자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Abiomed의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
Abiomed Inc., 월별 수익률
| Abiomed Inc. (ABMD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABMD,t1 | 피제수ABMD,t1 | RABMD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 4. 30. | $97.14 | 2,065.30 | ||||
| 1. | 2016. 5. 31. | $99.31 | 2.23% | 2,096.95 | 1.53% | |
| 2. | 2016. 6. 30. | $109.29 | 10.05% | 2,098.86 | 0.09% | |
| 3. | 2016. 7. 31. | $117.97 | 7.94% | 2,173.60 | 3.56% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 2. 28. | $310.74 | 5.03% | 4,373.94 | -3.14% | |
| 71. | 2022. 3. 31. | $331.24 | 6.60% | 4,530.41 | 3.58% | |
| 평균의 (R): | 2.44% | 1.20% | ||||
| 표준 편차: | 11.78% | 4.24% | ||||
| Abiomed Inc. (ABMD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABMD,t1 | 피제수ABMD,t1 | RABMD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 4. 30. | $97.14 | 2,065.30 | ||||
| 1. | 2016. 5. 31. | $99.31 | 2.23% | 2,096.95 | 1.53% | |
| 2. | 2016. 6. 30. | $109.29 | 10.05% | 2,098.86 | 0.09% | |
| 3. | 2016. 7. 31. | $117.97 | 7.94% | 2,173.60 | 3.56% | |
| 4. | 2016. 8. 31. | $117.94 | -0.03% | 2,170.95 | -0.12% | |
| 5. | 2016. 9. 30. | $128.58 | 9.02% | 2,168.27 | -0.12% | |
| 6. | 2016. 10. 31. | $104.99 | -18.35% | 2,126.15 | -1.94% | |
| 7. | 2016. 11. 30. | $112.24 | 6.91% | 2,198.81 | 3.42% | |
| 8. | 2016. 12. 31. | $112.68 | 0.39% | 2,238.83 | 1.82% | |
| 9. | 2017. 1. 31. | $106.37 | -5.60% | 2,278.87 | 1.79% | |
| 10. | 2017. 2. 28. | $117.97 | 10.91% | 2,363.64 | 3.72% | |
| 11. | 2017. 3. 31. | $125.20 | 6.13% | 2,362.72 | -0.04% | |
| 12. | 2017. 4. 30. | $130.32 | 4.09% | 2,384.20 | 0.91% | |
| 13. | 2017. 5. 31. | $137.43 | 5.46% | 2,411.80 | 1.16% | |
| 14. | 2017. 6. 30. | $143.30 | 4.27% | 2,423.41 | 0.48% | |
| 15. | 2017. 7. 31. | $148.09 | 3.34% | 2,470.30 | 1.93% | |
| 16. | 2017. 8. 31. | $150.80 | 1.83% | 2,471.65 | 0.05% | |
| 17. | 2017. 9. 30. | $168.60 | 11.80% | 2,519.36 | 1.93% | |
| 18. | 2017. 10. 31. | $192.92 | 14.42% | 2,575.26 | 2.22% | |
| 19. | 2017. 11. 30. | $194.84 | 1.00% | 2,647.58 | 2.81% | |
| 20. | 2017. 12. 31. | $187.41 | -3.81% | 2,673.61 | 0.98% | |
| 21. | 2018. 1. 31. | $235.00 | 25.39% | 2,823.81 | 5.62% | |
| 22. | 2018. 2. 28. | $268.18 | 14.12% | 2,713.83 | -3.89% | |
| 23. | 2018. 3. 31. | $290.99 | 8.51% | 2,640.87 | -2.69% | |
| 24. | 2018. 4. 30. | $300.95 | 3.42% | 2,648.05 | 0.27% | |
| 25. | 2018. 5. 31. | $381.14 | 26.65% | 2,705.27 | 2.16% | |
| 26. | 2018. 6. 30. | $409.05 | 7.32% | 2,718.37 | 0.48% | |
| 27. | 2018. 7. 31. | $354.53 | -13.33% | 2,816.29 | 3.60% | |
| 28. | 2018. 8. 31. | $406.58 | 14.68% | 2,901.52 | 3.03% | |
| 29. | 2018. 9. 30. | $449.75 | 10.62% | 2,913.98 | 0.43% | |
| 30. | 2018. 10. 31. | $341.20 | -24.14% | 2,711.74 | -6.94% | |
| 31. | 2018. 11. 30. | $332.68 | -2.50% | 2,760.17 | 1.79% | |
| 32. | 2018. 12. 31. | $325.04 | -2.30% | 2,506.85 | -9.18% | |
| 33. | 2019. 1. 31. | $351.07 | 8.01% | 2,704.10 | 7.87% | |
| 34. | 2019. 2. 28. | $334.50 | -4.72% | 2,784.49 | 2.97% | |
| 35. | 2019. 3. 31. | $285.59 | -14.62% | 2,834.40 | 1.79% | |
| 36. | 2019. 4. 30. | $277.41 | -2.86% | 2,945.83 | 3.93% | |
| 37. | 2019. 5. 31. | $261.92 | -5.58% | 2,752.06 | -6.58% | |
| 38. | 2019. 6. 30. | $260.49 | -0.55% | 2,941.76 | 6.89% | |
| 39. | 2019. 7. 31. | $278.56 | 6.94% | 2,980.38 | 1.31% | |
| 40. | 2019. 8. 31. | $193.07 | -30.69% | 2,926.46 | -1.81% | |
| 41. | 2019. 9. 30. | $177.89 | -7.86% | 2,976.74 | 1.72% | |
| 42. | 2019. 10. 31. | $207.58 | 16.69% | 3,037.56 | 2.04% | |
| 43. | 2019. 11. 30. | $196.18 | -5.49% | 3,140.98 | 3.40% | |
| 44. | 2019. 12. 31. | $170.59 | -13.04% | 3,230.78 | 2.86% | |
| 45. | 2020. 1. 31. | $186.29 | 9.20% | 3,225.52 | -0.16% | |
| 46. | 2020. 2. 29. | $150.26 | -19.34% | 2,954.22 | -8.41% | |
| 47. | 2020. 3. 31. | $145.16 | -3.39% | 2,584.59 | -12.51% | |
| 48. | 2020. 4. 30. | $191.25 | 31.75% | 2,912.43 | 12.68% | |
| 49. | 2020. 5. 31. | $223.90 | 17.07% | 3,044.31 | 4.53% | |
| 50. | 2020. 6. 30. | $241.56 | 7.89% | 3,100.29 | 1.84% | |
| 51. | 2020. 7. 31. | $299.94 | 24.17% | 3,271.12 | 5.51% | |
| 52. | 2020. 8. 31. | $307.62 | 2.56% | 3,500.31 | 7.01% | |
| 53. | 2020. 9. 30. | $277.06 | -9.93% | 3,363.00 | -3.92% | |
| 54. | 2020. 10. 31. | $251.88 | -9.09% | 3,269.96 | -2.77% | |
| 55. | 2020. 11. 30. | $274.10 | 8.82% | 3,621.63 | 10.75% | |
| 56. | 2020. 12. 31. | $324.20 | 18.28% | 3,756.07 | 3.71% | |
| 57. | 2021. 1. 31. | $348.25 | 7.42% | 3,714.24 | -1.11% | |
| 58. | 2021. 2. 28. | $324.55 | -6.81% | 3,811.15 | 2.61% | |
| 59. | 2021. 3. 31. | $318.73 | -1.79% | 3,972.89 | 4.24% | |
| 60. | 2021. 4. 30. | $320.73 | 0.63% | 4,181.17 | 5.24% | |
| 61. | 2021. 5. 31. | $284.58 | -11.27% | 4,204.11 | 0.55% | |
| 62. | 2021. 6. 30. | $312.11 | 9.67% | 4,297.50 | 2.22% | |
| 63. | 2021. 7. 31. | $327.14 | 4.82% | 4,395.26 | 2.27% | |
| 64. | 2021. 8. 31. | $363.96 | 11.26% | 4,522.68 | 2.90% | |
| 65. | 2021. 9. 30. | $325.52 | -10.56% | 4,307.54 | -4.76% | |
| 66. | 2021. 10. 31. | $332.04 | 2.00% | 4,605.38 | 6.91% | |
| 67. | 2021. 11. 30. | $314.78 | -5.20% | 4,567.00 | -0.83% | |
| 68. | 2021. 12. 31. | $359.17 | 14.10% | 4,766.18 | 4.36% | |
| 69. | 2022. 1. 31. | $295.87 | -17.62% | 4,515.55 | -5.26% | |
| 70. | 2022. 2. 28. | $310.74 | 5.03% | 4,373.94 | -3.14% | |
| 71. | 2022. 3. 31. | $331.24 | 6.60% | 4,530.41 | 3.58% | |
| 평균의 (R): | 2.44% | 1.20% | ||||
| 표준 편차: | 11.78% | 4.24% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 ABMD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Abiomed Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RABMD,t | RS&P 500,t | (RABMD,t–RABMD)2 | (RS&P 500,t–RS&P 500)2 | (RABMD,t–RABMD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 5. 31. | 2.23% | 1.53% | 0.04 | 0.11 | -0.07 |
| 2. | 2016. 6. 30. | 10.05% | 0.09% | 57.97 | 1.23 | -8.46 |
| 3. | 2016. 7. 31. | 7.94% | 3.56% | 30.32 | 5.57 | 12.99 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 2. 28. | 5.03% | -3.14% | 6.71 | 18.82 | -11.24 |
| 71. | 2022. 3. 31. | 6.60% | 3.58% | 17.32 | 5.64 | 9.89 |
| 합계 (Σ): | 9,718.37 | 1,257.74 | 1,707.27 | |||
| t | 날짜 | RABMD,t | RS&P 500,t | (RABMD,t–RABMD)2 | (RS&P 500,t–RS&P 500)2 | (RABMD,t–RABMD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 5. 31. | 2.23% | 1.53% | 0.04 | 0.11 | -0.07 |
| 2. | 2016. 6. 30. | 10.05% | 0.09% | 57.97 | 1.23 | -8.46 |
| 3. | 2016. 7. 31. | 7.94% | 3.56% | 30.32 | 5.57 | 12.99 |
| 4. | 2016. 8. 31. | -0.03% | -0.12% | 6.06 | 1.75 | 3.26 |
| 5. | 2016. 9. 30. | 9.02% | -0.12% | 43.38 | 1.76 | -8.73 |
| 6. | 2016. 10. 31. | -18.35% | -1.94% | 431.89 | 9.89 | 65.34 |
| 7. | 2016. 11. 30. | 6.91% | 3.42% | 19.98 | 4.91 | 9.90 |
| 8. | 2016. 12. 31. | 0.39% | 1.82% | 4.18 | 0.38 | -1.26 |
| 9. | 2017. 1. 31. | -5.60% | 1.79% | 64.57 | 0.34 | -4.71 |
| 10. | 2017. 2. 28. | 10.91% | 3.72% | 71.74 | 6.34 | 21.33 |
| 11. | 2017. 3. 31. | 6.13% | -0.04% | 13.64 | 1.54 | -4.58 |
| 12. | 2017. 4. 30. | 4.09% | 0.91% | 2.74 | 0.09 | -0.48 |
| 13. | 2017. 5. 31. | 5.46% | 1.16% | 9.12 | 0.00 | -0.13 |
| 14. | 2017. 6. 30. | 4.27% | 0.48% | 3.37 | 0.52 | -1.32 |
| 15. | 2017. 7. 31. | 3.34% | 1.93% | 0.82 | 0.54 | 0.67 |
| 16. | 2017. 8. 31. | 1.83% | 0.05% | 0.37 | 1.32 | 0.69 |
| 17. | 2017. 9. 30. | 11.80% | 1.93% | 87.76 | 0.53 | 6.83 |
| 18. | 2017. 10. 31. | 14.42% | 2.22% | 143.74 | 1.03 | 12.19 |
| 19. | 2017. 11. 30. | 1.00% | 2.81% | 2.07 | 2.58 | -2.31 |
| 20. | 2017. 12. 31. | -3.81% | 0.98% | 39.05 | 0.05 | 1.37 |
| 21. | 2018. 1. 31. | 25.39% | 5.62% | 527.07 | 19.50 | 101.39 |
| 22. | 2018. 2. 28. | 14.12% | -3.89% | 136.51 | 25.97 | -59.55 |
| 23. | 2018. 3. 31. | 8.51% | -2.69% | 36.85 | 15.13 | -23.61 |
| 24. | 2018. 4. 30. | 3.42% | 0.27% | 0.97 | 0.86 | -0.92 |
| 25. | 2018. 5. 31. | 26.65% | 2.16% | 586.13 | 0.92 | 23.22 |
| 26. | 2018. 6. 30. | 7.32% | 0.48% | 23.89 | 0.51 | -3.51 |
| 27. | 2018. 7. 31. | -13.33% | 3.60% | 248.50 | 5.76 | -37.84 |
| 28. | 2018. 8. 31. | 14.68% | 3.03% | 149.96 | 3.33 | 22.34 |
| 29. | 2018. 9. 30. | 10.62% | 0.43% | 66.95 | 0.60 | -6.32 |
| 30. | 2018. 10. 31. | -24.14% | -6.94% | 706.02 | 66.29 | 216.34 |
| 31. | 2018. 11. 30. | -2.50% | 1.79% | 24.33 | 0.34 | -2.88 |
| 32. | 2018. 12. 31. | -2.30% | -9.18% | 22.39 | 107.73 | 49.11 |
| 33. | 2019. 1. 31. | 8.01% | 7.87% | 31.06 | 44.45 | 37.15 |
| 34. | 2019. 2. 28. | -4.72% | 2.97% | 51.20 | 3.14 | -12.67 |
| 35. | 2019. 3. 31. | -14.62% | 1.79% | 290.95 | 0.35 | -10.08 |
| 36. | 2019. 4. 30. | -2.86% | 3.93% | 28.09 | 7.45 | -14.47 |
| 37. | 2019. 5. 31. | -5.58% | -6.58% | 64.31 | 60.52 | 62.39 |
| 38. | 2019. 6. 30. | -0.55% | 6.89% | 8.89 | 32.39 | -16.97 |
| 39. | 2019. 7. 31. | 6.94% | 1.31% | 20.26 | 0.01 | 0.50 |
| 40. | 2019. 8. 31. | -30.69% | -1.81% | 1,097.29 | 9.07 | 99.74 |
| 41. | 2019. 9. 30. | -7.86% | 1.72% | 106.05 | 0.27 | -5.32 |
| 42. | 2019. 10. 31. | 16.69% | 2.04% | 203.19 | 0.71 | 11.99 |
| 43. | 2019. 11. 30. | -5.49% | 3.40% | 62.84 | 4.85 | -17.46 |
| 44. | 2019. 12. 31. | -13.04% | 2.86% | 239.62 | 2.75 | -25.65 |
| 45. | 2020. 1. 31. | 9.20% | -0.16% | 45.80 | 1.86 | -9.23 |
| 46. | 2020. 2. 29. | -19.34% | -8.41% | 474.21 | 92.41 | 209.33 |
| 47. | 2020. 3. 31. | -3.39% | -12.51% | 33.98 | 188.06 | 79.94 |
| 48. | 2020. 4. 30. | 31.75% | 12.68% | 859.41 | 131.85 | 336.62 |
| 49. | 2020. 5. 31. | 17.07% | 4.53% | 214.23 | 11.07 | 48.69 |
| 50. | 2020. 6. 30. | 7.89% | 1.84% | 29.72 | 0.41 | 3.47 |
| 51. | 2020. 7. 31. | 24.17% | 5.51% | 472.30 | 18.56 | 93.63 |
| 52. | 2020. 8. 31. | 2.56% | 7.01% | 0.02 | 33.70 | 0.73 |
| 53. | 2020. 9. 30. | -9.93% | -3.92% | 153.01 | 26.26 | 63.39 |
| 54. | 2020. 10. 31. | -9.09% | -2.77% | 132.80 | 15.75 | 45.73 |
| 55. | 2020. 11. 30. | 8.82% | 10.75% | 40.78 | 91.26 | 61.01 |
| 56. | 2020. 12. 31. | 18.28% | 3.71% | 250.99 | 6.30 | 39.77 |
| 57. | 2021. 1. 31. | 7.42% | -1.11% | 24.83 | 5.36 | -11.54 |
| 58. | 2021. 2. 28. | -6.81% | 2.61% | 85.39 | 1.98 | -13.01 |
| 59. | 2021. 3. 31. | -1.79% | 4.24% | 17.88 | 9.25 | -12.86 |
| 60. | 2021. 4. 30. | 0.63% | 5.24% | 3.27 | 16.33 | -7.31 |
| 61. | 2021. 5. 31. | -11.27% | 0.55% | 187.87 | 0.43 | 8.95 |
| 62. | 2021. 6. 30. | 9.67% | 2.22% | 52.40 | 1.04 | 7.38 |
| 63. | 2021. 7. 31. | 4.82% | 2.27% | 5.67 | 1.15 | 2.55 |
| 64. | 2021. 8. 31. | 11.26% | 2.90% | 77.79 | 2.88 | 14.97 |
| 65. | 2021. 9. 30. | -10.56% | -4.76% | 168.92 | 35.51 | 77.44 |
| 66. | 2021. 10. 31. | 2.00% | 6.91% | 0.19 | 32.63 | -2.47 |
| 67. | 2021. 11. 30. | -5.20% | -0.83% | 58.27 | 4.14 | 15.54 |
| 68. | 2021. 12. 31. | 14.10% | 4.36% | 136.11 | 9.98 | 36.86 |
| 69. | 2022. 1. 31. | -17.62% | -5.26% | 402.38 | 41.73 | 129.59 |
| 70. | 2022. 2. 28. | 5.03% | -3.14% | 6.71 | 18.82 | -11.24 |
| 71. | 2022. 3. 31. | 6.60% | 3.58% | 17.32 | 5.64 | 9.89 |
| 합계 (Σ): | 9,718.37 | 1,257.74 | 1,707.27 | |||
모두 보기
분산ABMD = Σ(RABMD,t–RABMD)2 ÷ (71 – 1)
= 9,718.37 ÷ (71 – 1)
= 138.83
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,257.74 ÷ (71 – 1)
= 17.97
공분산ABMD, S&P 500 = Σ(RABMD,t–RABMD)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,707.27 ÷ (71 – 1)
= 24.39
체계적인 위험 추정 (β)
| 분산ABMD | 138.83 |
| 분산S&P 500 | 17.97 |
| 공분산ABMD, S&P 500 | 24.39 |
| 상관 계수ABMD, S&P 5001 | 0.49 |
| βABMD2 | 1.36 |
| αABMD3 | 0.80% |
계산
1 상관 계수ABMD, S&P 500
= 공분산ABMD, S&P 500 ÷ (표준 편차ABMD × 표준 편차S&P 500)
= 24.39 ÷ (11.78% × 4.24%)
= 0.49
2 βABMD
= 공분산ABMD, S&P 500 ÷ 분산S&P 500
= 24.39 ÷ 17.97
= 1.36
3 αABMD
= 평균의ABMD – βABMD × 평균의S&P 500
= 2.44% – 1.36 × 1.20%
= 0.80%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Abiomed | βABMD | 1.36 |
| Abiomed 보통주에 대한 예상 수익률3 | E(RABMD) | 17.04% |
1 10년 이내에 만기가 도래하거나 콜링할 수 없는 모든 미결제 고정 쿠폰 미국 국채에 대한 입찰 수익률의 비가중 평균(무위험 수익률 대리).
2 자세히 보기 »
3 E(RABMD) = RF + βABMD [E(RM) – RF]
= 4.67% + 1.36 [13.79% – 4.67%]
= 17.04%