자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Booking Holdings보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Booking Holdings Inc., 월별 수익률
| Booking Holdings Inc. (BKNG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BKNG,t1 | 피제수BKNG,t1 | RBKNG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $1,832.81 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $1,697.04 | -7.41% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $1,744.91 | 2.82% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $1,854.99 | 6.31% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $3,125.70 | 12.05% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $3,547.22 | 13.49% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.62% | 1.11% | ||||
| 표준 편차: | 10.03% | 5.31% | ||||
| Booking Holdings Inc. (BKNG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BKNG,t1 | 피제수BKNG,t1 | RBKNG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $1,832.81 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $1,697.04 | -7.41% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $1,744.91 | 2.82% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $1,854.99 | 6.31% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $1,656.22 | -10.72% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $1,874.71 | 13.19% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $1,886.61 | 0.63% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $1,966.41 | 4.23% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $1,962.61 | -0.19% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $2,048.77 | 4.39% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $1,904.03 | -7.06% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $2,053.73 | 7.86% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $1,830.55 | -10.87% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $1,695.66 | -7.37% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $1,345.32 | -20.66% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $1,480.57 | 10.05% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $1,639.42 | 10.73% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $1,592.34 | -2.87% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $1,662.13 | 4.38% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $1,910.45 | 14.94% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $1,710.68 | -10.46% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $1,622.50 | -5.15% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $2,028.45 | 25.02% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $2,227.27 | 9.80% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $1,944.33 | -12.70% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $2,328.51 | 19.76% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $2,329.84 | 0.06% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $2,466.08 | 5.85% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $2,361.55 | -4.24% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $2,188.09 | -7.35% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $2,178.26 | -0.45% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $2,299.67 | 5.57% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $2,373.87 | 3.23% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $2,420.78 | 1.98% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $2,101.85 | -13.17% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $2,399.23 | 14.15% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $2,456.13 | 2.37% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $2,172.25 | -11.56% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $2,348.45 | 8.11% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $2,210.31 | -5.88% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $2,243.56 | 1.50% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $1,748.99 | -22.04% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $1,935.69 | 10.67% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $1,875.81 | -3.09% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $1,643.21 | -12.40% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $1,869.48 | 13.77% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $2,079.45 | 11.23% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $2,015.28 | -3.09% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $2,434.10 | 20.78% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $2,524.00 | 3.69% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $2,652.41 | 5.09% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $2,686.31 | 1.28% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $2,508.77 | -6.61% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $2,700.33 | 7.64% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $2,970.80 | 10.02% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $3,105.03 | 4.52% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $3,083.95 | -0.68% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $2,789.56 | -9.55% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $3,125.70 | 12.05% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $3,547.22 | 13.49% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.62% | 1.11% | ||||
| 표준 편차: | 10.03% | 5.31% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 BKNG의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Booking Holdings Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RBKNG,t | RS&P 500,t | (RBKNG,t–RBKNG)2 | (RS&P 500,t–RS&P 500)2 | (RBKNG,t–RBKNG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -7.41% | 2.97% | 81.50 | 3.49 | -16.86 |
| 2. | 2019. 3. 31. | 2.82% | 1.79% | 1.44 | 0.47 | 0.82 |
| 3. | 2019. 4. 30. | 6.31% | 3.93% | 21.98 | 7.98 | 13.25 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 12.05% | 8.92% | 108.78 | 61.03 | 81.48 |
| 59. | 2023. 12. 31. | 13.49% | 4.42% | 140.79 | 11.00 | 39.36 |
| 합계 (Σ): | 5,832.06 | 1,634.30 | 2,319.48 | |||
| t | 날짜 | RBKNG,t | RS&P 500,t | (RBKNG,t–RBKNG)2 | (RS&P 500,t–RS&P 500)2 | (RBKNG,t–RBKNG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -7.41% | 2.97% | 81.50 | 3.49 | -16.86 |
| 2. | 2019. 3. 31. | 2.82% | 1.79% | 1.44 | 0.47 | 0.82 |
| 3. | 2019. 4. 30. | 6.31% | 3.93% | 21.98 | 7.98 | 13.25 |
| 4. | 2019. 5. 31. | -10.72% | -6.58% | 152.17 | 59.04 | 94.78 |
| 5. | 2019. 6. 30. | 13.19% | 6.89% | 133.91 | 33.49 | 66.97 |
| 6. | 2019. 7. 31. | 0.63% | 1.31% | 0.97 | 0.04 | -0.20 |
| 7. | 2019. 8. 31. | 4.23% | -1.81% | 6.81 | 8.50 | -7.61 |
| 8. | 2019. 9. 30. | -0.19% | 1.72% | 3.29 | 0.37 | -1.11 |
| 9. | 2019. 10. 31. | 4.39% | 2.04% | 7.67 | 0.88 | 2.60 |
| 10. | 2019. 11. 30. | -7.06% | 3.40% | 75.43 | 5.28 | -19.97 |
| 11. | 2019. 12. 31. | 7.86% | 2.86% | 38.96 | 3.07 | 10.94 |
| 12. | 2020. 1. 31. | -10.87% | -0.16% | 155.93 | 1.61 | 15.84 |
| 13. | 2020. 2. 29. | -7.37% | -8.41% | 80.80 | 90.57 | 85.55 |
| 14. | 2020. 3. 31. | -20.66% | -12.51% | 496.45 | 185.44 | 303.42 |
| 15. | 2020. 4. 30. | 10.05% | 12.68% | 71.12 | 134.06 | 97.64 |
| 16. | 2020. 5. 31. | 10.73% | 4.53% | 82.97 | 11.71 | 31.17 |
| 17. | 2020. 6. 30. | -2.87% | 1.84% | 20.18 | 0.54 | -3.29 |
| 18. | 2020. 7. 31. | 4.38% | 5.51% | 7.63 | 19.40 | 12.17 |
| 19. | 2020. 8. 31. | 14.94% | 7.01% | 177.41 | 34.82 | 78.59 |
| 20. | 2020. 9. 30. | -10.46% | -3.92% | 145.85 | 25.29 | 60.73 |
| 21. | 2020. 10. 31. | -5.15% | -2.77% | 45.90 | 15.00 | 26.24 |
| 22. | 2020. 11. 30. | 25.02% | 10.75% | 547.55 | 93.10 | 225.78 |
| 23. | 2020. 12. 31. | 9.80% | 3.71% | 66.93 | 6.79 | 21.32 |
| 24. | 2021. 1. 31. | -12.70% | -1.11% | 205.17 | 4.93 | 31.79 |
| 25. | 2021. 2. 28. | 19.76% | 2.61% | 329.01 | 2.26 | 27.27 |
| 26. | 2021. 3. 31. | 0.06% | 4.24% | 2.44 | 9.85 | -4.91 |
| 27. | 2021. 4. 30. | 5.85% | 5.24% | 17.87 | 17.11 | 17.49 |
| 28. | 2021. 5. 31. | -4.24% | 0.55% | 34.33 | 0.31 | 3.26 |
| 29. | 2021. 6. 30. | -7.35% | 2.22% | 80.38 | 1.24 | -10.00 |
| 30. | 2021. 7. 31. | -0.45% | 2.27% | 4.28 | 1.37 | -2.42 |
| 31. | 2021. 8. 31. | 5.57% | 2.90% | 15.63 | 3.22 | 7.09 |
| 32. | 2021. 9. 30. | 3.23% | -4.76% | 2.58 | 34.37 | -9.42 |
| 33. | 2021. 10. 31. | 1.98% | 6.91% | 0.13 | 33.74 | 2.07 |
| 34. | 2021. 11. 30. | -13.17% | -0.83% | 218.89 | 3.76 | 28.69 |
| 35. | 2021. 12. 31. | 14.15% | 4.36% | 156.96 | 10.60 | 40.78 |
| 36. | 2022. 1. 31. | 2.37% | -5.26% | 0.56 | 40.51 | -4.78 |
| 37. | 2022. 2. 28. | -11.56% | -3.14% | 173.67 | 17.99 | 55.90 |
| 38. | 2022. 3. 31. | 8.11% | 3.58% | 42.14 | 6.11 | 16.04 |
| 39. | 2022. 4. 30. | -5.88% | -8.80% | 56.29 | 98.04 | 74.29 |
| 40. | 2022. 5. 31. | 1.50% | 0.01% | 0.01 | 1.21 | 0.13 |
| 41. | 2022. 6. 30. | -22.04% | -8.39% | 560.00 | 90.21 | 224.76 |
| 42. | 2022. 7. 31. | 10.67% | 9.11% | 81.98 | 64.09 | 72.49 |
| 43. | 2022. 8. 31. | -3.09% | -4.24% | 22.22 | 28.62 | 25.22 |
| 44. | 2022. 9. 30. | -12.40% | -9.34% | 196.57 | 109.11 | 146.45 |
| 45. | 2022. 10. 31. | 13.77% | 7.99% | 147.62 | 47.34 | 83.60 |
| 46. | 2022. 11. 30. | 11.23% | 5.38% | 92.38 | 18.23 | 41.03 |
| 47. | 2022. 12. 31. | -3.09% | -5.90% | 22.15 | 49.04 | 32.96 |
| 48. | 2023. 1. 31. | 20.78% | 6.18% | 367.18 | 25.70 | 97.14 |
| 49. | 2023. 2. 28. | 3.69% | -2.61% | 4.30 | 13.82 | -7.71 |
| 50. | 2023. 3. 31. | 5.09% | 3.51% | 12.02 | 5.76 | 8.32 |
| 51. | 2023. 4. 30. | 1.28% | 1.46% | 0.12 | 0.13 | -0.12 |
| 52. | 2023. 5. 31. | -6.61% | 0.25% | 67.72 | 0.74 | 7.06 |
| 53. | 2023. 6. 30. | 7.64% | 4.71% | 36.18 | 13.02 | 21.70 |
| 54. | 2023. 7. 31. | 10.02% | 4.85% | 70.49 | 13.99 | 31.40 |
| 55. | 2023. 8. 31. | 4.52% | -1.77% | 8.40 | 8.28 | -8.34 |
| 56. | 2023. 9. 30. | -0.68% | -4.87% | 5.29 | 35.73 | 13.74 |
| 57. | 2023. 10. 31. | -9.55% | -2.20% | 124.68 | 10.92 | 36.89 |
| 58. | 2023. 11. 30. | 12.05% | 8.92% | 108.78 | 61.03 | 81.48 |
| 59. | 2023. 12. 31. | 13.49% | 4.42% | 140.79 | 11.00 | 39.36 |
| 합계 (Σ): | 5,832.06 | 1,634.30 | 2,319.48 | |||
모두 표시
분산BKNG = Σ(RBKNG,t–RBKNG)2 ÷ (59 – 1)
= 5,832.06 ÷ (59 – 1)
= 100.55
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산BKNG, S&P 500 = Σ(RBKNG,t–RBKNG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,319.48 ÷ (59 – 1)
= 39.99
체계적인 위험 추정 (β)
| 분산BKNG | 100.55 |
| 분산S&P 500 | 28.18 |
| 공분산BKNG, S&P 500 | 39.99 |
| 상관 계수BKNG, S&P 5001 | 0.75 |
| βBKNG2 | 1.42 |
| αBKNG3 | 0.05% |
계산
1 상관 계수BKNG, S&P 500
= 공분산BKNG, S&P 500 ÷ (표준 편차BKNG × 표준 편차S&P 500)
= 39.99 ÷ (10.03% × 5.31%)
= 0.75
2 βBKNG
= 공분산BKNG, S&P 500 ÷ 분산S&P 500
= 39.99 ÷ 28.18
= 1.42
3 αBKNG
= 평균의BKNG – βBKNG × 평균의S&P 500
= 1.62% – 1.42 × 1.11%
= 0.05%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.56% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.77% |
| 보통주의 체계적 위험Booking Holdings | βBKNG | 1.42 |
| Booking Holdings 보통주 예상 수익률3 | E(RBKNG) | 17.62% |
1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).
2 자세히 보기 »
3 E(RBKNG) = RF + βBKNG [E(RM) – RF]
= 4.56% + 1.42 [13.77% – 4.56%]
= 17.62%