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 |
| 2021. 1. 31. | $55.51 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $60.78 | $0.3475 | 10.12% | 3,811.15 | 2.61% |
| 2. | 2021. 3. 31. | $64.00 | 5.30% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $57.53 | -10.11% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $40.56 | 1.43% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $36.90 | -9.02% | 6,845.50 | -0.05% | |
| 평균의 (R): | 0.27% | 1.14% | ||||
| 표준 편차: | 12.74% | 4.37% | ||||
| 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 |
| 2021. 1. 31. | $55.51 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $60.78 | $0.3475 | 10.12% | 3,811.15 | 2.61% |
| 2. | 2021. 3. 31. | $64.00 | 5.30% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $57.53 | -10.11% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $57.12 | $0.3475 | -0.11% | 4,204.11 | 0.55% |
| 5. | 2021. 6. 30. | $56.14 | -1.72% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $53.72 | -4.31% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $54.06 | $0.3475 | 1.28% | 4,522.68 | 2.90% |
| 8. | 2021. 9. 30. | $53.28 | -1.44% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $49.00 | -8.03% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $49.20 | $0.3475 | 1.12% | 4,567.00 | -0.83% |
| 11. | 2021. 12. 31. | $51.50 | 4.67% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $48.82 | -5.20% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $47.70 | $0.365 | -1.55% | 4,373.94 | -3.14% |
| 14. | 2022. 3. 31. | $49.56 | 3.90% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $43.59 | -12.05% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $44.42 | $0.365 | 2.74% | 4,132.15 | 0.01% |
| 17. | 2022. 6. 30. | $37.41 | -15.78% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $36.31 | -2.94% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $31.92 | $0.365 | -11.09% | 3,955.00 | -4.24% |
| 20. | 2022. 9. 30. | $25.77 | -19.27% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $28.43 | 10.32% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $30.07 | $0.365 | 7.05% | 4,080.11 | 5.38% |
| 23. | 2022. 12. 31. | $26.43 | -12.11% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $28.26 | 6.92% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $24.93 | $0.365 | -10.49% | 3,970.15 | -2.61% |
| 26. | 2023. 3. 31. | $32.67 | 31.05% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $31.06 | -4.93% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $31.44 | $0.125 | 1.63% | 4,179.83 | 0.25% |
| 29. | 2023. 6. 30. | $33.44 | 6.36% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $35.77 | 6.97% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $35.14 | $0.125 | -1.41% | 4,507.66 | -1.77% |
| 32. | 2023. 9. 30. | $35.55 | 1.17% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $36.50 | 2.67% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $44.70 | $0.125 | 22.81% | 4,567.80 | 8.92% |
| 35. | 2023. 12. 31. | $50.25 | 12.42% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $43.08 | -14.27% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $43.05 | $0.125 | 0.22% | 5,096.27 | 5.17% |
| 38. | 2024. 3. 31. | $44.17 | 2.60% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $30.47 | -31.02% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $30.85 | $0.125 | 1.66% | 5,277.51 | 4.80% |
| 41. | 2024. 6. 30. | $30.97 | 0.39% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $30.74 | -0.74% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $22.04 | $0.125 | -27.90% | 5,648.40 | 2.28% |
| 44. | 2024. 9. 30. | $23.46 | 6.44% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $21.52 | -8.27% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $24.05 | 11.76% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $20.05 | -16.63% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $19.43 | -3.09% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $23.73 | 22.13% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $22.71 | -4.30% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $20.10 | -11.49% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $19.55 | -2.74% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $22.40 | 14.58% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $19.80 | -11.61% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $24.35 | 22.98% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $33.55 | 37.78% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $39.99 | 19.20% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $40.56 | 1.43% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $36.90 | -9.02% | 6,845.50 | -0.05% | |
| 평균의 (R): | 0.27% | 1.14% | ||||
| 표준 편차: | 12.74% | 4.37% | ||||
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. | 2021. 2. 28. | 10.12% | 2.61% | 96.98 | 2.17 | 14.51 |
| 2. | 2021. 3. 31. | 5.30% | 4.24% | 25.26 | 9.66 | 15.62 |
| 3. | 2021. 4. 30. | -10.11% | 5.24% | 107.77 | 16.86 | -42.63 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | 1.43% | 0.13% | 1.33 | 1.01 | -1.16 |
| 59. | 2025. 12. 31. | -9.02% | -0.05% | 86.41 | 1.41 | 11.05 |
| 합계 (Σ): | 9,406.72 | 1,108.23 | 1,536.08 | |||
| 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. | 2021. 2. 28. | 10.12% | 2.61% | 96.98 | 2.17 | 14.51 |
| 2. | 2021. 3. 31. | 5.30% | 4.24% | 25.26 | 9.66 | 15.62 |
| 3. | 2021. 4. 30. | -10.11% | 5.24% | 107.77 | 16.86 | -42.63 |
| 4. | 2021. 5. 31. | -0.11% | 0.55% | 0.14 | 0.35 | 0.22 |
| 5. | 2021. 6. 30. | -1.72% | 2.22% | 3.95 | 1.18 | -2.16 |
| 6. | 2021. 7. 31. | -4.31% | 2.27% | 21.00 | 1.30 | -5.22 |
| 7. | 2021. 8. 31. | 1.28% | 2.90% | 1.02 | 3.11 | 1.78 |
| 8. | 2021. 9. 30. | -1.44% | -4.76% | 2.94 | 34.73 | 10.11 |
| 9. | 2021. 10. 31. | -8.03% | 6.91% | 68.97 | 33.39 | -47.99 |
| 10. | 2021. 11. 30. | 1.12% | -0.83% | 0.71 | 3.88 | -1.66 |
| 11. | 2021. 12. 31. | 4.67% | 4.36% | 19.38 | 10.40 | 14.20 |
| 12. | 2022. 1. 31. | -5.20% | -5.26% | 29.99 | 40.89 | 35.02 |
| 13. | 2022. 2. 28. | -1.55% | -3.14% | 3.31 | 18.25 | 7.77 |
| 14. | 2022. 3. 31. | 3.90% | 3.58% | 13.16 | 5.96 | 8.85 |
| 15. | 2022. 4. 30. | -12.05% | -8.80% | 151.73 | 98.64 | 122.34 |
| 16. | 2022. 5. 31. | 2.74% | 0.01% | 6.10 | 1.28 | -2.79 |
| 17. | 2022. 6. 30. | -15.78% | -8.39% | 257.71 | 90.79 | 152.96 |
| 18. | 2022. 7. 31. | -2.94% | 9.11% | 10.32 | 63.61 | -25.62 |
| 19. | 2022. 8. 31. | -11.09% | -4.24% | 128.98 | 28.95 | 61.10 |
| 20. | 2022. 9. 30. | -19.27% | -9.34% | 381.77 | 109.74 | 204.68 |
| 21. | 2022. 10. 31. | 10.32% | 7.99% | 101.00 | 46.93 | 68.84 |
| 22. | 2022. 11. 30. | 7.05% | 5.38% | 45.97 | 17.97 | 28.74 |
| 23. | 2022. 12. 31. | -12.11% | -5.90% | 153.19 | 49.47 | 87.05 |
| 24. | 2023. 1. 31. | 6.92% | 6.18% | 44.25 | 25.39 | 33.52 |
| 25. | 2023. 2. 28. | -10.49% | -2.61% | 115.86 | 14.04 | 40.34 |
| 26. | 2023. 3. 31. | 31.05% | 3.51% | 947.09 | 5.61 | 72.91 |
| 27. | 2023. 4. 30. | -4.93% | 1.46% | 27.04 | 0.11 | -1.71 |
| 28. | 2023. 5. 31. | 1.63% | 0.25% | 1.83 | 0.79 | -1.20 |
| 29. | 2023. 6. 30. | 6.36% | 4.71% | 37.08 | 12.80 | 21.79 |
| 30. | 2023. 7. 31. | 6.97% | 4.85% | 44.83 | 13.76 | 24.84 |
| 31. | 2023. 8. 31. | -1.41% | -1.77% | 2.84 | 8.46 | 4.90 |
| 32. | 2023. 9. 30. | 1.17% | -4.87% | 0.80 | 36.10 | -5.38 |
| 33. | 2023. 10. 31. | 2.67% | -2.20% | 5.76 | 11.12 | -8.00 |
| 34. | 2023. 11. 30. | 22.81% | 8.92% | 507.88 | 60.56 | 175.37 |
| 35. | 2023. 12. 31. | 12.42% | 4.42% | 147.48 | 10.80 | 39.91 |
| 36. | 2024. 1. 31. | -14.27% | 1.59% | 211.43 | 0.21 | -6.59 |
| 37. | 2024. 2. 29. | 0.22% | 5.17% | 0.00 | 16.29 | -0.21 |
| 38. | 2024. 3. 31. | 2.60% | 3.10% | 5.43 | 3.86 | 4.58 |
| 39. | 2024. 4. 30. | -31.02% | -4.16% | 978.98 | 28.06 | 165.76 |
| 40. | 2024. 5. 31. | 1.66% | 4.80% | 1.92 | 13.44 | 5.08 |
| 41. | 2024. 6. 30. | 0.39% | 3.47% | 0.01 | 5.43 | 0.27 |
| 42. | 2024. 7. 31. | -0.74% | 1.13% | 1.03 | 0.00 | 0.00 |
| 43. | 2024. 8. 31. | -27.90% | 2.28% | 793.40 | 1.32 | -32.32 |
| 44. | 2024. 9. 30. | 6.44% | 2.02% | 38.08 | 0.78 | 5.45 |
| 45. | 2024. 10. 31. | -8.27% | -0.99% | 72.96 | 4.52 | 18.16 |
| 46. | 2024. 11. 30. | 11.76% | 5.73% | 131.89 | 21.10 | 52.76 |
| 47. | 2024. 12. 31. | -16.63% | -2.50% | 285.75 | 13.21 | 61.45 |
| 48. | 2025. 1. 31. | -3.09% | 2.70% | 11.32 | 2.45 | -5.27 |
| 49. | 2025. 2. 28. | 22.13% | -1.42% | 477.80 | 6.56 | -55.97 |
| 50. | 2025. 3. 31. | -4.30% | -5.75% | 20.89 | 47.48 | 31.49 |
| 51. | 2025. 4. 30. | -11.49% | -0.76% | 138.41 | 3.60 | 22.34 |
| 52. | 2025. 5. 31. | -2.74% | 6.15% | 9.05 | 25.16 | -15.09 |
| 53. | 2025. 6. 30. | 14.58% | 4.96% | 204.66 | 14.63 | 54.71 |
| 54. | 2025. 7. 31. | -11.61% | 2.17% | 141.12 | 1.06 | -12.24 |
| 55. | 2025. 8. 31. | 22.98% | 1.91% | 515.64 | 0.59 | 17.50 |
| 56. | 2025. 9. 30. | 37.78% | 3.53% | 1,407.02 | 5.74 | 89.88 |
| 57. | 2025. 10. 31. | 19.20% | 2.27% | 358.09 | 1.28 | 21.43 |
| 58. | 2025. 11. 30. | 1.43% | 0.13% | 1.33 | 1.01 | -1.16 |
| 59. | 2025. 12. 31. | -9.02% | -0.05% | 86.41 | 1.41 | 11.05 |
| 합계 (Σ): | 9,406.72 | 1,108.23 | 1,536.08 | |||
모두 보기
분산INTC = Σ(RINTC,t–RINTC)2 ÷ (59 – 1)
= 9,406.72 ÷ (59 – 1)
= 162.18
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산INTC, S&P 500 = Σ(RINTC,t–RINTC)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,536.08 ÷ (59 – 1)
= 26.48
체계적인 위험 추정 (β)
| 분산INTC | 162.18 |
| 분산S&P 500 | 19.11 |
| 공분산INTC, S&P 500 | 26.48 |
| 상관 계수INTC, S&P 5001 | 0.48 |
| βINTC2 | 1.39 |
| αINTC3 | -1.30% |
계산
1 상관 계수INTC, S&P 500
= 공분산INTC, S&P 500 ÷ (표준 편차INTC × 표준 편차S&P 500)
= 26.48 ÷ (12.74% × 4.37%)
= 0.48
2 βINTC
= 공분산INTC, S&P 500 ÷ 분산S&P 500
= 26.48 ÷ 19.11
= 1.39
3 αINTC
= 평균의INTC – βINTC × 평균의S&P 500
= 0.27% – 1.39 × 1.14%
= -1.30%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.54% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.38% |
| 보통주의 체계적 위험Intel | βINTC | 1.39 |
| 인텔 보통주에 대한 예상 수익률3 | E(RINTC) | 22.34% |
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]
= 4.54% + 1.39 [17.38% – 4.54%]
= 22.34%