Stock Analysis on Net

Micron Technology Inc. (NASDAQ:MU) 

자본 자산 가격 책정 모델 (CAPM)

Microsoft Excel

수익률

Micron Technology Inc., 월별 수익률

Microsoft Excel
Micron Technology Inc. (MU) Standard & Poor’s 500 (S&P 500)
t 날짜 MU,t1 피제수MU,t1 RMU,t2 S&P 500,t RS&P 500,t3
2018. 9. 30. $45.23 2,913.98
1. 2018. 10. 31. $37.72 -16.60% 2,711.74 -6.94%
2. 2018. 11. 30. $38.56 2.23% 2,760.17 1.79%
3. 2018. 12. 31. $31.73 -17.71% 2,506.85 -9.18%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2024. 7. 31. $109.82 $0.115 -16.42% 5,522.30 1.13%
71. 2024. 8. 31. $96.24 -12.37% 5,648.40 2.28%
평균의 (R): 1.77% 1.07%
표준 편차: 11.75% 5.24%
Micron Technology Inc. (MU) Standard & Poor’s 500 (S&P 500)
t 날짜 MU,t1 피제수MU,t1 RMU,t2 S&P 500,t RS&P 500,t3
2018. 9. 30. $45.23 2,913.98
1. 2018. 10. 31. $37.72 -16.60% 2,711.74 -6.94%
2. 2018. 11. 30. $38.56 2.23% 2,760.17 1.79%
3. 2018. 12. 31. $31.73 -17.71% 2,506.85 -9.18%
4. 2019. 1. 31. $38.22 20.45% 2,704.10 7.87%
5. 2019. 2. 28. $40.88 6.96% 2,784.49 2.97%
6. 2019. 3. 31. $41.33 1.10% 2,834.40 1.79%
7. 2019. 4. 30. $42.06 1.77% 2,945.83 3.93%
8. 2019. 5. 31. $32.61 -22.47% 2,752.06 -6.58%
9. 2019. 6. 30. $38.59 18.34% 2,941.76 6.89%
10. 2019. 7. 31. $44.89 16.33% 2,980.38 1.31%
11. 2019. 8. 31. $45.27 0.85% 2,926.46 -1.81%
12. 2019. 9. 30. $42.85 -5.35% 2,976.74 1.72%
13. 2019. 10. 31. $47.55 10.97% 3,037.56 2.04%
14. 2019. 11. 30. $47.51 -0.08% 3,140.98 3.40%
15. 2019. 12. 31. $53.78 13.20% 3,230.78 2.86%
16. 2020. 1. 31. $53.09 -1.28% 3,225.52 -0.16%
17. 2020. 2. 29. $52.56 -1.00% 2,954.22 -8.41%
18. 2020. 3. 31. $42.06 -19.98% 2,584.59 -12.51%
19. 2020. 4. 30. $47.89 13.86% 2,912.43 12.68%
20. 2020. 5. 31. $47.91 0.04% 3,044.31 4.53%
21. 2020. 6. 30. $51.52 7.53% 3,100.29 1.84%
22. 2020. 7. 31. $50.06 -2.83% 3,271.12 5.51%
23. 2020. 8. 31. $45.51 -9.09% 3,500.31 7.01%
24. 2020. 9. 30. $46.96 3.19% 3,363.00 -3.92%
25. 2020. 10. 31. $50.34 7.20% 3,269.96 -2.77%
26. 2020. 11. 30. $64.09 27.31% 3,621.63 10.75%
27. 2020. 12. 31. $75.18 17.30% 3,756.07 3.71%
28. 2021. 1. 31. $78.27 4.11% 3,714.24 -1.11%
29. 2021. 2. 28. $91.53 16.94% 3,811.15 2.61%
30. 2021. 3. 31. $88.21 -3.63% 3,972.89 4.24%
31. 2021. 4. 30. $86.07 -2.43% 4,181.17 5.24%
32. 2021. 5. 31. $84.14 -2.24% 4,204.11 0.55%
33. 2021. 6. 30. $84.98 1.00% 4,297.50 2.22%
34. 2021. 7. 31. $77.58 -8.71% 4,395.26 2.27%
35. 2021. 8. 31. $73.70 -5.00% 4,522.68 2.90%
36. 2021. 9. 30. $70.98 $0.10 -3.55% 4,307.54 -4.76%
37. 2021. 10. 31. $69.10 -2.65% 4,605.38 6.91%
38. 2021. 11. 30. $84.00 21.56% 4,567.00 -0.83%
39. 2021. 12. 31. $93.15 $0.10 11.01% 4,766.18 4.36%
40. 2022. 1. 31. $82.27 -11.68% 4,515.55 -5.26%
41. 2022. 2. 28. $88.86 8.01% 4,373.94 -3.14%
42. 2022. 3. 31. $77.89 -12.35% 4,530.41 3.58%
43. 2022. 4. 30. $68.19 $0.10 -12.33% 4,131.93 -8.80%
44. 2022. 5. 31. $73.84 8.29% 4,132.15 0.01%
45. 2022. 6. 30. $55.28 -25.14% 3,785.38 -8.39%
46. 2022. 7. 31. $61.86 $0.115 12.11% 4,130.29 9.11%
47. 2022. 8. 31. $56.53 -8.62% 3,955.00 -4.24%
48. 2022. 9. 30. $50.10 -11.37% 3,585.62 -9.34%
49. 2022. 10. 31. $54.10 $0.115 8.21% 3,871.98 7.99%
50. 2022. 11. 30. $57.65 6.56% 4,080.11 5.38%
51. 2022. 12. 31. $49.98 $0.115 -13.10% 3,839.50 -5.90%
52. 2023. 1. 31. $60.30 20.65% 4,076.60 6.18%
53. 2023. 2. 28. $57.82 -4.11% 3,970.15 -2.61%
54. 2023. 3. 31. $60.34 4.36% 4,109.31 3.51%
55. 2023. 4. 30. $64.36 $0.115 6.85% 4,169.48 1.46%
56. 2023. 5. 31. $68.20 5.97% 4,179.83 0.25%
57. 2023. 6. 30. $63.11 -7.46% 4,376.86 4.71%
58. 2023. 7. 31. $71.39 $0.115 13.30% 4,588.96 4.85%
59. 2023. 8. 31. $69.94 -2.03% 4,507.66 -1.77%
60. 2023. 9. 30. $68.03 -2.73% 4,288.05 -4.87%
61. 2023. 10. 31. $66.87 $0.115 -1.54% 4,193.80 -2.20%
62. 2023. 11. 30. $76.12 13.83% 4,567.80 8.92%
63. 2023. 12. 31. $85.34 $0.115 12.26% 4,769.83 4.42%
64. 2024. 1. 31. $85.75 0.48% 4,845.65 1.59%
65. 2024. 2. 29. $90.61 5.67% 5,096.27 5.17%
66. 2024. 3. 31. $117.89 $0.115 30.23% 5,254.35 3.10%
67. 2024. 4. 30. $112.96 -4.18% 5,035.69 -4.16%
68. 2024. 5. 31. $125.00 10.66% 5,277.51 4.80%
69. 2024. 6. 30. $131.53 5.22% 5,460.48 3.47%
70. 2024. 7. 31. $109.82 $0.115 -16.42% 5,522.30 1.13%
71. 2024. 8. 31. $96.24 -12.37% 5,648.40 2.28%
평균의 (R): 1.77% 1.07%
표준 편차: 11.75% 5.24%

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

Microsoft Excel
t 날짜 RMU,t RS&P 500,t (RMU,tRMU)2 (RS&P 500,tRS&P 500)2 (RMU,tRMU)×(RS&P 500,tRS&P 500)
1. 2018. 10. 31. -16.60% -6.94% 337.72 64.21 147.26
2. 2018. 11. 30. 2.23% 1.79% 0.21 0.51 0.32
3. 2018. 12. 31. -17.71% -9.18% 379.70 105.07 199.74
. . . . . . .
. . . . . . .
. . . . . . .
70. 2024. 7. 31. -16.42% 1.13% 330.93 0.00 -1.08
71. 2024. 8. 31. -12.37% 2.28% 199.91 1.47 -17.12
합계 (Σ): 9,656.45 1,920.03 2,682.34
t 날짜 RMU,t RS&P 500,t (RMU,tRMU)2 (RS&P 500,tRS&P 500)2 (RMU,tRMU)×(RS&P 500,tRS&P 500)
1. 2018. 10. 31. -16.60% -6.94% 337.72 64.21 147.26
2. 2018. 11. 30. 2.23% 1.79% 0.21 0.51 0.32
3. 2018. 12. 31. -17.71% -9.18% 379.70 105.07 199.74
4. 2019. 1. 31. 20.45% 7.87% 348.97 46.18 126.95
5. 2019. 2. 28. 6.96% 2.97% 26.90 3.61 9.86
6. 2019. 3. 31. 1.10% 1.79% 0.45 0.52 -0.48
7. 2019. 4. 30. 1.77% 3.93% 0.00 8.17 -0.02
8. 2019. 5. 31. -22.47% -6.58% 587.63 58.53 185.46
9. 2019. 6. 30. 18.34% 6.89% 274.39 33.88 96.41
10. 2019. 7. 31. 16.33% 1.31% 211.77 0.06 3.49
11. 2019. 8. 31. 0.85% -1.81% 0.86 8.31 2.67
12. 2019. 9. 30. -5.35% 1.72% 50.68 0.42 -4.59
13. 2019. 10. 31. 10.97% 2.04% 84.55 0.94 8.92
14. 2019. 11. 30. -0.08% 3.40% 3.45 5.44 -4.33
15. 2019. 12. 31. 13.20% 2.86% 130.51 3.19 20.41
16. 2020. 1. 31. -1.28% -0.16% 9.34 1.53 3.78
17. 2020. 2. 29. -1.00% -8.41% 7.68 89.94 26.28
18. 2020. 3. 31. -19.98% -12.51% 473.08 184.54 295.47
19. 2020. 4. 30. 13.86% 12.68% 146.12 134.83 140.36
20. 2020. 5. 31. 0.04% 4.53% 3.00 11.94 -5.98
21. 2020. 6. 30. 7.53% 1.84% 33.20 0.59 4.41
22. 2020. 7. 31. -2.83% 5.51% 21.22 19.69 -20.44
23. 2020. 8. 31. -9.09% 7.01% 117.99 35.21 -64.45
24. 2020. 9. 30. 3.19% -3.92% 2.00 24.96 -7.06
25. 2020. 10. 31. 7.20% -2.77% 29.42 14.74 -20.83
26. 2020. 11. 30. 27.31% 10.75% 652.35 93.74 247.28
27. 2020. 12. 31. 17.30% 3.71% 241.20 6.97 40.99
28. 2021. 1. 31. 4.11% -1.11% 5.46 4.78 -5.11
29. 2021. 2. 28. 16.94% 2.61% 230.07 2.36 23.30
30. 2021. 3. 31. -3.63% 4.24% 29.16 10.06 -17.12
31. 2021. 4. 30. -2.43% 5.24% 17.63 17.39 -17.51
32. 2021. 5. 31. -2.24% 0.55% 16.12 0.27 2.10
33. 2021. 6. 30. 1.00% 2.22% 0.60 1.32 -0.89
34. 2021. 7. 31. -8.71% 2.27% 109.85 1.44 -12.60
35. 2021. 8. 31. -5.00% 2.90% 45.89 3.34 -12.37
36. 2021. 9. 30. -3.55% -4.76% 28.39 33.99 31.06
37. 2021. 10. 31. -2.65% 6.91% 19.55 34.12 -25.83
38. 2021. 11. 30. 21.56% -0.83% 391.64 3.63 -37.72
39. 2021. 12. 31. 11.01% 4.36% 85.35 10.81 30.38
40. 2022. 1. 31. -11.68% -5.26% 180.99 40.09 85.18
41. 2022. 2. 28. 8.01% -3.14% 38.90 17.71 -26.25
42. 2022. 3. 31. -12.35% 3.58% 199.33 6.27 -35.36
43. 2022. 4. 30. -12.33% -8.80% 198.76 97.39 139.13
44. 2022. 5. 31. 8.29% 0.01% 42.41 1.14 -6.95
45. 2022. 6. 30. -25.14% -8.39% 724.07 89.58 254.68
46. 2022. 7. 31. 12.11% 9.11% 106.87 64.62 83.11
47. 2022. 8. 31. -8.62% -4.24% 107.94 28.27 55.24
48. 2022. 9. 30. -11.37% -9.34% 172.86 108.42 136.90
49. 2022. 10. 31. 8.21% 7.99% 41.48 47.80 44.53
50. 2022. 11. 30. 6.56% 5.38% 22.93 18.51 20.60
51. 2022. 12. 31. -13.10% -5.90% 221.36 48.58 103.70
52. 2023. 1. 31. 20.65% 6.18% 356.27 26.04 96.31
53. 2023. 2. 28. -4.11% -2.61% 34.64 13.57 21.68
54. 2023. 3. 31. 4.36% 3.51% 6.68 5.92 6.29
55. 2023. 4. 30. 6.85% 1.46% 25.80 0.15 1.99
56. 2023. 5. 31. 5.97% 0.25% 17.58 0.68 -3.46
57. 2023. 6. 30. -7.46% 4.71% 85.31 13.26 -33.63
58. 2023. 7. 31. 13.30% 4.85% 132.92 14.24 43.50
59. 2023. 8. 31. -2.03% -1.77% 14.47 8.09 10.82
60. 2023. 9. 30. -2.73% -4.87% 20.29 35.34 26.78
61. 2023. 10. 31. -1.54% -2.20% 10.95 10.70 10.82
62. 2023. 11. 30. 13.83% 8.92% 145.44 61.55 94.61
63. 2023. 12. 31. 12.26% 4.42% 110.05 11.22 35.14
64. 2024. 1. 31. 0.48% 1.59% 1.67 0.27 -0.67
65. 2024. 2. 29. 5.67% 5.17% 15.17 16.80 15.96
66. 2024. 3. 31. 30.23% 3.10% 810.02 4.12 57.75
67. 2024. 4. 30. -4.18% -4.16% 35.46 27.40 31.17
68. 2024. 5. 31. 10.66% 4.80% 78.95 13.91 33.14
69. 2024. 6. 30. 5.22% 3.47% 11.91 5.73 8.26
70. 2024. 7. 31. -16.42% 1.13% 330.93 0.00 -1.08
71. 2024. 8. 31. -12.37% 2.28% 199.91 1.47 -17.12
합계 (Σ): 9,656.45 1,920.03 2,682.34

모두 보기

분산MU = Σ(RMU,tRMU)2 ÷ (71 – 1)
= 9,656.45 ÷ (71 – 1)
= 137.95

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,920.03 ÷ (71 – 1)
= 27.43

공분산MU, S&P 500 = Σ(RMU,tRMU)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,682.34 ÷ (71 – 1)
= 38.32


체계적인 위험 추정 (β)

Microsoft Excel
분산MU 137.95
분산S&P 500 27.43
공분산MU, S&P 500 38.32
상관 계수MU, S&P 5001 0.62
βMU2 1.40
αMU3 0.27%

계산

1 상관 계수MU, S&P 500
= 공분산MU, S&P 500 ÷ (표준 편차MU × 표준 편차S&P 500)
= 38.32 ÷ (11.75% × 5.24%)
= 0.62

2 βMU
= 공분산MU, S&P 500 ÷ 분산S&P 500
= 38.32 ÷ 27.43
= 1.40

3 αMU
= 평균의MU – βMU × 평균의S&P 500
= 1.77%1.40 × 1.07%
= 0.27%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.30%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.81%
보통주의 체계적 위험Micron βMU 1.40
 
Micron 보통주에 대한 예상 수익률3 E(RMU) 17.58%

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]
= 4.30% + 1.40 [13.81%4.30%]
= 17.58%