자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 First Solar의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
First Solar Inc., 월별 수익률
| First Solar Inc. (FSLR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FSLR,t1 | 피제수FSLR,t1 | RFSLR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $50.59 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $52.55 | 3.87% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $52.84 | 0.55% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $61.53 | 16.45% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $157.78 | 10.76% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $172.28 | 9.19% | 4,769.83 | 4.42% | |
| 평균의 (R): | 3.07% | 1.11% | ||||
| 표준 편차: | 14.51% | 5.31% | ||||
| First Solar Inc. (FSLR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값FSLR,t1 | 피제수FSLR,t1 | RFSLR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $50.59 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $52.55 | 3.87% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $52.84 | 0.55% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $61.53 | 16.45% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $58.04 | -5.67% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $65.68 | 13.16% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $64.49 | -1.81% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $62.07 | -3.75% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $58.01 | -6.54% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $51.79 | -10.72% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $55.24 | 6.66% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $55.96 | 1.30% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $49.58 | -11.40% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $45.77 | -7.68% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $36.06 | -21.21% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $44.01 | 22.05% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $46.62 | 5.93% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $49.50 | 6.18% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $59.55 | 20.30% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $76.59 | 28.61% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $66.20 | -13.57% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $87.05 | 31.50% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $93.43 | 7.33% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $98.92 | 5.88% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $99.15 | 0.23% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $81.02 | -18.29% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $87.30 | 7.75% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $76.53 | -12.34% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $76.11 | -0.55% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $90.51 | 18.92% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $86.04 | -4.94% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $94.00 | 9.25% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $95.46 | 1.55% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $119.59 | 25.28% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $103.60 | -13.37% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $87.16 | -15.87% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $78.38 | -10.07% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $75.29 | -3.94% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $83.74 | 11.22% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $73.03 | -12.79% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $70.61 | -3.31% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $68.13 | -3.51% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $99.17 | 45.56% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $127.55 | 28.62% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $132.27 | 3.70% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $145.57 | 10.06% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $172.53 | 18.52% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $149.79 | -13.18% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $177.60 | 18.57% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $169.14 | -4.76% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $217.50 | 28.59% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $182.58 | -16.06% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $202.96 | 11.16% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $190.09 | -6.34% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $207.40 | 9.11% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $189.12 | -8.81% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $161.59 | -14.56% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $142.45 | -11.84% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $157.78 | 10.76% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $172.28 | 9.19% | 4,769.83 | 4.42% | |
| 평균의 (R): | 3.07% | 1.11% | ||||
| 표준 편차: | 14.51% | 5.31% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 FSLR의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
First Solar Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RFSLR,t | RS&P 500,t | (RFSLR,t–RFSLR)2 | (RS&P 500,t–RS&P 500)2 | (RFSLR,t–RFSLR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 3.87% | 2.97% | 0.65 | 3.49 | 1.51 |
| 2. | 2019. 3. 31. | 0.55% | 1.79% | 6.32 | 0.47 | -1.73 |
| 3. | 2019. 4. 30. | 16.45% | 3.93% | 179.01 | 7.98 | 37.80 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 10.76% | 8.92% | 59.22 | 61.03 | 60.12 |
| 59. | 2023. 12. 31. | 9.19% | 4.42% | 37.50 | 11.00 | 20.31 |
| 합계 (Σ): | 12,214.91 | 1,634.30 | 2,352.69 | |||
| t | 날짜 | RFSLR,t | RS&P 500,t | (RFSLR,t–RFSLR)2 | (RS&P 500,t–RS&P 500)2 | (RFSLR,t–RFSLR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 3.87% | 2.97% | 0.65 | 3.49 | 1.51 |
| 2. | 2019. 3. 31. | 0.55% | 1.79% | 6.32 | 0.47 | -1.73 |
| 3. | 2019. 4. 30. | 16.45% | 3.93% | 179.01 | 7.98 | 37.80 |
| 4. | 2019. 5. 31. | -5.67% | -6.58% | 76.36 | 59.04 | 67.14 |
| 5. | 2019. 6. 30. | 13.16% | 6.89% | 101.95 | 33.49 | 58.43 |
| 6. | 2019. 7. 31. | -1.81% | 1.31% | 23.80 | 0.04 | -1.01 |
| 7. | 2019. 8. 31. | -3.75% | -1.81% | 46.50 | 8.50 | 19.88 |
| 8. | 2019. 9. 30. | -6.54% | 1.72% | 92.30 | 0.37 | -5.88 |
| 9. | 2019. 10. 31. | -10.72% | 2.04% | 190.13 | 0.88 | -12.92 |
| 10. | 2019. 11. 30. | 6.66% | 3.40% | 12.93 | 5.28 | 8.26 |
| 11. | 2019. 12. 31. | 1.30% | 2.86% | 3.11 | 3.07 | -3.09 |
| 12. | 2020. 1. 31. | -11.40% | -0.16% | 209.30 | 1.61 | 18.35 |
| 13. | 2020. 2. 29. | -7.68% | -8.41% | 115.58 | 90.57 | 102.31 |
| 14. | 2020. 3. 31. | -21.21% | -12.51% | 589.57 | 185.44 | 330.65 |
| 15. | 2020. 4. 30. | 22.05% | 12.68% | 360.25 | 134.06 | 219.76 |
| 16. | 2020. 5. 31. | 5.93% | 4.53% | 8.20 | 11.71 | 9.80 |
| 17. | 2020. 6. 30. | 6.18% | 1.84% | 9.68 | 0.54 | 2.28 |
| 18. | 2020. 7. 31. | 20.30% | 5.51% | 297.10 | 19.40 | 75.92 |
| 19. | 2020. 8. 31. | 28.61% | 7.01% | 652.72 | 34.82 | 150.75 |
| 20. | 2020. 9. 30. | -13.57% | -3.92% | 276.62 | 25.29 | 83.64 |
| 21. | 2020. 10. 31. | 31.50% | -2.77% | 808.22 | 15.00 | -110.09 |
| 22. | 2020. 11. 30. | 7.33% | 10.75% | 18.17 | 93.10 | 41.13 |
| 23. | 2020. 12. 31. | 5.88% | 3.71% | 7.89 | 6.79 | 7.32 |
| 24. | 2021. 1. 31. | 0.23% | -1.11% | 8.03 | 4.93 | 6.29 |
| 25. | 2021. 2. 28. | -18.29% | 2.61% | 455.90 | 2.26 | -32.10 |
| 26. | 2021. 3. 31. | 7.75% | 4.24% | 21.95 | 9.85 | 14.70 |
| 27. | 2021. 4. 30. | -12.34% | 5.24% | 237.25 | 17.11 | -63.72 |
| 28. | 2021. 5. 31. | -0.55% | 0.55% | 13.07 | 0.31 | 2.01 |
| 29. | 2021. 6. 30. | 18.92% | 2.22% | 251.34 | 1.24 | 17.69 |
| 30. | 2021. 7. 31. | -4.94% | 2.27% | 64.08 | 1.37 | -9.36 |
| 31. | 2021. 8. 31. | 9.25% | 2.90% | 38.26 | 3.22 | 11.09 |
| 32. | 2021. 9. 30. | 1.55% | -4.76% | 2.29 | 34.37 | 8.87 |
| 33. | 2021. 10. 31. | 25.28% | 6.91% | 493.34 | 33.74 | 129.02 |
| 34. | 2021. 11. 30. | -13.37% | -0.83% | 270.17 | 3.76 | 31.87 |
| 35. | 2021. 12. 31. | -15.87% | 4.36% | 358.54 | 10.60 | -61.64 |
| 36. | 2022. 1. 31. | -10.07% | -5.26% | 172.65 | 40.51 | 83.63 |
| 37. | 2022. 2. 28. | -3.94% | -3.14% | 49.12 | 17.99 | 29.73 |
| 38. | 2022. 3. 31. | 11.22% | 3.58% | 66.54 | 6.11 | 20.16 |
| 39. | 2022. 4. 30. | -12.79% | -8.80% | 251.41 | 98.04 | 157.00 |
| 40. | 2022. 5. 31. | -3.31% | 0.01% | 40.70 | 1.21 | 7.02 |
| 41. | 2022. 6. 30. | -3.51% | -8.39% | 43.28 | 90.21 | 62.48 |
| 42. | 2022. 7. 31. | 45.56% | 9.11% | 1,805.71 | 64.09 | 340.20 |
| 43. | 2022. 8. 31. | 28.62% | -4.24% | 652.86 | 28.62 | -136.70 |
| 44. | 2022. 9. 30. | 3.70% | -9.34% | 0.40 | 109.11 | -6.62 |
| 45. | 2022. 10. 31. | 10.06% | 7.99% | 48.84 | 47.34 | 48.09 |
| 46. | 2022. 11. 30. | 18.52% | 5.38% | 238.83 | 18.23 | 65.98 |
| 47. | 2022. 12. 31. | -13.18% | -5.90% | 263.95 | 49.04 | 113.77 |
| 48. | 2023. 1. 31. | 18.57% | 6.18% | 240.24 | 25.70 | 78.57 |
| 49. | 2023. 2. 28. | -4.76% | -2.61% | 61.31 | 13.82 | 29.10 |
| 50. | 2023. 3. 31. | 28.59% | 3.51% | 651.55 | 5.76 | 61.24 |
| 51. | 2023. 4. 30. | -16.06% | 1.46% | 365.63 | 0.13 | -6.85 |
| 52. | 2023. 5. 31. | 11.16% | 0.25% | 65.54 | 0.74 | -6.94 |
| 53. | 2023. 6. 30. | -6.34% | 4.71% | 88.50 | 13.02 | -33.94 |
| 54. | 2023. 7. 31. | 9.11% | 4.85% | 36.48 | 13.99 | 22.59 |
| 55. | 2023. 8. 31. | -8.81% | -1.77% | 141.14 | 8.28 | 34.19 |
| 56. | 2023. 9. 30. | -14.56% | -4.87% | 310.58 | 35.73 | 105.35 |
| 57. | 2023. 10. 31. | -11.84% | -2.20% | 222.34 | 10.92 | 49.26 |
| 58. | 2023. 11. 30. | 10.76% | 8.92% | 59.22 | 61.03 | 60.12 |
| 59. | 2023. 12. 31. | 9.19% | 4.42% | 37.50 | 11.00 | 20.31 |
| 합계 (Σ): | 12,214.91 | 1,634.30 | 2,352.69 | |||
모두 보기
분산FSLR = Σ(RFSLR,t–RFSLR)2 ÷ (59 – 1)
= 12,214.91 ÷ (59 – 1)
= 210.60
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산FSLR, S&P 500 = Σ(RFSLR,t–RFSLR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,352.69 ÷ (59 – 1)
= 40.56
체계적인 위험 추정 (β)
| 분산FSLR | 210.60 |
| 분산S&P 500 | 28.18 |
| 공분산FSLR, S&P 500 | 40.56 |
| 상관 계수FSLR, S&P 5001 | 0.53 |
| βFSLR2 | 1.44 |
| αFSLR3 | 1.47% |
계산
1 상관 계수FSLR, S&P 500
= 공분산FSLR, S&P 500 ÷ (표준 편차FSLR × 표준 편차S&P 500)
= 40.56 ÷ (14.51% × 5.31%)
= 0.53
2 βFSLR
= 공분산FSLR, S&P 500 ÷ 분산S&P 500
= 40.56 ÷ 28.18
= 1.44
3 αFSLR
= 평균의FSLR – βFSLR × 평균의S&P 500
= 3.07% – 1.44 × 1.11%
= 1.47%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험First Solar | βFSLR | 1.44 |
| First Solar 보통주에 대한 예상 수익률3 | E(RFSLR) | 19.20% |
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(RFSLR) = RF + βFSLR [E(RM) – RF]
= 4.91% + 1.44 [14.84% – 4.91%]
= 19.20%