자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Netflix보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Netflix Inc., 월별 수익률
| Netflix Inc. (NFLX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NFLX,t1 | 피제수NFLX,t1 | RNFLX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $339.50 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $358.10 | 5.48% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $356.56 | -0.43% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $370.54 | 3.92% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $473.97 | 15.13% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $486.88 | 2.72% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.40% | 1.11% | ||||
| 표준 편차: | 11.79% | 5.31% | ||||
| Netflix Inc. (NFLX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NFLX,t1 | 피제수NFLX,t1 | RNFLX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $339.50 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $358.10 | 5.48% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $356.56 | -0.43% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $370.54 | 3.92% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $343.28 | -7.36% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $367.32 | 7.00% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $322.99 | -12.07% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $293.75 | -9.05% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $267.62 | -8.90% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $287.41 | 7.39% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $314.66 | 9.48% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $323.57 | 2.83% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $345.09 | 6.65% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $369.03 | 6.94% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $375.50 | 1.75% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $419.85 | 11.81% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $419.73 | -0.03% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $455.04 | 8.41% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $488.88 | 7.44% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $529.56 | 8.32% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $500.03 | -5.58% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $475.74 | -4.86% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $490.70 | 3.14% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $540.73 | 10.20% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $532.39 | -1.54% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $538.85 | 1.21% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $521.66 | -3.19% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $513.47 | -1.57% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $502.81 | -2.08% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $528.21 | 5.05% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $517.57 | -2.01% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $569.19 | 9.97% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $610.34 | 7.23% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $690.31 | 13.10% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $641.90 | -7.01% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $602.44 | -6.15% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $427.14 | -29.10% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $394.52 | -7.64% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $374.59 | -5.05% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $190.36 | -49.18% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $197.44 | 3.72% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $174.87 | -11.43% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $224.90 | 28.61% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $223.56 | -0.60% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $235.44 | 5.31% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $291.88 | 23.97% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $305.53 | 4.68% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $294.88 | -3.49% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $353.86 | 20.00% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $322.13 | -8.97% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $345.48 | 7.25% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $329.93 | -4.50% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $395.23 | 19.79% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $440.49 | 11.45% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $438.97 | -0.35% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $433.68 | -1.21% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $377.60 | -12.93% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $411.69 | 9.03% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $473.97 | 15.13% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $486.88 | 2.72% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.40% | 1.11% | ||||
| 표준 편차: | 11.79% | 5.31% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 NFLX의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Netflix Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RNFLX,t | RS&P 500,t | (RNFLX,t–RNFLX)2 | (RS&P 500,t–RS&P 500)2 | (RNFLX,t–RNFLX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 5.48% | 2.97% | 16.61 | 3.49 | 7.61 |
| 2. | 2019. 3. 31. | -0.43% | 1.79% | 3.36 | 0.47 | -1.26 |
| 3. | 2019. 4. 30. | 3.92% | 3.93% | 6.34 | 7.98 | 7.11 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 15.13% | 8.92% | 188.38 | 61.03 | 107.22 |
| 59. | 2023. 12. 31. | 2.72% | 4.42% | 1.75 | 11.00 | 4.38 |
| 합계 (Σ): | 8,063.92 | 1,634.30 | 1,972.99 | |||
| t | 날짜 | RNFLX,t | RS&P 500,t | (RNFLX,t–RNFLX)2 | (RS&P 500,t–RS&P 500)2 | (RNFLX,t–RNFLX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 5.48% | 2.97% | 16.61 | 3.49 | 7.61 |
| 2. | 2019. 3. 31. | -0.43% | 1.79% | 3.36 | 0.47 | -1.26 |
| 3. | 2019. 4. 30. | 3.92% | 3.93% | 6.34 | 7.98 | 7.11 |
| 4. | 2019. 5. 31. | -7.36% | -6.58% | 76.73 | 59.04 | 67.30 |
| 5. | 2019. 6. 30. | 7.00% | 6.89% | 31.36 | 33.49 | 32.41 |
| 6. | 2019. 7. 31. | -12.07% | 1.31% | 181.47 | 0.04 | -2.79 |
| 7. | 2019. 8. 31. | -9.05% | -1.81% | 109.32 | 8.50 | 30.48 |
| 8. | 2019. 9. 30. | -8.90% | 1.72% | 106.05 | 0.37 | -6.31 |
| 9. | 2019. 10. 31. | 7.39% | 2.04% | 35.91 | 0.88 | 5.62 |
| 10. | 2019. 11. 30. | 9.48% | 3.40% | 65.26 | 5.28 | 18.57 |
| 11. | 2019. 12. 31. | 2.83% | 2.86% | 2.04 | 3.07 | 2.51 |
| 12. | 2020. 1. 31. | 6.65% | -0.16% | 27.54 | 1.61 | -6.66 |
| 13. | 2020. 2. 29. | 6.94% | -8.41% | 30.63 | 90.57 | -52.67 |
| 14. | 2020. 3. 31. | 1.75% | -12.51% | 0.12 | 185.44 | -4.77 |
| 15. | 2020. 4. 30. | 11.81% | 12.68% | 108.33 | 134.06 | 120.51 |
| 16. | 2020. 5. 31. | -0.03% | 4.53% | 2.05 | 11.71 | -4.90 |
| 17. | 2020. 6. 30. | 8.41% | 1.84% | 49.14 | 0.54 | 5.14 |
| 18. | 2020. 7. 31. | 7.44% | 5.51% | 36.41 | 19.40 | 26.58 |
| 19. | 2020. 8. 31. | 8.32% | 7.01% | 47.86 | 34.82 | 40.82 |
| 20. | 2020. 9. 30. | -5.58% | -3.92% | 48.71 | 25.29 | 35.09 |
| 21. | 2020. 10. 31. | -4.86% | -2.77% | 39.19 | 15.00 | 24.24 |
| 22. | 2020. 11. 30. | 3.14% | 10.75% | 3.03 | 93.10 | 16.81 |
| 23. | 2020. 12. 31. | 10.20% | 3.71% | 77.32 | 6.79 | 22.92 |
| 24. | 2021. 1. 31. | -1.54% | -1.11% | 8.67 | 4.93 | 6.54 |
| 25. | 2021. 2. 28. | 1.21% | 2.61% | 0.04 | 2.26 | -0.28 |
| 26. | 2021. 3. 31. | -3.19% | 4.24% | 21.09 | 9.85 | -14.41 |
| 27. | 2021. 4. 30. | -1.57% | 5.24% | 8.84 | 17.11 | -12.30 |
| 28. | 2021. 5. 31. | -2.08% | 0.55% | 12.10 | 0.31 | 1.94 |
| 29. | 2021. 6. 30. | 5.05% | 2.22% | 13.31 | 1.24 | 4.07 |
| 30. | 2021. 7. 31. | -2.01% | 2.27% | 11.68 | 1.37 | -3.99 |
| 31. | 2021. 8. 31. | 9.97% | 2.90% | 73.46 | 3.22 | 15.37 |
| 32. | 2021. 9. 30. | 7.23% | -4.76% | 33.95 | 34.37 | -34.16 |
| 33. | 2021. 10. 31. | 13.10% | 6.91% | 136.89 | 33.74 | 67.96 |
| 34. | 2021. 11. 30. | -7.01% | -0.83% | 70.82 | 3.76 | 16.32 |
| 35. | 2021. 12. 31. | -6.15% | 4.36% | 57.00 | 10.60 | -24.58 |
| 36. | 2022. 1. 31. | -29.10% | -5.26% | 930.31 | 40.51 | 194.12 |
| 37. | 2022. 2. 28. | -7.64% | -3.14% | 81.71 | 17.99 | 38.34 |
| 38. | 2022. 3. 31. | -5.05% | 3.58% | 41.66 | 6.11 | -15.95 |
| 39. | 2022. 4. 30. | -49.18% | -8.80% | 2,558.79 | 98.04 | 500.86 |
| 40. | 2022. 5. 31. | 3.72% | 0.01% | 5.37 | 1.21 | -2.55 |
| 41. | 2022. 6. 30. | -11.43% | -8.39% | 164.71 | 90.21 | 121.90 |
| 42. | 2022. 7. 31. | 28.61% | 9.11% | 740.23 | 64.09 | 217.81 |
| 43. | 2022. 8. 31. | -0.60% | -4.24% | 3.99 | 28.62 | 10.69 |
| 44. | 2022. 9. 30. | 5.31% | -9.34% | 15.30 | 109.11 | -40.86 |
| 45. | 2022. 10. 31. | 23.97% | 7.99% | 509.38 | 47.34 | 155.29 |
| 46. | 2022. 11. 30. | 4.68% | 5.38% | 10.72 | 18.23 | 13.98 |
| 47. | 2022. 12. 31. | -3.49% | -5.90% | 23.90 | 49.04 | 34.23 |
| 48. | 2023. 1. 31. | 20.00% | 6.18% | 345.91 | 25.70 | 94.28 |
| 49. | 2023. 2. 28. | -8.97% | -2.61% | 107.53 | 13.82 | 38.54 |
| 50. | 2023. 3. 31. | 7.25% | 3.51% | 34.17 | 5.76 | 14.03 |
| 51. | 2023. 4. 30. | -4.50% | 1.46% | 34.85 | 0.13 | -2.12 |
| 52. | 2023. 5. 31. | 19.79% | 0.25% | 338.17 | 0.74 | -15.77 |
| 53. | 2023. 6. 30. | 11.45% | 4.71% | 100.98 | 13.02 | 36.26 |
| 54. | 2023. 7. 31. | -0.35% | 4.85% | 3.05 | 13.99 | -6.54 |
| 55. | 2023. 8. 31. | -1.21% | -1.77% | 6.80 | 8.28 | 7.50 |
| 56. | 2023. 9. 30. | -12.93% | -4.87% | 205.46 | 35.73 | 85.68 |
| 57. | 2023. 10. 31. | 9.03% | -2.20% | 58.15 | 10.92 | -25.19 |
| 58. | 2023. 11. 30. | 15.13% | 8.92% | 188.38 | 61.03 | 107.22 |
| 59. | 2023. 12. 31. | 2.72% | 4.42% | 1.75 | 11.00 | 4.38 |
| 합계 (Σ): | 8,063.92 | 1,634.30 | 1,972.99 | |||
모두 표시
분산NFLX = Σ(RNFLX,t–RNFLX)2 ÷ (59 – 1)
= 8,063.92 ÷ (59 – 1)
= 139.03
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산NFLX, S&P 500 = Σ(RNFLX,t–RNFLX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,972.99 ÷ (59 – 1)
= 34.02
체계적인 위험 추정 (β)
| 분산NFLX | 139.03 |
| 분산S&P 500 | 28.18 |
| 공분산NFLX, S&P 500 | 34.02 |
| 상관 계수NFLX, S&P 5001 | 0.54 |
| βNFLX2 | 1.21 |
| αNFLX3 | 0.07% |
계산
1 상관 계수NFLX, S&P 500
= 공분산NFLX, S&P 500 ÷ (표준 편차NFLX × 표준 편차S&P 500)
= 34.02 ÷ (11.79% × 5.31%)
= 0.54
2 βNFLX
= 공분산NFLX, S&P 500 ÷ 분산S&P 500
= 34.02 ÷ 28.18
= 1.21
3 αNFLX
= 평균의NFLX – βNFLX × 평균의S&P 500
= 1.40% – 1.21 × 1.11%
= 0.07%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.79% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.48% |
| 보통주의 체계적 위험Netflix | βNFLX | 1.21 |
| Netflix 보통주 예상 수익률3 | E(RNFLX) | 15.28% |
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(RNFLX) = RF + βNFLX [E(RM) – RF]
= 4.79% + 1.21 [13.48% – 4.79%]
= 15.28%