자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Expedia Group보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Expedia Group Inc., 월별 수익률
| Expedia Group Inc. (EXPE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EXPE,t1 | 피제수EXPE,t1 | REXPE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $121.59 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $119.04 | -2.10% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $126.17 | $0.28 | 6.22% | 2,362.72 | -0.04% |
| 3. | 2017. 4. 30. | $133.72 | 5.98% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | $161.09 | -2.02% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $180.72 | 12.19% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.45% | 1.36% | ||||
| 표준 편차: | 11.68% | 4.48% | ||||
| Expedia Group Inc. (EXPE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EXPE,t1 | 피제수EXPE,t1 | REXPE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $121.59 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $119.04 | -2.10% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $126.17 | $0.28 | 6.22% | 2,362.72 | -0.04% |
| 3. | 2017. 4. 30. | $133.72 | 5.98% | 2,384.20 | 0.91% | |
| 4. | 2017. 5. 31. | $143.78 | $0.28 | 7.73% | 2,411.80 | 1.16% |
| 5. | 2017. 6. 30. | $148.95 | 3.60% | 2,423.41 | 0.48% | |
| 6. | 2017. 7. 31. | $156.47 | 5.05% | 2,470.30 | 1.93% | |
| 7. | 2017. 8. 31. | $148.36 | $0.30 | -4.99% | 2,471.65 | 0.05% |
| 8. | 2017. 9. 30. | $143.94 | -2.98% | 2,519.36 | 1.93% | |
| 9. | 2017. 10. 31. | $124.66 | -13.39% | 2,575.26 | 2.22% | |
| 10. | 2017. 11. 30. | $122.50 | $0.30 | -1.49% | 2,647.58 | 2.81% |
| 11. | 2017. 12. 31. | $119.77 | -2.23% | 2,673.61 | 0.98% | |
| 12. | 2018. 1. 31. | $128.01 | 6.88% | 2,823.81 | 5.62% | |
| 13. | 2018. 2. 28. | $105.17 | -17.84% | 2,713.83 | -3.89% | |
| 14. | 2018. 3. 31. | $110.41 | $0.30 | 5.27% | 2,640.87 | -2.69% |
| 15. | 2018. 4. 30. | $115.14 | 4.28% | 2,648.05 | 0.27% | |
| 16. | 2018. 5. 31. | $121.03 | $0.30 | 5.38% | 2,705.27 | 2.16% |
| 17. | 2018. 6. 30. | $120.19 | -0.69% | 2,718.37 | 0.48% | |
| 18. | 2018. 7. 31. | $133.84 | 11.36% | 2,816.29 | 3.60% | |
| 19. | 2018. 8. 31. | $130.50 | $0.32 | -2.26% | 2,901.52 | 3.03% |
| 20. | 2018. 9. 30. | $130.48 | -0.02% | 2,913.98 | 0.43% | |
| 21. | 2018. 10. 31. | $125.43 | -3.87% | 2,711.74 | -6.94% | |
| 22. | 2018. 11. 30. | $120.79 | $0.32 | -3.44% | 2,760.17 | 1.79% |
| 23. | 2018. 12. 31. | $112.65 | -6.74% | 2,506.85 | -9.18% | |
| 24. | 2019. 1. 31. | $119.25 | 5.86% | 2,704.10 | 7.87% | |
| 25. | 2019. 2. 28. | $123.31 | 3.40% | 2,784.49 | 2.97% | |
| 26. | 2019. 3. 31. | $119.00 | $0.32 | -3.24% | 2,834.40 | 1.79% |
| 27. | 2019. 4. 30. | $129.84 | 9.11% | 2,945.83 | 3.93% | |
| 28. | 2019. 5. 31. | $115.00 | $0.32 | -11.18% | 2,752.06 | -6.58% |
| 29. | 2019. 6. 30. | $133.03 | 15.68% | 2,941.76 | 6.89% | |
| 30. | 2019. 7. 31. | $132.74 | -0.22% | 2,980.38 | 1.31% | |
| 31. | 2019. 8. 31. | $130.10 | $0.34 | -1.73% | 2,926.46 | -1.81% |
| 32. | 2019. 9. 30. | $134.41 | 3.31% | 2,976.74 | 1.72% | |
| 33. | 2019. 10. 31. | $136.66 | 1.67% | 3,037.56 | 2.04% | |
| 34. | 2019. 11. 30. | $101.66 | $0.34 | -25.36% | 3,140.98 | 3.40% |
| 35. | 2019. 12. 31. | $108.14 | 6.37% | 3,230.78 | 2.86% | |
| 36. | 2020. 1. 31. | $108.45 | 0.29% | 3,225.52 | -0.16% | |
| 37. | 2020. 2. 29. | $98.62 | -9.06% | 2,954.22 | -8.41% | |
| 38. | 2020. 3. 31. | $56.27 | $0.34 | -42.60% | 2,584.59 | -12.51% |
| 39. | 2020. 4. 30. | $70.98 | 26.14% | 2,912.43 | 12.68% | |
| 40. | 2020. 5. 31. | $79.48 | 11.98% | 3,044.31 | 4.53% | |
| 41. | 2020. 6. 30. | $82.20 | 3.42% | 3,100.29 | 1.84% | |
| 42. | 2020. 7. 31. | $81.01 | -1.45% | 3,271.12 | 5.51% | |
| 43. | 2020. 8. 31. | $98.15 | 21.16% | 3,500.31 | 7.01% | |
| 44. | 2020. 9. 30. | $91.69 | -6.58% | 3,363.00 | -3.92% | |
| 45. | 2020. 10. 31. | $94.15 | 2.68% | 3,269.96 | -2.77% | |
| 46. | 2020. 11. 30. | $124.49 | 32.23% | 3,621.63 | 10.75% | |
| 47. | 2020. 12. 31. | $132.40 | 6.35% | 3,756.07 | 3.71% | |
| 48. | 2021. 1. 31. | $124.10 | -6.27% | 3,714.24 | -1.11% | |
| 49. | 2021. 2. 28. | $161.00 | 29.73% | 3,811.15 | 2.61% | |
| 50. | 2021. 3. 31. | $172.12 | 6.91% | 3,972.89 | 4.24% | |
| 51. | 2021. 4. 30. | $176.23 | 2.39% | 4,181.17 | 5.24% | |
| 52. | 2021. 5. 31. | $176.95 | 0.41% | 4,204.11 | 0.55% | |
| 53. | 2021. 6. 30. | $163.71 | -7.48% | 4,297.50 | 2.22% | |
| 54. | 2021. 7. 31. | $160.87 | -1.73% | 4,395.26 | 2.27% | |
| 55. | 2021. 8. 31. | $144.50 | -10.18% | 4,522.68 | 2.90% | |
| 56. | 2021. 9. 30. | $163.90 | 13.43% | 4,307.54 | -4.76% | |
| 57. | 2021. 10. 31. | $164.41 | 0.31% | 4,605.38 | 6.91% | |
| 58. | 2021. 11. 30. | $161.09 | -2.02% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $180.72 | 12.19% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.45% | 1.36% | ||||
| 표준 편차: | 11.68% | 4.48% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 EXPE의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Expedia Group Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | REXPE,t | RS&P 500,t | (REXPE,t–REXPE)2 | (RS&P 500,t–RS&P 500)2 | (REXPE,t–REXPE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -2.10% | 3.72% | 12.59 | 5.58 | -8.38 |
| 2. | 2017. 3. 31. | 6.22% | -0.04% | 22.79 | 1.95 | -6.67 |
| 3. | 2017. 4. 30. | 5.98% | 0.91% | 20.55 | 0.20 | -2.03 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | -2.02% | -0.83% | 12.04 | 4.80 | 7.60 |
| 59. | 2021. 12. 31. | 12.19% | 4.36% | 115.23 | 9.02 | 32.24 |
| 합계 (Σ): | 7,918.62 | 1,164.17 | 1,893.98 | |||
| t | 날짜 | REXPE,t | RS&P 500,t | (REXPE,t–REXPE)2 | (RS&P 500,t–RS&P 500)2 | (REXPE,t–REXPE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -2.10% | 3.72% | 12.59 | 5.58 | -8.38 |
| 2. | 2017. 3. 31. | 6.22% | -0.04% | 22.79 | 1.95 | -6.67 |
| 3. | 2017. 4. 30. | 5.98% | 0.91% | 20.55 | 0.20 | -2.03 |
| 4. | 2017. 5. 31. | 7.73% | 1.16% | 39.46 | 0.04 | -1.26 |
| 5. | 2017. 6. 30. | 3.60% | 0.48% | 4.60 | 0.77 | -1.88 |
| 6. | 2017. 7. 31. | 5.05% | 1.93% | 12.94 | 0.33 | 2.08 |
| 7. | 2017. 8. 31. | -4.99% | 0.05% | 41.51 | 1.70 | 8.40 |
| 8. | 2017. 9. 30. | -2.98% | 1.93% | 19.63 | 0.33 | -2.54 |
| 9. | 2017. 10. 31. | -13.39% | 2.22% | 220.39 | 0.74 | -12.78 |
| 10. | 2017. 11. 30. | -1.49% | 2.81% | 8.66 | 2.10 | -4.27 |
| 11. | 2017. 12. 31. | -2.23% | 0.98% | 13.54 | 0.14 | 1.38 |
| 12. | 2018. 1. 31. | 6.88% | 5.62% | 29.47 | 18.15 | 23.13 |
| 13. | 2018. 2. 28. | -17.84% | -3.89% | 372.24 | 27.59 | 101.34 |
| 14. | 2018. 3. 31. | 5.27% | -2.69% | 14.57 | 16.37 | -15.44 |
| 15. | 2018. 4. 30. | 4.28% | 0.27% | 8.03 | 1.18 | -3.08 |
| 16. | 2018. 5. 31. | 5.38% | 2.16% | 15.40 | 0.64 | 3.15 |
| 17. | 2018. 6. 30. | -0.69% | 0.48% | 4.60 | 0.76 | 1.87 |
| 18. | 2018. 7. 31. | 11.36% | 3.60% | 98.13 | 5.04 | 22.23 |
| 19. | 2018. 8. 31. | -2.26% | 3.03% | 13.75 | 2.78 | -6.19 |
| 20. | 2018. 9. 30. | -0.02% | 0.43% | 2.15 | 0.86 | 1.36 |
| 21. | 2018. 10. 31. | -3.87% | -6.94% | 28.32 | 68.86 | 44.16 |
| 22. | 2018. 11. 30. | -3.44% | 1.79% | 23.96 | 0.18 | -2.10 |
| 23. | 2018. 12. 31. | -6.74% | -9.18% | 67.08 | 111.00 | 86.29 |
| 24. | 2019. 1. 31. | 5.86% | 7.87% | 19.43 | 42.39 | 28.70 |
| 25. | 2019. 2. 28. | 3.40% | 2.97% | 3.82 | 2.61 | 3.15 |
| 26. | 2019. 3. 31. | -3.24% | 1.79% | 21.97 | 0.19 | -2.04 |
| 27. | 2019. 4. 30. | 9.11% | 3.93% | 58.65 | 6.62 | 19.71 |
| 28. | 2019. 5. 31. | -11.18% | -6.58% | 159.62 | 62.97 | 100.26 |
| 29. | 2019. 6. 30. | 15.68% | 6.89% | 202.41 | 30.64 | 78.75 |
| 30. | 2019. 7. 31. | -0.22% | 1.31% | 2.79 | 0.00 | 0.08 |
| 31. | 2019. 8. 31. | -1.73% | -1.81% | 10.14 | 10.03 | 10.08 |
| 32. | 2019. 9. 30. | 3.31% | 1.72% | 3.47 | 0.13 | 0.67 |
| 33. | 2019. 10. 31. | 1.67% | 2.04% | 0.05 | 0.47 | 0.15 |
| 34. | 2019. 11. 30. | -25.36% | 3.40% | 718.96 | 4.19 | -54.88 |
| 35. | 2019. 12. 31. | 6.37% | 2.86% | 24.24 | 2.25 | 7.39 |
| 36. | 2020. 1. 31. | 0.29% | -0.16% | 1.36 | 2.31 | 1.77 |
| 37. | 2020. 2. 29. | -9.06% | -8.41% | 110.57 | 95.43 | 102.72 |
| 38. | 2020. 3. 31. | -42.60% | -12.51% | 1,940.32 | 192.37 | 610.95 |
| 39. | 2020. 4. 30. | 26.14% | 12.68% | 609.63 | 128.29 | 279.66 |
| 40. | 2020. 5. 31. | 11.98% | 4.53% | 110.76 | 10.05 | 33.36 |
| 41. | 2020. 6. 30. | 3.42% | 1.84% | 3.89 | 0.23 | 0.95 |
| 42. | 2020. 7. 31. | -1.45% | 5.51% | 8.40 | 17.24 | -12.04 |
| 43. | 2020. 8. 31. | 21.16% | 7.01% | 388.35 | 31.91 | 111.31 |
| 44. | 2020. 9. 30. | -6.58% | -3.92% | 64.53 | 27.89 | 42.42 |
| 45. | 2020. 10. 31. | 2.68% | -2.77% | 1.52 | 17.01 | -5.08 |
| 46. | 2020. 11. 30. | 32.23% | 10.75% | 947.04 | 88.30 | 289.17 |
| 47. | 2020. 12. 31. | 6.35% | 3.71% | 24.04 | 5.54 | 11.54 |
| 48. | 2021. 1. 31. | -6.27% | -1.11% | 59.60 | 6.11 | 19.08 |
| 49. | 2021. 2. 28. | 29.73% | 2.61% | 799.92 | 1.57 | 35.39 |
| 50. | 2021. 3. 31. | 6.91% | 4.24% | 29.76 | 8.33 | 15.74 |
| 51. | 2021. 4. 30. | 2.39% | 5.24% | 0.88 | 15.09 | 3.64 |
| 52. | 2021. 5. 31. | 0.41% | 0.55% | 1.09 | 0.65 | 0.84 |
| 53. | 2021. 6. 30. | -7.48% | 2.22% | 79.81 | 0.75 | -7.71 |
| 54. | 2021. 7. 31. | -1.73% | 2.27% | 10.15 | 0.84 | -2.92 |
| 55. | 2021. 8. 31. | -10.18% | 2.90% | 135.19 | 2.38 | -17.92 |
| 56. | 2021. 9. 30. | 13.43% | -4.76% | 143.39 | 37.39 | -73.22 |
| 57. | 2021. 10. 31. | 0.31% | 6.91% | 1.30 | 30.87 | -6.33 |
| 58. | 2021. 11. 30. | -2.02% | -0.83% | 12.04 | 4.80 | 7.60 |
| 59. | 2021. 12. 31. | 12.19% | 4.36% | 115.23 | 9.02 | 32.24 |
| 합계 (Σ): | 7,918.62 | 1,164.17 | 1,893.98 | |||
모두 보기
분산EXPE = Σ(REXPE,t–REXPE)2 ÷ (59 – 1)
= 7,918.62 ÷ (59 – 1)
= 136.53
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
공분산EXPE, S&P 500 = Σ(REXPE,t–REXPE)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,893.98 ÷ (59 – 1)
= 32.65
체계적인 위험 추정 (β)
| 분산EXPE | 136.53 |
| 분산S&P 500 | 20.07 |
| 공분산EXPE, S&P 500 | 32.65 |
| 상관 계수EXPE, S&P 5001 | 0.62 |
| βEXPE2 | 1.63 |
| αEXPE3 | -0.76% |
계산
1 상관 계수EXPE, S&P 500
= 공분산EXPE, S&P 500 ÷ (표준 편차EXPE × 표준 편차S&P 500)
= 32.65 ÷ (11.68% × 4.48%)
= 0.62
2 βEXPE
= 공분산EXPE, S&P 500 ÷ 분산S&P 500
= 32.65 ÷ 20.07
= 1.63
3 αEXPE
= 평균의EXPE – βEXPE × 평균의S&P 500
= 1.45% – 1.63 × 1.36%
= -0.76%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험Expedia Group | βEXPE | 1.63 |
| Expedia Group 보통주의 예상 수익률3 | E(REXPE) | 21.06% |
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(REXPE) = RF + βEXPE [E(RM) – RF]
= 4.91% + 1.63 [14.84% – 4.91%]
= 21.06%