자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Honeywell보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Honeywell International Inc., 월별 수익률
| Honeywell International Inc. (HON) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HON,t1 | 피제수HON,t1 | RHON,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $173.22 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $162.17 | $0.90 | -5.86% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $133.79 | -17.50% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $141.90 | 6.06% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $232.93 | $1.13 | 13.80% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $225.89 | -3.02% | 5,881.63 | -2.50% | |
| 평균의 (R): | 0.88% | 1.16% | ||||
| 표준 편차: | 7.32% | 5.28% | ||||
| Honeywell International Inc. (HON) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HON,t1 | 피제수HON,t1 | RHON,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $173.22 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $162.17 | $0.90 | -5.86% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $133.79 | -17.50% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $141.90 | 6.06% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $145.85 | $0.90 | 3.42% | 3,044.31 | 4.53% |
| 5. | 2020. 6. 30. | $144.59 | -0.86% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $149.37 | 3.31% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $165.55 | $0.90 | 11.43% | 3,500.31 | 7.01% |
| 8. | 2020. 9. 30. | $164.61 | -0.57% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $164.95 | 0.21% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $203.92 | $0.93 | 24.19% | 3,621.63 | 10.75% |
| 11. | 2020. 12. 31. | $212.70 | 4.31% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $195.37 | -8.15% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $202.35 | $0.93 | 4.05% | 3,811.15 | 2.61% |
| 14. | 2021. 3. 31. | $217.07 | 7.27% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $223.04 | 2.75% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $230.91 | $0.93 | 3.95% | 4,204.11 | 0.55% |
| 17. | 2021. 6. 30. | $219.35 | -5.01% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $233.79 | 6.58% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $231.91 | $0.93 | -0.41% | 4,522.68 | 2.90% |
| 20. | 2021. 9. 30. | $212.28 | -8.46% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $218.62 | 2.99% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $202.24 | $0.98 | -7.04% | 4,567.00 | -0.83% |
| 23. | 2021. 12. 31. | $208.51 | 3.10% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $204.48 | -1.93% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $189.75 | $0.98 | -6.72% | 4,373.94 | -3.14% |
| 26. | 2022. 3. 31. | $194.58 | 2.55% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $193.51 | -0.55% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $193.62 | $0.98 | 0.56% | 4,132.15 | 0.01% |
| 29. | 2022. 6. 30. | $173.81 | -10.23% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $192.46 | 10.73% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $189.35 | $0.98 | -1.11% | 3,955.00 | -4.24% |
| 32. | 2022. 9. 30. | $166.97 | -11.82% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $204.02 | 22.19% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $219.55 | $1.03 | 8.12% | 4,080.11 | 5.38% |
| 35. | 2022. 12. 31. | $214.30 | -2.39% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $208.48 | -2.72% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $191.48 | $1.03 | -7.66% | 3,970.15 | -2.61% |
| 38. | 2023. 3. 31. | $191.12 | -0.19% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $199.84 | 4.56% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $191.60 | $1.03 | -3.61% | 4,179.83 | 0.25% |
| 41. | 2023. 6. 30. | $207.50 | 8.30% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $194.13 | -6.44% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $187.94 | $1.03 | -2.66% | 4,507.66 | -1.77% |
| 44. | 2023. 9. 30. | $184.74 | -1.70% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $183.26 | -0.80% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $195.92 | $1.08 | 7.50% | 4,567.80 | 8.92% |
| 47. | 2023. 12. 31. | $209.71 | 7.04% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $202.26 | -3.55% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $198.73 | $1.08 | -1.21% | 5,096.27 | 5.17% |
| 50. | 2024. 3. 31. | $205.25 | 3.28% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $192.73 | -6.10% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $202.19 | $1.08 | 5.47% | 5,277.51 | 4.80% |
| 53. | 2024. 6. 30. | $213.54 | 5.61% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $204.75 | -4.12% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $207.91 | $1.08 | 2.07% | 5,648.40 | 2.28% |
| 56. | 2024. 9. 30. | $206.71 | -0.58% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $205.68 | -0.50% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $232.93 | $1.13 | 13.80% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $225.89 | -3.02% | 5,881.63 | -2.50% | |
| 평균의 (R): | 0.88% | 1.16% | ||||
| 표준 편차: | 7.32% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 HON의 보통주 수익률
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Honeywell International Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RHON,t | RS&P 500,t | (RHON,t–RHON)2 | (RS&P 500,t–RS&P 500)2 | (RHON,t–RHON)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -5.86% | -8.41% | 45.42 | 91.63 | 64.51 |
| 2. | 2020. 3. 31. | -17.50% | -12.51% | 337.83 | 186.96 | 251.31 |
| 3. | 2020. 4. 30. | 6.06% | 12.68% | 26.85 | 132.78 | 59.71 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 13.80% | 5.73% | 166.88 | 20.87 | 59.02 |
| 59. | 2024. 12. 31. | -3.02% | -2.50% | 15.23 | 13.40 | 14.28 |
| 합계 (Σ): | 3,109.23 | 1,618.62 | 1,688.19 | |||
| t | 날짜 | RHON,t | RS&P 500,t | (RHON,t–RHON)2 | (RS&P 500,t–RS&P 500)2 | (RHON,t–RHON)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -5.86% | -8.41% | 45.42 | 91.63 | 64.51 |
| 2. | 2020. 3. 31. | -17.50% | -12.51% | 337.83 | 186.96 | 251.31 |
| 3. | 2020. 4. 30. | 6.06% | 12.68% | 26.85 | 132.78 | 59.71 |
| 4. | 2020. 5. 31. | 3.42% | 4.53% | 6.44 | 11.34 | 8.55 |
| 5. | 2020. 6. 30. | -0.86% | 1.84% | 3.04 | 0.46 | -1.18 |
| 6. | 2020. 7. 31. | 3.31% | 5.51% | 5.89 | 18.91 | 10.55 |
| 7. | 2020. 8. 31. | 11.43% | 7.01% | 111.40 | 34.17 | 61.69 |
| 8. | 2020. 9. 30. | -0.57% | -3.92% | 2.10 | 25.85 | 7.36 |
| 9. | 2020. 10. 31. | 0.21% | -2.77% | 0.45 | 15.43 | 2.64 |
| 10. | 2020. 11. 30. | 24.19% | 10.75% | 543.32 | 92.03 | 223.61 |
| 11. | 2020. 12. 31. | 4.31% | 3.71% | 11.74 | 6.51 | 8.74 |
| 12. | 2021. 1. 31. | -8.15% | -1.11% | 81.50 | 5.18 | 20.54 |
| 13. | 2021. 2. 28. | 4.05% | 2.61% | 10.04 | 2.10 | 4.59 |
| 14. | 2021. 3. 31. | 7.27% | 4.24% | 40.89 | 9.50 | 19.71 |
| 15. | 2021. 4. 30. | 2.75% | 5.24% | 3.50 | 16.66 | 7.63 |
| 16. | 2021. 5. 31. | 3.95% | 0.55% | 9.40 | 0.38 | -1.88 |
| 17. | 2021. 6. 30. | -5.01% | 2.22% | 34.65 | 1.12 | -6.24 |
| 18. | 2021. 7. 31. | 6.58% | 2.27% | 32.53 | 1.24 | 6.35 |
| 19. | 2021. 8. 31. | -0.41% | 2.90% | 1.65 | 3.02 | -2.24 |
| 20. | 2021. 9. 30. | -8.46% | -4.76% | 87.32 | 35.02 | 55.30 |
| 21. | 2021. 10. 31. | 2.99% | 6.91% | 4.44 | 33.10 | 12.12 |
| 22. | 2021. 11. 30. | -7.04% | -0.83% | 62.79 | 3.98 | 15.81 |
| 23. | 2021. 12. 31. | 3.10% | 4.36% | 4.93 | 10.24 | 7.11 |
| 24. | 2022. 1. 31. | -1.93% | -5.26% | 7.91 | 41.21 | 18.06 |
| 25. | 2022. 2. 28. | -6.72% | -3.14% | 57.82 | 18.47 | 32.68 |
| 26. | 2022. 3. 31. | 2.55% | 3.58% | 2.77 | 5.84 | 4.02 |
| 27. | 2022. 4. 30. | -0.55% | -8.80% | 2.04 | 99.14 | 14.24 |
| 28. | 2022. 5. 31. | 0.56% | 0.01% | 0.10 | 1.34 | 0.37 |
| 29. | 2022. 6. 30. | -10.23% | -8.39% | 123.46 | 91.26 | 106.15 |
| 30. | 2022. 7. 31. | 10.73% | 9.11% | 97.03 | 63.21 | 78.31 |
| 31. | 2022. 8. 31. | -1.11% | -4.24% | 3.95 | 29.22 | 10.74 |
| 32. | 2022. 9. 30. | -11.82% | -9.34% | 161.27 | 110.27 | 133.35 |
| 33. | 2022. 10. 31. | 22.19% | 7.99% | 454.10 | 46.58 | 145.44 |
| 34. | 2022. 11. 30. | 8.12% | 5.38% | 52.37 | 17.76 | 30.50 |
| 35. | 2022. 12. 31. | -2.39% | -5.90% | 10.70 | 49.82 | 23.09 |
| 36. | 2023. 1. 31. | -2.72% | 6.18% | 12.93 | 25.14 | -18.03 |
| 37. | 2023. 2. 28. | -7.66% | -2.61% | 72.93 | 14.23 | 32.22 |
| 38. | 2023. 3. 31. | -0.19% | 3.51% | 1.14 | 5.49 | -2.50 |
| 39. | 2023. 4. 30. | 4.56% | 1.46% | 13.56 | 0.09 | 1.12 |
| 40. | 2023. 5. 31. | -3.61% | 0.25% | 20.14 | 0.83 | 4.10 |
| 41. | 2023. 6. 30. | 8.30% | 4.71% | 55.04 | 12.62 | 26.36 |
| 42. | 2023. 7. 31. | -6.44% | 4.85% | 53.63 | 13.58 | -26.98 |
| 43. | 2023. 8. 31. | -2.66% | -1.77% | 12.52 | 8.60 | 10.38 |
| 44. | 2023. 9. 30. | -1.70% | -4.87% | 6.67 | 36.40 | 15.58 |
| 45. | 2023. 10. 31. | -0.80% | -2.20% | 2.83 | 11.28 | 5.65 |
| 46. | 2023. 11. 30. | 7.50% | 8.92% | 43.79 | 60.17 | 51.33 |
| 47. | 2023. 12. 31. | 7.04% | 4.42% | 37.93 | 10.64 | 20.09 |
| 48. | 2024. 1. 31. | -3.55% | 1.59% | 19.65 | 0.18 | -1.90 |
| 49. | 2024. 2. 29. | -1.21% | 5.17% | 4.37 | 16.09 | -8.39 |
| 50. | 2024. 3. 31. | 3.28% | 3.10% | 5.76 | 3.77 | 4.66 |
| 51. | 2024. 4. 30. | -6.10% | -4.16% | 48.72 | 28.33 | 37.15 |
| 52. | 2024. 5. 31. | 5.47% | 4.80% | 21.06 | 13.26 | 16.71 |
| 53. | 2024. 6. 30. | 5.61% | 3.47% | 22.41 | 5.32 | 10.91 |
| 54. | 2024. 7. 31. | -4.12% | 1.13% | 24.96 | 0.00 | 0.15 |
| 55. | 2024. 8. 31. | 2.07% | 2.28% | 1.42 | 1.26 | 1.34 |
| 56. | 2024. 9. 30. | -0.58% | 2.02% | 2.12 | 0.74 | -1.25 |
| 57. | 2024. 10. 31. | -0.50% | -0.99% | 1.90 | 4.63 | 2.96 |
| 58. | 2024. 11. 30. | 13.80% | 5.73% | 166.88 | 20.87 | 59.02 |
| 59. | 2024. 12. 31. | -3.02% | -2.50% | 15.23 | 13.40 | 14.28 |
| 합계 (Σ): | 3,109.23 | 1,618.62 | 1,688.19 | |||
모두 보기
분산HON = Σ(RHON,t–RHON)2 ÷ (59 – 1)
= 3,109.23 ÷ (59 – 1)
= 53.61
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산HON, S&P 500 = Σ(RHON,t–RHON)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,688.19 ÷ (59 – 1)
= 29.11
체계적인 위험 추정 (β)
| 분산HON | 53.61 |
| 분산S&P 500 | 27.91 |
| 공분산HON, S&P 500 | 29.11 |
| 상관 계수HON, S&P 5001 | 0.75 |
| βHON2 | 1.04 |
| αHON3 | -0.33% |
계산
1 상관 계수HON, S&P 500
= 공분산HON, S&P 500 ÷ (표준 편차HON × 표준 편차S&P 500)
= 29.11 ÷ (7.32% × 5.28%)
= 0.75
2 βHON
= 공분산HON, S&P 500 ÷ 분산S&P 500
= 29.11 ÷ 27.91
= 1.04
3 αHON
= 평균의HON – βHON × 평균의S&P 500
= 0.88% – 1.04 × 1.16%
= -0.33%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.85% |
| 보통주의 체계적 위험Honeywell | βHON | 1.04 |
| Honeywell 보통주에 대한 예상 수익률3 | E(RHON) | 15.27% |
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(RHON) = RF + βHON [E(RM) – RF]
= 4.91% + 1.04 [14.85% – 4.91%]
= 15.27%