자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Celgene보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Celgene Corp., 월별 수익률
| Celgene Corp. (CELG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CELG,t1 | 피제수CELG,t1 | RCELG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2014. 1. 31. | $75.97 | 1,782.59 | ||||
| 1. | 2014. 2. 28. | $80.38 | 5.80% | 1,859.45 | 4.31% | |
| 2. | 2014. 3. 31. | $69.80 | -13.16% | 1,872.34 | 0.69% | |
| 3. | 2014. 4. 30. | $73.51 | 5.32% | 1,883.95 | 0.62% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2018. 11. 30. | $72.22 | 0.87% | 2,760.17 | 1.79% | |
| 59. | 2018. 12. 31. | $64.09 | -11.26% | 2,506.85 | -9.18% | |
| 평균의 (R): | 0.14% | 0.63% | ||||
| 표준 편차: | 9.04% | 3.13% | ||||
| Celgene Corp. (CELG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CELG,t1 | 피제수CELG,t1 | RCELG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2014. 1. 31. | $75.97 | 1,782.59 | ||||
| 1. | 2014. 2. 28. | $80.38 | 5.80% | 1,859.45 | 4.31% | |
| 2. | 2014. 3. 31. | $69.80 | -13.16% | 1,872.34 | 0.69% | |
| 3. | 2014. 4. 30. | $73.51 | 5.32% | 1,883.95 | 0.62% | |
| 4. | 2014. 5. 31. | $76.52 | 4.09% | 1,923.57 | 2.10% | |
| 5. | 2014. 6. 30. | $85.88 | 12.23% | 1,960.23 | 1.91% | |
| 6. | 2014. 7. 31. | $87.15 | 1.48% | 1,930.67 | -1.51% | |
| 7. | 2014. 8. 31. | $95.02 | 9.03% | 2,003.37 | 3.77% | |
| 8. | 2014. 9. 30. | $94.78 | -0.25% | 1,972.29 | -1.55% | |
| 9. | 2014. 10. 31. | $107.09 | 12.99% | 2,018.05 | 2.32% | |
| 10. | 2014. 11. 30. | $113.69 | 6.16% | 2,067.56 | 2.45% | |
| 11. | 2014. 12. 31. | $111.86 | -1.61% | 2,058.90 | -0.42% | |
| 12. | 2015. 1. 31. | $119.16 | 6.53% | 1,994.99 | -3.10% | |
| 13. | 2015. 2. 28. | $121.53 | 1.99% | 2,104.50 | 5.49% | |
| 14. | 2015. 3. 31. | $115.28 | -5.14% | 2,067.89 | -1.74% | |
| 15. | 2015. 4. 30. | $108.06 | -6.26% | 2,085.51 | 0.85% | |
| 16. | 2015. 5. 31. | $114.44 | 5.90% | 2,107.39 | 1.05% | |
| 17. | 2015. 6. 30. | $115.74 | 1.14% | 2,063.11 | -2.10% | |
| 18. | 2015. 7. 31. | $131.25 | 13.40% | 2,103.84 | 1.97% | |
| 19. | 2015. 8. 31. | $118.08 | -10.03% | 1,972.18 | -6.26% | |
| 20. | 2015. 9. 30. | $108.17 | -8.39% | 1,920.03 | -2.64% | |
| 21. | 2015. 10. 31. | $122.71 | 13.44% | 2,079.36 | 8.30% | |
| 22. | 2015. 11. 30. | $109.45 | -10.81% | 2,080.41 | 0.05% | |
| 23. | 2015. 12. 31. | $119.76 | 9.42% | 2,043.94 | -1.75% | |
| 24. | 2016. 1. 31. | $100.32 | -16.23% | 1,940.24 | -5.07% | |
| 25. | 2016. 2. 29. | $100.83 | 0.51% | 1,932.23 | -0.41% | |
| 26. | 2016. 3. 31. | $100.09 | -0.73% | 2,059.74 | 6.60% | |
| 27. | 2016. 4. 30. | $103.41 | 3.32% | 2,065.30 | 0.27% | |
| 28. | 2016. 5. 31. | $105.52 | 2.04% | 2,096.95 | 1.53% | |
| 29. | 2016. 6. 30. | $98.63 | -6.53% | 2,098.86 | 0.09% | |
| 30. | 2016. 7. 31. | $112.19 | 13.75% | 2,173.60 | 3.56% | |
| 31. | 2016. 8. 31. | $106.74 | -4.86% | 2,170.95 | -0.12% | |
| 32. | 2016. 9. 30. | $104.53 | -2.07% | 2,168.27 | -0.12% | |
| 33. | 2016. 10. 31. | $102.18 | -2.25% | 2,126.15 | -1.94% | |
| 34. | 2016. 11. 30. | $118.51 | 15.98% | 2,198.81 | 3.42% | |
| 35. | 2016. 12. 31. | $115.75 | -2.33% | 2,238.83 | 1.82% | |
| 36. | 2017. 1. 31. | $116.15 | 0.35% | 2,278.87 | 1.79% | |
| 37. | 2017. 2. 28. | $123.51 | 6.34% | 2,363.64 | 3.72% | |
| 38. | 2017. 3. 31. | $124.43 | 0.74% | 2,362.72 | -0.04% | |
| 39. | 2017. 4. 30. | $124.05 | -0.31% | 2,384.20 | 0.91% | |
| 40. | 2017. 5. 31. | $114.41 | -7.77% | 2,411.80 | 1.16% | |
| 41. | 2017. 6. 30. | $129.87 | 13.51% | 2,423.41 | 0.48% | |
| 42. | 2017. 7. 31. | $135.41 | 4.27% | 2,470.30 | 1.93% | |
| 43. | 2017. 8. 31. | $138.93 | 2.60% | 2,471.65 | 0.05% | |
| 44. | 2017. 9. 30. | $145.82 | 4.96% | 2,519.36 | 1.93% | |
| 45. | 2017. 10. 31. | $100.97 | -30.76% | 2,575.26 | 2.22% | |
| 46. | 2017. 11. 30. | $100.83 | -0.14% | 2,647.58 | 2.81% | |
| 47. | 2017. 12. 31. | $104.36 | 3.50% | 2,673.61 | 0.98% | |
| 48. | 2018. 1. 31. | $101.16 | -3.07% | 2,823.81 | 5.62% | |
| 49. | 2018. 2. 28. | $87.12 | -13.88% | 2,713.83 | -3.89% | |
| 50. | 2018. 3. 31. | $89.21 | 2.40% | 2,640.87 | -2.69% | |
| 51. | 2018. 4. 30. | $87.10 | -2.37% | 2,648.05 | 0.27% | |
| 52. | 2018. 5. 31. | $78.68 | -9.67% | 2,705.27 | 2.16% | |
| 53. | 2018. 6. 30. | $79.42 | 0.94% | 2,718.37 | 0.48% | |
| 54. | 2018. 7. 31. | $90.09 | 13.43% | 2,816.29 | 3.60% | |
| 55. | 2018. 8. 31. | $94.45 | 4.84% | 2,901.52 | 3.03% | |
| 56. | 2018. 9. 30. | $89.49 | -5.25% | 2,913.98 | 0.43% | |
| 57. | 2018. 10. 31. | $71.60 | -19.99% | 2,711.74 | -6.94% | |
| 58. | 2018. 11. 30. | $72.22 | 0.87% | 2,760.17 | 1.79% | |
| 59. | 2018. 12. 31. | $64.09 | -11.26% | 2,506.85 | -9.18% | |
| 평균의 (R): | 0.14% | 0.63% | ||||
| 표준 편차: | 9.04% | 3.13% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 CELG의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Celgene Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RCELG,t | RS&P 500,t | (RCELG,t–RCELG)2 | (RS&P 500,t–RS&P 500)2 | (RCELG,t–RCELG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2014. 2. 28. | 5.80% | 4.31% | 32.11 | 13.57 | 20.87 |
| 2. | 2014. 3. 31. | -13.16% | 0.69% | 176.91 | 0.00 | -0.87 |
| 3. | 2014. 4. 30. | 5.32% | 0.62% | 26.80 | 0.00 | -0.04 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2018. 11. 30. | 0.87% | 1.79% | 0.53 | 1.34 | 0.84 |
| 59. | 2018. 12. 31. | -11.26% | -9.18% | 129.86 | 96.15 | 111.74 |
| 합계 (Σ): | 4,741.72 | 566.60 | 801.25 | |||
| t | 날짜 | RCELG,t | RS&P 500,t | (RCELG,t–RCELG)2 | (RS&P 500,t–RS&P 500)2 | (RCELG,t–RCELG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2014. 2. 28. | 5.80% | 4.31% | 32.11 | 13.57 | 20.87 |
| 2. | 2014. 3. 31. | -13.16% | 0.69% | 176.91 | 0.00 | -0.87 |
| 3. | 2014. 4. 30. | 5.32% | 0.62% | 26.80 | 0.00 | -0.04 |
| 4. | 2014. 5. 31. | 4.09% | 2.10% | 15.65 | 2.18 | 5.84 |
| 5. | 2014. 6. 30. | 12.23% | 1.91% | 146.26 | 1.63 | 15.45 |
| 6. | 2014. 7. 31. | 1.48% | -1.51% | 1.80 | 4.56 | -2.86 |
| 7. | 2014. 8. 31. | 9.03% | 3.77% | 79.07 | 9.84 | 27.90 |
| 8. | 2014. 9. 30. | -0.25% | -1.55% | 0.15 | 4.75 | 0.85 |
| 9. | 2014. 10. 31. | 12.99% | 2.32% | 165.12 | 2.86 | 21.74 |
| 10. | 2014. 11. 30. | 6.16% | 2.45% | 36.30 | 3.33 | 11.00 |
| 11. | 2014. 12. 31. | -1.61% | -0.42% | 3.05 | 1.10 | 1.83 |
| 12. | 2015. 1. 31. | 6.53% | -3.10% | 40.80 | 13.93 | -23.84 |
| 13. | 2015. 2. 28. | 1.99% | 5.49% | 3.43 | 23.63 | 9.00 |
| 14. | 2015. 3. 31. | -5.14% | -1.74% | 27.89 | 5.61 | 12.50 |
| 15. | 2015. 4. 30. | -6.26% | 0.85% | 40.98 | 0.05 | -1.43 |
| 16. | 2015. 5. 31. | 5.90% | 1.05% | 33.25 | 0.18 | 2.43 |
| 17. | 2015. 6. 30. | 1.14% | -2.10% | 1.00 | 7.45 | -2.72 |
| 18. | 2015. 7. 31. | 13.40% | 1.97% | 175.90 | 1.81 | 17.85 |
| 19. | 2015. 8. 31. | -10.03% | -6.26% | 103.48 | 47.42 | 70.05 |
| 20. | 2015. 9. 30. | -8.39% | -2.64% | 72.77 | 10.71 | 27.91 |
| 21. | 2015. 10. 31. | 13.44% | 8.30% | 176.99 | 58.83 | 102.04 |
| 22. | 2015. 11. 30. | -10.81% | 0.05% | 119.77 | 0.33 | 6.32 |
| 23. | 2015. 12. 31. | 9.42% | -1.75% | 86.15 | 5.67 | -22.10 |
| 24. | 2016. 1. 31. | -16.23% | -5.07% | 268.00 | 32.51 | 93.34 |
| 25. | 2016. 2. 29. | 0.51% | -0.41% | 0.14 | 1.08 | -0.39 |
| 26. | 2016. 3. 31. | -0.73% | 6.60% | 0.76 | 35.65 | -5.21 |
| 27. | 2016. 4. 30. | 3.32% | 0.27% | 10.11 | 0.13 | -1.14 |
| 28. | 2016. 5. 31. | 2.04% | 1.53% | 3.62 | 0.82 | 1.72 |
| 29. | 2016. 6. 30. | -6.53% | 0.09% | 44.46 | 0.29 | 3.58 |
| 30. | 2016. 7. 31. | 13.75% | 3.56% | 185.24 | 8.60 | 39.92 |
| 31. | 2016. 8. 31. | -4.86% | -0.12% | 24.96 | 0.56 | 3.75 |
| 32. | 2016. 9. 30. | -2.07% | -0.12% | 4.88 | 0.56 | 1.66 |
| 33. | 2016. 10. 31. | -2.25% | -1.94% | 5.69 | 6.61 | 6.13 |
| 34. | 2016. 11. 30. | 15.98% | 3.42% | 251.01 | 7.78 | 44.20 |
| 35. | 2016. 12. 31. | -2.33% | 1.82% | 6.09 | 1.42 | -2.94 |
| 36. | 2017. 1. 31. | 0.35% | 1.79% | 0.04 | 1.35 | 0.24 |
| 37. | 2017. 2. 28. | 6.34% | 3.72% | 38.42 | 9.56 | 19.16 |
| 38. | 2017. 3. 31. | 0.74% | -0.04% | 0.37 | 0.44 | -0.40 |
| 39. | 2017. 4. 30. | -0.31% | 0.91% | 0.20 | 0.08 | -0.12 |
| 40. | 2017. 5. 31. | -7.77% | 1.16% | 62.56 | 0.28 | -4.19 |
| 41. | 2017. 6. 30. | 13.51% | 0.48% | 178.88 | 0.02 | -1.96 |
| 42. | 2017. 7. 31. | 4.27% | 1.93% | 17.04 | 1.71 | 5.39 |
| 43. | 2017. 8. 31. | 2.60% | 0.05% | 6.06 | 0.33 | -1.41 |
| 44. | 2017. 9. 30. | 4.96% | 1.93% | 23.24 | 1.70 | 6.28 |
| 45. | 2017. 10. 31. | -30.76% | 2.22% | 954.52 | 2.53 | -49.15 |
| 46. | 2017. 11. 30. | -0.14% | 2.81% | 0.08 | 4.75 | -0.60 |
| 47. | 2017. 12. 31. | 3.50% | 0.98% | 11.31 | 0.13 | 1.19 |
| 48. | 2018. 1. 31. | -3.07% | 5.62% | 10.27 | 24.90 | -15.99 |
| 49. | 2018. 2. 28. | -13.88% | -3.89% | 196.48 | 20.45 | 63.40 |
| 50. | 2018. 3. 31. | 2.40% | -2.69% | 5.11 | 11.00 | -7.50 |
| 51. | 2018. 4. 30. | -2.37% | 0.27% | 6.27 | 0.13 | 0.89 |
| 52. | 2018. 5. 31. | -9.67% | 2.16% | 96.14 | 2.35 | -15.03 |
| 53. | 2018. 6. 30. | 0.94% | 0.48% | 0.64 | 0.02 | -0.12 |
| 54. | 2018. 7. 31. | 13.43% | 3.60% | 176.80 | 8.85 | 39.55 |
| 55. | 2018. 8. 31. | 4.84% | 3.03% | 22.10 | 5.75 | 11.28 |
| 56. | 2018. 9. 30. | -5.25% | 0.43% | 29.05 | 0.04 | 1.07 |
| 57. | 2018. 10. 31. | -19.99% | -6.94% | 405.19 | 57.28 | 152.34 |
| 58. | 2018. 11. 30. | 0.87% | 1.79% | 0.53 | 1.34 | 0.84 |
| 59. | 2018. 12. 31. | -11.26% | -9.18% | 129.86 | 96.15 | 111.74 |
| 합계 (Σ): | 4,741.72 | 566.60 | 801.25 | |||
모두 보기
분산CELG = Σ(RCELG,t–RCELG)2 ÷ (59 – 1)
= 4,741.72 ÷ (59 – 1)
= 81.75
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 566.60 ÷ (59 – 1)
= 9.77
공분산CELG, S&P 500 = Σ(RCELG,t–RCELG)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 801.25 ÷ (59 – 1)
= 13.81
체계적인 위험 추정 (β)
| 분산CELG | 81.75 |
| 분산S&P 500 | 9.77 |
| 공분산CELG, S&P 500 | 13.81 |
| 상관 계수CELG, S&P 5001 | 0.49 |
| βCELG2 | 1.41 |
| αCELG3 | -0.75% |
계산
1 상관 계수CELG, S&P 500
= 공분산CELG, S&P 500 ÷ (표준 편차CELG × 표준 편차S&P 500)
= 13.81 ÷ (9.04% × 3.13%)
= 0.49
2 βCELG
= 공분산CELG, S&P 500 ÷ 분산S&P 500
= 13.81 ÷ 9.77
= 1.41
3 αCELG
= 평균의CELG – βCELG × 평균의S&P 500
= 0.14% – 1.41 × 0.63%
= -0.75%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Celgene | βCELG | 1.41 |
| Celgene 보통주의 예상 수익률3 | E(RCELG) | 17.56% |
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(RCELG) = RF + βCELG [E(RM) – RF]
= 4.67% + 1.41 [13.79% – 4.67%]
= 17.56%