자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Comcast보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Comcast Corp., 월별 수익률
| Comcast Corp. (CMCSA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CMCSA,t1 | 피제수CMCSA,t1 | RCMCSA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $49.57 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $52.72 | 6.35% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $54.11 | 2.64% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $56.15 | $0.25 | 4.23% | 4,181.17 | 5.24% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $26.69 | -4.13% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $29.89 | 11.99% | 6,845.50 | -0.05% | |
| 평균의 (R): | -0.35% | 1.14% | ||||
| 표준 편차: | 7.34% | 4.37% | ||||
| Comcast Corp. (CMCSA) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CMCSA,t1 | 피제수CMCSA,t1 | RCMCSA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $49.57 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $52.72 | 6.35% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $54.11 | 2.64% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $56.15 | $0.25 | 4.23% | 4,181.17 | 5.24% |
| 4. | 2021. 5. 31. | $57.34 | 2.12% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $57.02 | -0.56% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $58.83 | $0.25 | 3.61% | 4,395.26 | 2.27% |
| 7. | 2021. 8. 31. | $60.68 | 3.14% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $55.93 | -7.83% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $51.43 | $0.25 | -7.60% | 4,605.38 | 6.91% |
| 10. | 2021. 11. 30. | $49.98 | -2.82% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $50.33 | 0.70% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $49.99 | $0.25 | -0.18% | 4,515.55 | -5.26% |
| 13. | 2022. 2. 28. | $46.76 | -6.46% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $46.82 | 0.13% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $39.76 | $0.27 | -14.50% | 4,131.93 | -8.80% |
| 16. | 2022. 5. 31. | $44.28 | 11.37% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $39.24 | -11.38% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $37.52 | $0.27 | -3.70% | 4,130.29 | 9.11% |
| 19. | 2022. 8. 31. | $36.19 | -3.54% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $29.33 | -18.96% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $31.74 | $0.27 | 9.14% | 3,871.98 | 7.99% |
| 22. | 2022. 11. 30. | $36.64 | 15.44% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $34.97 | -4.56% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $39.35 | $0.27 | 13.30% | 4,076.60 | 6.18% |
| 25. | 2023. 2. 28. | $37.17 | -5.54% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $37.91 | 1.99% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $41.37 | $0.29 | 9.89% | 4,169.48 | 1.46% |
| 28. | 2023. 5. 31. | $39.35 | -4.88% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $41.55 | 5.59% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $45.26 | $0.29 | 9.63% | 4,588.96 | 4.85% |
| 31. | 2023. 8. 31. | $46.76 | 3.31% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $44.34 | -5.18% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $41.29 | $0.29 | -6.22% | 4,193.80 | -2.20% |
| 34. | 2023. 11. 30. | $41.89 | 1.45% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $43.85 | 4.68% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $46.54 | $0.29 | 6.80% | 4,845.65 | 1.59% |
| 37. | 2024. 2. 29. | $42.85 | -7.93% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $43.35 | 1.17% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $38.11 | $0.31 | -11.37% | 5,035.69 | -4.16% |
| 40. | 2024. 5. 31. | $40.03 | 5.04% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $39.16 | -2.17% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $41.27 | $0.31 | 6.18% | 5,522.30 | 1.13% |
| 43. | 2024. 8. 31. | $39.57 | -4.12% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $41.77 | 5.56% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $43.67 | $0.31 | 5.29% | 5,705.45 | -0.99% |
| 46. | 2024. 11. 30. | $43.19 | -1.10% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $37.53 | -13.10% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $33.66 | $0.31 | -9.49% | 6,040.53 | 2.70% |
| 49. | 2025. 2. 28. | $35.88 | 6.60% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $36.90 | 2.84% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $34.20 | $0.33 | -6.42% | 5,569.06 | -0.76% |
| 52. | 2025. 5. 31. | $34.57 | 1.08% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $35.69 | 3.24% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $33.23 | $0.33 | -5.97% | 6,339.39 | 2.17% |
| 55. | 2025. 8. 31. | $33.97 | 2.23% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $31.42 | -7.51% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $27.84 | $0.33 | -10.34% | 6,840.20 | 2.27% |
| 58. | 2025. 11. 30. | $26.69 | -4.13% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $29.89 | 11.99% | 6,845.50 | -0.05% | |
| 평균의 (R): | -0.35% | 1.14% | ||||
| 표준 편차: | 7.34% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 CMCSA의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Comcast Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RCMCSA,t | RS&P 500,t | (RCMCSA,t–RCMCSA)2 | (RS&P 500,t–RS&P 500)2 | (RCMCSA,t–RCMCSA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 6.35% | 2.61% | 44.99 | 2.17 | 9.88 |
| 2. | 2021. 3. 31. | 2.64% | 4.24% | 8.94 | 9.66 | 9.29 |
| 3. | 2021. 4. 30. | 4.23% | 5.24% | 21.02 | 16.86 | 18.83 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -4.13% | 0.13% | 14.27 | 1.01 | 3.80 |
| 59. | 2025. 12. 31. | 11.99% | -0.05% | 152.34 | 1.41 | -14.67 |
| 합계 (Σ): | 3,125.80 | 1,108.23 | 907.39 | |||
| t | 날짜 | RCMCSA,t | RS&P 500,t | (RCMCSA,t–RCMCSA)2 | (RS&P 500,t–RS&P 500)2 | (RCMCSA,t–RCMCSA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | 6.35% | 2.61% | 44.99 | 2.17 | 9.88 |
| 2. | 2021. 3. 31. | 2.64% | 4.24% | 8.94 | 9.66 | 9.29 |
| 3. | 2021. 4. 30. | 4.23% | 5.24% | 21.02 | 16.86 | 18.83 |
| 4. | 2021. 5. 31. | 2.12% | 0.55% | 6.11 | 0.35 | -1.45 |
| 5. | 2021. 6. 30. | -0.56% | 2.22% | 0.04 | 1.18 | -0.22 |
| 6. | 2021. 7. 31. | 3.61% | 2.27% | 15.73 | 1.30 | 4.52 |
| 7. | 2021. 8. 31. | 3.14% | 2.90% | 12.23 | 3.11 | 6.17 |
| 8. | 2021. 9. 30. | -7.83% | -4.76% | 55.87 | 34.73 | 44.05 |
| 9. | 2021. 10. 31. | -7.60% | 6.91% | 52.50 | 33.39 | -41.87 |
| 10. | 2021. 11. 30. | -2.82% | -0.83% | 6.08 | 3.88 | 4.86 |
| 11. | 2021. 12. 31. | 0.70% | 4.36% | 1.11 | 10.40 | 3.40 |
| 12. | 2022. 1. 31. | -0.18% | -5.26% | 0.03 | 40.89 | -1.11 |
| 13. | 2022. 2. 28. | -6.46% | -3.14% | 37.31 | 18.25 | 26.10 |
| 14. | 2022. 3. 31. | 0.13% | 3.58% | 0.23 | 5.96 | 1.18 |
| 15. | 2022. 4. 30. | -14.50% | -8.80% | 200.20 | 98.64 | 140.53 |
| 16. | 2022. 5. 31. | 11.37% | 0.01% | 137.39 | 1.28 | -13.25 |
| 17. | 2022. 6. 30. | -11.38% | -8.39% | 121.64 | 90.79 | 105.09 |
| 18. | 2022. 7. 31. | -3.70% | 9.11% | 11.17 | 63.61 | -26.65 |
| 19. | 2022. 8. 31. | -3.54% | -4.24% | 10.19 | 28.95 | 17.17 |
| 20. | 2022. 9. 30. | -18.96% | -9.34% | 346.05 | 109.74 | 194.87 |
| 21. | 2022. 10. 31. | 9.14% | 7.99% | 90.07 | 46.93 | 65.01 |
| 22. | 2022. 11. 30. | 15.44% | 5.38% | 249.36 | 17.97 | 66.94 |
| 23. | 2022. 12. 31. | -4.56% | -5.90% | 17.68 | 49.47 | 29.57 |
| 24. | 2023. 1. 31. | 13.30% | 6.18% | 186.33 | 25.39 | 68.79 |
| 25. | 2023. 2. 28. | -5.54% | -2.61% | 26.90 | 14.04 | 19.44 |
| 26. | 2023. 3. 31. | 1.99% | 3.51% | 5.49 | 5.61 | 5.55 |
| 27. | 2023. 4. 30. | 9.89% | 1.46% | 104.96 | 0.11 | 3.36 |
| 28. | 2023. 5. 31. | -4.88% | 0.25% | 20.52 | 0.79 | 4.02 |
| 29. | 2023. 6. 30. | 5.59% | 4.71% | 35.33 | 12.80 | 21.27 |
| 30. | 2023. 7. 31. | 9.63% | 4.85% | 99.60 | 13.76 | 37.02 |
| 31. | 2023. 8. 31. | 3.31% | -1.77% | 13.45 | 8.46 | -10.66 |
| 32. | 2023. 9. 30. | -5.18% | -4.87% | 23.25 | 36.10 | 28.97 |
| 33. | 2023. 10. 31. | -6.22% | -2.20% | 34.47 | 11.12 | 19.58 |
| 34. | 2023. 11. 30. | 1.45% | 8.92% | 3.26 | 60.56 | 14.06 |
| 35. | 2023. 12. 31. | 4.68% | 4.42% | 25.32 | 10.80 | 16.54 |
| 36. | 2024. 1. 31. | 6.80% | 1.59% | 51.11 | 0.21 | 3.24 |
| 37. | 2024. 2. 29. | -7.93% | 5.17% | 57.39 | 16.29 | -30.57 |
| 38. | 2024. 3. 31. | 1.17% | 3.10% | 2.31 | 3.86 | 2.99 |
| 39. | 2024. 4. 30. | -11.37% | -4.16% | 121.43 | 28.06 | 58.38 |
| 40. | 2024. 5. 31. | 5.04% | 4.80% | 29.07 | 13.44 | 19.76 |
| 41. | 2024. 6. 30. | -2.17% | 3.47% | 3.31 | 5.43 | -4.24 |
| 42. | 2024. 7. 31. | 6.18% | 1.13% | 42.68 | 0.00 | -0.03 |
| 43. | 2024. 8. 31. | -4.12% | 2.28% | 14.18 | 1.32 | -4.32 |
| 44. | 2024. 9. 30. | 5.56% | 2.02% | 34.96 | 0.78 | 5.22 |
| 45. | 2024. 10. 31. | 5.29% | -0.99% | 31.86 | 4.52 | -12.00 |
| 46. | 2024. 11. 30. | -1.10% | 5.73% | 0.56 | 21.10 | -3.43 |
| 47. | 2024. 12. 31. | -13.10% | -2.50% | 162.61 | 13.21 | 46.35 |
| 48. | 2025. 1. 31. | -9.49% | 2.70% | 83.40 | 2.45 | -14.30 |
| 49. | 2025. 2. 28. | 6.60% | -1.42% | 48.28 | 6.56 | -17.79 |
| 50. | 2025. 3. 31. | 2.84% | -5.75% | 10.21 | 47.48 | -22.02 |
| 51. | 2025. 4. 30. | -6.42% | -0.76% | 36.84 | 3.60 | 11.52 |
| 52. | 2025. 5. 31. | 1.08% | 6.15% | 2.06 | 25.16 | 7.20 |
| 53. | 2025. 6. 30. | 3.24% | 4.96% | 12.91 | 14.63 | 13.74 |
| 54. | 2025. 7. 31. | -5.97% | 2.17% | 31.53 | 1.06 | -5.79 |
| 55. | 2025. 8. 31. | 2.23% | 1.91% | 6.66 | 0.59 | 1.99 |
| 56. | 2025. 9. 30. | -7.51% | 3.53% | 51.17 | 5.74 | -17.14 |
| 57. | 2025. 10. 31. | -10.34% | 2.27% | 99.81 | 1.28 | -11.31 |
| 58. | 2025. 11. 30. | -4.13% | 0.13% | 14.27 | 1.01 | 3.80 |
| 59. | 2025. 12. 31. | 11.99% | -0.05% | 152.34 | 1.41 | -14.67 |
| 합계 (Σ): | 3,125.80 | 1,108.23 | 907.39 | |||
모두 보기
분산CMCSA = Σ(RCMCSA,t–RCMCSA)2 ÷ (59 – 1)
= 3,125.80 ÷ (59 – 1)
= 53.89
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산CMCSA, S&P 500 = Σ(RCMCSA,t–RCMCSA)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 907.39 ÷ (59 – 1)
= 15.64
체계적인 위험 추정 (β)
| 분산CMCSA | 53.89 |
| 분산S&P 500 | 19.11 |
| 공분산CMCSA, S&P 500 | 15.64 |
| 상관 계수CMCSA, S&P 5001 | 0.49 |
| βCMCSA2 | 0.82 |
| αCMCSA3 | -1.28% |
계산
1 상관 계수CMCSA, S&P 500
= 공분산CMCSA, S&P 500 ÷ (표준 편차CMCSA × 표준 편차S&P 500)
= 15.64 ÷ (7.34% × 4.37%)
= 0.49
2 βCMCSA
= 공분산CMCSA, S&P 500 ÷ 분산S&P 500
= 15.64 ÷ 19.11
= 0.82
3 αCMCSA
= 평균의CMCSA – βCMCSA × 평균의S&P 500
= -0.35% – 0.82 × 1.14%
= -1.28%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Comcast | βCMCSA | 0.82 |
| Comcast 보통주에 대한 예상 수익률3 | E(RCMCSA) | 15.11% |
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(RCMCSA) = RF + βCMCSA [E(RM) – RF]
= 4.94% + 0.82 [17.36% – 4.94%]
= 15.11%