30, 2023	$102.50		2.37%	4,169.48	1.46%
55.	May 31, 2023	$87.96		-14.19%	4,179.83	0.25%
56.	Jun 30, 2023	$89.28		1.50%	4,376.86	4.71%
57.	Jul 31, 2023	$88.89		-0.44%	4,588.96	4.85%
58.	Aug 31, 2023	$83.68		-5.86%	4,507.66	-1.77%
59.	Sep 30, 2023	$81.05		-3.14%	4,288.05	-4.87%
60.	Oct 31, 2023	$81.59		0.67%	4,193.80	-2.20%
61.	Nov 30, 2023	$92.69		13.60%	4,567.80	8.92%
62.	Dec 31, 2023	$90.29	$0.30	-2.27%	4,769.83	4.42%
63.	Jan 31, 2024	$96.05		6.38%	4,845.65	1.59%
64.	Feb 29, 2024	$111.58		16.17%	5,096.27	5.17%
65.	Mar 31, 2024	$122.36		9.66%	5,254.35	3.10%
66.	Apr 30, 2024	$111.10		-9.20%	5,035.69	-4.16%
67.	May 31, 2024	$103.91		-6.47%	5,277.51	4.80%
68.	Jun 30, 2024	$99.29		-4.45%	5,460.48	3.47%
69.	Jul 31, 2024	$93.69	$0.45	-5.19%	5,522.30	1.13%
70.	Aug 31, 2024	$90.38		-3.53%	5,648.40	2.28%
71.	Sep 30, 2024	$96.19		6.43%	5,762.48	2.02%
Average (R):				0.25%		1.20%
Standard deviation:				9.82%		5.15%

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 DIS during period t

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

Variance and Covariance

Walt Disney Co., calculation of variance and covariance of returns

t	Date	R_DIS,t	R_{S&P 500,t}	(R_DIS,t–R_DIS)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_DIS,t–R_DIS)×(R_{S&P 500,t}–R_{S&P 500})
1.	Nov 30, 2018	0.57%	1.79%	0.10	0.34	0.19
2.	Dec 31, 2018	-4.29%	-9.18%	20.69	107.68	47.20
3.	Jan 31, 2019	1.71%	7.87%	2.11	44.48	9.68
.	.	.	.	.	.	.
.	.	.	.	.	.	.
.	.	.	.	.	.	.
70.	Aug 31, 2024	-3.53%	2.28%	14.34	1.18	-4.11
71.	Sep 30, 2024	6.43%	2.02%	38.12	0.67	5.07
Total (Σ):				6,750.49	1,855.59	2,425.30

t	Date	R_DIS,t	R_{S&P 500,t}	(R_DIS,t–R_DIS)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_DIS,t–R_DIS)×(R_{S&P 500,t}–R_{S&P 500})
1.	Nov 30, 2018	0.57%	1.79%	0.10	0.34	0.19
2.	Dec 31, 2018	-4.29%	-9.18%	20.69	107.68	47.20
3.	Jan 31, 2019	1.71%	7.87%	2.11	44.48	9.68
4.	Feb 28, 2019	1.18%	2.97%	0.86	3.15	1.65
5.	Mar 31, 2019	-1.60%	1.79%	3.45	0.35	-1.10
6.	Apr 30, 2019	23.36%	3.93%	534.02	7.47	63.14
7.	May 31, 2019	-3.60%	-6.58%	14.85	60.48	29.97
8.	Jun 30, 2019	5.76%	6.89%	30.27	32.42	31.33
9.	Jul 31, 2019	3.04%	1.31%	7.78	0.01	0.32
10.	Aug 31, 2019	-4.02%	-1.81%	18.27	9.05	12.86
11.	Sep 30, 2019	-5.06%	1.72%	28.20	0.27	-2.76
12.	Oct 31, 2019	-0.31%	2.04%	0.31	0.71	-0.47
13.	Nov 30, 2019	16.67%	3.40%	269.54	4.87	36.21
14.	Dec 31, 2019	-4.00%	2.86%	18.14	2.76	-7.07
15.	Jan 31, 2020	-4.37%	-0.16%	21.38	1.85	6.30
16.	Feb 29, 2020	-14.94%	-8.41%	230.79	92.35	145.99
17.	Mar 31, 2020	-17.89%	-12.51%	329.29	187.99	248.80
18.	Apr 30, 2020	11.96%	12.68%	136.95	131.91	134.41
19.	May 31, 2020	8.46%	4.53%	67.34	11.08	27.32
20.	Jun 30, 2020	-4.94%	1.84%	26.94	0.41	-3.32
21.	Jul 31, 2020	4.87%	5.51%	21.30	18.59	19.90
22.	Aug 31, 2020	12.77%	7.01%	156.58	33.73	72.67
23.	Sep 30, 2020	-5.91%	-3.92%	37.96	26.23	31.56
24.	Oct 31, 2020	-2.28%	-2.77%	6.43	15.73	10.05
25.	Nov 30, 2020	22.07%	10.75%	475.94	91.31	208.46
26.	Dec 31, 2020	22.41%	3.71%	490.91	6.32	55.68
27.	Jan 31, 2021	-7.18%	-1.11%	55.28	5.35	17.19
28.	Feb 28, 2021	12.41%	2.61%	147.77	1.99	17.14
29.	Mar 31, 2021	-2.39%	4.24%	7.00	9.27	-8.05
30.	Apr 30, 2021	0.81%	5.24%	0.31	16.35	2.26
31.	May 31, 2021	-3.96%	0.55%	17.78	0.42	2.74
32.	Jun 30, 2021	-1.61%	2.22%	3.48	1.05	-1.91
33.	Jul 31, 2021	0.14%	2.27%	0.01	1.16	-0.12
34.	Aug 31, 2021	3.00%	2.90%	7.54	2.89	4.67
35.	Sep 30, 2021	-6.69%	-4.76%	48.23	35.47	41.36
36.	Oct 31, 2021	-0.06%	6.91%	0.10	32.67	-1.79
37.	Nov 30, 2021	-14.30%	-0.83%	211.70	4.13	29.57
38.	Dec 31, 2021	6.89%	4.36%	44.09	10.00	21.00
39.	Jan 31, 2022	-7.70%	-5.26%	63.20	41.70	51.34
40.	Feb 28, 2022	3.84%	-3.14%	12.86	18.79	-15.54
41.	Mar 31, 2022	-7.61%	3.58%	61.87	5.66	-18.71
42.	Apr 30, 2022	-18.61%	-8.80%	355.98	99.89	188.57
43.	May 31, 2022	-1.07%	0.01%	1.74	1.42	1.58
44.	Jun 30, 2022	-14.52%	-8.39%	218.39	91.99	141.73
45.	Jul 31, 2022	12.39%	9.11%	147.38	62.61	96.06
46.	Aug 31, 2022	5.64%	-4.24%	28.97	29.63	-29.29
47.	Sep 30, 2022	-15.84%	-9.34%	258.92	111.06	169.58
48.	Oct 31, 2022	12.94%	7.99%	161.03	46.07	86.13
49.	Nov 30, 2022	-8.14%	5.38%	70.42	17.44	-35.05
50.	Dec 31, 2022	-11.23%	-5.90%	131.87	50.36	81.49
51.	Jan 31, 2023	24.87%	6.18%	606.11	24.76	122.51
52.	Feb 28, 2023	-8.19%	-2.61%	71.22	14.52	32.16
53.	Mar 31, 2023	0.52%	3.51%	0.07	5.32	0.62
54.	Apr 30, 2023	2.37%	1.46%	4.46	0.07	0.56
55.	May 31, 2023	-14.19%	0.25%	208.50	0.90	13.73
56.	Jun 30, 2023	1.50%	4.71%	1.55	12.35	4.38
57.	Jul 31, 2023	-0.44%	4.85%	0.48	13.30	-2.52
58.	Aug 31, 2023	-5.86%	-1.77%	37.40	8.82	18.17
59.	Sep 30, 2023	-3.14%	-4.87%	11.54	36.86	20.62
60.	Oct 31, 2023	0.67%	-2.20%	0.17	11.54	-1.40
61.	Nov 30, 2023	13.60%	8.92%	178.23	59.58	103.05
62.	Dec 31, 2023	-2.27%	4.42%	6.35	10.39	-8.12
63.	Jan 31, 2024	6.38%	1.59%	37.52	0.15	2.39
64.	Feb 29, 2024	16.17%	5.17%	253.27	15.79	63.23
65.	Mar 31, 2024	9.66%	3.10%	88.49	3.62	17.90
66.	Apr 30, 2024	-9.20%	-4.16%	89.43	28.73	50.69
67.	May 31, 2024	-6.47%	4.80%	45.24	12.98	-24.23
68.	Jun 30, 2024	-4.45%	3.47%	22.09	5.14	-10.66
69.	Jul 31, 2024	-5.19%	1.13%	29.60	0.00	0.36
70.	Aug 31, 2024	-3.53%	2.28%	14.34	1.18	-4.11
71.	Sep 30, 2024	6.43%	2.02%	38.12	0.67	5.07
Total (Σ):				6,750.49	1,855.59	2,425.30

Show all

Variance_DIS = Σ(R_DIS,t–R_DIS)² ÷ (71 – 1)
= 6,750.49 ÷ (71 – 1)
= 96.44

Variance_{S&P 500} = Σ(R_{S&P 500,t}–R_{S&P 500})² ÷ (71 – 1)
= 1,855.59 ÷ (71 – 1)
= 26.51

Covariance_{DIS, S&P 500} = Σ(R_DIS,t–R_DIS)×(R_{S&P 500,t}–R_{S&P 500}) ÷ (71 – 1)
= 2,425.30 ÷ (71 – 1)
= 34.65

Systematic Risk (β) Estimation

Variance_DIS	96.44
Variance_{S&P 500}	26.51
Covariance_{DIS, S&P 500}	34.65
Correlation coefficient_{DIS, S&P 500}¹	0.69
β_DIS²	1.31
α_DIS³	-1.31%

Calculations

¹ Correlation coefficient_{DIS, S&P 500}
= Covariance_{DIS, S&P 500} ÷ (Standard deviation_DIS × Standard deviation_{S&P 500})
= 34.65 ÷ (9.82% × 5.15%)
= 0.69

² β_DIS
= Covariance_{DIS, S&P 500} ÷ Variance_{S&P 500}
= 34.65 ÷ 26.51
= 1.31

³ α_DIS
= Average_DIS – β_DIS × Average_{S&P 500}
= 0.25% – 1.31 × 1.20%
= -1.31%

Expected Rate of Return

Assumptions
Rate of return on LT Treasury Composite¹	R_F	4.67%
Expected rate of return on market portfolio²	E(R_M)	13.79%
Systematic risk (β) of Walt Disney Co. common stock	β_DIS	1.31

Expected rate of return on Walt Disney Co. common stock³	E(R_DIS)	16.59%

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(R_DIS) = R_F + β_DIS [E(R_M) – R_F]
= 4.67% + 1.31 [13.79% – 4.67%]
= 16.59%