자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Intel보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Intel Corp., 월별 수익률
| Intel Corp. (INTC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값INTC,t1 | 피제수INTC,t1 | RINTC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $63.93 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $55.52 | $0.33 | -12.64% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $54.12 | -2.52% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $59.98 | 10.83% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $24.05 | 11.76% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $20.05 | -16.63% | 5,881.63 | -2.50% | |
| 평균의 (R): | -1.10% | 1.16% | ||||
| 표준 편차: | 11.13% | 5.28% | ||||
| Intel Corp. (INTC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값INTC,t1 | 피제수INTC,t1 | RINTC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $63.93 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $55.52 | $0.33 | -12.64% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $54.12 | -2.52% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $59.98 | 10.83% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $62.93 | $0.33 | 5.47% | 3,044.31 | 4.53% |
| 5. | 2020. 6. 30. | $59.83 | -4.93% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $47.73 | -20.22% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $50.95 | $0.33 | 7.44% | 3,500.31 | 7.01% |
| 8. | 2020. 9. 30. | $51.78 | 1.63% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $44.28 | -14.48% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $48.35 | $0.33 | 9.94% | 3,621.63 | 10.75% |
| 11. | 2020. 12. 31. | $49.82 | 3.04% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $55.51 | 11.42% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $60.78 | $0.3475 | 10.12% | 3,811.15 | 2.61% |
| 14. | 2021. 3. 31. | $64.00 | 5.30% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $57.53 | -10.11% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $57.12 | $0.3475 | -0.11% | 4,204.11 | 0.55% |
| 17. | 2021. 6. 30. | $56.14 | -1.72% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $53.72 | -4.31% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $54.06 | $0.3475 | 1.28% | 4,522.68 | 2.90% |
| 20. | 2021. 9. 30. | $53.28 | -1.44% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $49.00 | -8.03% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $49.20 | $0.3475 | 1.12% | 4,567.00 | -0.83% |
| 23. | 2021. 12. 31. | $51.50 | 4.67% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $48.82 | -5.20% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $47.70 | $0.365 | -1.55% | 4,373.94 | -3.14% |
| 26. | 2022. 3. 31. | $49.56 | 3.90% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $43.59 | -12.05% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $44.42 | $0.365 | 2.74% | 4,132.15 | 0.01% |
| 29. | 2022. 6. 30. | $37.41 | -15.78% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $36.31 | -2.94% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $31.92 | $0.365 | -11.09% | 3,955.00 | -4.24% |
| 32. | 2022. 9. 30. | $25.77 | -19.27% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $28.43 | 10.32% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $30.07 | $0.365 | 7.05% | 4,080.11 | 5.38% |
| 35. | 2022. 12. 31. | $26.43 | -12.11% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $28.26 | 6.92% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $24.93 | $0.365 | -10.49% | 3,970.15 | -2.61% |
| 38. | 2023. 3. 31. | $32.67 | 31.05% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $31.06 | -4.93% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $31.44 | $0.125 | 1.63% | 4,179.83 | 0.25% |
| 41. | 2023. 6. 30. | $33.44 | 6.36% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $35.77 | 6.97% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $35.14 | $0.125 | -1.41% | 4,507.66 | -1.77% |
| 44. | 2023. 9. 30. | $35.55 | 1.17% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $36.50 | 2.67% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $44.70 | $0.125 | 22.81% | 4,567.80 | 8.92% |
| 47. | 2023. 12. 31. | $50.25 | 12.42% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $43.08 | -14.27% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $43.05 | $0.125 | 0.22% | 5,096.27 | 5.17% |
| 50. | 2024. 3. 31. | $44.17 | 2.60% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $30.47 | -31.02% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $30.85 | $0.125 | 1.66% | 5,277.51 | 4.80% |
| 53. | 2024. 6. 30. | $30.97 | 0.39% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $30.74 | -0.74% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $22.04 | $0.125 | -27.90% | 5,648.40 | 2.28% |
| 56. | 2024. 9. 30. | $23.46 | 6.44% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $21.52 | -8.27% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $24.05 | 11.76% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $20.05 | -16.63% | 5,881.63 | -2.50% | |
| 평균의 (R): | -1.10% | 1.16% | ||||
| 표준 편차: | 11.13% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 INTC의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Intel Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RINTC,t | RS&P 500,t | (RINTC,t–RINTC)2 | (RS&P 500,t–RS&P 500)2 | (RINTC,t–RINTC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -12.64% | -8.41% | 133.17 | 91.63 | 110.47 |
| 2. | 2020. 3. 31. | -2.52% | -12.51% | 2.02 | 186.96 | 19.46 |
| 3. | 2020. 4. 30. | 10.83% | 12.68% | 142.24 | 132.78 | 137.43 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 11.76% | 5.73% | 165.26 | 20.87 | 58.73 |
| 59. | 2024. 12. 31. | -16.63% | -2.50% | 241.28 | 13.40 | 56.86 |
| 합계 (Σ): | 7,180.47 | 1,618.62 | 1,754.84 | |||
| t | 날짜 | RINTC,t | RS&P 500,t | (RINTC,t–RINTC)2 | (RS&P 500,t–RS&P 500)2 | (RINTC,t–RINTC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -12.64% | -8.41% | 133.17 | 91.63 | 110.47 |
| 2. | 2020. 3. 31. | -2.52% | -12.51% | 2.02 | 186.96 | 19.46 |
| 3. | 2020. 4. 30. | 10.83% | 12.68% | 142.24 | 132.78 | 137.43 |
| 4. | 2020. 5. 31. | 5.47% | 4.53% | 43.13 | 11.34 | 22.11 |
| 5. | 2020. 6. 30. | -4.93% | 1.84% | 14.65 | 0.46 | -2.59 |
| 6. | 2020. 7. 31. | -20.22% | 5.51% | 365.78 | 18.91 | -83.17 |
| 7. | 2020. 8. 31. | 7.44% | 7.01% | 72.87 | 34.17 | 49.90 |
| 8. | 2020. 9. 30. | 1.63% | -3.92% | 7.44 | 25.85 | -13.87 |
| 9. | 2020. 10. 31. | -14.48% | -2.77% | 179.18 | 15.43 | 52.58 |
| 10. | 2020. 11. 30. | 9.94% | 10.75% | 121.78 | 92.03 | 105.87 |
| 11. | 2020. 12. 31. | 3.04% | 3.71% | 17.13 | 6.51 | 10.56 |
| 12. | 2021. 1. 31. | 11.42% | -1.11% | 156.75 | 5.18 | -28.48 |
| 13. | 2021. 2. 28. | 10.12% | 2.61% | 125.85 | 2.10 | 16.24 |
| 14. | 2021. 3. 31. | 5.30% | 4.24% | 40.92 | 9.50 | 19.72 |
| 15. | 2021. 4. 30. | -10.11% | 5.24% | 81.19 | 16.66 | -36.77 |
| 16. | 2021. 5. 31. | -0.11% | 0.55% | 0.98 | 0.38 | -0.61 |
| 17. | 2021. 6. 30. | -1.72% | 2.22% | 0.38 | 1.12 | -0.65 |
| 18. | 2021. 7. 31. | -4.31% | 2.27% | 10.32 | 1.24 | -3.58 |
| 19. | 2021. 8. 31. | 1.28% | 2.90% | 5.66 | 3.02 | 4.13 |
| 20. | 2021. 9. 30. | -1.44% | -4.76% | 0.12 | 35.02 | 2.04 |
| 21. | 2021. 10. 31. | -8.03% | 6.91% | 48.08 | 33.10 | -39.89 |
| 22. | 2021. 11. 30. | 1.12% | -0.83% | 4.91 | 3.98 | -4.42 |
| 23. | 2021. 12. 31. | 4.67% | 4.36% | 33.33 | 10.24 | 18.48 |
| 24. | 2022. 1. 31. | -5.20% | -5.26% | 16.85 | 41.21 | 26.35 |
| 25. | 2022. 2. 28. | -1.55% | -3.14% | 0.20 | 18.47 | 1.92 |
| 26. | 2022. 3. 31. | 3.90% | 3.58% | 24.98 | 5.84 | 12.08 |
| 27. | 2022. 4. 30. | -12.05% | -8.80% | 119.84 | 99.14 | 109.00 |
| 28. | 2022. 5. 31. | 2.74% | 0.01% | 14.75 | 1.34 | -4.44 |
| 29. | 2022. 6. 30. | -15.78% | -8.39% | 215.58 | 91.26 | 140.27 |
| 30. | 2022. 7. 31. | -2.94% | 9.11% | 3.39 | 63.21 | -14.64 |
| 31. | 2022. 8. 31. | -11.09% | -4.24% | 99.73 | 29.22 | 53.98 |
| 32. | 2022. 9. 30. | -19.27% | -9.34% | 330.08 | 110.27 | 190.78 |
| 33. | 2022. 10. 31. | 10.32% | 7.99% | 130.43 | 46.58 | 77.95 |
| 34. | 2022. 11. 30. | 7.05% | 5.38% | 66.44 | 17.76 | 34.35 |
| 35. | 2022. 12. 31. | -12.11% | -5.90% | 121.14 | 49.82 | 77.69 |
| 36. | 2023. 1. 31. | 6.92% | 6.18% | 64.36 | 25.14 | 40.23 |
| 37. | 2023. 2. 28. | -10.49% | -2.61% | 88.23 | 14.23 | 35.44 |
| 38. | 2023. 3. 31. | 31.05% | 3.51% | 1,033.34 | 5.49 | 75.35 |
| 39. | 2023. 4. 30. | -4.93% | 1.46% | 14.66 | 0.09 | -1.16 |
| 40. | 2023. 5. 31. | 1.63% | 0.25% | 7.42 | 0.83 | -2.49 |
| 41. | 2023. 6. 30. | 6.36% | 4.71% | 55.65 | 12.62 | 26.50 |
| 42. | 2023. 7. 31. | 6.97% | 4.85% | 65.07 | 13.58 | 29.72 |
| 43. | 2023. 8. 31. | -1.41% | -1.77% | 0.10 | 8.60 | 0.92 |
| 44. | 2023. 9. 30. | 1.17% | -4.87% | 5.13 | 36.40 | -13.67 |
| 45. | 2023. 10. 31. | 2.67% | -2.20% | 14.22 | 11.28 | -12.67 |
| 46. | 2023. 11. 30. | 22.81% | 8.92% | 571.54 | 60.17 | 185.44 |
| 47. | 2023. 12. 31. | 12.42% | 4.42% | 182.65 | 10.64 | 44.08 |
| 48. | 2024. 1. 31. | -14.27% | 1.59% | 173.45 | 0.18 | -5.64 |
| 49. | 2024. 2. 29. | 0.22% | 5.17% | 1.74 | 16.09 | 5.29 |
| 50. | 2024. 3. 31. | 2.60% | 3.10% | 13.69 | 3.77 | 7.18 |
| 51. | 2024. 4. 30. | -31.02% | -4.16% | 895.08 | 28.33 | 159.25 |
| 52. | 2024. 5. 31. | 1.66% | 4.80% | 7.60 | 13.26 | 10.03 |
| 53. | 2024. 6. 30. | 0.39% | 3.47% | 2.21 | 5.32 | 3.43 |
| 54. | 2024. 7. 31. | -0.74% | 1.13% | 0.13 | 0.00 | -0.01 |
| 55. | 2024. 8. 31. | -27.90% | 2.28% | 718.06 | 1.26 | -30.07 |
| 56. | 2024. 9. 30. | 6.44% | 2.02% | 56.87 | 0.74 | 6.47 |
| 57. | 2024. 10. 31. | -8.27% | -0.99% | 51.42 | 4.63 | 15.42 |
| 58. | 2024. 11. 30. | 11.76% | 5.73% | 165.26 | 20.87 | 58.73 |
| 59. | 2024. 12. 31. | -16.63% | -2.50% | 241.28 | 13.40 | 56.86 |
| 합계 (Σ): | 7,180.47 | 1,618.62 | 1,754.84 | |||
모두 보기
분산INTC = Σ(RINTC,t–RINTC)2 ÷ (59 – 1)
= 7,180.47 ÷ (59 – 1)
= 123.80
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산INTC, S&P 500 = Σ(RINTC,t–RINTC)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,754.84 ÷ (59 – 1)
= 30.26
체계적인 위험 추정 (β)
| 분산INTC | 123.80 |
| 분산S&P 500 | 27.91 |
| 공분산INTC, S&P 500 | 30.26 |
| 상관 계수INTC, S&P 5001 | 0.51 |
| βINTC2 | 1.08 |
| αINTC3 | -2.36% |
계산
1 상관 계수INTC, S&P 500
= 공분산INTC, S&P 500 ÷ (표준 편차INTC × 표준 편차S&P 500)
= 30.26 ÷ (11.13% × 5.28%)
= 0.51
2 βINTC
= 공분산INTC, S&P 500 ÷ 분산S&P 500
= 30.26 ÷ 27.91
= 1.08
3 αINTC
= 평균의INTC – βINTC × 평균의S&P 500
= -1.10% – 1.08 × 1.16%
= -2.36%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.85% |
| 보통주의 체계적 위험Intel | βINTC | 1.08 |
| 인텔 보통주에 대한 예상 수익률3 | E(RINTC) | 15.69% |
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(RINTC) = RF + βINTC [E(RM) – RF]
= 4.91% + 1.08 [14.85% – 4.91%]
= 15.69%