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 |
| 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 | 값MU,t1 | 피제수MU,t1 | RMU,t2 | 값S&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
| 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. | 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,t–RMU)2 | (RS&P 500,t–RS&P 500)2 | (RMU,t–RMU)×(RS&P 500,t–RS&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,t–RMU)2 ÷ (71 – 1)
= 9,656.45 ÷ (71 – 1)
= 137.95
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,920.03 ÷ (71 – 1)
= 27.43
공분산MU, S&P 500 = Σ(RMU,t–RMU)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,682.34 ÷ (71 – 1)
= 38.32
체계적인 위험 추정 (β)
| 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
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Micron | βMU | 1.40 |
| Micron 보통주에 대한 예상 수익률3 | E(RMU) | 17.41% |
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]
= 4.67% + 1.40 [13.79% – 4.67%]
= 17.41%