자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Adobe보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Adobe Inc., 월별 수익률
| Adobe Inc. (ADBE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ADBE,t1 | 피제수ADBE,t1 | RADBE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 12. 31. | $226.24 | 2,506.85 | ||||
| 1. | 2019. 1. 31. | $247.82 | 9.54% | 2,704.10 | 7.87% | |
| 2. | 2019. 2. 28. | $262.50 | 5.92% | 2,784.49 | 2.97% | |
| 3. | 2019. 3. 31. | $266.49 | 1.52% | 2,834.40 | 1.79% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 10. 31. | $478.08 | -7.67% | 5,705.45 | -0.99% | |
| 71. | 2024. 11. 30. | $515.93 | 7.92% | 6,032.38 | 5.73% | |
| 평균의 (R): | 1.64% | 1.37% | ||||
| 표준 편차: | 9.78% | 5.03% | ||||
| Adobe Inc. (ADBE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ADBE,t1 | 피제수ADBE,t1 | RADBE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 12. 31. | $226.24 | 2,506.85 | ||||
| 1. | 2019. 1. 31. | $247.82 | 9.54% | 2,704.10 | 7.87% | |
| 2. | 2019. 2. 28. | $262.50 | 5.92% | 2,784.49 | 2.97% | |
| 3. | 2019. 3. 31. | $266.49 | 1.52% | 2,834.40 | 1.79% | |
| 4. | 2019. 4. 30. | $289.25 | 8.54% | 2,945.83 | 3.93% | |
| 5. | 2019. 5. 31. | $270.90 | -6.34% | 2,752.06 | -6.58% | |
| 6. | 2019. 6. 30. | $294.65 | 8.77% | 2,941.76 | 6.89% | |
| 7. | 2019. 7. 31. | $298.86 | 1.43% | 2,980.38 | 1.31% | |
| 8. | 2019. 8. 31. | $284.51 | -4.80% | 2,926.46 | -1.81% | |
| 9. | 2019. 9. 30. | $276.25 | -2.90% | 2,976.74 | 1.72% | |
| 10. | 2019. 10. 31. | $277.93 | 0.61% | 3,037.56 | 2.04% | |
| 11. | 2019. 11. 30. | $309.53 | 11.37% | 3,140.98 | 3.40% | |
| 12. | 2019. 12. 31. | $329.81 | 6.55% | 3,230.78 | 2.86% | |
| 13. | 2020. 1. 31. | $351.14 | 6.47% | 3,225.52 | -0.16% | |
| 14. | 2020. 2. 29. | $345.12 | -1.71% | 2,954.22 | -8.41% | |
| 15. | 2020. 3. 31. | $318.24 | -7.79% | 2,584.59 | -12.51% | |
| 16. | 2020. 4. 30. | $353.64 | 11.12% | 2,912.43 | 12.68% | |
| 17. | 2020. 5. 31. | $386.60 | 9.32% | 3,044.31 | 4.53% | |
| 18. | 2020. 6. 30. | $435.31 | 12.60% | 3,100.29 | 1.84% | |
| 19. | 2020. 7. 31. | $444.32 | 2.07% | 3,271.12 | 5.51% | |
| 20. | 2020. 8. 31. | $513.39 | 15.55% | 3,500.31 | 7.01% | |
| 21. | 2020. 9. 30. | $490.43 | -4.47% | 3,363.00 | -3.92% | |
| 22. | 2020. 10. 31. | $447.10 | -8.84% | 3,269.96 | -2.77% | |
| 23. | 2020. 11. 30. | $478.47 | 7.02% | 3,621.63 | 10.75% | |
| 24. | 2020. 12. 31. | $500.12 | 4.52% | 3,756.07 | 3.71% | |
| 25. | 2021. 1. 31. | $458.77 | -8.27% | 3,714.24 | -1.11% | |
| 26. | 2021. 2. 28. | $459.67 | 0.20% | 3,811.15 | 2.61% | |
| 27. | 2021. 3. 31. | $475.37 | 3.42% | 3,972.89 | 4.24% | |
| 28. | 2021. 4. 30. | $508.34 | 6.94% | 4,181.17 | 5.24% | |
| 29. | 2021. 5. 31. | $504.58 | -0.74% | 4,204.11 | 0.55% | |
| 30. | 2021. 6. 30. | $585.64 | 16.06% | 4,297.50 | 2.22% | |
| 31. | 2021. 7. 31. | $621.63 | 6.15% | 4,395.26 | 2.27% | |
| 32. | 2021. 8. 31. | $663.70 | 6.77% | 4,522.68 | 2.90% | |
| 33. | 2021. 9. 30. | $575.72 | -13.26% | 4,307.54 | -4.76% | |
| 34. | 2021. 10. 31. | $650.36 | 12.96% | 4,605.38 | 6.91% | |
| 35. | 2021. 11. 30. | $669.85 | 3.00% | 4,567.00 | -0.83% | |
| 36. | 2021. 12. 31. | $567.06 | -15.35% | 4,766.18 | 4.36% | |
| 37. | 2022. 1. 31. | $534.30 | -5.78% | 4,515.55 | -5.26% | |
| 38. | 2022. 2. 28. | $467.68 | -12.47% | 4,373.94 | -3.14% | |
| 39. | 2022. 3. 31. | $455.62 | -2.58% | 4,530.41 | 3.58% | |
| 40. | 2022. 4. 30. | $395.95 | -13.10% | 4,131.93 | -8.80% | |
| 41. | 2022. 5. 31. | $416.48 | 5.18% | 4,132.15 | 0.01% | |
| 42. | 2022. 6. 30. | $366.06 | -12.11% | 3,785.38 | -8.39% | |
| 43. | 2022. 7. 31. | $410.12 | 12.04% | 4,130.29 | 9.11% | |
| 44. | 2022. 8. 31. | $373.44 | -8.94% | 3,955.00 | -4.24% | |
| 45. | 2022. 9. 30. | $275.20 | -26.31% | 3,585.62 | -9.34% | |
| 46. | 2022. 10. 31. | $318.50 | 15.73% | 3,871.98 | 7.99% | |
| 47. | 2022. 11. 30. | $344.93 | 8.30% | 4,080.11 | 5.38% | |
| 48. | 2022. 12. 31. | $336.53 | -2.44% | 3,839.50 | -5.90% | |
| 49. | 2023. 1. 31. | $370.34 | 10.05% | 4,076.60 | 6.18% | |
| 50. | 2023. 2. 28. | $323.95 | -12.53% | 3,970.15 | -2.61% | |
| 51. | 2023. 3. 31. | $385.37 | 18.96% | 4,109.31 | 3.51% | |
| 52. | 2023. 4. 30. | $377.56 | -2.03% | 4,169.48 | 1.46% | |
| 53. | 2023. 5. 31. | $417.79 | 10.66% | 4,179.83 | 0.25% | |
| 54. | 2023. 6. 30. | $488.99 | 17.04% | 4,376.86 | 4.71% | |
| 55. | 2023. 7. 31. | $546.17 | 11.69% | 4,588.96 | 4.85% | |
| 56. | 2023. 8. 31. | $559.34 | 2.41% | 4,507.66 | -1.77% | |
| 57. | 2023. 9. 30. | $509.90 | -8.84% | 4,288.05 | -4.87% | |
| 58. | 2023. 10. 31. | $532.06 | 4.35% | 4,193.80 | -2.20% | |
| 59. | 2023. 11. 30. | $611.01 | 14.84% | 4,567.80 | 8.92% | |
| 60. | 2023. 12. 31. | $596.60 | -2.36% | 4,769.83 | 4.42% | |
| 61. | 2024. 1. 31. | $617.78 | 3.55% | 4,845.65 | 1.59% | |
| 62. | 2024. 2. 29. | $560.28 | -9.31% | 5,096.27 | 5.17% | |
| 63. | 2024. 3. 31. | $504.60 | -9.94% | 5,254.35 | 3.10% | |
| 64. | 2024. 4. 30. | $462.83 | -8.28% | 5,035.69 | -4.16% | |
| 65. | 2024. 5. 31. | $444.76 | -3.90% | 5,277.51 | 4.80% | |
| 66. | 2024. 6. 30. | $555.54 | 24.91% | 5,460.48 | 3.47% | |
| 67. | 2024. 7. 31. | $551.65 | -0.70% | 5,522.30 | 1.13% | |
| 68. | 2024. 8. 31. | $574.41 | 4.13% | 5,648.40 | 2.28% | |
| 69. | 2024. 9. 30. | $517.78 | -9.86% | 5,762.48 | 2.02% | |
| 70. | 2024. 10. 31. | $478.08 | -7.67% | 5,705.45 | -0.99% | |
| 71. | 2024. 11. 30. | $515.93 | 7.92% | 6,032.38 | 5.73% | |
| 평균의 (R): | 1.64% | 1.37% | ||||
| 표준 편차: | 9.78% | 5.03% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ADBE의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Adobe Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RADBE,t | RS&P 500,t | (RADBE,t–RADBE)2 | (RS&P 500,t–RS&P 500)2 | (RADBE,t–RADBE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 1. 31. | 9.54% | 7.87% | 62.36 | 42.23 | 51.32 |
| 2. | 2019. 2. 28. | 5.92% | 2.97% | 18.33 | 2.57 | 6.86 |
| 3. | 2019. 3. 31. | 1.52% | 1.79% | 0.01 | 0.18 | -0.05 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 10. 31. | -7.67% | -0.99% | 86.66 | 5.57 | 21.97 |
| 71. | 2024. 11. 30. | 7.92% | 5.73% | 39.38 | 19.01 | 27.36 |
| 합계 (Σ): | 6,689.01 | 1,770.82 | 2,294.73 | |||
| t | 날짜 | RADBE,t | RS&P 500,t | (RADBE,t–RADBE)2 | (RS&P 500,t–RS&P 500)2 | (RADBE,t–RADBE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 1. 31. | 9.54% | 7.87% | 62.36 | 42.23 | 51.32 |
| 2. | 2019. 2. 28. | 5.92% | 2.97% | 18.33 | 2.57 | 6.86 |
| 3. | 2019. 3. 31. | 1.52% | 1.79% | 0.01 | 0.18 | -0.05 |
| 4. | 2019. 4. 30. | 8.54% | 3.93% | 47.59 | 6.56 | 17.67 |
| 5. | 2019. 5. 31. | -6.34% | -6.58% | 63.77 | 63.16 | 63.47 |
| 6. | 2019. 6. 30. | 8.77% | 6.89% | 50.77 | 30.51 | 39.35 |
| 7. | 2019. 7. 31. | 1.43% | 1.31% | 0.05 | 0.00 | 0.01 |
| 8. | 2019. 8. 31. | -4.80% | -1.81% | 41.52 | 10.11 | 20.48 |
| 9. | 2019. 9. 30. | -2.90% | 1.72% | 20.66 | 0.12 | -1.58 |
| 10. | 2019. 10. 31. | 0.61% | 2.04% | 1.07 | 0.45 | -0.70 |
| 11. | 2019. 11. 30. | 11.37% | 3.40% | 94.63 | 4.14 | 19.79 |
| 12. | 2019. 12. 31. | 6.55% | 2.86% | 24.11 | 2.22 | 7.31 |
| 13. | 2020. 1. 31. | 6.47% | -0.16% | 23.29 | 2.35 | -7.40 |
| 14. | 2020. 2. 29. | -1.71% | -8.41% | 11.26 | 95.67 | 32.83 |
| 15. | 2020. 3. 31. | -7.79% | -12.51% | 88.93 | 192.70 | 130.91 |
| 16. | 2020. 4. 30. | 11.12% | 12.68% | 89.91 | 128.02 | 107.28 |
| 17. | 2020. 5. 31. | 9.32% | 4.53% | 58.96 | 9.97 | 24.25 |
| 18. | 2020. 6. 30. | 12.60% | 1.84% | 120.07 | 0.22 | 5.14 |
| 19. | 2020. 7. 31. | 2.07% | 5.51% | 0.18 | 17.14 | 1.77 |
| 20. | 2020. 8. 31. | 15.55% | 7.01% | 193.30 | 31.77 | 78.37 |
| 21. | 2020. 9. 30. | -4.47% | -3.92% | 37.38 | 28.01 | 32.36 |
| 22. | 2020. 10. 31. | -8.84% | -2.77% | 109.76 | 17.11 | 43.34 |
| 23. | 2020. 11. 30. | 7.02% | 10.75% | 28.89 | 88.07 | 50.44 |
| 24. | 2020. 12. 31. | 4.52% | 3.71% | 8.31 | 5.49 | 6.75 |
| 25. | 2021. 1. 31. | -8.27% | -1.11% | 98.20 | 6.17 | 24.61 |
| 26. | 2021. 2. 28. | 0.20% | 2.61% | 2.09 | 1.54 | -1.79 |
| 27. | 2021. 3. 31. | 3.42% | 4.24% | 3.15 | 8.26 | 5.10 |
| 28. | 2021. 4. 30. | 6.94% | 5.24% | 28.03 | 15.00 | 20.50 |
| 29. | 2021. 5. 31. | -0.74% | 0.55% | 5.67 | 0.67 | 1.96 |
| 30. | 2021. 6. 30. | 16.06% | 2.22% | 208.03 | 0.73 | 12.28 |
| 31. | 2021. 7. 31. | 6.15% | 2.27% | 20.28 | 0.82 | 4.08 |
| 32. | 2021. 8. 31. | 6.77% | 2.90% | 26.28 | 2.34 | 7.84 |
| 33. | 2021. 9. 30. | -13.26% | -4.76% | 221.94 | 37.54 | 91.28 |
| 34. | 2021. 10. 31. | 12.96% | 6.91% | 128.21 | 30.74 | 62.78 |
| 35. | 2021. 11. 30. | 3.00% | -0.83% | 1.84 | 4.85 | -2.99 |
| 36. | 2021. 12. 31. | -15.35% | 4.36% | 288.56 | 8.95 | -50.82 |
| 37. | 2022. 1. 31. | -5.78% | -5.26% | 55.04 | 43.94 | 49.18 |
| 38. | 2022. 2. 28. | -12.47% | -3.14% | 199.10 | 20.30 | 63.58 |
| 39. | 2022. 3. 31. | -2.58% | 3.58% | 17.81 | 4.87 | -9.32 |
| 40. | 2022. 4. 30. | -13.10% | -8.80% | 217.21 | 103.34 | 149.82 |
| 41. | 2022. 5. 31. | 5.18% | 0.01% | 12.55 | 1.86 | -4.83 |
| 42. | 2022. 6. 30. | -12.11% | -8.39% | 189.01 | 95.29 | 134.21 |
| 43. | 2022. 7. 31. | 12.04% | 9.11% | 108.05 | 59.94 | 80.47 |
| 44. | 2022. 8. 31. | -8.94% | -4.24% | 112.05 | 31.52 | 59.43 |
| 45. | 2022. 9. 30. | -26.31% | -9.34% | 781.12 | 114.69 | 299.31 |
| 46. | 2022. 10. 31. | 15.73% | 7.99% | 198.59 | 43.78 | 93.24 |
| 47. | 2022. 11. 30. | 8.30% | 5.38% | 44.31 | 16.04 | 26.66 |
| 48. | 2022. 12. 31. | -2.44% | -5.90% | 16.62 | 52.81 | 29.63 |
| 49. | 2023. 1. 31. | 10.05% | 6.18% | 70.64 | 23.09 | 40.39 |
| 50. | 2023. 2. 28. | -12.53% | -2.61% | 200.73 | 15.85 | 56.40 |
| 51. | 2023. 3. 31. | 18.96% | 3.51% | 299.91 | 4.56 | 36.98 |
| 52. | 2023. 4. 30. | -2.03% | 1.46% | 13.46 | 0.01 | -0.35 |
| 53. | 2023. 5. 31. | 10.66% | 0.25% | 81.24 | 1.26 | -10.11 |
| 54. | 2023. 6. 30. | 17.04% | 4.71% | 237.17 | 11.18 | 51.50 |
| 55. | 2023. 7. 31. | 11.69% | 4.85% | 101.04 | 12.08 | 34.94 |
| 56. | 2023. 8. 31. | 2.41% | -1.77% | 0.59 | 9.87 | -2.42 |
| 57. | 2023. 9. 30. | -8.84% | -4.87% | 109.85 | 38.96 | 65.42 |
| 58. | 2023. 10. 31. | 4.35% | -2.20% | 7.31 | 12.73 | -9.65 |
| 59. | 2023. 11. 30. | 14.84% | 8.92% | 174.16 | 56.97 | 99.61 |
| 60. | 2023. 12. 31. | -2.36% | 4.42% | 16.00 | 9.32 | -12.21 |
| 61. | 2024. 1. 31. | 3.55% | 1.59% | 3.64 | 0.05 | 0.42 |
| 62. | 2024. 2. 29. | -9.31% | 5.17% | 119.89 | 14.46 | -41.63 |
| 63. | 2024. 3. 31. | -9.94% | 3.10% | 134.09 | 3.00 | -20.06 |
| 64. | 2024. 4. 30. | -8.28% | -4.16% | 98.40 | 30.60 | 54.87 |
| 65. | 2024. 5. 31. | -3.90% | 4.80% | 30.76 | 11.78 | -19.04 |
| 66. | 2024. 6. 30. | 24.91% | 3.47% | 541.31 | 4.40 | 48.79 |
| 67. | 2024. 7. 31. | -0.70% | 1.13% | 5.48 | 0.06 | 0.56 |
| 68. | 2024. 8. 31. | 4.13% | 2.28% | 6.17 | 0.83 | 2.27 |
| 69. | 2024. 9. 30. | -9.86% | 2.02% | 132.26 | 0.42 | -7.47 |
| 70. | 2024. 10. 31. | -7.67% | -0.99% | 86.66 | 5.57 | 21.97 |
| 71. | 2024. 11. 30. | 7.92% | 5.73% | 39.38 | 19.01 | 27.36 |
| 합계 (Σ): | 6,689.01 | 1,770.82 | 2,294.73 | |||
모두 보기
분산ADBE = Σ(RADBE,t–RADBE)2 ÷ (71 – 1)
= 6,689.01 ÷ (71 – 1)
= 95.56
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,770.82 ÷ (71 – 1)
= 25.30
공분산ADBE, S&P 500 = Σ(RADBE,t–RADBE)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,294.73 ÷ (71 – 1)
= 32.78
체계적인 위험 추정 (β)
| 분산ADBE | 95.56 |
| 분산S&P 500 | 25.30 |
| 공분산ADBE, S&P 500 | 32.78 |
| 상관 계수ADBE, S&P 5001 | 0.67 |
| βADBE2 | 1.30 |
| αADBE3 | -0.13% |
계산
1 상관 계수ADBE, S&P 500
= 공분산ADBE, S&P 500 ÷ (표준 편차ADBE × 표준 편차S&P 500)
= 32.78 ÷ (9.78% × 5.03%)
= 0.67
2 βADBE
= 공분산ADBE, S&P 500 ÷ 분산S&P 500
= 32.78 ÷ 25.30
= 1.30
3 αADBE
= 평균의ADBE – βADBE × 평균의S&P 500
= 1.64% – 1.30 × 1.37%
= -0.13%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.64% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Adobe | βADBE | 1.30 |
| Adobe 보통주에 대한 예상 수익률3 | E(RADBE) | 17.92% |
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(RADBE) = RF + βADBE [E(RM) – RF]
= 4.64% + 1.30 [14.89% – 4.64%]
= 17.92%