자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 KDP의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Keurig Dr Pepper Inc., 월별 수익률
| Keurig Dr Pepper Inc. (KDP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값KDP,t1 | 피제수KDP,t1 | RKDP,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $119.35 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $116.25 | -2.60% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $118.38 | $0.58 | 2.33% | 2,640.87 | -2.69% |
| 3. | 2018. 4. 30. | $119.96 | 1.33% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 46. | 2021. 11. 30. | $33.99 | -5.82% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $36.86 | 8.44% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.39% | 1.24% | ||||
| 표준 편차: | 5.96% | 4.96% | ||||
| Keurig Dr Pepper Inc. (KDP) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값KDP,t1 | 피제수KDP,t1 | RKDP,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $119.35 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $116.25 | -2.60% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $118.38 | $0.58 | 2.33% | 2,640.87 | -2.69% |
| 3. | 2018. 4. 30. | $119.96 | 1.33% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $119.30 | -0.55% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $122.00 | 2.26% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $24.01 | $103.75 | 4.72% | 2,816.29 | 3.60% |
| 7. | 2018. 8. 31. | $22.80 | -5.04% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $23.17 | 1.62% | 2,913.98 | 0.43% | |
| 9. | 2018. 10. 31. | $26.00 | $0.15 | 12.86% | 2,711.74 | -6.94% |
| 10. | 2018. 11. 30. | $27.00 | 3.85% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $25.64 | -5.04% | 2,506.85 | -9.18% | |
| 12. | 2019. 1. 31. | $27.22 | $0.15 | 6.75% | 2,704.10 | 7.87% |
| 13. | 2019. 2. 28. | $25.15 | -7.60% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $27.97 | 11.21% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $29.07 | $0.15 | 4.47% | 2,945.83 | 3.93% |
| 16. | 2019. 5. 31. | $28.19 | -3.03% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $28.90 | 2.52% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $28.14 | $0.15 | -2.11% | 2,980.38 | 1.31% |
| 19. | 2019. 8. 31. | $27.28 | -3.06% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $27.32 | 0.15% | 2,976.74 | 1.72% | |
| 21. | 2019. 10. 31. | $28.16 | $0.15 | 3.62% | 3,037.56 | 2.04% |
| 22. | 2019. 11. 30. | $30.94 | 9.87% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $28.95 | -6.43% | 3,230.78 | 2.86% | |
| 24. | 2020. 1. 31. | $28.53 | $0.15 | -0.93% | 3,225.52 | -0.16% |
| 25. | 2020. 2. 29. | $27.88 | -2.28% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $24.27 | -12.95% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $26.46 | $0.15 | 9.64% | 2,912.43 | 12.68% |
| 28. | 2020. 5. 31. | $27.92 | 5.52% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $28.40 | 1.72% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $30.59 | $0.15 | 8.24% | 3,271.12 | 5.51% |
| 31. | 2020. 8. 31. | $29.83 | -2.48% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $27.60 | -7.48% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $26.90 | $0.15 | -1.99% | 3,269.96 | -2.77% |
| 34. | 2020. 11. 30. | $30.45 | 13.20% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $32.00 | 5.09% | 3,756.07 | 3.71% | |
| 36. | 2021. 1. 31. | $31.80 | $0.15 | -0.16% | 3,714.24 | -1.11% |
| 37. | 2021. 2. 28. | $30.52 | -4.03% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $34.37 | $0.15 | 13.11% | 3,972.89 | 4.24% |
| 39. | 2021. 4. 30. | $35.85 | 4.31% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $36.96 | 3.10% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $35.24 | $0.1875 | -4.15% | 4,297.50 | 2.22% |
| 42. | 2021. 7. 31. | $35.21 | -0.09% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $35.67 | 1.31% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $34.16 | $0.1875 | -3.71% | 4,307.54 | -4.76% |
| 45. | 2021. 10. 31. | $36.09 | 5.65% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $33.99 | -5.82% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $36.86 | 8.44% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.39% | 1.24% | ||||
| 표준 편차: | 5.96% | 4.96% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 KDP의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Keurig Dr Pepper Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RKDP,t | RS&P 500,t | (RKDP,t–RKDP)2 | (RS&P 500,t–RS&P 500)2 | (RKDP,t–RKDP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -2.60% | -3.89% | 15.91 | 26.38 | 20.48 |
| 2. | 2018. 3. 31. | 2.33% | -2.69% | 0.88 | 15.44 | -3.69 |
| 3. | 2018. 4. 30. | 1.33% | 0.27% | 0.00 | 0.94 | 0.05 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 46. | 2021. 11. 30. | -5.82% | -0.83% | 51.98 | 4.30 | 14.96 |
| 47. | 2021. 12. 31. | 8.44% | 4.36% | 49.74 | 9.73 | 22.00 |
| 합계 (Σ): | 1,634.61 | 1,131.50 | 738.06 | |||
| t | 날짜 | RKDP,t | RS&P 500,t | (RKDP,t–RKDP)2 | (RS&P 500,t–RS&P 500)2 | (RKDP,t–RKDP)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -2.60% | -3.89% | 15.91 | 26.38 | 20.48 |
| 2. | 2018. 3. 31. | 2.33% | -2.69% | 0.88 | 15.44 | -3.69 |
| 3. | 2018. 4. 30. | 1.33% | 0.27% | 0.00 | 0.94 | 0.05 |
| 4. | 2018. 5. 31. | -0.55% | 2.16% | 3.77 | 0.85 | -1.79 |
| 5. | 2018. 6. 30. | 2.26% | 0.48% | 0.76 | 0.57 | -0.66 |
| 6. | 2018. 7. 31. | 4.72% | 3.60% | 11.09 | 5.57 | 7.86 |
| 7. | 2018. 8. 31. | -5.04% | 3.03% | 41.35 | 3.19 | -11.48 |
| 8. | 2018. 9. 30. | 1.62% | 0.43% | 0.05 | 0.66 | -0.19 |
| 9. | 2018. 10. 31. | 12.86% | -6.94% | 131.57 | 66.94 | -93.85 |
| 10. | 2018. 11. 30. | 3.85% | 1.79% | 6.03 | 0.30 | 1.34 |
| 11. | 2018. 12. 31. | -5.04% | -9.18% | 41.32 | 108.55 | 66.97 |
| 12. | 2019. 1. 31. | 6.75% | 7.87% | 28.69 | 43.92 | 35.50 |
| 13. | 2019. 2. 28. | -7.60% | 2.97% | 80.92 | 3.00 | -15.58 |
| 14. | 2019. 3. 31. | 11.21% | 1.79% | 96.47 | 0.30 | 5.41 |
| 15. | 2019. 4. 30. | 4.47% | 3.93% | 9.47 | 7.24 | 8.28 |
| 16. | 2019. 5. 31. | -3.03% | -6.58% | 19.52 | 61.14 | 34.55 |
| 17. | 2019. 6. 30. | 2.52% | 6.89% | 1.27 | 31.94 | 6.37 |
| 18. | 2019. 7. 31. | -2.11% | 1.31% | 12.26 | 0.01 | -0.25 |
| 19. | 2019. 8. 31. | -3.06% | -1.81% | 19.78 | 9.31 | 13.57 |
| 20. | 2019. 9. 30. | 0.15% | 1.72% | 1.55 | 0.23 | -0.59 |
| 21. | 2019. 10. 31. | 3.62% | 2.04% | 4.98 | 0.64 | 1.79 |
| 22. | 2019. 11. 30. | 9.87% | 3.40% | 71.93 | 4.68 | 18.35 |
| 23. | 2019. 12. 31. | -6.43% | 2.86% | 61.20 | 2.62 | -12.66 |
| 24. | 2020. 1. 31. | -0.93% | -0.16% | 5.40 | 1.97 | 3.26 |
| 25. | 2020. 2. 29. | -2.28% | -8.41% | 13.46 | 93.17 | 35.42 |
| 26. | 2020. 3. 31. | -12.95% | -12.51% | 205.62 | 189.15 | 197.21 |
| 27. | 2020. 4. 30. | 9.64% | 12.68% | 68.07 | 130.95 | 94.41 |
| 28. | 2020. 5. 31. | 5.52% | 4.53% | 17.03 | 10.80 | 13.56 |
| 29. | 2020. 6. 30. | 1.72% | 1.84% | 0.11 | 0.36 | 0.20 |
| 30. | 2020. 7. 31. | 8.24% | 5.51% | 46.90 | 18.22 | 29.23 |
| 31. | 2020. 8. 31. | -2.48% | 7.01% | 15.02 | 33.24 | -22.34 |
| 32. | 2020. 9. 30. | -7.48% | -3.92% | 78.62 | 26.67 | 45.79 |
| 33. | 2020. 10. 31. | -1.99% | -2.77% | 11.45 | 16.06 | 13.56 |
| 34. | 2020. 11. 30. | 13.20% | 10.75% | 139.38 | 90.50 | 112.31 |
| 35. | 2020. 12. 31. | 5.09% | 3.71% | 13.68 | 6.11 | 9.14 |
| 36. | 2021. 1. 31. | -0.16% | -1.11% | 2.39 | 5.55 | 3.64 |
| 37. | 2021. 2. 28. | -4.03% | 2.61% | 29.34 | 1.87 | -7.41 |
| 38. | 2021. 3. 31. | 13.11% | 4.24% | 137.24 | 9.02 | 35.18 |
| 39. | 2021. 4. 30. | 4.31% | 5.24% | 8.50 | 16.01 | 11.66 |
| 40. | 2021. 5. 31. | 3.10% | 0.55% | 2.91 | 0.48 | -1.18 |
| 41. | 2021. 6. 30. | -4.15% | 2.22% | 30.66 | 0.96 | -5.43 |
| 42. | 2021. 7. 31. | -0.09% | 2.27% | 2.18 | 1.07 | -1.53 |
| 43. | 2021. 8. 31. | 1.31% | 2.90% | 0.01 | 2.75 | -0.14 |
| 44. | 2021. 9. 30. | -3.71% | -4.76% | 26.00 | 35.98 | 30.58 |
| 45. | 2021. 10. 31. | 5.65% | 6.91% | 18.14 | 32.18 | 24.16 |
| 46. | 2021. 11. 30. | -5.82% | -0.83% | 51.98 | 4.30 | 14.96 |
| 47. | 2021. 12. 31. | 8.44% | 4.36% | 49.74 | 9.73 | 22.00 |
| 합계 (Σ): | 1,634.61 | 1,131.50 | 738.06 | |||
모두 보기
분산KDP = Σ(RKDP,t–RKDP)2 ÷ (47 – 1)
= 1,634.61 ÷ (47 – 1)
= 35.54
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (47 – 1)
= 1,131.50 ÷ (47 – 1)
= 24.60
공분산KDP, S&P 500 = Σ(RKDP,t–RKDP)×(RS&P 500,t–RS&P 500) ÷ (47 – 1)
= 738.06 ÷ (47 – 1)
= 16.04
체계적인 위험 추정 (β)
| 분산KDP | 35.54 |
| 분산S&P 500 | 24.60 |
| 공분산KDP, S&P 500 | 16.04 |
| 상관 계수KDP, S&P 5001 | 0.54 |
| βKDP2 | 0.65 |
| αKDP3 | 0.58% |
계산
1 상관 계수KDP, S&P 500
= 공분산KDP, S&P 500 ÷ (표준 편차KDP × 표준 편차S&P 500)
= 16.04 ÷ (5.96% × 4.96%)
= 0.54
2 βKDP
= 공분산KDP, S&P 500 ÷ 분산S&P 500
= 16.04 ÷ 24.60
= 0.65
3 αKDP
= 평균의KDP – βKDP × 평균의S&P 500
= 1.39% – 0.65 × 1.24%
= 0.58%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.57% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험KDP | βKDP | 0.65 |
| KDP 보통주에 대한 예상 수익률3 | E(RKDP) | 11.30% |
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(RKDP) = RF + βKDP [E(RM) – RF]
= 4.57% + 0.65 [14.89% – 4.57%]
= 11.30%