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Capital Asset Pricing Model (CAPM). A Case Study

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 Case Study
Capital Asset Pricing Model
(CAPM)

2015

Kilian Altenberger - 1218595

Elias Danzl - 1218344

Alexander Moßhammer - 1119957

Proseminar Financial Management

(LV 4324203)
 Case Study – Capital Asset Pricing Model 1

Index
1. Introduction ..............................................................................................................................................................2
2.a Basic figures of the firms ........................................................................................................................................2
2.b Statistical moments of stock market returns .........................................................................................................3
2.c The minimum variance portfolio ............................................................................................................................4
2.d The tangential portfolio ..........................................................................................................................................6
3. Turn-of-the-month anomaly.....................................................................................................................................9
4. References ..............................................................................................................................................................12

List of figures
Graph 1 – The MVP………………………………………………………………..….……………………………5
Graph 1 – The Market Line………………………...…………………………….…..……………………………..7
Graph 2 – Graphical overview of the ToM……………………………………...……..………………………….10

List of abbreviations
cap Capitalization
CAPM Capital Asset Pricing Model
EPS Earnings per share
FH First half of the month
KB KB Financial Group Inc.
MVP Minimum Variance Portfolio
NYSE New York Stock Exchange
PR Plowback ratio
ROE Return on equity
RoM Rest of the month
ToM Turn of the month

List of tables
Table 1 – Overview of the different portfolios, MVP………………………………………………………………...5
Table 2 – Overview of the different portfolios, Market portfolio…………………………………………………….8
Table 3 – The 50:50-Portfolio…………………………………………………………………………………….......8
Table 4 – Oversight of ToM of the three shares and the S&P 500……………………………………...……….….10
Table 5 – Monthly data of the ToM anomaly of the S& P 500………………………………………………….…..11
 Case Study – Capital Asset Pricing Model 2

1. Introduction
The purpose of this paper is to do empirical research on the capital asset pricing model. The bases of our
research are the returns of three stocks, the S&P 500 index which represents the market and the LIBOR as
a proxy for the risk-free interest rate. The three companies that were chosen in this paper were Kellogg
Company, KB Financial Group Inc. and Kate Spade & Company and all of them in combination represent
our fictive market. The reason why we chose the LIBOR instead of the EURIBOR was that all three stocks
we used note on the New York stock exchange (NYSE) and thus using American interest rates seems to
be more appropriate than using European ones.

2.a Basic figures of the firms

First of all, some key statistics and characteristic numbers shall give a quick overview of the companies.
The following data was last updated on December 1st, 2014. The Kellogg Company has the highest mar-
ket capitalization with 23.8 billion dollars, further it has a book value of about 31.1 billion. In compari-
son: KB Financial Group Inc. has a market cap of 13.7 billion and a book value of 40 billion. Kate Spade
& Company’s market cap is 3.7 billion and its book value is around 4 billion. The market cap is calculat-
ed by the stock price times all the shares outstanding (not including the shares held by the company it-
self), while the book value can be calculated out of the assets on the balance sheet (Google Finance
online, 2015). The market/book ratio of a firm tells if a share is overvalued or undervalued. If the book
value is higher than the market cap, then the share is undervalued and the price is expected to rise. There-
fore a market/book-ratio lower than one indicates an undervalued share (Peavler, 2015). The Kellogg
Company as well as KB Financial Group Inc. and Kate Spade & Company have undervalued shares with
ratios of 0.765 for Kellogg’s, 0.338 for KB Financial and 0.934 for Kate Spade. Another important char-
acteristic number is the earnings per share (EPS). It results from the net income of the last year divided by
the shares outstanding and it is an indicator for the profitability of a company. The Kellogg Company has
an EPS of 4.9, KB Financial’s EPS is 3.47 and Kate Spade’s EPS is 0.67. To figure out the return on eq-
uity (ROE), the EPS are divided by the stock price, if the market value serves as a basis. If the basis is the
book value, the EPS is divided by the book value per share. The ROE measures the efficiency of a com-
pany at generating profits for investors. A ROE of 15-20% is considered to be good. Kellogg’s has a ROE
(based on market value) of 7.31%, KB has 9.9% and Kate Spade has 2.25%. The ROE based on book
value is 5.59%, 3.32% and 2.16% for Kellogg’s, KB and Kate Spade (Google Finance online, 2015). The
EPS is needed for another important number, the P/E ratio (price/earnings ratio). It is calculated from the
stock price divided by the EPS and it can be interpreted as how much investors are willing to pay per dol-
lar of earnings. Historically, there is an average ratio of approximately 15-25 (Investopedia online, 2015).
 Case Study – Capital Asset Pricing Model 3

The P/E ratio of Kellogg’s is 13.67, KB’s is 10.11 and Kate Spade’s ratio is the highest with 44.54. One
of the most important numbers for an investor is the dividend yield. It tells the investor how much the
firm pays out in dividends per year relative to the stock price. The basis of the calculation can either be
the market value or the book value. For Kellogg’s there is a dividend yield of 1.96/67.02 = 2.92 % and,
based on book value, 1.96/87.63 = 2.24 %. In comparison, KB has a dividend yield of 1.37 % or 0.46 %
and Kate Spade’s dividend yield apparently is zero due to a non-existent annual payout (Google Finance
online, 2015). In order to calculate the growth rate (plowback ratio * ROE), the plowback ratio (PR) is
needed. The formula for the PR is 1-(annual payout/EPS) and it signifies the amount of earnings a firm
retains after dividends are paid out. Kellogg retains 60 %, KB 86 % and Kate Spade 100 %. Finally, the
estimated growth rate can be calculated. Since there were two possibilities to figure out the ROE (market
value or book value), it is necessary to continue in the same way and calculate two growth rates. Kel-
logg’s estimated growth rate is, based on the market value, 4.39% or, based on book value, 3.36 %. KB
grows at 8.53 % or 2.86 % and Kate Spade has a growth rate of 2.25 % or 2.16 % (Google Finance
online, 2015).

2.b Statistical moments of stock market returns

The basis of the following calculations is the monthly returns from 12/2008 until 11/2014 of Kellogg, KB,
Kate Spade and the S&P 500 index (data from Yahoo Finance). First of all, the focus lies on the mean
returns, variances and standard deviations of the stocks as well as the index. Kellogg has a mean return of
0.97 %, KB’s mean return is at 1.4 % and Kate Spade’s is at 5.1 %. Compared to the S&P 500, which
represents the market and has a mean return of 1.2 %, only Kate Spade has a significantly higher mean
return. In the enhanced excel sheet price charts and return plots are visualized. A closer look at the stand-
ard deviation says that Kate Spade also has the highest standard deviation (0.21), followed by KB (0.11),
Kellogg (0.046) and the index (0.042). In addition to that, it is always useful to have a closer look at the
covariance and the correlation coefficient. Both numbers try to predict dependencies between two stocks.
If the covariance is positive, both stocks tend to move in the same direction. If it is negative, the stocks’
returns are likely to move in the opposite direction. In the created fictive market there are only positive
covariances. To testify whether they are weakly, moderately or strongly correlated with each other, the
correlation coefficient is the crucial number. All three stocks correlate weakly with each other with a co-
efficient always slightly higher than 0.25. All of them are correlating moderately or even strongly with
the S&P 500 (Kellogg 0.45, KB 0.7, Kate Spade 0.45). To define a beta for the stocks, the covariance be-
tween the stock and the market portfolio is divided by the variance of the market portfolio (Palan, 2014).
The beta coefficient can be interpreted as a measurement of the volatility of a portfolio compared to the
 Case Study – Capital Asset Pricing Model 4

market as a whole. In other words beta can be seen as a tendency of a portfolio’s return reacting to chang-
es in the market (Investopedia online 2015). Kellogg has a beta of 0.39, KB’s is 0.61 and Kate Spade’s
beta is 2.49. The beta coefficient of the S&P 500 is 0.33, and the beta for the market portfolio is 1, since it
is efficient (more on the following pages). After that, it is important to diversify systematic and unsys-
tematic risk. Investors can calculate the systematic risk, but there will always be some risk that can’t be
calculated. Therefore it has to be estimated. Under the assumption that the variance represents total risk of
an asset, it is possible to say that the beta of a stock times the variance of the market portfolio is the sys-
tematic risk of this stock and the unsystematic risk is just what is missing to complete the total risk. Now,
having created a huge basis with a lot of characteristic numbers, defining a minimum variance portfolio
will be the next step.

2.c The minimum variance portfolio

The minimum variance portfolio (MVP) is a certain portfolio, which either can consist of any possible
combination of all available stocks (in this case three stocks) or which can as well consist of just one sin-
gle stock. Using all conceivable combinations/portfolios of stocks, the MVP is the portfolio which has the
lowest standard deviation. Therefore the MVP is the portfolio which offers the lowest achievable risk to
the investor out of all possible stock combinations.

Creating a plot including all these combinations on a graph depicting the return of the portfolio on the
ordinate and its standard deviation on the abscissa, the MVP will be the most left one of all points on this
graph. Although it seems to be intuitive, it is necessary to mention that the MVP has not the highest re-
turn of all portfolios. The portfolio which offers the highest possible return to its investors is called the
maximum return portfolio and is located at the highest point on the graph mentioned before. These two
considerations lead us to a conclusion which is as simple as intuitive: There must be a trade-off between
the expected return and the riskiness of a portfolio. To visualize this fact, there are eight hundred simulat-
ed random portfolios consisting of this paper’s three stocks enhanced to the excel sheet as well as the
MVP out of these portfolios.
 Case Study – Capital Asset Pricing Model 5

CAPM
0,04
0,035
0,03
0,025
0,02
Portfolios
µ

0,015
MVP
0,01
0,005
1,1E-16
0 0,05 0,1 0,15
-0,005
σ

Graph 3 – The MVP

Table 6 – Overview of the different portfolios, MVP

As you can see the MVP is the most left point on the graph (highlighted square) and it has a standard de-
viation (the strength with which the real return differs from the expected return) of 0.04578 the lowest
risk of all portfolios. Rounded 95 % of the MVP consists of the Kellogg Company’s stocks and 5 % of the
MVP consists of the KB Financial Group Inc.’s stocks. Certainly the MVP does not include any stock of
Kate Spade & Company. Furthermore you can see that the MVP only offers an expected return of 0.9907
% which is much lower than any random or the equally weighted portfolio’s expected return. Therefore
the expected return is quite save because due to the low standard deviation the real return of the portfolio
varies just around 4.5 % and for example the real return of the equally weighted portfolio will vary
around 9.3 %. This proves that there is a trade-off between a high expected return and the riskiness of a
portfolio. Furthermore the expected return of the equally weighted portfolio is about 2.5158% and the
expected return of the MVP only about 0.9907%.
 Case Study – Capital Asset Pricing Model 6

Another important thing that can be seen in this calculation is that the beta-factor and the standard devia-
tion of portfolios are likely to correlate. If there is a high standard deviation there is also a high beta-
factor which shows how strong the portfolio reacts to market movements. The beta-factor below one says
that the MVP reacts lower to market movements than the market portfolio which includes all stocks on
the market or the market on its own. This is important information because on the one hand the risk of a
stock or a portfolio consists of the specific risk which can be reduced by diversification and on the other
hand of the market risk which cannot be reduced by diversification. The market risk simply is the risk of a
bad market development. Since a beta-factor of one means that a stock’s or a portfolio’s performance
one-to-one imitates the market movement it is possible to say that all beta-factors below one are reducing
riskiness and thus come with a low standard deviation. Beta-factors above one are only useful if the
whole market has a heyday. They increase the riskiness of a portfolio or stock.

2.d The tangential portfolio

Next to portfolio construction there is a possibility to achieve lower risks for any certain level of expected
return and to achieve higher expected returns for any certain level of risk compared to simple construction
of a portfolio. This works by introducing lending and borrowing at the risk free interest rate. The LIBOR,
which is the used interest rate for inter-bank credits, will serve as the risk free interest rate. It is obvious
that the risk free interest rate must have a standard deviation of zero, because it is risk free. Depicting the
risk free rate on the graph of the capital asset pricing model (CAPM) it must be on the left side on the
ordinate. To achieve the goal of further reducing risk or further increasing expected return beyond the
given risk and return through simple portfolio construction, investors have to invest in a combination be-
tween the risk free interest rate and a certain portfolio which is called the tangential portfolio. Graphically
this consideration builds a straight line between the risk free interest rate on the left side and the tangen-
tial portfolio. This line is called the capital market line.
 Case Study – Capital Asset Pricing Model 7

CAPM
0,04
0,035
0,03
0,025 Portfolios
0,02 Capital Market Line
µ

0,015 MVP

0,01 Market Portfolio

0,005 50:50 Portfolio

0
0 0,05 0,1 0,15
σ

Graph 4 – The Market Line

To determine the tangential portfolio a simple mathematical consideration will do the trick. If a line is
tangent to another line or a point, both of them must have the same slope at the tangential point. Intuitive
the slope of the capital market line is the risk premium divided by the standard deviation. In this case the
risk premium is the expected return minus the risk free interest rate. This slope is called the Sharpe ratio.

(𝑟𝑗 −𝑟𝑓 )
𝐶𝑎𝑝𝑡𝑖𝑎𝑙 𝑀𝑎𝑟𝑘𝑒𝑡 𝐿𝑖𝑛𝑒: 𝑟𝑗 =𝑟𝑓 + ×𝜎
𝜎𝑗

Formula 1
The slope of the capital market line must
be equal to the slope of the market
In this case the slope of the capital market
portfolio line,is the
which the sharpe
so calledratioSharpe
of the ratio, is exactly 0.267851137. It
means that the minimal expected return of any market portfolio. between the tangential portfolio and the risk
combination
free rate must be the risk free rate. But the expected return increases by 0.267851137 (26.7851137 %) if
you take a standard deviation of one instead of zero. Hence also in this case a higher expected return
needs a higher standard deviation. This trade-off is represented by the slope of the capital market line the
Sharpe ratio.
To calculate the tangential portfolio, the portfolio with the highest possible Sharpe ratio is the one to
search for. This is the tangential or market portfolio.
All points on the capital market line are now achievable whether through investing in the tangential port-
folio or through lending or borrowing at the risk free interest rate. To achieve a point left from the tangen-
tial portfolio investors have to lend money at the risk free rate and to achieve a point to the right of the
tangential portfolio investors have to borrow at the risk free rate and invest the borrowed money in the
tangential portfolio.
 Case Study – Capital Asset Pricing Model 8

The composition of the market portfolio, its expected return, standard deviation and beta is depicted in the
following table.

Table 7 – Overview of the different portfolios, Market portfolio

Compared to the MVP the tangential portfolio has a higher expected return and as a consequence a higher
standard deviation. This is logical because the MVP is the portfolio with the lowest standard deviation
and all the other portfolios must have a higher standard deviation and a higher expected return. It was
already mentioned before that a high standard deviation goes along with a high beta factor. In conclusion
the tangential portfolio must have a higher beta factor than the MVP. If someone invests fifty percent of
her/his money in the tangential portfolio and the other fifty percent in the risk free interest rate (the LI-
BOR) the result is a portfolio which is called the 50:50-portfolio.

Table 8 – The 50:50-Portfolio

The 50:50-portfolio compared to the MVP achieves a lower standard deviation and a higher expected
return! Thus investors became much better off than with just investing in the MVP. A comparison be-
tween the 50:50-portfolio and the tangential portfolio shows that investors are not better off in both points
(standard deviation and return) but at least they are better off in one of these two points, namely the
standard deviation. It arises out of the fact that there must be a trade-off between the investment in the
tangential portfolio and the risk free interest rate. Graph 2 visualizes these facts.
 Case Study – Capital Asset Pricing Model 9

𝑃𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜 𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒: 𝜎𝑝2 = 𝛽𝑝2 𝜎𝑚

2
+ 𝜎𝜀2

Formula 2

Another interesting thing to compare is the systematic and unsystematic risks of these portfolios. Looking
at the formula for the portfolio variance depicted as formula 2 it is possible to split this formula in two
halves. The part before the plus is the portfolio’s systematic risk which depends on the portfolio’s sensi-
tivity to market movements and which depends on its beta factor and the variance of the market or tan-
gential portfolio. The part after the plus is the portfolio’s unsystematic risk which is the not explainable
part of the portfolio’s risk. This unsystematic risk can be seen as random movements of the portfolio’s
risk and thus cannot be explained. Assuming that the less unsystematic risk a portfolio includes the more
exactly the risk of a portfolio (the portfolio’s variance) can be determined.

Comparing the unsystematic risks remaining in the portfolios from table 2 and 3, the only portfolio with
no unsystematic risk is the market portfolio. The standard deviation of the 50:50-portfolio consists solely
to 0.000323267 of unsystematic/unexplainable risk and the standard deviation of the MVP of
0.034450973.

3. Turn-of-the-month anomaly
Furthermore we wanted to find out if one of the more acknowledged and proven seasonalities around the
globe can be proven with our three shares and the S&P 500 as well.

This turn-of-month anomaly states that a majority of the monthly returns is made in the first few work
days of the month. The first half of the month is mostly still positive while the rest of the month might
even average a negative return. This trend was found by many economists, such as Cadsby and Radner
(1992) who used the daily stock markets of ten countries from 1962 – 1989 or Agrawal and Tandon
(1994) who examined 19 countries and detected that up to 70 % of the monthly returns were stated in the
first few days. (cp. Rengasamy & Ameen, p. 32)

In order to compare our results to other papers we used the time-table of Hornik in “Saisonale Muster bei
Aktienrenditen”. We split the month in three major parts: the ToM (Turn of the month), FH (first half of
the month) and RoM (rest of the month). The first and most important category starts with the last work-
day of the previous month and goes until the fourth work day of the current month. FH also begins on the
last workday of the previous month and lasts until the ninth workday. Therefore the RoM includes the
following workdays until the penultimate workday of the current month.
 Case Study – Capital Asset Pricing Model 10

With this notation we used the daily returns of the three shares of our portfolio and the S&P 500 starting
from January, 1980. As a result we found following information:

Kate Spade & Compa- KB Financial Group Kellogg Com-

S&P 500 ny Inc. pany

Turn of Month 0,082% 0,249% 0,159% 0,032%

First half of
month 0,042% 0,124% 0,123% 0,022%

Rest of the month 0,036% 0,073% -0,020% 0,089%

Table 9 – Oversight of ToM of the three shares and the S&P 500

0,300%
0,250%
0,200%
Turn of Month
0,150%
First half of month
0,100%
Rest of the month
0,050%
0,000%
-0,050% S&P 500 Kate Spade & KB Financial Kellogg Company
Company Group Inc.

Graph 5 – Graphical overview of the ToM

Clearly one can see that the S&P 500, Kate Spade & Company as well as KB Financial Group Inc. con-
firm this anomaly in returns. S&P500 and Kate Spade & Company gain nearly twice the returns at the
turn of the month than in the first half and KB Financial Group Inc. even shows a negative return in the
later part of the month. As the S&P 500 concludes smaller and larger companies, we can see that this
anomaly does not only show in either the first or the latter category.

Interestingly to notice is that Kellogg Company either is unaffected by this trend or even has a reversed
trend. The company’s daily returns average 0,089 % in the later part of the month while the beginning
only averages 0,032 %. To find the reason for this result goes beyond the research capacities of this paper
and therefore shall be ignored. Yet it demonstrates that this effect is not to be seen in every company.

We also wanted to find out if this effect can be seen throughout the year and divided the year into months.
As the S&P 500 is the most predicative data we found following results:
 Case Study – Capital Asset Pricing Model 11

S& P 500 Turn of Month First half of month Rest of the month
January 0,210% 0,059% 0,042%
February 0,011% 0,058% -0,034%
March 0,039% 0,044% 0,060%
April 0,130% 0,047% 0,110%
May 0,091% 0,063% 0,031%
June 0,050% 0,003% 0,011%
July 0,027% 0,034% 0,027%
August -0,063% -0,039% 0,042%
September 0,017% 0,030% -0,082%
October 0,189% 0,096% 0,029%
November 0,193% 0,101% 0,052%
December 0,086% 0,007% 0,127%

Table 10 – monthly data of the ToM anomaly of the S& P 500

As you can see above only six months have a higher ToM than the other categories (green shaded cells).
January’s daily returns during the ToM are far above the FH and the RoM because of the so-called “Janu-
ary effect”. This effect is another often found anomaly which states that at the beginning of the year re-
turns are higher than in the rest of the year. Reasons for this second globally-discovered trend are highly
debated between economists. (cp. Hornik, p. 5) Moreover returns of “ToM-positive-months” are far
above the other categories in order to reach the yearly results of the previous table.

Conclusion

The Turn-of-month trend was found many times all over the world in the past and still in the present. Yet
its validity was disproved by many studies nowadays as well which could lead to the conclusion that this
trend is fading more and more due to a different stock-exchange-system or is simply an anomaly which
does not affect every stock. (cp. Rengasamy & Ameen, pp. 32-35) It might be that the ToM-effect of the
S&P 500 would have been stronger if we had used older data, but as the stock exchange has changed
drastically in the last few decades in comparison to previous years this could lead to different results. Kel-
logg Company is a good example to show that it is not recommended to invest money solely based on this
trend. Nevertheless it may always be wise to look at as many figures and trends as possible, since, obvi-
ously, information is better than no information. In the end it is to say that one cannot outperform the
market consistently by gathering more information, but one may gather an advantage compared to others.
 Case Study – Capital Asset Pricing Model 12

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