자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Airbnb의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
Airbnb Inc., 월별 수익률
| Airbnb Inc. (ABNB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABNB,t1 | 피제수ABNB,t1 | RABNB,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 12. 31. | $146.80 | 3,756.07 | ||||
| 1. | 2021. 1. 31. | $183.63 | 25.09% | 3,714.24 | -1.11% | |
| 2. | 2021. 2. 28. | $206.35 | 12.37% | 3,811.15 | 2.61% | |
| 3. | 2021. 3. 31. | $187.94 | -8.92% | 3,972.89 | 4.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 35. | 2023. 11. 30. | $126.34 | 6.81% | 4,567.80 | 8.92% | |
| 36. | 2023. 12. 31. | $136.14 | 7.76% | 4,769.83 | 4.42% | |
| 평균의 (R): | 0.65% | 0.79% | ||||
| 표준 편차: | 13.30% | 5.04% | ||||
| Airbnb Inc. (ABNB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABNB,t1 | 피제수ABNB,t1 | RABNB,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 12. 31. | $146.80 | 3,756.07 | ||||
| 1. | 2021. 1. 31. | $183.63 | 25.09% | 3,714.24 | -1.11% | |
| 2. | 2021. 2. 28. | $206.35 | 12.37% | 3,811.15 | 2.61% | |
| 3. | 2021. 3. 31. | $187.94 | -8.92% | 3,972.89 | 4.24% | |
| 4. | 2021. 4. 30. | $172.71 | -8.10% | 4,181.17 | 5.24% | |
| 5. | 2021. 5. 31. | $140.40 | -18.71% | 4,204.11 | 0.55% | |
| 6. | 2021. 6. 30. | $153.14 | 9.07% | 4,297.50 | 2.22% | |
| 7. | 2021. 7. 31. | $144.01 | -5.96% | 4,395.26 | 2.27% | |
| 8. | 2021. 8. 31. | $154.99 | 7.62% | 4,522.68 | 2.90% | |
| 9. | 2021. 9. 30. | $167.75 | 8.23% | 4,307.54 | -4.76% | |
| 10. | 2021. 10. 31. | $170.66 | 1.73% | 4,605.38 | 6.91% | |
| 11. | 2021. 11. 30. | $172.54 | 1.10% | 4,567.00 | -0.83% | |
| 12. | 2021. 12. 31. | $166.49 | -3.51% | 4,766.18 | 4.36% | |
| 13. | 2022. 1. 31. | $153.97 | -7.52% | 4,515.55 | -5.26% | |
| 14. | 2022. 2. 28. | $151.49 | -1.61% | 4,373.94 | -3.14% | |
| 15. | 2022. 3. 31. | $171.76 | 13.38% | 4,530.41 | 3.58% | |
| 16. | 2022. 4. 30. | $153.21 | -10.80% | 4,131.93 | -8.80% | |
| 17. | 2022. 5. 31. | $120.87 | -21.11% | 4,132.15 | 0.01% | |
| 18. | 2022. 6. 30. | $89.08 | -26.30% | 3,785.38 | -8.39% | |
| 19. | 2022. 7. 31. | $110.98 | 24.58% | 4,130.29 | 9.11% | |
| 20. | 2022. 8. 31. | $113.12 | 1.93% | 3,955.00 | -4.24% | |
| 21. | 2022. 9. 30. | $105.04 | -7.14% | 3,585.62 | -9.34% | |
| 22. | 2022. 10. 31. | $106.91 | 1.78% | 3,871.98 | 7.99% | |
| 23. | 2022. 11. 30. | $102.14 | -4.46% | 4,080.11 | 5.38% | |
| 24. | 2022. 12. 31. | $85.50 | -16.29% | 3,839.50 | -5.90% | |
| 25. | 2023. 1. 31. | $111.11 | 29.95% | 4,076.60 | 6.18% | |
| 26. | 2023. 2. 28. | $123.28 | 10.95% | 3,970.15 | -2.61% | |
| 27. | 2023. 3. 31. | $124.40 | 0.91% | 4,109.31 | 3.51% | |
| 28. | 2023. 4. 30. | $119.67 | -3.80% | 4,169.48 | 1.46% | |
| 29. | 2023. 5. 31. | $109.77 | -8.27% | 4,179.83 | 0.25% | |
| 30. | 2023. 6. 30. | $128.16 | 16.75% | 4,376.86 | 4.71% | |
| 31. | 2023. 7. 31. | $152.19 | 18.75% | 4,588.96 | 4.85% | |
| 32. | 2023. 8. 31. | $131.55 | -13.56% | 4,507.66 | -1.77% | |
| 33. | 2023. 9. 30. | $137.21 | 4.30% | 4,288.05 | -4.87% | |
| 34. | 2023. 10. 31. | $118.29 | -13.79% | 4,193.80 | -2.20% | |
| 35. | 2023. 11. 30. | $126.34 | 6.81% | 4,567.80 | 8.92% | |
| 36. | 2023. 12. 31. | $136.14 | 7.76% | 4,769.83 | 4.42% | |
| 평균의 (R): | 0.65% | 0.79% | ||||
| 표준 편차: | 13.30% | 5.04% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 ABNB의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Airbnb Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RABNB,t | RS&P 500,t | (RABNB,t–RABNB)2 | (RS&P 500,t–RS&P 500)2 | (RABNB,t–RABNB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 1. 31. | 25.09% | -1.11% | 597.48 | 3.62 | -46.54 |
| 2. | 2021. 2. 28. | 12.37% | 2.61% | 137.54 | 3.31 | 21.33 |
| 3. | 2021. 3. 31. | -8.92% | 4.24% | 91.52 | 11.93 | -33.04 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 35. | 2023. 11. 30. | 6.81% | 8.92% | 37.95 | 66.06 | 50.07 |
| 36. | 2023. 12. 31. | 7.76% | 4.42% | 50.58 | 13.20 | 25.84 |
| 합계 (Σ): | 6,195.02 | 889.77 | 1,107.74 | |||
| t | 날짜 | RABNB,t | RS&P 500,t | (RABNB,t–RABNB)2 | (RS&P 500,t–RS&P 500)2 | (RABNB,t–RABNB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 1. 31. | 25.09% | -1.11% | 597.48 | 3.62 | -46.54 |
| 2. | 2021. 2. 28. | 12.37% | 2.61% | 137.54 | 3.31 | 21.33 |
| 3. | 2021. 3. 31. | -8.92% | 4.24% | 91.52 | 11.93 | -33.04 |
| 4. | 2021. 4. 30. | -8.10% | 5.24% | 76.54 | 19.82 | -38.95 |
| 5. | 2021. 5. 31. | -18.71% | 0.55% | 374.53 | 0.06 | 4.67 |
| 6. | 2021. 6. 30. | 9.07% | 2.22% | 71.05 | 2.05 | 12.06 |
| 7. | 2021. 7. 31. | -5.96% | 2.27% | 43.65 | 2.20 | -9.81 |
| 8. | 2021. 8. 31. | 7.62% | 2.90% | 48.71 | 4.45 | 14.72 |
| 9. | 2021. 9. 30. | 8.23% | -4.76% | 57.57 | 30.77 | -42.09 |
| 10. | 2021. 10. 31. | 1.73% | 6.91% | 1.19 | 37.51 | 6.67 |
| 11. | 2021. 11. 30. | 1.10% | -0.83% | 0.21 | 2.64 | -0.74 |
| 12. | 2021. 12. 31. | -3.51% | 4.36% | 17.23 | 12.75 | -14.83 |
| 13. | 2022. 1. 31. | -7.52% | -5.26% | 66.67 | 36.59 | 49.39 |
| 14. | 2022. 2. 28. | -1.61% | -3.14% | 5.09 | 15.41 | 8.86 |
| 15. | 2022. 3. 31. | 13.38% | 3.58% | 162.19 | 7.77 | 35.50 |
| 16. | 2022. 4. 30. | -10.80% | -8.80% | 130.99 | 91.89 | 109.71 |
| 17. | 2022. 5. 31. | -21.11% | 0.01% | 473.21 | 0.62 | 17.07 |
| 18. | 2022. 6. 30. | -26.30% | -8.39% | 726.09 | 84.31 | 247.42 |
| 19. | 2022. 7. 31. | 24.58% | 9.11% | 573.10 | 69.25 | 199.21 |
| 20. | 2022. 8. 31. | 1.93% | -4.24% | 1.65 | 25.34 | -6.46 |
| 21. | 2022. 9. 30. | -7.14% | -9.34% | 60.65 | 102.61 | 78.89 |
| 22. | 2022. 10. 31. | 1.78% | 7.99% | 1.29 | 51.79 | 8.17 |
| 23. | 2022. 11. 30. | -4.46% | 5.38% | 26.08 | 21.02 | -23.42 |
| 24. | 2022. 12. 31. | -16.29% | -5.90% | 286.84 | 44.72 | 113.26 |
| 25. | 2023. 1. 31. | 29.95% | 6.18% | 858.97 | 29.00 | 157.83 |
| 26. | 2023. 2. 28. | 10.95% | -2.61% | 106.26 | 11.57 | -35.06 |
| 27. | 2023. 3. 31. | 0.91% | 3.51% | 0.07 | 7.37 | 0.72 |
| 28. | 2023. 4. 30. | -3.80% | 1.46% | 19.78 | 0.45 | -3.00 |
| 29. | 2023. 5. 31. | -8.27% | 0.25% | 79.53 | 0.29 | 4.83 |
| 30. | 2023. 6. 30. | 16.75% | 4.71% | 259.47 | 15.40 | 63.20 |
| 31. | 2023. 7. 31. | 18.75% | 4.85% | 327.79 | 16.45 | 73.43 |
| 32. | 2023. 8. 31. | -13.56% | -1.77% | 201.84 | 6.56 | 36.40 |
| 33. | 2023. 9. 30. | 4.30% | -4.87% | 13.38 | 32.06 | -20.71 |
| 34. | 2023. 10. 31. | -13.79% | -2.20% | 208.34 | 8.93 | 43.13 |
| 35. | 2023. 11. 30. | 6.81% | 8.92% | 37.95 | 66.06 | 50.07 |
| 36. | 2023. 12. 31. | 7.76% | 4.42% | 50.58 | 13.20 | 25.84 |
| 합계 (Σ): | 6,195.02 | 889.77 | 1,107.74 | |||
모두 보기
분산ABNB = Σ(RABNB,t–RABNB)2 ÷ (36 – 1)
= 6,195.02 ÷ (36 – 1)
= 177.00
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (36 – 1)
= 889.77 ÷ (36 – 1)
= 25.42
공분산ABNB, S&P 500 = Σ(RABNB,t–RABNB)×(RS&P 500,t–RS&P 500) ÷ (36 – 1)
= 1,107.74 ÷ (36 – 1)
= 31.65
체계적인 위험 추정 (β)
| 분산ABNB | 177.00 |
| 분산S&P 500 | 25.42 |
| 공분산ABNB, S&P 500 | 31.65 |
| 상관 계수ABNB, S&P 5001 | 0.47 |
| βABNB2 | 1.24 |
| αABNB3 | -0.34% |
계산
1 상관 계수ABNB, S&P 500
= 공분산ABNB, S&P 500 ÷ (표준 편차ABNB × 표준 편차S&P 500)
= 31.65 ÷ (13.30% × 5.04%)
= 0.47
2 βABNB
= 공분산ABNB, S&P 500 ÷ 분산S&P 500
= 31.65 ÷ 25.42
= 1.24
3 αABNB
= 평균의ABNB – βABNB × 평균의S&P 500
= 0.65% – 1.24 × 0.79%
= -0.34%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.65% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Airbnb | βABNB | 1.24 |
| Airbnb 보통주의 예상 수익률3 | E(RABNB) | 16.02% |
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(RABNB) = RF + βABNB [E(RM) – RF]
= 4.65% + 1.24 [13.79% – 4.65%]
= 16.02%