자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Applied보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Applied Materials Inc., 월별 수익률
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AMAT,t1 | 피제수AMAT,t1 | RAMAT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 11. 30. | $52.77 | 2,647.58 | ||||
| 1. | 2017. 12. 31. | $51.12 | -3.13% | 2,673.61 | 0.98% | |
| 2. | 2018. 1. 31. | $53.63 | 4.91% | 2,823.81 | 5.62% | |
| 3. | 2018. 2. 28. | $57.59 | $0.10 | 7.57% | 2,713.83 | -3.89% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 9. 30. | $138.45 | -9.37% | 4,288.05 | -4.87% | |
| 71. | 2023. 10. 31. | $132.35 | -4.41% | 4,193.80 | -2.20% | |
| 평균의 (R): | 2.00% | 0.78% | ||||
| 표준 편차: | 11.13% | 5.13% | ||||
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값AMAT,t1 | 피제수AMAT,t1 | RAMAT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 11. 30. | $52.77 | 2,647.58 | ||||
| 1. | 2017. 12. 31. | $51.12 | -3.13% | 2,673.61 | 0.98% | |
| 2. | 2018. 1. 31. | $53.63 | 4.91% | 2,823.81 | 5.62% | |
| 3. | 2018. 2. 28. | $57.59 | $0.10 | 7.57% | 2,713.83 | -3.89% |
| 4. | 2018. 3. 31. | $55.61 | -3.44% | 2,640.87 | -2.69% | |
| 5. | 2018. 4. 30. | $49.67 | -10.68% | 2,648.05 | 0.27% | |
| 6. | 2018. 5. 31. | $50.78 | $0.20 | 2.64% | 2,705.27 | 2.16% |
| 7. | 2018. 6. 30. | $46.19 | -9.04% | 2,718.37 | 0.48% | |
| 8. | 2018. 7. 31. | $48.63 | 5.28% | 2,816.29 | 3.60% | |
| 9. | 2018. 8. 31. | $43.02 | $0.20 | -11.12% | 2,901.52 | 3.03% |
| 10. | 2018. 9. 30. | $38.65 | -10.16% | 2,913.98 | 0.43% | |
| 11. | 2018. 10. 31. | $32.88 | -14.93% | 2,711.74 | -6.94% | |
| 12. | 2018. 11. 30. | $37.28 | $0.20 | 13.99% | 2,760.17 | 1.79% |
| 13. | 2018. 12. 31. | $32.74 | -12.18% | 2,506.85 | -9.18% | |
| 14. | 2019. 1. 31. | $39.08 | 19.36% | 2,704.10 | 7.87% | |
| 15. | 2019. 2. 28. | $38.34 | $0.20 | -1.38% | 2,784.49 | 2.97% |
| 16. | 2019. 3. 31. | $39.66 | 3.44% | 2,834.40 | 1.79% | |
| 17. | 2019. 4. 30. | $44.07 | 11.12% | 2,945.83 | 3.93% | |
| 18. | 2019. 5. 31. | $38.69 | $0.21 | -11.73% | 2,752.06 | -6.58% |
| 19. | 2019. 6. 30. | $44.91 | 16.08% | 2,941.76 | 6.89% | |
| 20. | 2019. 7. 31. | $49.37 | 9.93% | 2,980.38 | 1.31% | |
| 21. | 2019. 8. 31. | $48.02 | $0.21 | -2.31% | 2,926.46 | -1.81% |
| 22. | 2019. 9. 30. | $49.90 | 3.92% | 2,976.74 | 1.72% | |
| 23. | 2019. 10. 31. | $54.26 | 8.74% | 3,037.56 | 2.04% | |
| 24. | 2019. 11. 30. | $57.90 | $0.21 | 7.10% | 3,140.98 | 3.40% |
| 25. | 2019. 12. 31. | $61.04 | 5.42% | 3,230.78 | 2.86% | |
| 26. | 2020. 1. 31. | $57.99 | -5.00% | 3,225.52 | -0.16% | |
| 27. | 2020. 2. 29. | $58.12 | $0.21 | 0.59% | 2,954.22 | -8.41% |
| 28. | 2020. 3. 31. | $45.82 | -21.16% | 2,584.59 | -12.51% | |
| 29. | 2020. 4. 30. | $49.68 | 8.42% | 2,912.43 | 12.68% | |
| 30. | 2020. 5. 31. | $56.18 | $0.22 | 13.53% | 3,044.31 | 4.53% |
| 31. | 2020. 6. 30. | $60.45 | 7.60% | 3,100.29 | 1.84% | |
| 32. | 2020. 7. 31. | $64.33 | 6.42% | 3,271.12 | 5.51% | |
| 33. | 2020. 8. 31. | $61.60 | $0.22 | -3.90% | 3,500.31 | 7.01% |
| 34. | 2020. 9. 30. | $59.45 | -3.49% | 3,363.00 | -3.92% | |
| 35. | 2020. 10. 31. | $59.23 | -0.37% | 3,269.96 | -2.77% | |
| 36. | 2020. 11. 30. | $82.48 | $0.22 | 39.63% | 3,621.63 | 10.75% |
| 37. | 2020. 12. 31. | $86.30 | 4.63% | 3,756.07 | 3.71% | |
| 38. | 2021. 1. 31. | $96.68 | 12.03% | 3,714.24 | -1.11% | |
| 39. | 2021. 2. 28. | $118.19 | $0.22 | 22.48% | 3,811.15 | 2.61% |
| 40. | 2021. 3. 31. | $133.60 | 13.04% | 3,972.89 | 4.24% | |
| 41. | 2021. 4. 30. | $132.71 | -0.67% | 4,181.17 | 5.24% | |
| 42. | 2021. 5. 31. | $138.13 | $0.24 | 4.26% | 4,204.11 | 0.55% |
| 43. | 2021. 6. 30. | $142.40 | 3.09% | 4,297.50 | 2.22% | |
| 44. | 2021. 7. 31. | $139.93 | -1.73% | 4,395.26 | 2.27% | |
| 45. | 2021. 8. 31. | $135.13 | $0.24 | -3.26% | 4,522.68 | 2.90% |
| 46. | 2021. 9. 30. | $128.73 | -4.74% | 4,307.54 | -4.76% | |
| 47. | 2021. 10. 31. | $136.65 | 6.15% | 4,605.38 | 6.91% | |
| 48. | 2021. 11. 30. | $147.19 | $0.24 | 7.89% | 4,567.00 | -0.83% |
| 49. | 2021. 12. 31. | $157.36 | 6.91% | 4,766.18 | 4.36% | |
| 50. | 2022. 1. 31. | $138.18 | -12.19% | 4,515.55 | -5.26% | |
| 51. | 2022. 2. 28. | $134.20 | $0.24 | -2.71% | 4,373.94 | -3.14% |
| 52. | 2022. 3. 31. | $131.80 | -1.79% | 4,530.41 | 3.58% | |
| 53. | 2022. 4. 30. | $110.35 | -16.27% | 4,131.93 | -8.80% | |
| 54. | 2022. 5. 31. | $117.29 | $0.26 | 6.52% | 4,132.15 | 0.01% |
| 55. | 2022. 6. 30. | $90.98 | -22.43% | 3,785.38 | -8.39% | |
| 56. | 2022. 7. 31. | $105.98 | 16.49% | 4,130.29 | 9.11% | |
| 57. | 2022. 8. 31. | $94.07 | $0.26 | -10.99% | 3,955.00 | -4.24% |
| 58. | 2022. 9. 30. | $81.93 | -12.91% | 3,585.62 | -9.34% | |
| 59. | 2022. 10. 31. | $88.29 | 7.76% | 3,871.98 | 7.99% | |
| 60. | 2022. 11. 30. | $109.60 | $0.26 | 24.43% | 4,080.11 | 5.38% |
| 61. | 2022. 12. 31. | $97.38 | -11.15% | 3,839.50 | -5.90% | |
| 62. | 2023. 1. 31. | $111.49 | 14.49% | 4,076.60 | 6.18% | |
| 63. | 2023. 2. 28. | $116.15 | $0.26 | 4.41% | 3,970.15 | -2.61% |
| 64. | 2023. 3. 31. | $122.83 | 5.75% | 4,109.31 | 3.51% | |
| 65. | 2023. 4. 30. | $113.03 | -7.98% | 4,169.48 | 1.46% | |
| 66. | 2023. 5. 31. | $133.30 | $0.32 | 18.22% | 4,179.83 | 0.25% |
| 67. | 2023. 6. 30. | $144.54 | 8.43% | 4,376.86 | 4.71% | |
| 68. | 2023. 7. 31. | $151.59 | 4.88% | 4,588.96 | 4.85% | |
| 69. | 2023. 8. 31. | $152.76 | $0.32 | 0.98% | 4,507.66 | -1.77% |
| 70. | 2023. 9. 30. | $138.45 | -9.37% | 4,288.05 | -4.87% | |
| 71. | 2023. 10. 31. | $132.35 | -4.41% | 4,193.80 | -2.20% | |
| 평균의 (R): | 2.00% | 0.78% | ||||
| 표준 편차: | 11.13% | 5.13% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 AMAT의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Applied Materials Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 12. 31. | -3.13% | 0.98% | 26.27 | 0.04 | -1.04 |
| 2. | 2018. 1. 31. | 4.91% | 5.62% | 8.47 | 23.40 | 14.08 |
| 3. | 2018. 2. 28. | 7.57% | -3.89% | 31.04 | 21.86 | -26.05 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 9. 30. | -9.37% | -4.87% | 129.20 | 31.95 | 64.25 |
| 71. | 2023. 10. 31. | -4.41% | -2.20% | 41.02 | 8.87 | 19.08 |
| 합계 (Σ): | 8,676.22 | 1,843.80 | 2,853.21 | |||
| t | 날짜 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 12. 31. | -3.13% | 0.98% | 26.27 | 0.04 | -1.04 |
| 2. | 2018. 1. 31. | 4.91% | 5.62% | 8.47 | 23.40 | 14.08 |
| 3. | 2018. 2. 28. | 7.57% | -3.89% | 31.04 | 21.86 | -26.05 |
| 4. | 2018. 3. 31. | -3.44% | -2.69% | 29.56 | 12.04 | 18.86 |
| 5. | 2018. 4. 30. | -10.68% | 0.27% | 160.79 | 0.26 | 6.45 |
| 6. | 2018. 5. 31. | 2.64% | 2.16% | 0.41 | 1.90 | 0.88 |
| 7. | 2018. 6. 30. | -9.04% | 0.48% | 121.84 | 0.09 | 3.27 |
| 8. | 2018. 7. 31. | 5.28% | 3.60% | 10.78 | 7.96 | 9.26 |
| 9. | 2018. 8. 31. | -11.12% | 3.03% | 172.23 | 5.04 | -29.47 |
| 10. | 2018. 9. 30. | -10.16% | 0.43% | 147.79 | 0.12 | 4.27 |
| 11. | 2018. 10. 31. | -14.93% | -6.94% | 286.55 | 59.62 | 130.70 |
| 12. | 2018. 11. 30. | 13.99% | 1.79% | 143.79 | 1.01 | 12.05 |
| 13. | 2018. 12. 31. | -12.18% | -9.18% | 200.99 | 99.17 | 141.18 |
| 14. | 2019. 1. 31. | 19.36% | 7.87% | 301.57 | 50.24 | 123.08 |
| 15. | 2019. 2. 28. | -1.38% | 2.97% | 11.43 | 4.81 | -7.41 |
| 16. | 2019. 3. 31. | 3.44% | 1.79% | 2.09 | 1.02 | 1.46 |
| 17. | 2019. 4. 30. | 11.12% | 3.93% | 83.19 | 9.93 | 28.74 |
| 18. | 2019. 5. 31. | -11.73% | -6.58% | 188.52 | 54.15 | 101.03 |
| 19. | 2019. 6. 30. | 16.08% | 6.89% | 198.18 | 37.36 | 86.05 |
| 20. | 2019. 7. 31. | 9.93% | 1.31% | 62.92 | 0.28 | 4.22 |
| 21. | 2019. 8. 31. | -2.31% | -1.81% | 18.56 | 6.71 | 11.16 |
| 22. | 2019. 9. 30. | 3.92% | 1.72% | 3.67 | 0.88 | 1.80 |
| 23. | 2019. 10. 31. | 8.74% | 2.04% | 45.41 | 1.59 | 8.51 |
| 24. | 2019. 11. 30. | 7.10% | 3.40% | 25.97 | 6.89 | 13.37 |
| 25. | 2019. 12. 31. | 5.42% | 2.86% | 11.73 | 4.32 | 7.12 |
| 26. | 2020. 1. 31. | -5.00% | -0.16% | 48.94 | 0.89 | 6.60 |
| 27. | 2020. 2. 29. | 0.59% | -8.41% | 2.00 | 84.49 | 12.98 |
| 28. | 2020. 3. 31. | -21.16% | -12.51% | 536.48 | 176.70 | 307.89 |
| 29. | 2020. 4. 30. | 8.42% | 12.68% | 41.29 | 141.70 | 76.49 |
| 30. | 2020. 5. 31. | 13.53% | 4.53% | 132.89 | 14.04 | 43.20 |
| 31. | 2020. 6. 30. | 7.60% | 1.84% | 31.38 | 1.12 | 5.93 |
| 32. | 2020. 7. 31. | 6.42% | 5.51% | 19.53 | 22.37 | 20.90 |
| 33. | 2020. 8. 31. | -3.90% | 7.01% | 34.82 | 38.76 | -36.74 |
| 34. | 2020. 9. 30. | -3.49% | -3.92% | 30.13 | 22.12 | 25.82 |
| 35. | 2020. 10. 31. | -0.37% | -2.77% | 5.61 | 12.58 | 8.40 |
| 36. | 2020. 11. 30. | 39.63% | 10.75% | 1,415.74 | 99.48 | 375.28 |
| 37. | 2020. 12. 31. | 4.63% | 3.71% | 6.93 | 8.59 | 7.72 |
| 38. | 2021. 1. 31. | 12.03% | -1.11% | 100.58 | 3.59 | -19.00 |
| 39. | 2021. 2. 28. | 22.48% | 2.61% | 419.32 | 3.34 | 37.44 |
| 40. | 2021. 3. 31. | 13.04% | 4.24% | 121.87 | 11.99 | 38.23 |
| 41. | 2021. 4. 30. | -0.67% | 5.24% | 7.10 | 19.91 | -11.89 |
| 42. | 2021. 5. 31. | 4.26% | 0.55% | 5.13 | 0.05 | -0.53 |
| 43. | 2021. 6. 30. | 3.09% | 2.22% | 1.19 | 2.08 | 1.57 |
| 44. | 2021. 7. 31. | -1.73% | 2.27% | 13.94 | 2.23 | -5.58 |
| 45. | 2021. 8. 31. | -3.26% | 2.90% | 27.64 | 4.49 | -11.14 |
| 46. | 2021. 9. 30. | -4.74% | -4.76% | 45.36 | 30.67 | 37.30 |
| 47. | 2021. 10. 31. | 6.15% | 6.91% | 17.25 | 37.62 | 25.48 |
| 48. | 2021. 11. 30. | 7.89% | -0.83% | 34.69 | 2.61 | -9.51 |
| 49. | 2021. 12. 31. | 6.91% | 4.36% | 24.11 | 12.82 | 17.58 |
| 50. | 2022. 1. 31. | -12.19% | -5.26% | 201.29 | 36.47 | 85.68 |
| 51. | 2022. 2. 28. | -2.71% | -3.14% | 22.14 | 15.34 | 18.43 |
| 52. | 2022. 3. 31. | -1.79% | 3.58% | 14.34 | 7.82 | -10.59 |
| 53. | 2022. 4. 30. | -16.27% | -8.80% | 333.92 | 91.71 | 175.00 |
| 54. | 2022. 5. 31. | 6.52% | 0.01% | 20.48 | 0.60 | -3.51 |
| 55. | 2022. 6. 30. | -22.43% | -8.39% | 596.85 | 84.14 | 224.09 |
| 56. | 2022. 7. 31. | 16.49% | 9.11% | 209.91 | 69.40 | 120.70 |
| 57. | 2022. 8. 31. | -10.99% | -4.24% | 168.78 | 25.25 | 65.28 |
| 58. | 2022. 9. 30. | -12.91% | -9.34% | 222.13 | 102.42 | 150.84 |
| 59. | 2022. 10. 31. | 7.76% | 7.99% | 33.22 | 51.92 | 41.53 |
| 60. | 2022. 11. 30. | 24.43% | 5.38% | 503.19 | 21.11 | 103.06 |
| 61. | 2022. 12. 31. | -11.15% | -5.90% | 172.88 | 44.59 | 87.80 |
| 62. | 2023. 1. 31. | 14.49% | 6.18% | 156.02 | 29.10 | 67.38 |
| 63. | 2023. 2. 28. | 4.41% | -2.61% | 5.83 | 11.51 | -8.19 |
| 64. | 2023. 3. 31. | 5.75% | 3.51% | 14.08 | 7.42 | 10.22 |
| 65. | 2023. 4. 30. | -7.98% | 1.46% | 99.55 | 0.47 | -6.82 |
| 66. | 2023. 5. 31. | 18.22% | 0.25% | 263.01 | 0.28 | -8.64 |
| 67. | 2023. 6. 30. | 8.43% | 4.71% | 41.39 | 15.47 | 25.30 |
| 68. | 2023. 7. 31. | 4.88% | 4.85% | 8.29 | 16.53 | 11.70 |
| 69. | 2023. 8. 31. | 0.98% | -1.77% | 1.03 | 6.51 | 2.59 |
| 70. | 2023. 9. 30. | -9.37% | -4.87% | 129.20 | 31.95 | 64.25 |
| 71. | 2023. 10. 31. | -4.41% | -2.20% | 41.02 | 8.87 | 19.08 |
| 합계 (Σ): | 8,676.22 | 1,843.80 | 2,853.21 | |||
모두 보기
분산AMAT = Σ(RAMAT,t–RAMAT)2 ÷ (71 – 1)
= 8,676.22 ÷ (71 – 1)
= 123.95
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,843.80 ÷ (71 – 1)
= 26.34
공분산AMAT, S&P 500 = Σ(RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,853.21 ÷ (71 – 1)
= 40.76
체계적인 위험 추정 (β)
| 분산AMAT | 123.95 |
| 분산S&P 500 | 26.34 |
| 공분산AMAT, S&P 500 | 40.76 |
| 상관 계수AMAT, S&P 5001 | 0.71 |
| βAMAT2 | 1.55 |
| αAMAT3 | 0.79% |
계산
1 상관 계수AMAT, S&P 500
= 공분산AMAT, S&P 500 ÷ (표준 편차AMAT × 표준 편차S&P 500)
= 40.76 ÷ (11.13% × 5.13%)
= 0.71
2 βAMAT
= 공분산AMAT, S&P 500 ÷ 분산S&P 500
= 40.76 ÷ 26.34
= 1.55
3 αAMAT
= 평균의AMAT – βAMAT × 평균의S&P 500
= 2.00% – 1.55 × 0.78%
= 0.79%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Applied | βAMAT | 1.55 |
| 적용 보통주에 대한 예상 수익률3 | E(RAMAT) | 18.78% |
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(RAMAT) = RF + βAMAT [E(RM) – RF]
= 4.67% + 1.55 [13.79% – 4.67%]
= 18.78%