자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Meta보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Meta Platforms Inc., 월별 수익률
| Meta Platforms Inc. (META) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값META,t1 | 피제수META,t1 | RMETA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $166.69 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $161.45 | -3.14% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $166.69 | 3.25% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $193.40 | 16.02% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $327.15 | 8.59% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $353.96 | 8.20% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.97% | 1.11% | ||||
| 표준 편차: | 11.55% | 5.31% | ||||
| Meta Platforms Inc. (META) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값META,t1 | 피제수META,t1 | RMETA,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $166.69 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $161.45 | -3.14% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $166.69 | 3.25% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $193.40 | 16.02% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $177.47 | -8.24% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $193.00 | 8.75% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $194.23 | 0.64% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $185.67 | -4.41% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $178.08 | -4.09% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $191.65 | 7.62% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $201.64 | 5.21% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $205.25 | 1.79% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $201.91 | -1.63% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $192.47 | -4.68% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $166.80 | -13.34% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $204.71 | 22.73% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $225.09 | 9.96% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $227.07 | 0.88% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $253.67 | 11.71% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $293.20 | 15.58% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $261.90 | -10.68% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $263.11 | 0.46% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $276.97 | 5.27% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $273.16 | -1.38% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $258.33 | -5.43% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $257.62 | -0.27% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $294.53 | 14.33% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $325.08 | 10.37% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $328.73 | 1.12% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $347.71 | 5.77% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $356.30 | 2.47% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $379.38 | 6.48% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $339.39 | -10.54% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $323.57 | -4.66% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $324.46 | 0.28% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $336.35 | 3.66% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $313.26 | -6.86% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $211.03 | -32.63% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $222.36 | 5.37% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $200.47 | -9.84% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $193.64 | -3.41% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $161.25 | -16.73% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $159.10 | -1.33% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $162.93 | 2.41% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $135.68 | -16.72% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $93.16 | -31.34% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $118.10 | 26.77% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $120.34 | 1.90% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $148.97 | 23.79% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $174.94 | 17.43% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $211.94 | 21.15% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $240.32 | 13.39% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $264.72 | 10.15% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $286.98 | 8.41% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $318.60 | 11.02% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $295.89 | -7.13% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $300.21 | 1.46% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $301.27 | 0.35% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $327.15 | 8.59% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $353.96 | 8.20% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.97% | 1.11% | ||||
| 표준 편차: | 11.55% | 5.31% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 META의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Meta Platforms Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMETA,t | RS&P 500,t | (RMETA,t–RMETA)2 | (RS&P 500,t–RS&P 500)2 | (RMETA,t–RMETA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -3.14% | 2.97% | 26.16 | 3.49 | -9.55 |
| 2. | 2019. 3. 31. | 3.25% | 1.79% | 1.63 | 0.47 | 0.88 |
| 3. | 2019. 4. 30. | 16.02% | 3.93% | 197.49 | 7.98 | 39.71 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 8.59% | 8.92% | 43.82 | 61.03 | 51.71 |
| 59. | 2023. 12. 31. | 8.20% | 4.42% | 38.74 | 11.00 | 20.65 |
| 합계 (Σ): | 7,736.29 | 1,634.30 | 1,894.10 | |||
| t | 날짜 | RMETA,t | RS&P 500,t | (RMETA,t–RMETA)2 | (RS&P 500,t–RS&P 500)2 | (RMETA,t–RMETA)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -3.14% | 2.97% | 26.16 | 3.49 | -9.55 |
| 2. | 2019. 3. 31. | 3.25% | 1.79% | 1.63 | 0.47 | 0.88 |
| 3. | 2019. 4. 30. | 16.02% | 3.93% | 197.49 | 7.98 | 39.71 |
| 4. | 2019. 5. 31. | -8.24% | -6.58% | 104.19 | 59.04 | 78.43 |
| 5. | 2019. 6. 30. | 8.75% | 6.89% | 45.97 | 33.49 | 39.24 |
| 6. | 2019. 7. 31. | 0.64% | 1.31% | 1.78 | 0.04 | -0.28 |
| 7. | 2019. 8. 31. | -4.41% | -1.81% | 40.68 | 8.50 | 18.59 |
| 8. | 2019. 9. 30. | -4.09% | 1.72% | 36.71 | 0.37 | -3.71 |
| 9. | 2019. 10. 31. | 7.62% | 2.04% | 31.92 | 0.88 | 5.30 |
| 10. | 2019. 11. 30. | 5.21% | 3.40% | 10.51 | 5.28 | 7.45 |
| 11. | 2019. 12. 31. | 1.79% | 2.86% | 0.03 | 3.07 | -0.32 |
| 12. | 2020. 1. 31. | -1.63% | -0.16% | 12.95 | 1.61 | 4.56 |
| 13. | 2020. 2. 29. | -4.68% | -8.41% | 44.17 | 90.57 | 63.25 |
| 14. | 2020. 3. 31. | -13.34% | -12.51% | 234.33 | 185.44 | 208.46 |
| 15. | 2020. 4. 30. | 22.73% | 12.68% | 430.86 | 134.06 | 240.34 |
| 16. | 2020. 5. 31. | 9.96% | 4.53% | 63.76 | 11.71 | 27.33 |
| 17. | 2020. 6. 30. | 0.88% | 1.84% | 1.19 | 0.54 | -0.80 |
| 18. | 2020. 7. 31. | 11.71% | 5.51% | 94.94 | 19.40 | 42.91 |
| 19. | 2020. 8. 31. | 15.58% | 7.01% | 185.30 | 34.82 | 80.32 |
| 20. | 2020. 9. 30. | -10.68% | -3.92% | 159.92 | 25.29 | 63.59 |
| 21. | 2020. 10. 31. | 0.46% | -2.77% | 2.28 | 15.00 | 5.84 |
| 22. | 2020. 11. 30. | 5.27% | 10.75% | 10.87 | 93.10 | 31.81 |
| 23. | 2020. 12. 31. | -1.38% | 3.71% | 11.20 | 6.79 | -8.72 |
| 24. | 2021. 1. 31. | -5.43% | -1.11% | 54.76 | 4.93 | 16.42 |
| 25. | 2021. 2. 28. | -0.27% | 2.61% | 5.04 | 2.26 | -3.38 |
| 26. | 2021. 3. 31. | 14.33% | 4.24% | 152.69 | 9.85 | 38.78 |
| 27. | 2021. 4. 30. | 10.37% | 5.24% | 70.59 | 17.11 | 34.76 |
| 28. | 2021. 5. 31. | 1.12% | 0.55% | 0.72 | 0.31 | 0.47 |
| 29. | 2021. 6. 30. | 5.77% | 2.22% | 14.46 | 1.24 | 4.24 |
| 30. | 2021. 7. 31. | 2.47% | 2.27% | 0.25 | 1.37 | 0.58 |
| 31. | 2021. 8. 31. | 6.48% | 2.90% | 20.31 | 3.22 | 8.08 |
| 32. | 2021. 9. 30. | -10.54% | -4.76% | 156.54 | 34.37 | 73.35 |
| 33. | 2021. 10. 31. | -4.66% | 6.91% | 43.98 | 33.74 | -38.52 |
| 34. | 2021. 11. 30. | 0.28% | -0.83% | 2.88 | 3.76 | 3.29 |
| 35. | 2021. 12. 31. | 3.66% | 4.36% | 2.87 | 10.60 | 5.51 |
| 36. | 2022. 1. 31. | -6.86% | -5.26% | 78.07 | 40.51 | 56.23 |
| 37. | 2022. 2. 28. | -32.63% | -3.14% | 1,197.50 | 17.99 | 146.79 |
| 38. | 2022. 3. 31. | 5.37% | 3.58% | 11.55 | 6.11 | 8.40 |
| 39. | 2022. 4. 30. | -9.84% | -8.80% | 139.60 | 98.04 | 116.99 |
| 40. | 2022. 5. 31. | -3.41% | 0.01% | 28.92 | 1.21 | 5.92 |
| 41. | 2022. 6. 30. | -16.73% | -8.39% | 349.60 | 90.21 | 177.59 |
| 42. | 2022. 7. 31. | -1.33% | 9.11% | 10.92 | 64.09 | -26.45 |
| 43. | 2022. 8. 31. | 2.41% | -4.24% | 0.19 | 28.62 | -2.34 |
| 44. | 2022. 9. 30. | -16.72% | -9.34% | 349.53 | 109.11 | 195.28 |
| 45. | 2022. 10. 31. | -31.34% | 7.99% | 1,109.50 | 47.34 | -229.18 |
| 46. | 2022. 11. 30. | 26.77% | 5.38% | 615.06 | 18.23 | 105.88 |
| 47. | 2022. 12. 31. | 1.90% | -5.90% | 0.01 | 49.04 | 0.52 |
| 48. | 2023. 1. 31. | 23.79% | 6.18% | 476.12 | 25.70 | 110.62 |
| 49. | 2023. 2. 28. | 17.43% | -2.61% | 239.09 | 13.82 | -57.48 |
| 50. | 2023. 3. 31. | 21.15% | 3.51% | 367.85 | 5.76 | 46.02 |
| 51. | 2023. 4. 30. | 13.39% | 1.46% | 130.42 | 0.13 | 4.09 |
| 52. | 2023. 5. 31. | 10.15% | 0.25% | 66.95 | 0.74 | -7.02 |
| 53. | 2023. 6. 30. | 8.41% | 4.71% | 41.45 | 13.02 | 23.23 |
| 54. | 2023. 7. 31. | 11.02% | 4.85% | 81.86 | 13.99 | 33.84 |
| 55. | 2023. 8. 31. | -7.13% | -1.77% | 82.79 | 8.28 | 26.18 |
| 56. | 2023. 9. 30. | 1.46% | -4.87% | 0.26 | 35.73 | 3.05 |
| 57. | 2023. 10. 31. | 0.35% | -2.20% | 2.62 | 10.92 | 5.34 |
| 58. | 2023. 11. 30. | 8.59% | 8.92% | 43.82 | 61.03 | 51.71 |
| 59. | 2023. 12. 31. | 8.20% | 4.42% | 38.74 | 11.00 | 20.65 |
| 합계 (Σ): | 7,736.29 | 1,634.30 | 1,894.10 | |||
모두 표시
분산META = Σ(RMETA,t–RMETA)2 ÷ (59 – 1)
= 7,736.29 ÷ (59 – 1)
= 133.38
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산META, S&P 500 = Σ(RMETA,t–RMETA)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,894.10 ÷ (59 – 1)
= 32.66
체계적인 위험 추정 (β)
| 분산META | 133.38 |
| 분산S&P 500 | 28.18 |
| 공분산META, S&P 500 | 32.66 |
| 상관 계수META, S&P 5001 | 0.53 |
| βMETA2 | 1.16 |
| αMETA3 | 0.69% |
계산
1 상관 계수META, S&P 500
= 공분산META, S&P 500 ÷ (표준 편차META × 표준 편차S&P 500)
= 32.66 ÷ (11.55% × 5.31%)
= 0.53
2 βMETA
= 공분산META, S&P 500 ÷ 분산S&P 500
= 32.66 ÷ 28.18
= 1.16
3 αMETA
= 평균의META – βMETA × 평균의S&P 500
= 1.97% – 1.16 × 1.11%
= 0.69%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.82% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.46% |
| 보통주의 체계적 위험Meta | βMETA | 1.16 |
| Meta 보통주의 예상 수익률3 | E(RMETA) | 14.84% |
1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).
2 자세히 보기 »
3 E(RMETA) = RF + βMETA [E(RM) – RF]
= 4.82% + 1.16 [13.46% – 4.82%]
= 14.84%