Stock Analysis on Net

Charter Communications Inc. (NASDAQ:CHTR)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 Charter보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

Charter Communications Inc., 월별 수익률

Microsoft Excel
Charter Communications Inc. (CHTR) Standard & Poor’s 500 (S&P 500)
t 날짜 CHTR,t1 피제수CHTR,t1 RCHTR,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $331.05 2,704.10
1. 2019. 2. 28. $344.91 4.19% 2,784.49 2.97%
2. 2019. 3. 31. $346.91 0.58% 2,834.40 1.79%
3. 2019. 4. 30. $371.19 7.00% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $400.13 -0.66% 4,567.80 8.92%
59. 2023. 12. 31. $388.68 -2.86% 4,769.83 4.42%
평균의 (R): 0.69% 1.11%
표준 편차: 9.13% 5.31%
Charter Communications Inc. (CHTR) Standard & Poor’s 500 (S&P 500)
t 날짜 CHTR,t1 피제수CHTR,t1 RCHTR,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $331.05 2,704.10
1. 2019. 2. 28. $344.91 4.19% 2,784.49 2.97%
2. 2019. 3. 31. $346.91 0.58% 2,834.40 1.79%
3. 2019. 4. 30. $371.19 7.00% 2,945.83 3.93%
4. 2019. 5. 31. $376.80 1.51% 2,752.06 -6.58%
5. 2019. 6. 30. $395.18 4.88% 2,941.76 6.89%
6. 2019. 7. 31. $385.38 -2.48% 2,980.38 1.31%
7. 2019. 8. 31. $409.59 6.28% 2,926.46 -1.81%
8. 2019. 9. 30. $412.12 0.62% 2,976.74 1.72%
9. 2019. 10. 31. $467.86 13.53% 3,037.56 2.04%
10. 2019. 11. 30. $470.01 0.46% 3,140.98 3.40%
11. 2019. 12. 31. $485.08 3.21% 3,230.78 2.86%
12. 2020. 1. 31. $517.46 6.68% 3,225.52 -0.16%
13. 2020. 2. 29. $493.17 -4.69% 2,954.22 -8.41%
14. 2020. 3. 31. $436.31 -11.53% 2,584.59 -12.51%
15. 2020. 4. 30. $495.23 13.50% 2,912.43 12.68%
16. 2020. 5. 31. $544.00 9.85% 3,044.31 4.53%
17. 2020. 6. 30. $510.04 -6.24% 3,100.29 1.84%
18. 2020. 7. 31. $580.00 13.72% 3,271.12 5.51%
19. 2020. 8. 31. $615.61 6.14% 3,500.31 7.01%
20. 2020. 9. 30. $624.34 1.42% 3,363.00 -3.92%
21. 2020. 10. 31. $603.82 -3.29% 3,269.96 -2.77%
22. 2020. 11. 30. $651.99 7.98% 3,621.63 10.75%
23. 2020. 12. 31. $661.55 1.47% 3,756.07 3.71%
24. 2021. 1. 31. $607.56 -8.16% 3,714.24 -1.11%
25. 2021. 2. 28. $613.42 0.96% 3,811.15 2.61%
26. 2021. 3. 31. $617.02 0.59% 3,972.89 4.24%
27. 2021. 4. 30. $673.45 9.15% 4,181.17 5.24%
28. 2021. 5. 31. $694.53 3.13% 4,204.11 0.55%
29. 2021. 6. 30. $721.45 3.88% 4,297.50 2.22%
30. 2021. 7. 31. $744.05 3.13% 4,395.26 2.27%
31. 2021. 8. 31. $816.66 9.76% 4,522.68 2.90%
32. 2021. 9. 30. $727.56 -10.91% 4,307.54 -4.76%
33. 2021. 10. 31. $674.89 -7.24% 4,605.38 6.91%
34. 2021. 11. 30. $646.28 -4.24% 4,567.00 -0.83%
35. 2021. 12. 31. $651.97 0.88% 4,766.18 4.36%
36. 2022. 1. 31. $593.34 -8.99% 4,515.55 -5.26%
37. 2022. 2. 28. $601.78 1.42% 4,373.94 -3.14%
38. 2022. 3. 31. $545.52 -9.35% 4,530.41 3.58%
39. 2022. 4. 30. $428.49 -21.45% 4,131.93 -8.80%
40. 2022. 5. 31. $506.93 18.31% 4,132.15 0.01%
41. 2022. 6. 30. $468.53 -7.58% 3,785.38 -8.39%
42. 2022. 7. 31. $432.10 -7.78% 4,130.29 9.11%
43. 2022. 8. 31. $412.63 -4.51% 3,955.00 -4.24%
44. 2022. 9. 30. $303.35 -26.48% 3,585.62 -9.34%
45. 2022. 10. 31. $367.62 21.19% 3,871.98 7.99%
46. 2022. 11. 30. $391.29 6.44% 4,080.11 5.38%
47. 2022. 12. 31. $339.10 -13.34% 3,839.50 -5.90%
48. 2023. 1. 31. $384.31 13.33% 4,076.60 6.18%
49. 2023. 2. 28. $367.61 -4.35% 3,970.15 -2.61%
50. 2023. 3. 31. $357.61 -2.72% 4,109.31 3.51%
51. 2023. 4. 30. $368.70 3.10% 4,169.48 1.46%
52. 2023. 5. 31. $326.15 -11.54% 4,179.83 0.25%
53. 2023. 6. 30. $367.37 12.64% 4,376.86 4.71%
54. 2023. 7. 31. $405.19 10.29% 4,588.96 4.85%
55. 2023. 8. 31. $438.12 8.13% 4,507.66 -1.77%
56. 2023. 9. 30. $439.82 0.39% 4,288.05 -4.87%
57. 2023. 10. 31. $402.80 -8.42% 4,193.80 -2.20%
58. 2023. 11. 30. $400.13 -0.66% 4,567.80 8.92%
59. 2023. 12. 31. $388.68 -2.86% 4,769.83 4.42%
평균의 (R): 0.69% 1.11%
표준 편차: 9.13% 5.31%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 CHTR의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Charter Communications Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RCHTR,t RS&P 500,t (RCHTR,tRCHTR)2 (RS&P 500,tRS&P 500)2 (RCHTR,tRCHTR)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 4.19% 2.97% 12.20 3.49 6.52
2. 2019. 3. 31. 0.58% 1.79% 0.01 0.47 -0.08
3. 2019. 4. 30. 7.00% 3.93% 39.76 7.98 17.82
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. -0.66% 8.92% 1.84 61.03 -10.59
59. 2023. 12. 31. -2.86% 4.42% 12.64 11.00 -11.79
합계 (Σ): 4,829.48 1,634.30 1,680.45
t 날짜 RCHTR,t RS&P 500,t (RCHTR,tRCHTR)2 (RS&P 500,tRS&P 500)2 (RCHTR,tRCHTR)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 4.19% 2.97% 12.20 3.49 6.52
2. 2019. 3. 31. 0.58% 1.79% 0.01 0.47 -0.08
3. 2019. 4. 30. 7.00% 3.93% 39.76 7.98 17.82
4. 2019. 5. 31. 1.51% -6.58% 0.67 59.04 -6.29
5. 2019. 6. 30. 4.88% 6.89% 17.51 33.49 24.22
6. 2019. 7. 31. -2.48% 1.31% 10.07 0.04 -0.66
7. 2019. 8. 31. 6.28% -1.81% 31.24 8.50 -16.29
8. 2019. 9. 30. 0.62% 1.72% 0.01 0.37 -0.05
9. 2019. 10. 31. 13.53% 2.04% 164.66 0.88 12.03
10. 2019. 11. 30. 0.46% 3.40% 0.05 5.28 -0.54
11. 2019. 12. 31. 3.21% 2.86% 6.32 3.07 4.41
12. 2020. 1. 31. 6.68% -0.16% 35.78 1.61 -7.59
13. 2020. 2. 29. -4.69% -8.41% 29.02 90.57 51.27
14. 2020. 3. 31. -11.53% -12.51% 149.39 185.44 166.45
15. 2020. 4. 30. 13.50% 12.68% 164.12 134.06 148.33
16. 2020. 5. 31. 9.85% 4.53% 83.81 11.71 31.33
17. 2020. 6. 30. -6.24% 1.84% 48.11 0.54 -5.08
18. 2020. 7. 31. 13.72% 5.51% 169.61 19.40 57.36
19. 2020. 8. 31. 6.14% 7.01% 29.66 34.82 32.14
20. 2020. 9. 30. 1.42% -3.92% 0.53 25.29 -3.65
21. 2020. 10. 31. -3.29% -2.77% 15.84 15.00 15.41
22. 2020. 11. 30. 7.98% 10.75% 53.06 93.10 70.28
23. 2020. 12. 31. 1.47% 3.71% 0.60 6.79 2.01
24. 2021. 1. 31. -8.16% -1.11% 78.40 4.93 19.65
25. 2021. 2. 28. 0.96% 2.61% 0.07 2.26 0.41
26. 2021. 3. 31. 0.59% 4.24% 0.01 9.85 -0.33
27. 2021. 4. 30. 9.15% 5.24% 71.44 17.11 34.96
28. 2021. 5. 31. 3.13% 0.55% 5.94 0.31 -1.36
29. 2021. 6. 30. 3.88% 2.22% 10.13 1.24 3.55
30. 2021. 7. 31. 3.13% 2.27% 5.95 1.37 2.85
31. 2021. 8. 31. 9.76% 2.90% 82.18 3.22 16.26
32. 2021. 9. 30. -10.91% -4.76% 134.64 34.37 68.03
33. 2021. 10. 31. -7.24% 6.91% 62.92 33.74 -46.08
34. 2021. 11. 30. -4.24% -0.83% 24.33 3.76 9.57
35. 2021. 12. 31. 0.88% 4.36% 0.04 10.60 0.61
36. 2022. 1. 31. -8.99% -5.26% 93.82 40.51 61.64
37. 2022. 2. 28. 1.42% -3.14% 0.53 17.99 -3.09
38. 2022. 3. 31. -9.35% 3.58% 100.84 6.11 -24.82
39. 2022. 4. 30. -21.45% -8.80% 490.45 98.04 219.28
40. 2022. 5. 31. 18.31% 0.01% 310.22 1.21 -19.38
41. 2022. 6. 30. -7.58% -8.39% 68.36 90.21 78.53
42. 2022. 7. 31. -7.78% 9.11% 71.72 64.09 -67.80
43. 2022. 8. 31. -4.51% -4.24% 27.03 28.62 27.81
44. 2022. 9. 30. -26.48% -9.34% 738.59 109.11 283.87
45. 2022. 10. 31. 21.19% 7.99% 419.99 47.34 141.01
46. 2022. 11. 30. 6.44% 5.38% 33.01 18.23 24.53
47. 2022. 12. 31. -13.34% -5.90% 196.87 49.04 98.26
48. 2023. 1. 31. 13.33% 6.18% 159.75 25.70 64.07
49. 2023. 2. 28. -4.35% -2.61% 25.39 13.82 18.73
50. 2023. 3. 31. -2.72% 3.51% 11.65 5.76 -8.19
51. 2023. 4. 30. 3.10% 1.46% 5.80 0.13 0.86
52. 2023. 5. 31. -11.54% 0.25% 149.66 0.74 10.49
53. 2023. 6. 30. 12.64% 4.71% 142.69 13.02 43.10
54. 2023. 7. 31. 10.29% 4.85% 92.19 13.99 35.91
55. 2023. 8. 31. 8.13% -1.77% 55.26 8.28 -21.39
56. 2023. 9. 30. 0.39% -4.87% 0.09 35.73 1.82
57. 2023. 10. 31. -8.42% -2.20% 83.00 10.92 30.10
58. 2023. 11. 30. -0.66% 8.92% 1.84 61.03 -10.59
59. 2023. 12. 31. -2.86% 4.42% 12.64 11.00 -11.79
합계 (Σ): 4,829.48 1,634.30 1,680.45

모두 표시

분산CHTR = Σ(RCHTR,tRCHTR)2 ÷ (59 – 1)
= 4,829.48 ÷ (59 – 1)
= 83.27

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산CHTR, S&P 500 = Σ(RCHTR,tRCHTR)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,680.45 ÷ (59 – 1)
= 28.97


체계적인 위험 추정 (β)

Microsoft Excel
분산CHTR 83.27
분산S&P 500 28.18
공분산CHTR, S&P 500 28.97
상관 계수CHTR, S&P 5001 0.60
βCHTR2 1.03
αCHTR3 -0.44%

계산

1 상관 계수CHTR, S&P 500
= 공분산CHTR, S&P 500 ÷ (표준 편차CHTR × 표준 편차S&P 500)
= 28.97 ÷ (9.13% × 5.31%)
= 0.60

2 βCHTR
= 공분산CHTR, S&P 500 ÷ 분산S&P 500
= 28.97 ÷ 28.18
= 1.03

3 αCHTR
= 평균의CHTR – βCHTR × 평균의S&P 500
= 0.69%1.03 × 1.11%
= -0.44%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.70%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.52%
보통주의 체계적 위험Charter βCHTR 1.03
 
Charter 보통주의 예상 수익률3 E(RCHTR) 13.77%

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(RCHTR) = RF + βCHTR [E(RM) – RF]
= 4.70% + 1.03 [13.52%4.70%]
= 13.77%