Stock Analysis on Net
Stock Analysis on Net

Express Scripts Holding Co. (NASDAQ:ESRX)

이 회사는 아카이브로 이동되었습니다! 이 재무 데이터는 2018년 10월 31일에 업데이트되지 않았습니다.

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

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

수익률

Express Scripts Holding Co., 월별 수익률

Microsoft Excel
Express Scripts Holding Co. (ESRX) Standard & Poor’s 500 (S&P 500)
t 날짜 값ESRX,t1 피제수ESRX,t1 RESRX,t2 값S&P 500,t RS&P 500,t3
2013. 1. 31. $53.42 1,498.11
1. 2013. 2. 28. $56.93 6.57% 1,514.68 1.11%
2. 2013. 3. 31. $57.62 1.21% 1,569.19 3.60%
3. 2013. 4. 30. $59.37 3.04% 1,597.57 1.81%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2017. 11. 30. $65.18 6.35% 2,647.58 2.81%
59. 2017. 12. 31. $74.64 14.51% 2,673.61 0.98%
평균의 (R): 0.73% 1.02%
표준 편차: 5.71% 2.71%
Express Scripts Holding Co. (ESRX) Standard & Poor’s 500 (S&P 500)
t 날짜 값ESRX,t1 피제수ESRX,t1 RESRX,t2 값S&P 500,t RS&P 500,t3
2013. 1. 31. $53.42 1,498.11
1. 2013. 2. 28. $56.93 6.57% 1,514.68 1.11%
2. 2013. 3. 31. $57.62 1.21% 1,569.19 3.60%
3. 2013. 4. 30. $59.37 3.04% 1,597.57 1.81%
4. 2013. 5. 31. $62.12 4.63% 1,630.74 2.08%
5. 2013. 6. 30. $61.74 -0.61% 1,606.28 -1.50%
6. 2013. 7. 31. $65.55 6.17% 1,685.73 4.95%
7. 2013. 8. 31. $63.88 -2.55% 1,632.97 -3.13%
8. 2013. 9. 30. $61.80 -3.26% 1,681.55 2.97%
9. 2013. 10. 31. $62.52 1.17% 1,756.54 4.46%
10. 2013. 11. 30. $67.35 7.73% 1,805.81 2.80%
11. 2013. 12. 31. $70.24 4.29% 1,848.36 2.36%
12. 2014. 1. 31. $74.69 6.34% 1,782.59 -3.56%
13. 2014. 2. 28. $75.31 0.83% 1,859.45 4.31%
14. 2014. 3. 31. $75.09 -0.29% 1,872.34 0.69%
15. 2014. 4. 30. $66.58 -11.33% 1,883.95 0.62%
16. 2014. 5. 31. $71.47 7.34% 1,923.57 2.10%
17. 2014. 6. 30. $69.33 -2.99% 1,960.23 1.91%
18. 2014. 7. 31. $69.65 0.46% 1,930.67 -1.51%
19. 2014. 8. 31. $73.93 6.15% 2,003.37 3.77%
20. 2014. 9. 30. $70.63 -4.46% 1,972.29 -1.55%
21. 2014. 10. 31. $76.82 8.76% 2,018.05 2.32%
22. 2014. 11. 30. $83.15 8.24% 2,067.56 2.45%
23. 2014. 12. 31. $84.67 1.83% 2,058.90 -0.42%
24. 2015. 1. 31. $80.71 -4.68% 1,994.99 -3.10%
25. 2015. 2. 28. $84.79 5.06% 2,104.50 5.49%
26. 2015. 3. 31. $86.77 2.34% 2,067.89 -1.74%
27. 2015. 4. 30. $86.40 -0.43% 2,085.51 0.85%
28. 2015. 5. 31. $87.14 0.86% 2,107.39 1.05%
29. 2015. 6. 30. $88.94 2.07% 2,063.11 -2.10%
30. 2015. 7. 31. $90.07 1.27% 2,103.84 1.97%
31. 2015. 8. 31. $83.60 -7.18% 1,972.18 -6.26%
32. 2015. 9. 30. $80.96 -3.16% 1,920.03 -2.64%
33. 2015. 10. 31. $86.38 6.69% 2,079.36 8.30%
34. 2015. 11. 30. $85.48 -1.04% 2,080.41 0.05%
35. 2015. 12. 31. $87.41 2.26% 2,043.94 -1.75%
36. 2016. 1. 31. $71.87 -17.78% 1,940.24 -5.07%
37. 2016. 2. 29. $70.38 -2.07% 1,932.23 -0.41%
38. 2016. 3. 31. $68.69 -2.40% 2,059.74 6.60%
39. 2016. 4. 30. $73.73 7.34% 2,065.30 0.27%
40. 2016. 5. 31. $75.55 2.47% 2,096.95 1.53%
41. 2016. 6. 30. $75.80 0.33% 2,098.86 0.09%
42. 2016. 7. 31. $76.07 0.36% 2,173.60 3.56%
43. 2016. 8. 31. $72.70 -4.43% 2,170.95 -0.12%
44. 2016. 9. 30. $70.53 -2.98% 2,168.27 -0.12%
45. 2016. 10. 31. $67.40 -4.44% 2,126.15 -1.94%
46. 2016. 11. 30. $75.88 12.58% 2,198.81 3.42%
47. 2016. 12. 31. $68.79 -9.34% 2,238.83 1.82%
48. 2017. 1. 31. $68.88 0.13% 2,278.87 1.79%
49. 2017. 2. 28. $70.65 2.57% 2,363.64 3.72%
50. 2017. 3. 31. $65.91 -6.71% 2,362.72 -0.04%
51. 2017. 4. 30. $61.34 -6.93% 2,384.20 0.91%
52. 2017. 5. 31. $59.75 -2.59% 2,411.80 1.16%
53. 2017. 6. 30. $63.84 6.85% 2,423.41 0.48%
54. 2017. 7. 31. $62.64 -1.88% 2,470.30 1.93%
55. 2017. 8. 31. $62.82 0.29% 2,471.65 0.05%
56. 2017. 9. 30. $63.32 0.80% 2,519.36 1.93%
57. 2017. 10. 31. $61.29 -3.21% 2,575.26 2.22%
58. 2017. 11. 30. $65.18 6.35% 2,647.58 2.81%
59. 2017. 12. 31. $74.64 14.51% 2,673.61 0.98%
평균의 (R): 0.73% 1.02%
표준 편차: 5.71% 2.71%

모두 보기

1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.

2 기간 t 동안 ESRX의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.

분산과 공분산

Express Scripts Holding Co., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RESRX,t RS&P 500,t (RESRX,t–RESRX)2 (RS&P 500,t–RS&P 500)2 (RESRX,t–RESRX)×(RS&P 500,t–RS&P 500)
1. 2013. 2. 28. 6.57% 1.11% 34.11 0.01 0.49
2. 2013. 3. 31. 1.21% 3.60% 0.23 6.64 1.24
3. 2013. 4. 30. 3.04% 1.81% 5.32 0.62 1.81
. . . . . . .
. . . . . . .
. . . . . . .
58. 2017. 11. 30. 6.35% 2.81% 31.54 3.19 10.03
59. 2017. 12. 31. 14.51% 0.98% 189.98 0.00 -0.54
합계 (Σ): 1,888.17 424.45 388.57
t 날짜 RESRX,t RS&P 500,t (RESRX,t–RESRX)2 (RS&P 500,t–RS&P 500)2 (RESRX,t–RESRX)×(RS&P 500,t–RS&P 500)
1. 2013. 2. 28. 6.57% 1.11% 34.11 0.01 0.49
2. 2013. 3. 31. 1.21% 3.60% 0.23 6.64 1.24
3. 2013. 4. 30. 3.04% 1.81% 5.32 0.62 1.81
4. 2013. 5. 31. 4.63% 2.08% 15.22 1.11 4.11
5. 2013. 6. 30. -0.61% -1.50% 1.80 6.36 3.39
6. 2013. 7. 31. 6.17% 4.95% 29.60 15.40 21.35
7. 2013. 8. 31. -2.55% -3.13% 10.75 17.24 13.61
8. 2013. 9. 30. -3.26% 2.97% 15.89 3.81 -7.78
9. 2013. 10. 31. 1.17% 4.46% 0.19 11.81 1.49
10. 2013. 11. 30. 7.73% 2.80% 48.93 3.18 12.47
11. 2013. 12. 31. 4.29% 2.36% 12.68 1.78 4.75
12. 2014. 1. 31. 6.34% -3.56% 31.42 20.98 -25.67
13. 2014. 2. 28. 0.83% 4.31% 0.01 10.82 0.33
14. 2014. 3. 31. -0.29% 0.69% 1.05 0.11 0.34
15. 2014. 4. 30. -11.33% 0.62% 145.53 0.16 4.85
16. 2014. 5. 31. 7.34% 2.10% 43.75 1.17 7.15
17. 2014. 6. 30. -2.99% 1.91% 13.87 0.78 -3.29
18. 2014. 7. 31. 0.46% -1.51% 0.07 6.40 0.68
19. 2014. 8. 31. 6.15% 3.77% 29.32 7.53 14.85
20. 2014. 9. 30. -4.46% -1.55% 26.98 6.62 13.37
21. 2014. 10. 31. 8.76% 2.32% 64.54 1.68 10.43
22. 2014. 11. 30. 8.24% 2.45% 56.39 2.05 10.75
23. 2014. 12. 31. 1.83% -0.42% 1.20 2.08 -1.58
24. 2015. 1. 31. -4.68% -3.10% 29.24 17.03 22.31
25. 2015. 2. 28. 5.06% 5.49% 18.70 19.95 19.32
26. 2015. 3. 31. 2.34% -1.74% 2.58 7.63 -4.43
27. 2015. 4. 30. -0.43% 0.85% 1.34 0.03 0.20
28. 2015. 5. 31. 0.86% 1.05% 0.02 0.00 0.00
29. 2015. 6. 30. 2.07% -2.10% 1.78 9.76 -4.17
30. 2015. 7. 31. 1.27% 1.97% 0.29 0.91 0.51
31. 2015. 8. 31. -7.18% -6.26% 62.63 53.00 57.62
32. 2015. 9. 30. -3.16% -2.64% 15.12 13.44 14.26
33. 2015. 10. 31. 6.69% 8.30% 35.57 52.94 43.40
34. 2015. 11. 30. -1.04% 0.05% 3.14 0.94 1.72
35. 2015. 12. 31. 2.26% -1.75% 2.33 7.70 -4.24
36. 2016. 1. 31. -17.78% -5.07% 342.57 37.16 112.83
37. 2016. 2. 29. -2.07% -0.41% 7.86 2.06 4.02
38. 2016. 3. 31. -2.40% 6.60% 9.81 31.10 -17.46
39. 2016. 4. 30. 7.34% 0.27% 43.65 0.57 -4.97
40. 2016. 5. 31. 2.47% 1.53% 3.02 0.26 0.89
41. 2016. 6. 30. 0.33% 0.09% 0.16 0.87 0.37
42. 2016. 7. 31. 0.36% 3.56% 0.14 6.44 -0.95
43. 2016. 8. 31. -4.43% -0.12% 26.63 1.31 5.90
44. 2016. 9. 30. -2.98% -0.12% 13.80 1.31 4.26
45. 2016. 10. 31. -4.44% -1.94% 26.71 8.79 15.32
46. 2016. 11. 30. 12.58% 3.42% 140.45 5.74 28.39
47. 2016. 12. 31. -9.34% 1.82% 101.49 0.64 -8.04
48. 2017. 1. 31. 0.13% 1.79% 0.36 0.59 -0.46
49. 2017. 2. 28. 2.57% 3.72% 3.38 7.28 4.96
50. 2017. 3. 31. -6.71% -0.04% 55.35 1.13 7.90
51. 2017. 4. 30. -6.93% 0.91% 58.74 0.01 0.87
52. 2017. 5. 31. -2.59% 1.16% 11.04 0.02 -0.45
53. 2017. 6. 30. 6.85% 0.48% 37.39 0.29 -3.31
54. 2017. 7. 31. -1.88% 1.93% 6.81 0.83 -2.38
55. 2017. 8. 31. 0.29% 0.05% 0.20 0.94 0.43
56. 2017. 9. 30. 0.80% 1.93% 0.00 0.82 0.06
57. 2017. 10. 31. -3.21% 2.22% 15.50 1.43 -4.71
58. 2017. 11. 30. 6.35% 2.81% 31.54 3.19 10.03
59. 2017. 12. 31. 14.51% 0.98% 189.98 0.00 -0.54
합계 (Σ): 1,888.17 424.45 388.57

모두 보기

분산ESRX = Σ(RESRX,t–RESRX)2 ÷ (59 – 1)
= 1,888.17 ÷ (59 – 1)
= 32.55

분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 424.45 ÷ (59 – 1)
= 7.32

공분산ESRX, S&P 500 = Σ(RESRX,t–RESRX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 388.57 ÷ (59 – 1)
= 6.70

체계적인 위험 추정 (β)

Microsoft Excel
분산ESRX 32.55
분산S&P 500 7.32
공분산ESRX, S&P 500 6.70
상관 계수ESRX, S&P 5001 0.43
βESRX2 0.92
αESRX3 -0.21%

계산

1 상관 계수ESRX, S&P 500
= 공분산ESRX, S&P 500 ÷ (표준 편차ESRX × 표준 편차S&P 500)
= 6.70 ÷ (5.71% × 2.71%)
= 0.43

2 βESRX
= 공분산ESRX, S&P 500 ÷ 분산S&P 500
= 6.70 ÷ 7.32
= 0.92

3 αESRX
= 평균의ESRX – βESRX × 평균의S&P 500
= 0.73% – 0.92 × 1.02%
= -0.21%

기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.67%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.79%
보통주의 체계적 위험Express Scripts βESRX 0.92
 
Express Scripts 보통주에 대한 기대 수익률3 E(RESRX) 13.02%

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(RESRX) = RF + βESRX [E(RM) – RF]
= 4.67% + 0.92 [13.79% – 4.67%]
= 13.02%