자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Monster Beverage의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
Monster Beverage Corp., 월별 수익률
| Monster Beverage Corp. (MNST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MNST,t1 | 피제수MNST,t1 | RMNST,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $28.62 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $31.92 | 11.53% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $27.29 | -14.51% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $29.80 | 9.20% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $55.15 | 7.93% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $57.61 | 4.46% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.42% | 1.11% | ||||
| 표준 편차: | 6.88% | 5.31% | ||||
| Monster Beverage Corp. (MNST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MNST,t1 | 피제수MNST,t1 | RMNST,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $28.62 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $31.92 | 11.53% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $27.29 | -14.51% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $29.80 | 9.20% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $30.93 | 3.79% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $31.92 | 3.20% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $32.24 | 1.00% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $29.33 | -9.03% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $29.03 | -1.02% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $28.07 | -3.31% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $29.91 | 6.56% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $31.78 | 6.25% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $33.30 | 4.78% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $31.21 | -6.28% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $28.13 | -9.87% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $30.91 | 9.88% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $35.96 | 16.34% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $34.66 | -3.62% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $39.24 | 13.21% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $41.93 | 6.86% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $40.10 | -4.36% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $38.29 | -4.51% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $42.39 | 10.71% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $46.24 | 9.08% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $43.42 | -6.10% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $43.87 | 1.04% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $45.54 | 3.81% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $48.53 | 6.57% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $47.13 | -2.88% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $45.67 | -3.10% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $47.16 | 3.26% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $48.79 | 3.46% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $44.42 | -8.96% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $42.50 | -4.32% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $41.89 | -1.44% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $48.02 | 14.63% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $43.36 | -9.70% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $42.20 | -2.68% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $39.95 | -5.33% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $42.84 | 7.23% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $44.56 | 4.01% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $46.35 | 4.02% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $49.81 | 7.46% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $44.42 | -10.82% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $43.48 | -2.12% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $46.86 | 7.77% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $51.43 | 9.75% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $50.76 | -1.30% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $52.04 | 2.52% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $50.88 | -2.23% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $54.01 | 6.15% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $56.00 | 3.68% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $58.62 | 4.68% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $57.44 | -2.01% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $57.49 | 0.09% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $57.41 | -0.14% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $52.95 | -7.77% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $51.10 | -3.49% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $55.15 | 7.93% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $57.61 | 4.46% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.42% | 1.11% | ||||
| 표준 편차: | 6.88% | 5.31% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 MNST의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Monster Beverage Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMNST,t | RS&P 500,t | (RMNST,t–RMNST)2 | (RS&P 500,t–RS&P 500)2 | (RMNST,t–RMNST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 11.53% | 2.97% | 102.13 | 3.49 | 18.87 |
| 2. | 2019. 3. 31. | -14.51% | 1.79% | 253.74 | 0.47 | -10.94 |
| 3. | 2019. 4. 30. | 9.20% | 3.93% | 60.42 | 7.98 | 21.96 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 7.93% | 8.92% | 42.27 | 61.03 | 50.79 |
| 59. | 2023. 12. 31. | 4.46% | 4.42% | 9.22 | 11.00 | 10.07 |
| 합계 (Σ): | 2,749.24 | 1,634.30 | 1,187.79 | |||
| t | 날짜 | RMNST,t | RS&P 500,t | (RMNST,t–RMNST)2 | (RS&P 500,t–RS&P 500)2 | (RMNST,t–RMNST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 11.53% | 2.97% | 102.13 | 3.49 | 18.87 |
| 2. | 2019. 3. 31. | -14.51% | 1.79% | 253.74 | 0.47 | -10.94 |
| 3. | 2019. 4. 30. | 9.20% | 3.93% | 60.42 | 7.98 | 21.96 |
| 4. | 2019. 5. 31. | 3.79% | -6.58% | 5.61 | 59.04 | -18.19 |
| 5. | 2019. 6. 30. | 3.20% | 6.89% | 3.16 | 33.49 | 10.28 |
| 6. | 2019. 7. 31. | 1.00% | 1.31% | 0.18 | 0.04 | -0.09 |
| 7. | 2019. 8. 31. | -9.03% | -1.81% | 109.21 | 8.50 | 30.46 |
| 8. | 2019. 9. 30. | -1.02% | 1.72% | 5.99 | 0.37 | -1.50 |
| 9. | 2019. 10. 31. | -3.31% | 2.04% | 22.38 | 0.88 | -4.43 |
| 10. | 2019. 11. 30. | 6.56% | 3.40% | 26.32 | 5.28 | 11.79 |
| 11. | 2019. 12. 31. | 6.25% | 2.86% | 23.31 | 3.07 | 8.46 |
| 12. | 2020. 1. 31. | 4.78% | -0.16% | 11.28 | 1.61 | -4.26 |
| 13. | 2020. 2. 29. | -6.28% | -8.41% | 59.30 | 90.57 | 73.29 |
| 14. | 2020. 3. 31. | -9.87% | -12.51% | 127.53 | 185.44 | 153.78 |
| 15. | 2020. 4. 30. | 9.88% | 12.68% | 71.55 | 134.06 | 97.94 |
| 16. | 2020. 5. 31. | 16.34% | 4.53% | 222.41 | 11.71 | 51.04 |
| 17. | 2020. 6. 30. | -3.62% | 1.84% | 25.40 | 0.54 | -3.69 |
| 18. | 2020. 7. 31. | 13.21% | 5.51% | 139.00 | 19.40 | 51.93 |
| 19. | 2020. 8. 31. | 6.86% | 7.01% | 29.50 | 34.82 | 32.05 |
| 20. | 2020. 9. 30. | -4.36% | -3.92% | 33.51 | 25.29 | 29.11 |
| 21. | 2020. 10. 31. | -4.51% | -2.77% | 35.26 | 15.00 | 22.99 |
| 22. | 2020. 11. 30. | 10.71% | 10.75% | 86.18 | 93.10 | 89.57 |
| 23. | 2020. 12. 31. | 9.08% | 3.71% | 58.65 | 6.79 | 19.96 |
| 24. | 2021. 1. 31. | -6.10% | -1.11% | 56.59 | 4.93 | 16.70 |
| 25. | 2021. 2. 28. | 1.04% | 2.61% | 0.15 | 2.26 | -0.58 |
| 26. | 2021. 3. 31. | 3.81% | 4.24% | 5.68 | 9.85 | 7.48 |
| 27. | 2021. 4. 30. | 6.57% | 5.24% | 26.43 | 17.11 | 21.27 |
| 28. | 2021. 5. 31. | -2.88% | 0.55% | 18.57 | 0.31 | 2.40 |
| 29. | 2021. 6. 30. | -3.10% | 2.22% | 20.45 | 1.24 | -5.04 |
| 30. | 2021. 7. 31. | 3.26% | 2.27% | 3.38 | 1.37 | 2.15 |
| 31. | 2021. 8. 31. | 3.46% | 2.90% | 4.13 | 3.22 | 3.64 |
| 32. | 2021. 9. 30. | -8.96% | -4.76% | 107.77 | 34.37 | 60.86 |
| 33. | 2021. 10. 31. | -4.32% | 6.91% | 33.02 | 33.74 | -33.38 |
| 34. | 2021. 11. 30. | -1.44% | -0.83% | 8.18 | 3.76 | 5.55 |
| 35. | 2021. 12. 31. | 14.63% | 4.36% | 174.49 | 10.60 | 43.00 |
| 36. | 2022. 1. 31. | -9.70% | -5.26% | 123.84 | 40.51 | 70.83 |
| 37. | 2022. 2. 28. | -2.68% | -3.14% | 16.81 | 17.99 | 17.39 |
| 38. | 2022. 3. 31. | -5.33% | 3.58% | 45.64 | 6.11 | -16.70 |
| 39. | 2022. 4. 30. | 7.23% | -8.80% | 33.75 | 98.04 | -57.53 |
| 40. | 2022. 5. 31. | 4.01% | 0.01% | 6.71 | 1.21 | -2.85 |
| 41. | 2022. 6. 30. | 4.02% | -8.39% | 6.72 | 90.21 | -24.63 |
| 42. | 2022. 7. 31. | 7.46% | 9.11% | 36.49 | 64.09 | 48.36 |
| 43. | 2022. 8. 31. | -10.82% | -4.24% | 149.95 | 28.62 | 65.51 |
| 44. | 2022. 9. 30. | -2.12% | -9.34% | 12.53 | 109.11 | 36.98 |
| 45. | 2022. 10. 31. | 7.77% | 7.99% | 40.32 | 47.34 | 43.69 |
| 46. | 2022. 11. 30. | 9.75% | 5.38% | 69.36 | 18.23 | 35.56 |
| 47. | 2022. 12. 31. | -1.30% | -5.90% | 7.44 | 49.04 | 19.10 |
| 48. | 2023. 1. 31. | 2.52% | 6.18% | 1.20 | 25.70 | 5.56 |
| 49. | 2023. 2. 28. | -2.23% | -2.61% | 13.35 | 13.82 | 13.58 |
| 50. | 2023. 3. 31. | 6.15% | 3.51% | 22.35 | 5.76 | 11.34 |
| 51. | 2023. 4. 30. | 3.68% | 1.46% | 5.11 | 0.13 | 0.81 |
| 52. | 2023. 5. 31. | 4.68% | 0.25% | 10.59 | 0.74 | -2.79 |
| 53. | 2023. 6. 30. | -2.01% | 4.71% | 11.81 | 13.02 | -12.40 |
| 54. | 2023. 7. 31. | 0.09% | 4.85% | 1.79 | 13.99 | -5.00 |
| 55. | 2023. 8. 31. | -0.14% | -1.77% | 2.44 | 8.28 | 4.50 |
| 56. | 2023. 9. 30. | -7.77% | -4.87% | 84.51 | 35.73 | 54.95 |
| 57. | 2023. 10. 31. | -3.49% | -2.20% | 24.19 | 10.92 | 16.25 |
| 58. | 2023. 11. 30. | 7.93% | 8.92% | 42.27 | 61.03 | 50.79 |
| 59. | 2023. 12. 31. | 4.46% | 4.42% | 9.22 | 11.00 | 10.07 |
| 합계 (Σ): | 2,749.24 | 1,634.30 | 1,187.79 | |||
모두 보기
분산MNST = Σ(RMNST,t–RMNST)2 ÷ (59 – 1)
= 2,749.24 ÷ (59 – 1)
= 47.40
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산MNST, S&P 500 = Σ(RMNST,t–RMNST)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,187.79 ÷ (59 – 1)
= 20.48
체계적인 위험 추정 (β)
| 분산MNST | 47.40 |
| 분산S&P 500 | 28.18 |
| 공분산MNST, S&P 500 | 20.48 |
| 상관 계수MNST, S&P 5001 | 0.56 |
| βMNST2 | 0.73 |
| αMNST3 | 0.62% |
계산
1 상관 계수MNST, S&P 500
= 공분산MNST, S&P 500 ÷ (표준 편차MNST × 표준 편차S&P 500)
= 20.48 ÷ (6.88% × 5.31%)
= 0.56
2 βMNST
= 공분산MNST, S&P 500 ÷ 분산S&P 500
= 20.48 ÷ 28.18
= 0.73
3 αMNST
= 평균의MNST – βMNST × 평균의S&P 500
= 1.42% – 0.73 × 1.11%
= 0.62%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.76% |
| 보통주의 체계적 위험Monster Beverage | βMNST | 0.73 |
| Monster Beverage 보통주의 예상 수익률3 | E(RMNST) | 12.07% |
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(RMNST) = RF + βMNST [E(RM) – RF]
= 4.91% + 0.73 [14.76% – 4.91%]
= 12.07%