자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Micron보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Micron Technology Inc., 월별 수익률
| Micron Technology Inc. (MU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MU,t1 | 피제수MU,t1 | RMU,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 9. 30. | $42.85 | 2,976.74 | ||||
| 1. | 2019. 10. 31. | $47.55 | 10.97% | 3,037.56 | 2.04% | |
| 2. | 2019. 11. 30. | $47.51 | -0.08% | 3,140.98 | 3.40% | |
| 3. | 2019. 12. 31. | $53.78 | 13.20% | 3,230.78 | 2.86% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 7. 31. | $109.14 | $0.115 | -11.35% | 6,339.39 | 2.17% |
| 71. | 2025. 8. 31. | $119.01 | 9.04% | 6,460.26 | 1.91% | |
| 평균의 (R): | 2.14% | 1.22% | ||||
| 표준 편차: | 11.68% | 4.97% | ||||
| Micron Technology Inc. (MU) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MU,t1 | 피제수MU,t1 | RMU,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 9. 30. | $42.85 | 2,976.74 | ||||
| 1. | 2019. 10. 31. | $47.55 | 10.97% | 3,037.56 | 2.04% | |
| 2. | 2019. 11. 30. | $47.51 | -0.08% | 3,140.98 | 3.40% | |
| 3. | 2019. 12. 31. | $53.78 | 13.20% | 3,230.78 | 2.86% | |
| 4. | 2020. 1. 31. | $53.09 | -1.28% | 3,225.52 | -0.16% | |
| 5. | 2020. 2. 29. | $52.56 | -1.00% | 2,954.22 | -8.41% | |
| 6. | 2020. 3. 31. | $42.06 | -19.98% | 2,584.59 | -12.51% | |
| 7. | 2020. 4. 30. | $47.89 | 13.86% | 2,912.43 | 12.68% | |
| 8. | 2020. 5. 31. | $47.91 | 0.04% | 3,044.31 | 4.53% | |
| 9. | 2020. 6. 30. | $51.52 | 7.53% | 3,100.29 | 1.84% | |
| 10. | 2020. 7. 31. | $50.06 | -2.83% | 3,271.12 | 5.51% | |
| 11. | 2020. 8. 31. | $45.51 | -9.09% | 3,500.31 | 7.01% | |
| 12. | 2020. 9. 30. | $46.96 | 3.19% | 3,363.00 | -3.92% | |
| 13. | 2020. 10. 31. | $50.34 | 7.20% | 3,269.96 | -2.77% | |
| 14. | 2020. 11. 30. | $64.09 | 27.31% | 3,621.63 | 10.75% | |
| 15. | 2020. 12. 31. | $75.18 | 17.30% | 3,756.07 | 3.71% | |
| 16. | 2021. 1. 31. | $78.27 | 4.11% | 3,714.24 | -1.11% | |
| 17. | 2021. 2. 28. | $91.53 | 16.94% | 3,811.15 | 2.61% | |
| 18. | 2021. 3. 31. | $88.21 | -3.63% | 3,972.89 | 4.24% | |
| 19. | 2021. 4. 30. | $86.07 | -2.43% | 4,181.17 | 5.24% | |
| 20. | 2021. 5. 31. | $84.14 | -2.24% | 4,204.11 | 0.55% | |
| 21. | 2021. 6. 30. | $84.98 | 1.00% | 4,297.50 | 2.22% | |
| 22. | 2021. 7. 31. | $77.58 | -8.71% | 4,395.26 | 2.27% | |
| 23. | 2021. 8. 31. | $73.70 | -5.00% | 4,522.68 | 2.90% | |
| 24. | 2021. 9. 30. | $70.98 | $0.10 | -3.55% | 4,307.54 | -4.76% |
| 25. | 2021. 10. 31. | $69.10 | -2.65% | 4,605.38 | 6.91% | |
| 26. | 2021. 11. 30. | $84.00 | 21.56% | 4,567.00 | -0.83% | |
| 27. | 2021. 12. 31. | $93.15 | $0.10 | 11.01% | 4,766.18 | 4.36% |
| 28. | 2022. 1. 31. | $82.27 | -11.68% | 4,515.55 | -5.26% | |
| 29. | 2022. 2. 28. | $88.86 | 8.01% | 4,373.94 | -3.14% | |
| 30. | 2022. 3. 31. | $77.89 | -12.35% | 4,530.41 | 3.58% | |
| 31. | 2022. 4. 30. | $68.19 | $0.10 | -12.33% | 4,131.93 | -8.80% |
| 32. | 2022. 5. 31. | $73.84 | 8.29% | 4,132.15 | 0.01% | |
| 33. | 2022. 6. 30. | $55.28 | -25.14% | 3,785.38 | -8.39% | |
| 34. | 2022. 7. 31. | $61.86 | $0.115 | 12.11% | 4,130.29 | 9.11% |
| 35. | 2022. 8. 31. | $56.53 | -8.62% | 3,955.00 | -4.24% | |
| 36. | 2022. 9. 30. | $50.10 | -11.37% | 3,585.62 | -9.34% | |
| 37. | 2022. 10. 31. | $54.10 | $0.115 | 8.21% | 3,871.98 | 7.99% |
| 38. | 2022. 11. 30. | $57.65 | 6.56% | 4,080.11 | 5.38% | |
| 39. | 2022. 12. 31. | $49.98 | $0.115 | -13.10% | 3,839.50 | -5.90% |
| 40. | 2023. 1. 31. | $60.30 | 20.65% | 4,076.60 | 6.18% | |
| 41. | 2023. 2. 28. | $57.82 | -4.11% | 3,970.15 | -2.61% | |
| 42. | 2023. 3. 31. | $60.34 | 4.36% | 4,109.31 | 3.51% | |
| 43. | 2023. 4. 30. | $64.36 | $0.115 | 6.85% | 4,169.48 | 1.46% |
| 44. | 2023. 5. 31. | $68.20 | 5.97% | 4,179.83 | 0.25% | |
| 45. | 2023. 6. 30. | $63.11 | -7.46% | 4,376.86 | 4.71% | |
| 46. | 2023. 7. 31. | $71.39 | $0.115 | 13.30% | 4,588.96 | 4.85% |
| 47. | 2023. 8. 31. | $69.94 | -2.03% | 4,507.66 | -1.77% | |
| 48. | 2023. 9. 30. | $68.03 | -2.73% | 4,288.05 | -4.87% | |
| 49. | 2023. 10. 31. | $66.87 | $0.115 | -1.54% | 4,193.80 | -2.20% |
| 50. | 2023. 11. 30. | $76.12 | 13.83% | 4,567.80 | 8.92% | |
| 51. | 2023. 12. 31. | $85.34 | $0.115 | 12.26% | 4,769.83 | 4.42% |
| 52. | 2024. 1. 31. | $85.75 | 0.48% | 4,845.65 | 1.59% | |
| 53. | 2024. 2. 29. | $90.61 | 5.67% | 5,096.27 | 5.17% | |
| 54. | 2024. 3. 31. | $117.89 | $0.115 | 30.23% | 5,254.35 | 3.10% |
| 55. | 2024. 4. 30. | $112.96 | -4.18% | 5,035.69 | -4.16% | |
| 56. | 2024. 5. 31. | $125.00 | 10.66% | 5,277.51 | 4.80% | |
| 57. | 2024. 6. 30. | $131.53 | 5.22% | 5,460.48 | 3.47% | |
| 58. | 2024. 7. 31. | $109.82 | $0.115 | -16.42% | 5,522.30 | 1.13% |
| 59. | 2024. 8. 31. | $96.24 | -12.37% | 5,648.40 | 2.28% | |
| 60. | 2024. 9. 30. | $103.71 | 7.76% | 5,762.48 | 2.02% | |
| 61. | 2024. 10. 31. | $99.65 | $0.115 | -3.80% | 5,705.45 | -0.99% |
| 62. | 2024. 11. 30. | $97.95 | -1.71% | 6,032.38 | 5.73% | |
| 63. | 2024. 12. 31. | $84.16 | $0.115 | -13.96% | 5,881.63 | -2.50% |
| 64. | 2025. 1. 31. | $91.24 | 8.41% | 6,040.53 | 2.70% | |
| 65. | 2025. 2. 28. | $93.63 | 2.62% | 5,954.50 | -1.42% | |
| 66. | 2025. 3. 31. | $86.89 | $0.115 | -7.08% | 5,611.85 | -5.75% |
| 67. | 2025. 4. 30. | $76.95 | -11.44% | 5,569.06 | -0.76% | |
| 68. | 2025. 5. 31. | $94.46 | 22.76% | 5,911.69 | 6.15% | |
| 69. | 2025. 6. 30. | $123.25 | 30.48% | 6,204.95 | 4.96% | |
| 70. | 2025. 7. 31. | $109.14 | $0.115 | -11.35% | 6,339.39 | 2.17% |
| 71. | 2025. 8. 31. | $119.01 | 9.04% | 6,460.26 | 1.91% | |
| 평균의 (R): | 2.14% | 1.22% | ||||
| 표준 편차: | 11.68% | 4.97% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 MU의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Micron Technology Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMU,t | RS&P 500,t | (RMU,t–RMU)2 | (RS&P 500,t–RS&P 500)2 | (RMU,t–RMU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 10. 31. | 10.97% | 2.04% | 77.99 | 0.68 | 7.27 |
| 2. | 2019. 11. 30. | -0.08% | 3.40% | 4.93 | 4.77 | -4.85 |
| 3. | 2019. 12. 31. | 13.20% | 2.86% | 122.33 | 2.69 | 18.13 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 7. 31. | -11.35% | 2.17% | 182.04 | 0.90 | -12.78 |
| 71. | 2025. 8. 31. | 9.04% | 1.91% | 47.70 | 0.47 | 4.74 |
| 합계 (Σ): | 9,541.53 | 1,730.32 | 2,271.90 | |||
| t | 날짜 | RMU,t | RS&P 500,t | (RMU,t–RMU)2 | (RS&P 500,t–RS&P 500)2 | (RMU,t–RMU)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 10. 31. | 10.97% | 2.04% | 77.99 | 0.68 | 7.27 |
| 2. | 2019. 11. 30. | -0.08% | 3.40% | 4.93 | 4.77 | -4.85 |
| 3. | 2019. 12. 31. | 13.20% | 2.86% | 122.33 | 2.69 | 18.13 |
| 4. | 2020. 1. 31. | -1.28% | -0.16% | 11.70 | 1.91 | 4.73 |
| 5. | 2020. 2. 29. | -1.00% | -8.41% | 9.83 | 92.75 | 30.20 |
| 6. | 2020. 3. 31. | -19.98% | -12.51% | 489.04 | 188.56 | 303.67 |
| 7. | 2020. 4. 30. | 13.86% | 12.68% | 137.45 | 131.44 | 134.41 |
| 8. | 2020. 5. 31. | 0.04% | 4.53% | 4.39 | 10.95 | -6.93 |
| 9. | 2020. 6. 30. | 7.53% | 1.84% | 29.14 | 0.38 | 3.34 |
| 10. | 2020. 7. 31. | -2.83% | 5.51% | 24.71 | 18.41 | -21.33 |
| 11. | 2020. 8. 31. | -9.09% | 7.01% | 126.03 | 33.49 | -64.96 |
| 12. | 2020. 9. 30. | 3.19% | -3.92% | 1.10 | 26.45 | -5.39 |
| 13. | 2020. 10. 31. | 7.20% | -2.77% | 25.61 | 15.89 | -20.17 |
| 14. | 2020. 11. 30. | 27.31% | 10.75% | 633.89 | 90.91 | 240.06 |
| 15. | 2020. 12. 31. | 17.30% | 3.71% | 230.03 | 6.21 | 37.80 |
| 16. | 2021. 1. 31. | 4.11% | -1.11% | 3.89 | 5.45 | -4.60 |
| 17. | 2021. 2. 28. | 16.94% | 2.61% | 219.17 | 1.93 | 20.57 |
| 18. | 2021. 3. 31. | -3.63% | 4.24% | 33.23 | 9.14 | -17.43 |
| 19. | 2021. 4. 30. | -2.43% | 5.24% | 20.82 | 16.18 | -18.36 |
| 20. | 2021. 5. 31. | -2.24% | 0.55% | 19.18 | 0.45 | 2.94 |
| 21. | 2021. 6. 30. | 1.00% | 2.22% | 1.30 | 1.00 | -1.14 |
| 22. | 2021. 7. 31. | -8.71% | 2.27% | 117.62 | 1.11 | -11.44 |
| 23. | 2021. 8. 31. | -5.00% | 2.90% | 50.96 | 2.82 | -11.99 |
| 24. | 2021. 9. 30. | -3.55% | -4.76% | 32.40 | 35.72 | 34.02 |
| 25. | 2021. 10. 31. | -2.65% | 6.91% | 22.90 | 32.43 | -27.25 |
| 26. | 2021. 11. 30. | 21.56% | -0.83% | 377.36 | 4.22 | -39.88 |
| 27. | 2021. 12. 31. | 11.01% | 4.36% | 78.76 | 9.87 | 27.88 |
| 28. | 2022. 1. 31. | -11.68% | -5.26% | 190.92 | 41.97 | 89.51 |
| 29. | 2022. 2. 28. | 8.01% | -3.14% | 34.49 | 18.97 | -25.58 |
| 30. | 2022. 3. 31. | -12.35% | 3.58% | 209.74 | 5.56 | -34.14 |
| 31. | 2022. 4. 30. | -12.33% | -8.80% | 209.15 | 100.31 | 144.85 |
| 32. | 2022. 5. 31. | 8.29% | 0.01% | 37.80 | 1.47 | -7.47 |
| 33. | 2022. 6. 30. | -25.14% | -8.39% | 743.79 | 92.39 | 262.14 |
| 34. | 2022. 7. 31. | 12.11% | 9.11% | 99.48 | 62.28 | 78.71 |
| 35. | 2022. 8. 31. | -8.62% | -4.24% | 115.63 | 29.85 | 58.75 |
| 36. | 2022. 9. 30. | -11.37% | -9.34% | 182.56 | 111.50 | 142.67 |
| 37. | 2022. 10. 31. | 8.21% | 7.99% | 36.92 | 45.79 | 41.12 |
| 38. | 2022. 11. 30. | 6.56% | 5.38% | 19.58 | 17.27 | 18.39 |
| 39. | 2022. 12. 31. | -13.10% | -5.90% | 232.32 | 50.65 | 108.48 |
| 40. | 2023. 1. 31. | 20.65% | 6.18% | 342.66 | 24.56 | 91.73 |
| 41. | 2023. 2. 28. | -4.11% | -2.61% | 39.06 | 14.68 | 23.94 |
| 42. | 2023. 3. 31. | 4.36% | 3.51% | 4.93 | 5.22 | 5.08 |
| 43. | 2023. 4. 30. | 6.85% | 1.46% | 22.24 | 0.06 | 1.15 |
| 44. | 2023. 5. 31. | 5.97% | 0.25% | 14.66 | 0.94 | -3.72 |
| 45. | 2023. 6. 30. | -7.46% | 4.71% | 92.17 | 12.21 | -33.54 |
| 46. | 2023. 7. 31. | 13.30% | 4.85% | 124.66 | 13.15 | 40.49 |
| 47. | 2023. 8. 31. | -2.03% | -1.77% | 17.37 | 8.95 | 12.47 |
| 48. | 2023. 9. 30. | -2.73% | -4.87% | 23.70 | 37.11 | 29.65 |
| 49. | 2023. 10. 31. | -1.54% | -2.20% | 13.49 | 11.68 | 12.55 |
| 50. | 2023. 11. 30. | 13.83% | 8.92% | 136.79 | 59.26 | 90.03 |
| 51. | 2023. 12. 31. | 12.26% | 4.42% | 102.54 | 10.26 | 32.44 |
| 52. | 2024. 1. 31. | 0.48% | 1.59% | 2.74 | 0.14 | -0.61 |
| 53. | 2024. 2. 29. | 5.67% | 5.17% | 12.46 | 15.62 | 13.95 |
| 54. | 2024. 3. 31. | 30.23% | 3.10% | 789.43 | 3.54 | 52.88 |
| 55. | 2024. 4. 30. | -4.18% | -4.16% | 39.93 | 28.96 | 34.00 |
| 56. | 2024. 5. 31. | 10.66% | 4.80% | 72.62 | 12.83 | 30.53 |
| 57. | 2024. 6. 30. | 5.22% | 3.47% | 9.53 | 5.05 | 6.94 |
| 58. | 2024. 7. 31. | -16.42% | 1.13% | 344.30 | 0.01 | 1.63 |
| 59. | 2024. 8. 31. | -12.37% | 2.28% | 210.33 | 1.13 | -15.43 |
| 60. | 2024. 9. 30. | 7.76% | 2.02% | 31.64 | 0.64 | 4.50 |
| 61. | 2024. 10. 31. | -3.80% | -0.99% | 35.30 | 4.88 | 13.13 |
| 62. | 2024. 11. 30. | -1.71% | 5.73% | 14.77 | 20.34 | -17.33 |
| 63. | 2024. 12. 31. | -13.96% | -2.50% | 259.16 | 13.83 | 59.87 |
| 64. | 2025. 1. 31. | 8.41% | 2.70% | 39.38 | 2.20 | 9.30 |
| 65. | 2025. 2. 28. | 2.62% | -1.42% | 0.23 | 6.99 | -1.28 |
| 66. | 2025. 3. 31. | -7.08% | -5.75% | 84.88 | 48.64 | 64.25 |
| 67. | 2025. 4. 30. | -11.44% | -0.76% | 184.33 | 3.93 | 26.91 |
| 68. | 2025. 5. 31. | 22.76% | 6.15% | 425.10 | 24.33 | 101.70 |
| 69. | 2025. 6. 30. | 30.48% | 4.96% | 803.23 | 13.99 | 106.02 |
| 70. | 2025. 7. 31. | -11.35% | 2.17% | 182.04 | 0.90 | -12.78 |
| 71. | 2025. 8. 31. | 9.04% | 1.91% | 47.70 | 0.47 | 4.74 |
| 합계 (Σ): | 9,541.53 | 1,730.32 | 2,271.90 | |||
모두 보기
분산MU = Σ(RMU,t–RMU)2 ÷ (71 – 1)
= 9,541.53 ÷ (71 – 1)
= 136.31
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,730.32 ÷ (71 – 1)
= 24.72
공분산MU, S&P 500 = Σ(RMU,t–RMU)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,271.90 ÷ (71 – 1)
= 32.46
체계적인 위험 추정 (β)
| 분산MU | 136.31 |
| 분산S&P 500 | 24.72 |
| 공분산MU, S&P 500 | 32.46 |
| 상관 계수MU, S&P 5001 | 0.56 |
| βMU2 | 1.31 |
| αMU3 | 0.54% |
계산
1 상관 계수MU, S&P 500
= 공분산MU, S&P 500 ÷ (표준 편차MU × 표준 편차S&P 500)
= 32.46 ÷ (11.68% × 4.97%)
= 0.56
2 βMU
= 공분산MU, S&P 500 ÷ 분산S&P 500
= 32.46 ÷ 24.72
= 1.31
3 αMU
= 평균의MU – βMU × 평균의S&P 500
= 2.14% – 1.31 × 1.22%
= 0.54%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.61% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Micron | βMU | 1.31 |
| Micron 보통주에 대한 예상 수익률3 | E(RMU) | 18.11% |
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(RMU) = RF + βMU [E(RM) – RF]
= 4.61% + 1.31 [14.89% – 4.61%]
= 18.11%