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 |
| 2019. 1. 31. | $47.12 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $52.96 | $0.315 | 13.06% | 2,784.49 | 2.97% |
| 2. | 2019. 3. 31. | $53.70 | 1.40% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $51.04 | -4.95% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $44.70 | $0.125 | 22.81% | 4,567.80 | 8.92% |
| 59. | 2023. 12. 31. | $50.25 | 12.42% | 4,769.83 | 4.42% | |
| 평균의 (R): | 0.81% | 1.11% | ||||
| 표준 편차: | 9.72% | 5.31% | ||||
| 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 |
| 2019. 1. 31. | $47.12 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $52.96 | $0.315 | 13.06% | 2,784.49 | 2.97% |
| 2. | 2019. 3. 31. | $53.70 | 1.40% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $51.04 | -4.95% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $44.04 | $0.315 | -13.10% | 2,752.06 | -6.58% |
| 5. | 2019. 6. 30. | $47.87 | 8.70% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $50.55 | 5.60% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $47.41 | $0.315 | -5.59% | 2,926.46 | -1.81% |
| 8. | 2019. 9. 30. | $51.53 | 8.69% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $56.53 | 9.70% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $58.05 | $0.315 | 3.25% | 3,140.98 | 3.40% |
| 11. | 2019. 12. 31. | $59.85 | 3.10% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $63.93 | 6.82% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $55.52 | $0.33 | -12.64% | 2,954.22 | -8.41% |
| 14. | 2020. 3. 31. | $54.12 | -2.52% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $59.98 | 10.83% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $62.93 | $0.33 | 5.47% | 3,044.31 | 4.53% |
| 17. | 2020. 6. 30. | $59.83 | -4.93% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $47.73 | -20.22% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $50.95 | $0.33 | 7.44% | 3,500.31 | 7.01% |
| 20. | 2020. 9. 30. | $51.78 | 1.63% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $44.28 | -14.48% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $48.35 | $0.33 | 9.94% | 3,621.63 | 10.75% |
| 23. | 2020. 12. 31. | $49.82 | 3.04% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $55.51 | 11.42% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $60.78 | $0.3475 | 10.12% | 3,811.15 | 2.61% |
| 26. | 2021. 3. 31. | $64.00 | 5.30% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $57.53 | -10.11% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $57.12 | $0.3475 | -0.11% | 4,204.11 | 0.55% |
| 29. | 2021. 6. 30. | $56.14 | -1.72% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $53.72 | -4.31% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $54.06 | $0.3475 | 1.28% | 4,522.68 | 2.90% |
| 32. | 2021. 9. 30. | $53.28 | -1.44% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $49.00 | -8.03% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $49.20 | $0.3475 | 1.12% | 4,567.00 | -0.83% |
| 35. | 2021. 12. 31. | $51.50 | 4.67% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $48.82 | -5.20% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $47.70 | $0.365 | -1.55% | 4,373.94 | -3.14% |
| 38. | 2022. 3. 31. | $49.56 | 3.90% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $43.59 | -12.05% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $44.42 | $0.365 | 2.74% | 4,132.15 | 0.01% |
| 41. | 2022. 6. 30. | $37.41 | -15.78% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $36.31 | -2.94% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $31.92 | $0.365 | -11.09% | 3,955.00 | -4.24% |
| 44. | 2022. 9. 30. | $25.77 | -19.27% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $28.43 | 10.32% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $30.07 | $0.365 | 7.05% | 4,080.11 | 5.38% |
| 47. | 2022. 12. 31. | $26.43 | -12.11% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $28.26 | 6.92% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $24.93 | $0.365 | -10.49% | 3,970.15 | -2.61% |
| 50. | 2023. 3. 31. | $32.67 | 31.05% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $31.06 | -4.93% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $31.44 | $0.125 | 1.63% | 4,179.83 | 0.25% |
| 53. | 2023. 6. 30. | $33.44 | 6.36% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $35.77 | 6.97% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $35.14 | $0.125 | -1.41% | 4,507.66 | -1.77% |
| 56. | 2023. 9. 30. | $35.55 | 1.17% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $36.50 | 2.67% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $44.70 | $0.125 | 22.81% | 4,567.80 | 8.92% |
| 59. | 2023. 12. 31. | $50.25 | 12.42% | 4,769.83 | 4.42% | |
| 평균의 (R): | 0.81% | 1.11% | ||||
| 표준 편차: | 9.72% | 5.31% | ||||
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. | 2019. 2. 28. | 13.06% | 2.97% | 150.20 | 3.49 | 22.88 |
| 2. | 2019. 3. 31. | 1.40% | 1.79% | 0.35 | 0.47 | 0.41 |
| 3. | 2019. 4. 30. | -4.95% | 3.93% | 33.18 | 7.98 | -16.28 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 22.81% | 8.92% | 484.06 | 61.03 | 171.88 |
| 59. | 2023. 12. 31. | 12.42% | 4.42% | 134.77 | 11.00 | 38.51 |
| 합계 (Σ): | 5,477.67 | 1,634.30 | 1,675.41 | |||
| 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. | 2019. 2. 28. | 13.06% | 2.97% | 150.20 | 3.49 | 22.88 |
| 2. | 2019. 3. 31. | 1.40% | 1.79% | 0.35 | 0.47 | 0.41 |
| 3. | 2019. 4. 30. | -4.95% | 3.93% | 33.18 | 7.98 | -16.28 |
| 4. | 2019. 5. 31. | -13.10% | -6.58% | 193.33 | 59.04 | 106.84 |
| 5. | 2019. 6. 30. | 8.70% | 6.89% | 62.25 | 33.49 | 45.66 |
| 6. | 2019. 7. 31. | 5.60% | 1.31% | 22.96 | 0.04 | 0.99 |
| 7. | 2019. 8. 31. | -5.59% | -1.81% | 40.90 | 8.50 | 18.64 |
| 8. | 2019. 9. 30. | 8.69% | 1.72% | 62.15 | 0.37 | 4.83 |
| 9. | 2019. 10. 31. | 9.70% | 2.04% | 79.14 | 0.88 | 8.34 |
| 10. | 2019. 11. 30. | 3.25% | 3.40% | 5.95 | 5.28 | 5.61 |
| 11. | 2019. 12. 31. | 3.10% | 2.86% | 5.26 | 3.07 | 4.02 |
| 12. | 2020. 1. 31. | 6.82% | -0.16% | 36.12 | 1.61 | -7.62 |
| 13. | 2020. 2. 29. | -12.64% | -8.41% | 180.79 | 90.57 | 127.96 |
| 14. | 2020. 3. 31. | -2.52% | -12.51% | 11.08 | 185.44 | 45.33 |
| 15. | 2020. 4. 30. | 10.83% | 12.68% | 100.42 | 134.06 | 116.03 |
| 16. | 2020. 5. 31. | 5.47% | 4.53% | 21.73 | 11.71 | 15.95 |
| 17. | 2020. 6. 30. | -4.93% | 1.84% | 32.87 | 0.54 | -4.20 |
| 18. | 2020. 7. 31. | -20.22% | 5.51% | 442.30 | 19.40 | -92.63 |
| 19. | 2020. 8. 31. | 7.44% | 7.01% | 43.97 | 34.82 | 39.13 |
| 20. | 2020. 9. 30. | 1.63% | -3.92% | 0.68 | 25.29 | -4.13 |
| 21. | 2020. 10. 31. | -14.48% | -2.77% | 233.82 | 15.00 | 59.21 |
| 22. | 2020. 11. 30. | 9.94% | 10.75% | 83.35 | 93.10 | 88.09 |
| 23. | 2020. 12. 31. | 3.04% | 3.71% | 4.99 | 6.79 | 5.82 |
| 24. | 2021. 1. 31. | 11.42% | -1.11% | 112.66 | 4.93 | -23.56 |
| 25. | 2021. 2. 28. | 10.12% | 2.61% | 86.73 | 2.26 | 14.00 |
| 26. | 2021. 3. 31. | 5.30% | 4.24% | 20.17 | 9.85 | 14.09 |
| 27. | 2021. 4. 30. | -10.11% | 5.24% | 119.16 | 17.11 | -45.16 |
| 28. | 2021. 5. 31. | -0.11% | 0.55% | 0.84 | 0.31 | 0.51 |
| 29. | 2021. 6. 30. | -1.72% | 2.22% | 6.36 | 1.24 | -2.81 |
| 30. | 2021. 7. 31. | -4.31% | 2.27% | 26.19 | 1.37 | -5.98 |
| 31. | 2021. 8. 31. | 1.28% | 2.90% | 0.22 | 3.22 | 0.85 |
| 32. | 2021. 9. 30. | -1.44% | -4.76% | 5.06 | 34.37 | 13.19 |
| 33. | 2021. 10. 31. | -8.03% | 6.91% | 78.14 | 33.74 | -51.35 |
| 34. | 2021. 11. 30. | 1.12% | -0.83% | 0.10 | 3.76 | -0.60 |
| 35. | 2021. 12. 31. | 4.67% | 4.36% | 14.96 | 10.60 | 12.59 |
| 36. | 2022. 1. 31. | -5.20% | -5.26% | 36.13 | 40.51 | 38.25 |
| 37. | 2022. 2. 28. | -1.55% | -3.14% | 5.54 | 17.99 | 9.98 |
| 38. | 2022. 3. 31. | 3.90% | 3.58% | 9.56 | 6.11 | 7.64 |
| 39. | 2022. 4. 30. | -12.05% | -8.80% | 165.20 | 98.04 | 127.26 |
| 40. | 2022. 5. 31. | 2.74% | 0.01% | 3.74 | 1.21 | -2.13 |
| 41. | 2022. 6. 30. | -15.78% | -8.39% | 275.16 | 90.21 | 157.55 |
| 42. | 2022. 7. 31. | -2.94% | 9.11% | 14.04 | 64.09 | -30.00 |
| 43. | 2022. 8. 31. | -11.09% | -4.24% | 141.42 | 28.62 | 63.62 |
| 44. | 2022. 9. 30. | -19.27% | -9.34% | 402.96 | 109.11 | 209.68 |
| 45. | 2022. 10. 31. | 10.32% | 7.99% | 90.54 | 47.34 | 65.47 |
| 46. | 2022. 11. 30. | 7.05% | 5.38% | 39.01 | 18.23 | 26.66 |
| 47. | 2022. 12. 31. | -12.11% | -5.90% | 166.72 | 49.04 | 90.42 |
| 48. | 2023. 1. 31. | 6.92% | 6.18% | 37.42 | 25.70 | 31.01 |
| 49. | 2023. 2. 28. | -10.49% | -2.61% | 127.66 | 13.82 | 42.00 |
| 50. | 2023. 3. 31. | 31.05% | 3.51% | 914.46 | 5.76 | 72.56 |
| 51. | 2023. 4. 30. | -4.93% | 1.46% | 32.89 | 0.13 | -2.06 |
| 52. | 2023. 5. 31. | 1.63% | 0.25% | 0.67 | 0.74 | -0.70 |
| 53. | 2023. 6. 30. | 6.36% | 4.71% | 30.85 | 13.02 | 20.04 |
| 54. | 2023. 7. 31. | 6.97% | 4.85% | 37.96 | 13.99 | 23.04 |
| 55. | 2023. 8. 31. | -1.41% | -1.77% | 4.92 | 8.28 | 6.38 |
| 56. | 2023. 9. 30. | 1.17% | -4.87% | 0.13 | 35.73 | -2.15 |
| 57. | 2023. 10. 31. | 2.67% | -2.20% | 3.48 | 10.92 | -6.16 |
| 58. | 2023. 11. 30. | 22.81% | 8.92% | 484.06 | 61.03 | 171.88 |
| 59. | 2023. 12. 31. | 12.42% | 4.42% | 134.77 | 11.00 | 38.51 |
| 합계 (Σ): | 5,477.67 | 1,634.30 | 1,675.41 | |||
모두 보기
분산INTC = Σ(RINTC,t–RINTC)2 ÷ (59 – 1)
= 5,477.67 ÷ (59 – 1)
= 94.44
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산INTC, S&P 500 = Σ(RINTC,t–RINTC)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,675.41 ÷ (59 – 1)
= 28.89
체계적인 위험 추정 (β)
| 분산INTC | 94.44 |
| 분산S&P 500 | 28.18 |
| 공분산INTC, S&P 500 | 28.89 |
| 상관 계수INTC, S&P 5001 | 0.56 |
| βINTC2 | 1.03 |
| αINTC3 | -0.33% |
계산
1 상관 계수INTC, S&P 500
= 공분산INTC, S&P 500 ÷ (표준 편차INTC × 표준 편차S&P 500)
= 28.89 ÷ (9.72% × 5.31%)
= 0.56
2 βINTC
= 공분산INTC, S&P 500 ÷ 분산S&P 500
= 28.89 ÷ 28.18
= 1.03
3 αINTC
= 평균의INTC – βINTC × 평균의S&P 500
= 0.81% – 1.03 × 1.11%
= -0.33%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.07% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.86% |
| 보통주의 체계적 위험Intel | βINTC | 1.03 |
| 인텔 보통주에 대한 예상 수익률3 | E(RINTC) | 14.11% |
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]
= 4.07% + 1.03 [13.86% – 4.07%]
= 14.11%