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
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%
. . . . . . .
. . . . . . .
. . . . . . .
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 MU,t1 피제수MU,t1 RMU,t2 S&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

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. 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
. . . . . . .
. . . . . . .
. . . . . . .
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,tRMU)2 (RS&P 500,tRS&P 500)2 (RMU,tRMU)×(RS&P 500,tRS&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,tRMU)2 ÷ (71 – 1)
= 9,304.23 ÷ (71 – 1)
= 132.92

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,807.09 ÷ (71 – 1)
= 25.82

공분산MU, S&P 500 = Σ(RMU,tRMU)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 2,385.62 ÷ (71 – 1)
= 34.08


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
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%