자본 자산 가격 책정 모델(CAPM)은 Micron보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
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 |
2017. 9. 30. | $39.33 | 2,519.36 | ||||
1. | 2017. 10. 31. | $44.31 | 12.66% | 2,575.26 | 2.22% | |
2. | 2017. 11. 30. | $42.39 | -4.33% | 2,647.58 | 2.81% | |
3. | 2017. 12. 31. | $41.12 | -3.00% | 2,673.61 | 0.98% | |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
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70. | 2023. 7. 31. | $71.39 | $0.115 | 13.30% | 4,588.96 | 4.85% |
71. | 2023. 8. 31. | $69.94 | -2.03% | 4,507.66 | -1.77% | |
평균의 (R): | 1.49% | 0.95% | ||||
표준 편차: | 11.53% | 5.08% |
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 |
2017. 9. 30. | $39.33 | 2,519.36 | ||||
1. | 2017. 10. 31. | $44.31 | 12.66% | 2,575.26 | 2.22% | |
2. | 2017. 11. 30. | $42.39 | -4.33% | 2,647.58 | 2.81% | |
3. | 2017. 12. 31. | $41.12 | -3.00% | 2,673.61 | 0.98% | |
4. | 2018. 1. 31. | $43.72 | 6.32% | 2,823.81 | 5.62% | |
5. | 2018. 2. 28. | $48.81 | 11.64% | 2,713.83 | -3.89% | |
6. | 2018. 3. 31. | $52.14 | 6.82% | 2,640.87 | -2.69% | |
7. | 2018. 4. 30. | $45.98 | -11.81% | 2,648.05 | 0.27% | |
8. | 2018. 5. 31. | $57.59 | 25.25% | 2,705.27 | 2.16% | |
9. | 2018. 6. 30. | $52.44 | -8.94% | 2,718.37 | 0.48% | |
10. | 2018. 7. 31. | $52.79 | 0.67% | 2,816.29 | 3.60% | |
11. | 2018. 8. 31. | $52.52 | -0.51% | 2,901.52 | 3.03% | |
12. | 2018. 9. 30. | $45.23 | -13.88% | 2,913.98 | 0.43% | |
13. | 2018. 10. 31. | $37.72 | -16.60% | 2,711.74 | -6.94% | |
14. | 2018. 11. 30. | $38.56 | 2.23% | 2,760.17 | 1.79% | |
15. | 2018. 12. 31. | $31.73 | -17.71% | 2,506.85 | -9.18% | |
16. | 2019. 1. 31. | $38.22 | 20.45% | 2,704.10 | 7.87% | |
17. | 2019. 2. 28. | $40.88 | 6.96% | 2,784.49 | 2.97% | |
18. | 2019. 3. 31. | $41.33 | 1.10% | 2,834.40 | 1.79% | |
19. | 2019. 4. 30. | $42.06 | 1.77% | 2,945.83 | 3.93% | |
20. | 2019. 5. 31. | $32.61 | -22.47% | 2,752.06 | -6.58% | |
21. | 2019. 6. 30. | $38.59 | 18.34% | 2,941.76 | 6.89% | |
22. | 2019. 7. 31. | $44.89 | 16.33% | 2,980.38 | 1.31% | |
23. | 2019. 8. 31. | $45.27 | 0.85% | 2,926.46 | -1.81% | |
24. | 2019. 9. 30. | $42.85 | -5.35% | 2,976.74 | 1.72% | |
25. | 2019. 10. 31. | $47.55 | 10.97% | 3,037.56 | 2.04% | |
26. | 2019. 11. 30. | $47.51 | -0.08% | 3,140.98 | 3.40% | |
27. | 2019. 12. 31. | $53.78 | 13.20% | 3,230.78 | 2.86% | |
28. | 2020. 1. 31. | $53.09 | -1.28% | 3,225.52 | -0.16% | |
29. | 2020. 2. 29. | $52.56 | -1.00% | 2,954.22 | -8.41% | |
30. | 2020. 3. 31. | $42.06 | -19.98% | 2,584.59 | -12.51% | |
31. | 2020. 4. 30. | $47.89 | 13.86% | 2,912.43 | 12.68% | |
32. | 2020. 5. 31. | $47.91 | 0.04% | 3,044.31 | 4.53% | |
33. | 2020. 6. 30. | $51.52 | 7.53% | 3,100.29 | 1.84% | |
34. | 2020. 7. 31. | $50.06 | -2.83% | 3,271.12 | 5.51% | |
35. | 2020. 8. 31. | $45.51 | -9.09% | 3,500.31 | 7.01% | |
36. | 2020. 9. 30. | $46.96 | 3.19% | 3,363.00 | -3.92% | |
37. | 2020. 10. 31. | $50.34 | 7.20% | 3,269.96 | -2.77% | |
38. | 2020. 11. 30. | $64.09 | 27.31% | 3,621.63 | 10.75% | |
39. | 2020. 12. 31. | $75.18 | 17.30% | 3,756.07 | 3.71% | |
40. | 2021. 1. 31. | $78.27 | 4.11% | 3,714.24 | -1.11% | |
41. | 2021. 2. 28. | $91.53 | 16.94% | 3,811.15 | 2.61% | |
42. | 2021. 3. 31. | $88.21 | -3.63% | 3,972.89 | 4.24% | |
43. | 2021. 4. 30. | $86.07 | -2.43% | 4,181.17 | 5.24% | |
44. | 2021. 5. 31. | $84.14 | -2.24% | 4,204.11 | 0.55% | |
45. | 2021. 6. 30. | $84.98 | 1.00% | 4,297.50 | 2.22% | |
46. | 2021. 7. 31. | $77.58 | -8.71% | 4,395.26 | 2.27% | |
47. | 2021. 8. 31. | $73.70 | -5.00% | 4,522.68 | 2.90% | |
48. | 2021. 9. 30. | $70.98 | $0.10 | -3.55% | 4,307.54 | -4.76% |
49. | 2021. 10. 31. | $69.10 | -2.65% | 4,605.38 | 6.91% | |
50. | 2021. 11. 30. | $84.00 | 21.56% | 4,567.00 | -0.83% | |
51. | 2021. 12. 31. | $93.15 | $0.10 | 11.01% | 4,766.18 | 4.36% |
52. | 2022. 1. 31. | $82.27 | -11.68% | 4,515.55 | -5.26% | |
53. | 2022. 2. 28. | $88.86 | 8.01% | 4,373.94 | -3.14% | |
54. | 2022. 3. 31. | $77.89 | -12.35% | 4,530.41 | 3.58% | |
55. | 2022. 4. 30. | $68.19 | $0.10 | -12.33% | 4,131.93 | -8.80% |
56. | 2022. 5. 31. | $73.84 | 8.29% | 4,132.15 | 0.01% | |
57. | 2022. 6. 30. | $55.28 | -25.14% | 3,785.38 | -8.39% | |
58. | 2022. 7. 31. | $61.86 | $0.115 | 12.11% | 4,130.29 | 9.11% |
59. | 2022. 8. 31. | $56.53 | -8.62% | 3,955.00 | -4.24% | |
60. | 2022. 9. 30. | $50.10 | -11.37% | 3,585.62 | -9.34% | |
61. | 2022. 10. 31. | $54.10 | $0.115 | 8.21% | 3,871.98 | 7.99% |
62. | 2022. 11. 30. | $57.65 | 6.56% | 4,080.11 | 5.38% | |
63. | 2022. 12. 31. | $49.98 | $0.115 | -13.10% | 3,839.50 | -5.90% |
64. | 2023. 1. 31. | $60.30 | 20.65% | 4,076.60 | 6.18% | |
65. | 2023. 2. 28. | $57.82 | -4.11% | 3,970.15 | -2.61% | |
66. | 2023. 3. 31. | $60.34 | 4.36% | 4,109.31 | 3.51% | |
67. | 2023. 4. 30. | $64.36 | $0.115 | 6.85% | 4,169.48 | 1.46% |
68. | 2023. 5. 31. | $68.20 | 5.97% | 4,179.83 | 0.25% | |
69. | 2023. 6. 30. | $63.11 | -7.46% | 4,376.86 | 4.71% | |
70. | 2023. 7. 31. | $71.39 | $0.115 | 13.30% | 4,588.96 | 4.85% |
71. | 2023. 8. 31. | $69.94 | -2.03% | 4,507.66 | -1.77% | |
평균의 (R): | 1.49% | 0.95% | ||||
표준 편차: | 11.53% | 5.08% |
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 MU의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
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. | 2017. 10. 31. | 12.66% | 2.22% | 124.86 | 1.61 | 14.17 |
2. | 2017. 11. 30. | -4.33% | 2.81% | 33.89 | 3.45 | -10.81 |
3. | 2017. 12. 31. | -3.00% | 0.98% | 20.11 | 0.00 | -0.14 |
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70. | 2023. 7. 31. | 13.30% | 4.85% | 139.57 | 15.17 | 46.01 |
71. | 2023. 8. 31. | -2.03% | -1.77% | 12.38 | 7.41 | 9.58 |
합계 (Σ): | 9,304.23 | 1,807.09 | 2,385.62 |
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. | 2017. 10. 31. | 12.66% | 2.22% | 124.86 | 1.61 | 14.17 |
2. | 2017. 11. 30. | -4.33% | 2.81% | 33.89 | 3.45 | -10.81 |
3. | 2017. 12. 31. | -3.00% | 0.98% | 20.11 | 0.00 | -0.14 |
4. | 2018. 1. 31. | 6.32% | 5.62% | 23.38 | 21.78 | 22.56 |
5. | 2018. 2. 28. | 11.64% | -3.89% | 103.11 | 23.48 | -49.21 |
6. | 2018. 3. 31. | 6.82% | -2.69% | 28.45 | 13.25 | -19.41 |
7. | 2018. 4. 30. | -11.81% | 0.27% | 176.95 | 0.46 | 9.04 |
8. | 2018. 5. 31. | 25.25% | 2.16% | 564.63 | 1.46 | 28.75 |
9. | 2018. 6. 30. | -8.94% | 0.48% | 108.80 | 0.22 | 4.87 |
10. | 2018. 7. 31. | 0.67% | 3.60% | 0.67 | 7.03 | -2.18 |
11. | 2018. 8. 31. | -0.51% | 3.03% | 4.00 | 4.31 | -4.15 |
12. | 2018. 9. 30. | -13.88% | 0.43% | 236.19 | 0.27 | 8.02 |
13. | 2018. 10. 31. | -16.60% | -6.94% | 327.32 | 62.28 | 142.77 |
14. | 2018. 11. 30. | 2.23% | 1.79% | 0.55 | 0.70 | 0.62 |
15. | 2018. 12. 31. | -17.71% | -9.18% | 368.67 | 102.59 | 194.48 |
16. | 2019. 1. 31. | 20.45% | 7.87% | 359.70 | 47.85 | 131.19 |
17. | 2019. 2. 28. | 6.96% | 2.97% | 29.94 | 4.09 | 11.06 |
18. | 2019. 3. 31. | 1.10% | 1.79% | 0.15 | 0.71 | -0.33 |
19. | 2019. 4. 30. | 1.77% | 3.93% | 0.08 | 8.88 | 0.83 |
20. | 2019. 5. 31. | -22.47% | -6.58% | 573.89 | 56.68 | 180.36 |
21. | 2019. 6. 30. | 18.34% | 6.89% | 283.92 | 35.31 | 100.12 |
22. | 2019. 7. 31. | 16.33% | 1.31% | 220.15 | 0.13 | 5.37 |
23. | 2019. 8. 31. | 0.85% | -1.81% | 0.41 | 7.62 | 1.77 |
24. | 2019. 9. 30. | -5.35% | 1.72% | 46.70 | 0.59 | -5.24 |
25. | 2019. 10. 31. | 10.97% | 2.04% | 89.88 | 1.19 | 10.35 |
26. | 2019. 11. 30. | -0.08% | 3.40% | 2.47 | 6.02 | -3.86 |
27. | 2019. 12. 31. | 13.20% | 2.86% | 137.10 | 3.64 | 22.34 |
28. | 2020. 1. 31. | -1.28% | -0.16% | 7.68 | 1.24 | 3.09 |
29. | 2020. 2. 29. | -1.00% | -8.41% | 6.18 | 87.65 | 23.28 |
30. | 2020. 3. 31. | -19.98% | -12.51% | 460.76 | 181.25 | 288.99 |
31. | 2020. 4. 30. | 13.86% | 12.68% | 153.09 | 137.67 | 145.18 |
32. | 2020. 5. 31. | 0.04% | 4.53% | 2.09 | 12.80 | -5.17 |
33. | 2020. 6. 30. | 7.53% | 1.84% | 36.56 | 0.79 | 5.37 |
34. | 2020. 7. 31. | -2.83% | 5.51% | 18.68 | 20.78 | -19.70 |
35. | 2020. 8. 31. | -9.09% | 7.01% | 111.88 | 36.67 | -64.05 |
36. | 2020. 9. 30. | 3.19% | -3.92% | 2.88 | 23.76 | -8.28 |
37. | 2020. 10. 31. | 7.20% | -2.77% | 32.60 | 13.82 | -21.23 |
38. | 2020. 11. 30. | 27.31% | 10.75% | 666.99 | 96.11 | 253.19 |
39. | 2020. 12. 31. | 17.30% | 3.71% | 250.14 | 7.62 | 43.67 |
40. | 2021. 1. 31. | 4.11% | -1.11% | 6.88 | 4.26 | -5.41 |
41. | 2021. 2. 28. | 16.94% | 2.61% | 238.80 | 2.75 | 25.62 |
42. | 2021. 3. 31. | -3.63% | 4.24% | 26.17 | 10.84 | -16.84 |
43. | 2021. 4. 30. | -2.43% | 5.24% | 15.32 | 18.42 | -16.80 |
44. | 2021. 5. 31. | -2.24% | 0.55% | 13.92 | 0.16 | 1.50 |
45. | 2021. 6. 30. | 1.00% | 2.22% | 0.24 | 1.61 | -0.62 |
46. | 2021. 7. 31. | -8.71% | 2.27% | 103.96 | 1.75 | -13.50 |
47. | 2021. 8. 31. | -5.00% | 2.90% | 42.11 | 3.79 | -12.64 |
48. | 2021. 9. 30. | -3.55% | -4.76% | 25.43 | 32.58 | 28.79 |
49. | 2021. 10. 31. | -2.65% | 6.91% | 17.11 | 35.56 | -24.67 |
50. | 2021. 11. 30. | 21.56% | -0.83% | 403.00 | 3.18 | -35.82 |
51. | 2021. 12. 31. | 11.01% | 4.36% | 90.70 | 11.63 | 32.48 |
52. | 2022. 1. 31. | -11.68% | -5.26% | 173.40 | 38.56 | 81.77 |
53. | 2022. 2. 28. | 8.01% | -3.14% | 42.54 | 16.71 | -26.66 |
54. | 2022. 3. 31. | -12.35% | 3.58% | 191.36 | 6.90 | -36.33 |
55. | 2022. 4. 30. | -12.33% | -8.80% | 190.80 | 95.00 | 134.63 |
56. | 2022. 5. 31. | 8.29% | 0.01% | 46.21 | 0.89 | -6.43 |
57. | 2022. 6. 30. | -25.14% | -8.39% | 708.81 | 87.29 | 248.75 |
58. | 2022. 7. 31. | 12.11% | 9.11% | 112.85 | 66.59 | 86.69 |
59. | 2022. 8. 31. | -8.62% | -4.24% | 102.10 | 26.99 | 52.49 |
60. | 2022. 9. 30. | -11.37% | -9.34% | 165.45 | 105.90 | 132.36 |
61. | 2022. 10. 31. | 8.21% | 7.99% | 45.23 | 49.49 | 47.32 |
62. | 2022. 11. 30. | 6.56% | 5.38% | 25.74 | 19.57 | 22.45 |
63. | 2022. 12. 31. | -13.10% | -5.90% | 212.96 | 46.90 | 99.94 |
64. | 2023. 1. 31. | 20.65% | 6.18% | 367.11 | 27.29 | 100.10 |
65. | 2023. 2. 28. | -4.11% | -2.61% | 31.37 | 12.69 | 19.95 |
66. | 2023. 3. 31. | 4.36% | 3.51% | 8.24 | 6.52 | 7.33 |
67. | 2023. 4. 30. | 6.85% | 1.46% | 28.78 | 0.26 | 2.75 |
68. | 2023. 5. 31. | 5.97% | 0.25% | 20.06 | 0.49 | -3.15 |
69. | 2023. 6. 30. | -7.46% | 4.71% | 80.13 | 14.16 | -33.68 |
70. | 2023. 7. 31. | 13.30% | 4.85% | 139.57 | 15.17 | 46.01 |
71. | 2023. 8. 31. | -2.03% | -1.77% | 12.38 | 7.41 | 9.58 |
합계 (Σ): | 9,304.23 | 1,807.09 | 2,385.62 |
모두 표시
분산MU = Σ(RMU,t–RMU)2 ÷ (71 – 1)
= 9,304.23 ÷ (71 – 1)
= 132.92
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,807.09 ÷ (71 – 1)
= 25.82
공분산MU, S&P 500 = Σ(RMU,t–RMU)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,385.62 ÷ (71 – 1)
= 34.08
체계적인 위험 추정 (β)
분산MU | 132.92 |
분산S&P 500 | 25.82 |
공분산MU, S&P 500 | 34.08 |
상관 계수MU, S&P 5001 | 0.58 |
βMU2 | 1.32 |
αMU3 | 0.23% |
계산
1 상관 계수MU, S&P 500
= 공분산MU, S&P 500 ÷ (표준 편차MU × 표준 편차S&P 500)
= 34.08 ÷ (11.53% × 5.08%)
= 0.58
2 βMU
= 공분산MU, S&P 500 ÷ 분산S&P 500
= 34.08 ÷ 25.82
= 1.32
3 αMU
= 평균의MU – βMU × 평균의S&P 500
= 1.49% – 1.32 × 0.95%
= 0.23%
예상 수익률
가정 | ||
LT Treasury Composite의 수익률1 | RF | 4.42% |
시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.61% |
보통주의 체계적 위험Micron | βMU | 1.32 |
Micron 보통주에 대한 예상 수익률3 | E(RMU) | 16.55% |
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(RMU) = RF + βMU [E(RM) – RF]
= 4.42% + 1.32 [13.61% – 4.42%]
= 16.55%