자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Gilead보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Gilead Sciences Inc., 월별 수익률
| Gilead Sciences Inc. (GILD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GILD,t1 | 피제수GILD,t1 | RGILD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $70.01 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $65.02 | -7.13% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $65.01 | $0.63 | 0.95% | 2,834.40 | 1.79% |
| 3. | 2019. 4. 30. | $65.04 | 0.05% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $76.60 | -2.47% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $81.01 | $0.75 | 6.74% | 4,769.83 | 4.42% |
| 평균의 (R): | 0.80% | 1.11% | ||||
| 표준 편차: | 6.72% | 5.31% | ||||
| Gilead Sciences Inc. (GILD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GILD,t1 | 피제수GILD,t1 | RGILD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $70.01 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $65.02 | -7.13% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $65.01 | $0.63 | 0.95% | 2,834.40 | 1.79% |
| 3. | 2019. 4. 30. | $65.04 | 0.05% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $62.25 | -4.29% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $67.56 | $0.63 | 9.54% | 2,941.76 | 6.89% |
| 6. | 2019. 7. 31. | $65.52 | -3.02% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $63.54 | -3.02% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $63.38 | $0.63 | 0.74% | 2,976.74 | 1.72% |
| 9. | 2019. 10. 31. | $63.71 | 0.52% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $67.24 | 5.54% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $64.98 | $0.63 | -2.42% | 3,230.78 | 2.86% |
| 12. | 2020. 1. 31. | $63.20 | -2.74% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $69.36 | 9.75% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $74.76 | $0.68 | 8.77% | 2,584.59 | -12.51% |
| 15. | 2020. 4. 30. | $84.00 | 12.36% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $77.83 | -7.35% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $76.94 | $0.68 | -0.27% | 3,100.29 | 1.84% |
| 18. | 2020. 7. 31. | $69.53 | -9.63% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $66.75 | -4.00% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $63.19 | $0.68 | -4.31% | 3,363.00 | -3.92% |
| 21. | 2020. 10. 31. | $58.15 | -7.98% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $60.67 | 4.33% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $58.26 | $0.68 | -2.85% | 3,756.07 | 3.71% |
| 24. | 2021. 1. 31. | $65.60 | 12.60% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $61.40 | -6.40% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $64.63 | $0.71 | 6.42% | 3,972.89 | 4.24% |
| 27. | 2021. 4. 30. | $63.47 | -1.79% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $66.11 | 4.16% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $68.86 | $0.71 | 5.23% | 4,297.50 | 2.22% |
| 30. | 2021. 7. 31. | $68.29 | -0.83% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $72.78 | 6.57% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $69.85 | $0.71 | -3.05% | 4,307.54 | -4.76% |
| 33. | 2021. 10. 31. | $64.88 | -7.12% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $68.93 | 6.24% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $72.61 | $0.71 | 6.37% | 4,766.18 | 4.36% |
| 36. | 2022. 1. 31. | $68.68 | -5.41% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $60.40 | -12.06% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $59.45 | $0.73 | -0.36% | 4,530.41 | 3.58% |
| 39. | 2022. 4. 30. | $59.34 | -0.19% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $64.85 | 9.29% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $61.81 | $0.73 | -3.56% | 3,785.38 | -8.39% |
| 42. | 2022. 7. 31. | $59.75 | -3.33% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $63.47 | 6.23% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $61.69 | $0.73 | -1.65% | 3,585.62 | -9.34% |
| 45. | 2022. 10. 31. | $78.46 | 27.18% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $87.83 | 11.94% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $85.85 | $0.73 | -1.42% | 3,839.50 | -5.90% |
| 48. | 2023. 1. 31. | $83.94 | -2.22% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $80.53 | -4.06% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $82.97 | $0.75 | 3.96% | 4,109.31 | 3.51% |
| 51. | 2023. 4. 30. | $82.21 | -0.92% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $76.94 | -6.41% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $77.07 | $0.75 | 1.14% | 4,376.86 | 4.71% |
| 54. | 2023. 7. 31. | $76.14 | -1.21% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $76.48 | 0.45% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $74.94 | $0.75 | -1.03% | 4,288.05 | -4.87% |
| 57. | 2023. 10. 31. | $78.54 | 4.80% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $76.60 | -2.47% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $81.01 | $0.75 | 6.74% | 4,769.83 | 4.42% |
| 평균의 (R): | 0.80% | 1.11% | ||||
| 표준 편차: | 6.72% | 5.31% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 GILD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Gilead Sciences Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RGILD,t | RS&P 500,t | (RGILD,t–RGILD)2 | (RS&P 500,t–RS&P 500)2 | (RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -7.13% | 2.97% | 62.89 | 3.49 | -14.81 |
| 2. | 2019. 3. 31. | 0.95% | 1.79% | 0.02 | 0.47 | 0.10 |
| 3. | 2019. 4. 30. | 0.05% | 3.93% | 0.57 | 7.98 | -2.14 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | -2.47% | 8.92% | 10.71 | 61.03 | -25.57 |
| 59. | 2023. 12. 31. | 6.74% | 4.42% | 35.21 | 11.00 | 19.68 |
| 합계 (Σ): | 2,622.61 | 1,634.30 | 323.59 | |||
| t | 날짜 | RGILD,t | RS&P 500,t | (RGILD,t–RGILD)2 | (RS&P 500,t–RS&P 500)2 | (RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -7.13% | 2.97% | 62.89 | 3.49 | -14.81 |
| 2. | 2019. 3. 31. | 0.95% | 1.79% | 0.02 | 0.47 | 0.10 |
| 3. | 2019. 4. 30. | 0.05% | 3.93% | 0.57 | 7.98 | -2.14 |
| 4. | 2019. 5. 31. | -4.29% | -6.58% | 25.93 | 59.04 | 39.13 |
| 5. | 2019. 6. 30. | 9.54% | 6.89% | 76.38 | 33.49 | 50.58 |
| 6. | 2019. 7. 31. | -3.02% | 1.31% | 14.61 | 0.04 | -0.79 |
| 7. | 2019. 8. 31. | -3.02% | -1.81% | 14.63 | 8.50 | 11.15 |
| 8. | 2019. 9. 30. | 0.74% | 1.72% | 0.00 | 0.37 | -0.04 |
| 9. | 2019. 10. 31. | 0.52% | 2.04% | 0.08 | 0.88 | -0.26 |
| 10. | 2019. 11. 30. | 5.54% | 3.40% | 22.45 | 5.28 | 10.89 |
| 11. | 2019. 12. 31. | -2.42% | 2.86% | 10.41 | 3.07 | -5.66 |
| 12. | 2020. 1. 31. | -2.74% | -0.16% | 12.55 | 1.61 | 4.49 |
| 13. | 2020. 2. 29. | 9.75% | -8.41% | 80.00 | 90.57 | -85.12 |
| 14. | 2020. 3. 31. | 8.77% | -12.51% | 63.41 | 185.44 | -108.44 |
| 15. | 2020. 4. 30. | 12.36% | 12.68% | 133.56 | 134.06 | 133.81 |
| 16. | 2020. 5. 31. | -7.35% | 4.53% | 66.39 | 11.71 | -27.89 |
| 17. | 2020. 6. 30. | -0.27% | 1.84% | 1.15 | 0.54 | -0.79 |
| 18. | 2020. 7. 31. | -9.63% | 5.51% | 108.86 | 19.40 | -45.95 |
| 19. | 2020. 8. 31. | -4.00% | 7.01% | 23.05 | 34.82 | -28.33 |
| 20. | 2020. 9. 30. | -4.31% | -3.92% | 26.19 | 25.29 | 25.73 |
| 21. | 2020. 10. 31. | -7.98% | -2.77% | 77.07 | 15.00 | 33.99 |
| 22. | 2020. 11. 30. | 4.33% | 10.75% | 12.47 | 93.10 | 34.07 |
| 23. | 2020. 12. 31. | -2.85% | 3.71% | 13.35 | 6.79 | -9.52 |
| 24. | 2021. 1. 31. | 12.60% | -1.11% | 139.14 | 4.93 | -26.18 |
| 25. | 2021. 2. 28. | -6.40% | 2.61% | 51.91 | 2.26 | -10.83 |
| 26. | 2021. 3. 31. | 6.42% | 4.24% | 31.52 | 9.85 | 17.62 |
| 27. | 2021. 4. 30. | -1.79% | 5.24% | 6.75 | 17.11 | -10.75 |
| 28. | 2021. 5. 31. | 4.16% | 0.55% | 11.27 | 0.31 | -1.87 |
| 29. | 2021. 6. 30. | 5.23% | 2.22% | 19.63 | 1.24 | 4.94 |
| 30. | 2021. 7. 31. | -0.83% | 2.27% | 2.66 | 1.37 | -1.91 |
| 31. | 2021. 8. 31. | 6.57% | 2.90% | 33.32 | 3.22 | 10.35 |
| 32. | 2021. 9. 30. | -3.05% | -4.76% | 14.85 | 34.37 | 22.59 |
| 33. | 2021. 10. 31. | -7.12% | 6.91% | 62.69 | 33.74 | -45.99 |
| 34. | 2021. 11. 30. | 6.24% | -0.83% | 29.59 | 3.76 | -10.55 |
| 35. | 2021. 12. 31. | 6.37% | 4.36% | 30.98 | 10.60 | 18.12 |
| 36. | 2022. 1. 31. | -5.41% | -5.26% | 38.63 | 40.51 | 39.56 |
| 37. | 2022. 2. 28. | -12.06% | -3.14% | 165.34 | 17.99 | 54.55 |
| 38. | 2022. 3. 31. | -0.36% | 3.58% | 1.36 | 6.11 | -2.88 |
| 39. | 2022. 4. 30. | -0.19% | -8.80% | 0.98 | 98.04 | 9.78 |
| 40. | 2022. 5. 31. | 9.29% | 0.01% | 71.96 | 1.21 | -9.34 |
| 41. | 2022. 6. 30. | -3.56% | -8.39% | 19.05 | 90.21 | 41.46 |
| 42. | 2022. 7. 31. | -3.33% | 9.11% | 17.10 | 64.09 | -33.11 |
| 43. | 2022. 8. 31. | 6.23% | -4.24% | 29.41 | 28.62 | -29.01 |
| 44. | 2022. 9. 30. | -1.65% | -9.34% | 6.04 | 109.11 | 25.66 |
| 45. | 2022. 10. 31. | 27.18% | 7.99% | 695.99 | 47.34 | 181.52 |
| 46. | 2022. 11. 30. | 11.94% | 5.38% | 124.09 | 18.23 | 47.56 |
| 47. | 2022. 12. 31. | -1.42% | -5.90% | 4.95 | 49.04 | 15.59 |
| 48. | 2023. 1. 31. | -2.22% | 6.18% | 9.17 | 25.70 | -15.35 |
| 49. | 2023. 2. 28. | -4.06% | -2.61% | 23.67 | 13.82 | 18.08 |
| 50. | 2023. 3. 31. | 3.96% | 3.51% | 9.98 | 5.76 | 7.58 |
| 51. | 2023. 4. 30. | -0.92% | 1.46% | 2.95 | 0.13 | -0.62 |
| 52. | 2023. 5. 31. | -6.41% | 0.25% | 52.03 | 0.74 | 6.19 |
| 53. | 2023. 6. 30. | 1.14% | 4.71% | 0.12 | 13.02 | 1.23 |
| 54. | 2023. 7. 31. | -1.21% | 4.85% | 4.04 | 13.99 | -7.52 |
| 55. | 2023. 8. 31. | 0.45% | -1.77% | 0.13 | 8.28 | 1.02 |
| 56. | 2023. 9. 30. | -1.03% | -4.87% | 3.37 | 35.73 | 10.97 |
| 57. | 2023. 10. 31. | 4.80% | -2.20% | 16.01 | 10.92 | -13.22 |
| 58. | 2023. 11. 30. | -2.47% | 8.92% | 10.71 | 61.03 | -25.57 |
| 59. | 2023. 12. 31. | 6.74% | 4.42% | 35.21 | 11.00 | 19.68 |
| 합계 (Σ): | 2,622.61 | 1,634.30 | 323.59 | |||
모두 보기
분산GILD = Σ(RGILD,t–RGILD)2 ÷ (59 – 1)
= 2,622.61 ÷ (59 – 1)
= 45.22
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산GILD, S&P 500 = Σ(RGILD,t–RGILD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 323.59 ÷ (59 – 1)
= 5.58
체계적인 위험 추정 (β)
| 분산GILD | 45.22 |
| 분산S&P 500 | 28.18 |
| 공분산GILD, S&P 500 | 5.58 |
| 상관 계수GILD, S&P 5001 | 0.16 |
| βGILD2 | 0.20 |
| αGILD3 | 0.58% |
계산
1 상관 계수GILD, S&P 500
= 공분산GILD, S&P 500 ÷ (표준 편차GILD × 표준 편차S&P 500)
= 5.58 ÷ (6.72% × 5.31%)
= 0.16
2 βGILD
= 공분산GILD, S&P 500 ÷ 분산S&P 500
= 5.58 ÷ 28.18
= 0.20
3 αGILD
= 평균의GILD – βGILD × 평균의S&P 500
= 0.80% – 0.20 × 1.11%
= 0.58%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Gilead | βGILD | 0.20 |
| 길리어드 보통주에 대한 기대 수익률3 | E(RGILD) | 6.48% |
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(RGILD) = RF + βGILD [E(RM) – RF]
= 4.67% + 0.20 [13.79% – 4.67%]
= 6.48%