자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Etsy의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
Etsy Inc., 월별 수익률
| Etsy Inc. (ETSY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ETSY,t1 | 피제수ETSY,t1 | RETSY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $12.61 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $12.12 | -3.89% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $10.63 | -12.29% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $10.76 | 1.22% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | $274.58 | 9.53% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $218.94 | -20.26% | 4,766.18 | 4.36% | |
| 평균의 (R): | 6.32% | 1.36% | ||||
| 표준 편차: | 17.36% | 4.48% | ||||
| Etsy Inc. (ETSY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ETSY,t1 | 피제수ETSY,t1 | RETSY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $12.61 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $12.12 | -3.89% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $10.63 | -12.29% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $10.76 | 1.22% | 2,384.20 | 0.91% | |
| 4. | 2017. 5. 31. | $13.41 | 24.63% | 2,411.80 | 1.16% | |
| 5. | 2017. 6. 30. | $15.00 | 11.86% | 2,423.41 | 0.48% | |
| 6. | 2017. 7. 31. | $14.37 | -4.20% | 2,470.30 | 1.93% | |
| 7. | 2017. 8. 31. | $16.37 | 13.92% | 2,471.65 | 0.05% | |
| 8. | 2017. 9. 30. | $16.88 | 3.12% | 2,519.36 | 1.93% | |
| 9. | 2017. 10. 31. | $16.70 | -1.07% | 2,575.26 | 2.22% | |
| 10. | 2017. 11. 30. | $16.46 | -1.44% | 2,647.58 | 2.81% | |
| 11. | 2017. 12. 31. | $20.45 | 24.24% | 2,673.61 | 0.98% | |
| 12. | 2018. 1. 31. | $18.76 | -8.26% | 2,823.81 | 5.62% | |
| 13. | 2018. 2. 28. | $25.31 | 34.91% | 2,713.83 | -3.89% | |
| 14. | 2018. 3. 31. | $28.06 | 10.87% | 2,640.87 | -2.69% | |
| 15. | 2018. 4. 30. | $29.94 | 6.70% | 2,648.05 | 0.27% | |
| 16. | 2018. 5. 31. | $32.34 | 8.02% | 2,705.27 | 2.16% | |
| 17. | 2018. 6. 30. | $42.19 | 30.46% | 2,718.37 | 0.48% | |
| 18. | 2018. 7. 31. | $40.86 | -3.15% | 2,816.29 | 3.60% | |
| 19. | 2018. 8. 31. | $48.69 | 19.16% | 2,901.52 | 3.03% | |
| 20. | 2018. 9. 30. | $51.38 | 5.52% | 2,913.98 | 0.43% | |
| 21. | 2018. 10. 31. | $42.52 | -17.24% | 2,711.74 | -6.94% | |
| 22. | 2018. 11. 30. | $54.04 | 27.09% | 2,760.17 | 1.79% | |
| 23. | 2018. 12. 31. | $47.57 | -11.97% | 2,506.85 | -9.18% | |
| 24. | 2019. 1. 31. | $54.65 | 14.88% | 2,704.10 | 7.87% | |
| 25. | 2019. 2. 28. | $71.27 | 30.41% | 2,784.49 | 2.97% | |
| 26. | 2019. 3. 31. | $67.22 | -5.68% | 2,834.40 | 1.79% | |
| 27. | 2019. 4. 30. | $67.54 | 0.48% | 2,945.83 | 3.93% | |
| 28. | 2019. 5. 31. | $62.31 | -7.74% | 2,752.06 | -6.58% | |
| 29. | 2019. 6. 30. | $61.37 | -1.51% | 2,941.76 | 6.89% | |
| 30. | 2019. 7. 31. | $67.02 | 9.21% | 2,980.38 | 1.31% | |
| 31. | 2019. 8. 31. | $52.79 | -21.23% | 2,926.46 | -1.81% | |
| 32. | 2019. 9. 30. | $56.50 | 7.03% | 2,976.74 | 1.72% | |
| 33. | 2019. 10. 31. | $44.49 | -21.26% | 3,037.56 | 2.04% | |
| 34. | 2019. 11. 30. | $43.39 | -2.47% | 3,140.98 | 3.40% | |
| 35. | 2019. 12. 31. | $44.30 | 2.10% | 3,230.78 | 2.86% | |
| 36. | 2020. 1. 31. | $48.81 | 10.18% | 3,225.52 | -0.16% | |
| 37. | 2020. 2. 29. | $57.81 | 18.44% | 2,954.22 | -8.41% | |
| 38. | 2020. 3. 31. | $38.44 | -33.51% | 2,584.59 | -12.51% | |
| 39. | 2020. 4. 30. | $64.87 | 68.76% | 2,912.43 | 12.68% | |
| 40. | 2020. 5. 31. | $80.98 | 24.83% | 3,044.31 | 4.53% | |
| 41. | 2020. 6. 30. | $106.23 | 31.18% | 3,100.29 | 1.84% | |
| 42. | 2020. 7. 31. | $118.38 | 11.44% | 3,271.12 | 5.51% | |
| 43. | 2020. 8. 31. | $119.70 | 1.12% | 3,500.31 | 7.01% | |
| 44. | 2020. 9. 30. | $121.63 | 1.61% | 3,363.00 | -3.92% | |
| 45. | 2020. 10. 31. | $121.59 | -0.03% | 3,269.96 | -2.77% | |
| 46. | 2020. 11. 30. | $160.70 | 32.17% | 3,621.63 | 10.75% | |
| 47. | 2020. 12. 31. | $177.91 | 10.71% | 3,756.07 | 3.71% | |
| 48. | 2021. 1. 31. | $199.09 | 11.90% | 3,714.24 | -1.11% | |
| 49. | 2021. 2. 28. | $220.27 | 10.64% | 3,811.15 | 2.61% | |
| 50. | 2021. 3. 31. | $201.67 | -8.44% | 3,972.89 | 4.24% | |
| 51. | 2021. 4. 30. | $198.79 | -1.43% | 4,181.17 | 5.24% | |
| 52. | 2021. 5. 31. | $164.73 | -17.13% | 4,204.11 | 0.55% | |
| 53. | 2021. 6. 30. | $205.84 | 24.96% | 4,297.50 | 2.22% | |
| 54. | 2021. 7. 31. | $183.51 | -10.85% | 4,395.26 | 2.27% | |
| 55. | 2021. 8. 31. | $216.26 | 17.85% | 4,522.68 | 2.90% | |
| 56. | 2021. 9. 30. | $207.96 | -3.84% | 4,307.54 | -4.76% | |
| 57. | 2021. 10. 31. | $250.69 | 20.55% | 4,605.38 | 6.91% | |
| 58. | 2021. 11. 30. | $274.58 | 9.53% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $218.94 | -20.26% | 4,766.18 | 4.36% | |
| 평균의 (R): | 6.32% | 1.36% | ||||
| 표준 편차: | 17.36% | 4.48% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 ETSY의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Etsy Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RETSY,t | RS&P 500,t | (RETSY,t–RETSY)2 | (RS&P 500,t–RS&P 500)2 | (RETSY,t–RETSY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -3.89% | 3.72% | 104.12 | 5.58 | -24.10 |
| 2. | 2017. 3. 31. | -12.29% | -0.04% | 346.40 | 1.95 | 26.00 |
| 3. | 2017. 4. 30. | 1.22% | 0.91% | 25.96 | 0.20 | 2.29 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | 9.53% | -0.83% | 10.31 | 4.80 | -7.04 |
| 59. | 2021. 12. 31. | -20.26% | 4.36% | 706.59 | 9.02 | -79.84 |
| 합계 (Σ): | 17,470.51 | 1,164.17 | 1,799.92 | |||
| t | 날짜 | RETSY,t | RS&P 500,t | (RETSY,t–RETSY)2 | (RS&P 500,t–RS&P 500)2 | (RETSY,t–RETSY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -3.89% | 3.72% | 104.12 | 5.58 | -24.10 |
| 2. | 2017. 3. 31. | -12.29% | -0.04% | 346.40 | 1.95 | 26.00 |
| 3. | 2017. 4. 30. | 1.22% | 0.91% | 25.96 | 0.20 | 2.29 |
| 4. | 2017. 5. 31. | 24.63% | 1.16% | 335.26 | 0.04 | -3.67 |
| 5. | 2017. 6. 30. | 11.86% | 0.48% | 30.68 | 0.77 | -4.85 |
| 6. | 2017. 7. 31. | -4.20% | 1.93% | 110.63 | 0.33 | -6.07 |
| 7. | 2017. 8. 31. | 13.92% | 0.05% | 57.76 | 1.70 | -9.90 |
| 8. | 2017. 9. 30. | 3.12% | 1.93% | 10.26 | 0.33 | -1.83 |
| 9. | 2017. 10. 31. | -1.07% | 2.22% | 54.53 | 0.74 | -6.36 |
| 10. | 2017. 11. 30. | -1.44% | 2.81% | 60.14 | 2.10 | -11.25 |
| 11. | 2017. 12. 31. | 24.24% | 0.98% | 321.22 | 0.14 | -6.72 |
| 12. | 2018. 1. 31. | -8.26% | 5.62% | 212.64 | 18.15 | -62.12 |
| 13. | 2018. 2. 28. | 34.91% | -3.89% | 817.77 | 27.59 | -150.21 |
| 14. | 2018. 3. 31. | 10.87% | -2.69% | 20.68 | 16.37 | -18.40 |
| 15. | 2018. 4. 30. | 6.70% | 0.27% | 0.15 | 1.18 | -0.41 |
| 16. | 2018. 5. 31. | 8.02% | 2.16% | 2.88 | 0.64 | 1.36 |
| 17. | 2018. 6. 30. | 30.46% | 0.48% | 582.72 | 0.76 | -21.09 |
| 18. | 2018. 7. 31. | -3.15% | 3.60% | 89.69 | 5.04 | -21.25 |
| 19. | 2018. 8. 31. | 19.16% | 3.03% | 164.99 | 2.78 | 21.43 |
| 20. | 2018. 9. 30. | 5.52% | 0.43% | 0.63 | 0.86 | 0.74 |
| 21. | 2018. 10. 31. | -17.24% | -6.94% | 555.17 | 68.86 | 195.52 |
| 22. | 2018. 11. 30. | 27.09% | 1.79% | 431.60 | 0.18 | 8.89 |
| 23. | 2018. 12. 31. | -11.97% | -9.18% | 334.55 | 111.00 | 192.70 |
| 24. | 2019. 1. 31. | 14.88% | 7.87% | 73.36 | 42.39 | 55.76 |
| 25. | 2019. 2. 28. | 30.41% | 2.97% | 580.50 | 2.61 | 38.91 |
| 26. | 2019. 3. 31. | -5.68% | 1.79% | 144.02 | 0.19 | -5.21 |
| 27. | 2019. 4. 30. | 0.48% | 3.93% | 34.13 | 6.62 | -15.03 |
| 28. | 2019. 5. 31. | -7.74% | -6.58% | 197.73 | 62.97 | 111.59 |
| 29. | 2019. 6. 30. | -1.51% | 6.89% | 61.26 | 30.64 | -43.32 |
| 30. | 2019. 7. 31. | 9.21% | 1.31% | 8.34 | 0.00 | -0.13 |
| 31. | 2019. 8. 31. | -21.23% | -1.81% | 759.03 | 10.03 | 87.25 |
| 32. | 2019. 9. 30. | 7.03% | 1.72% | 0.50 | 0.13 | 0.26 |
| 33. | 2019. 10. 31. | -21.26% | 2.04% | 760.36 | 0.47 | -18.90 |
| 34. | 2019. 11. 30. | -2.47% | 3.40% | 77.27 | 4.19 | -17.99 |
| 35. | 2019. 12. 31. | 2.10% | 2.86% | 17.82 | 2.25 | -6.34 |
| 36. | 2020. 1. 31. | 10.18% | -0.16% | 14.92 | 2.31 | -5.87 |
| 37. | 2020. 2. 29. | 18.44% | -8.41% | 146.91 | 95.43 | -118.41 |
| 38. | 2020. 3. 31. | -33.51% | -12.51% | 1,585.98 | 192.37 | 552.36 |
| 39. | 2020. 4. 30. | 68.76% | 12.68% | 3,898.56 | 128.29 | 707.21 |
| 40. | 2020. 5. 31. | 24.83% | 4.53% | 342.85 | 10.05 | 58.70 |
| 41. | 2020. 6. 30. | 31.18% | 1.84% | 618.14 | 0.23 | 11.96 |
| 42. | 2020. 7. 31. | 11.44% | 5.51% | 26.21 | 17.24 | 21.26 |
| 43. | 2020. 8. 31. | 1.12% | 7.01% | 27.07 | 31.91 | -29.39 |
| 44. | 2020. 9. 30. | 1.61% | -3.92% | 22.14 | 27.89 | 24.85 |
| 45. | 2020. 10. 31. | -0.03% | -2.77% | 40.33 | 17.01 | 26.19 |
| 46. | 2020. 11. 30. | 32.17% | 10.75% | 668.09 | 88.30 | 242.88 |
| 47. | 2020. 12. 31. | 10.71% | 3.71% | 19.28 | 5.54 | 10.34 |
| 48. | 2021. 1. 31. | 11.90% | -1.11% | 31.21 | 6.11 | -13.81 |
| 49. | 2021. 2. 28. | 10.64% | 2.61% | 18.67 | 1.57 | 5.41 |
| 50. | 2021. 3. 31. | -8.44% | 4.24% | 217.92 | 8.33 | -42.60 |
| 51. | 2021. 4. 30. | -1.43% | 5.24% | 60.00 | 15.09 | -30.09 |
| 52. | 2021. 5. 31. | -17.13% | 0.55% | 549.98 | 0.65 | 18.98 |
| 53. | 2021. 6. 30. | 24.96% | 2.22% | 347.37 | 0.75 | 16.09 |
| 54. | 2021. 7. 31. | -10.85% | 2.27% | 294.68 | 0.84 | -15.74 |
| 55. | 2021. 8. 31. | 17.85% | 2.90% | 132.90 | 2.38 | 17.77 |
| 56. | 2021. 9. 30. | -3.84% | -4.76% | 103.14 | 37.39 | 62.10 |
| 57. | 2021. 10. 31. | 20.55% | 6.91% | 202.47 | 30.87 | 79.06 |
| 58. | 2021. 11. 30. | 9.53% | -0.83% | 10.31 | 4.80 | -7.04 |
| 59. | 2021. 12. 31. | -20.26% | 4.36% | 706.59 | 9.02 | -79.84 |
| 합계 (Σ): | 17,470.51 | 1,164.17 | 1,799.92 | |||
모두 보기
분산ETSY = Σ(RETSY,t–RETSY)2 ÷ (59 – 1)
= 17,470.51 ÷ (59 – 1)
= 301.22
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
공분산ETSY, S&P 500 = Σ(RETSY,t–RETSY)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,799.92 ÷ (59 – 1)
= 31.03
체계적인 위험 추정 (β)
| 분산ETSY | 301.22 |
| 분산S&P 500 | 20.07 |
| 공분산ETSY, S&P 500 | 31.03 |
| 상관 계수ETSY, S&P 5001 | 0.40 |
| βETSY2 | 1.55 |
| αETSY3 | 4.22% |
계산
1 상관 계수ETSY, S&P 500
= 공분산ETSY, S&P 500 ÷ (표준 편차ETSY × 표준 편차S&P 500)
= 31.03 ÷ (17.36% × 4.48%)
= 0.40
2 βETSY
= 공분산ETSY, S&P 500 ÷ 분산S&P 500
= 31.03 ÷ 20.07
= 1.55
3 αETSY
= 평균의ETSY – βETSY × 평균의S&P 500
= 6.32% – 1.55 × 1.36%
= 4.22%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.76% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.73% |
| 보통주의 체계적 위험Etsy | βETSY | 1.55 |
| Etsy 보통주의 예상 수익률3 | E(RETSY) | 20.17% |
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(RETSY) = RF + βETSY [E(RM) – RF]
= 4.76% + 1.55 [14.73% – 4.76%]
= 20.17%