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 |
| 2020. 1. 31. | $345.09 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $369.03 | 6.94% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $375.50 | 1.75% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $419.85 | 11.81% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $886.81 | 17.30% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $891.32 | 0.51% | 5,881.63 | -2.50% | |
| 평균의 (R): | 2.44% | 1.16% | ||||
| 표준 편차: | 12.03% | 5.28% | ||||
| 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 |
| 2020. 1. 31. | $345.09 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $369.03 | 6.94% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $375.50 | 1.75% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $419.85 | 11.81% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $419.73 | -0.03% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $455.04 | 8.41% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $488.88 | 7.44% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $529.56 | 8.32% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $500.03 | -5.58% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $475.74 | -4.86% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $490.70 | 3.14% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $540.73 | 10.20% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $532.39 | -1.54% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $538.85 | 1.21% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $521.66 | -3.19% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $513.47 | -1.57% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $502.81 | -2.08% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $528.21 | 5.05% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $517.57 | -2.01% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $569.19 | 9.97% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $610.34 | 7.23% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $690.31 | 13.10% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $641.90 | -7.01% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $602.44 | -6.15% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $427.14 | -29.10% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $394.52 | -7.64% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $374.59 | -5.05% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $190.36 | -49.18% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $197.44 | 3.72% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $174.87 | -11.43% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $224.90 | 28.61% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $223.56 | -0.60% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $235.44 | 5.31% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $291.88 | 23.97% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $305.53 | 4.68% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $294.88 | -3.49% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $353.86 | 20.00% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $322.13 | -8.97% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $345.48 | 7.25% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $329.93 | -4.50% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $395.23 | 19.79% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $440.49 | 11.45% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $438.97 | -0.35% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $433.68 | -1.21% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $377.60 | -12.93% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $411.69 | 9.03% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $473.97 | 15.13% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $486.88 | 2.72% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $564.11 | 15.86% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $602.92 | 6.88% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $607.33 | 0.73% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $550.64 | -9.33% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $641.62 | 16.52% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $674.88 | 5.18% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $628.35 | -6.89% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $701.35 | 11.62% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $709.27 | 1.13% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $756.03 | 6.59% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $886.81 | 17.30% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $891.32 | 0.51% | 5,881.63 | -2.50% | |
| 평균의 (R): | 2.44% | 1.16% | ||||
| 표준 편차: | 12.03% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 NFLX의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 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. | 2020. 2. 29. | 6.94% | -8.41% | 20.24 | 91.63 | -43.06 |
| 2. | 2020. 3. 31. | 1.75% | -12.51% | 0.47 | 186.96 | 9.38 |
| 3. | 2020. 4. 30. | 11.81% | 12.68% | 87.83 | 132.78 | 107.99 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 17.30% | 5.73% | 220.80 | 20.87 | 67.89 |
| 59. | 2024. 12. 31. | 0.51% | -2.50% | 3.73 | 13.40 | 7.07 |
| 합계 (Σ): | 8,389.95 | 1,618.62 | 2,041.71 | |||
| 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. | 2020. 2. 29. | 6.94% | -8.41% | 20.24 | 91.63 | -43.06 |
| 2. | 2020. 3. 31. | 1.75% | -12.51% | 0.47 | 186.96 | 9.38 |
| 3. | 2020. 4. 30. | 11.81% | 12.68% | 87.83 | 132.78 | 107.99 |
| 4. | 2020. 5. 31. | -0.03% | 4.53% | 6.09 | 11.34 | -8.31 |
| 5. | 2020. 6. 30. | 8.41% | 1.84% | 35.68 | 0.46 | 4.05 |
| 6. | 2020. 7. 31. | 7.44% | 5.51% | 24.98 | 18.91 | 21.73 |
| 7. | 2020. 8. 31. | 8.32% | 7.01% | 34.60 | 34.17 | 34.38 |
| 8. | 2020. 9. 30. | -5.58% | -3.92% | 64.24 | 25.85 | 40.75 |
| 9. | 2020. 10. 31. | -4.86% | -2.77% | 53.24 | 15.43 | 28.66 |
| 10. | 2020. 11. 30. | 3.14% | 10.75% | 0.50 | 92.03 | 6.77 |
| 11. | 2020. 12. 31. | 10.20% | 3.71% | 60.17 | 6.51 | 19.79 |
| 12. | 2021. 1. 31. | -1.54% | -1.11% | 15.85 | 5.18 | 9.06 |
| 13. | 2021. 2. 28. | 1.21% | 2.61% | 1.50 | 2.10 | -1.77 |
| 14. | 2021. 3. 31. | -3.19% | 4.24% | 31.69 | 9.50 | -17.35 |
| 15. | 2021. 4. 30. | -1.57% | 5.24% | 16.07 | 16.66 | -16.36 |
| 16. | 2021. 5. 31. | -2.08% | 0.55% | 20.39 | 0.38 | 2.77 |
| 17. | 2021. 6. 30. | 5.05% | 2.22% | 6.83 | 1.12 | 2.77 |
| 18. | 2021. 7. 31. | -2.01% | 2.27% | 19.83 | 1.24 | -4.96 |
| 19. | 2021. 8. 31. | 9.97% | 2.90% | 56.77 | 3.02 | 13.09 |
| 20. | 2021. 9. 30. | 7.23% | -4.76% | 22.95 | 35.02 | -28.35 |
| 21. | 2021. 10. 31. | 13.10% | 6.91% | 113.71 | 33.10 | 61.35 |
| 22. | 2021. 11. 30. | -7.01% | -0.83% | 89.34 | 3.98 | 18.85 |
| 23. | 2021. 12. 31. | -6.15% | 4.36% | 73.73 | 10.24 | -27.48 |
| 24. | 2022. 1. 31. | -29.10% | -5.26% | 994.60 | 41.21 | 202.46 |
| 25. | 2022. 2. 28. | -7.64% | -3.14% | 101.52 | 18.47 | 43.30 |
| 26. | 2022. 3. 31. | -5.05% | 3.58% | 56.11 | 5.84 | -18.10 |
| 27. | 2022. 4. 30. | -49.18% | -8.80% | 2,664.70 | 99.14 | 513.98 |
| 28. | 2022. 5. 31. | 3.72% | 0.01% | 1.64 | 1.34 | -1.48 |
| 29. | 2022. 6. 30. | -11.43% | -8.39% | 192.38 | 91.26 | 132.51 |
| 30. | 2022. 7. 31. | 28.61% | 9.11% | 684.91 | 63.21 | 208.07 |
| 31. | 2022. 8. 31. | -0.60% | -4.24% | 9.21 | 29.22 | 16.40 |
| 32. | 2022. 9. 30. | 5.31% | -9.34% | 8.27 | 110.27 | -30.19 |
| 33. | 2022. 10. 31. | 23.97% | 7.99% | 463.68 | 46.58 | 146.97 |
| 34. | 2022. 11. 30. | 4.68% | 5.38% | 5.01 | 17.76 | 9.43 |
| 35. | 2022. 12. 31. | -3.49% | -5.90% | 35.10 | 49.82 | 41.82 |
| 36. | 2023. 1. 31. | 20.00% | 6.18% | 308.44 | 25.14 | 88.06 |
| 37. | 2023. 2. 28. | -8.97% | -2.61% | 130.09 | 14.23 | 43.03 |
| 38. | 2023. 3. 31. | 7.25% | 3.51% | 23.13 | 5.49 | 11.27 |
| 39. | 2023. 4. 30. | -4.50% | 1.46% | 48.16 | 0.09 | -2.10 |
| 40. | 2023. 5. 31. | 19.79% | 0.25% | 301.13 | 0.83 | -15.84 |
| 41. | 2023. 6. 30. | 11.45% | 4.71% | 81.23 | 12.62 | 32.02 |
| 42. | 2023. 7. 31. | -0.35% | 4.85% | 7.75 | 13.58 | -10.26 |
| 43. | 2023. 8. 31. | -1.21% | -1.77% | 13.28 | 8.60 | 10.69 |
| 44. | 2023. 9. 30. | -12.93% | -4.87% | 236.24 | 36.40 | 92.73 |
| 45. | 2023. 10. 31. | 9.03% | -2.20% | 43.42 | 11.28 | -22.13 |
| 46. | 2023. 11. 30. | 15.13% | 8.92% | 161.01 | 60.17 | 98.42 |
| 47. | 2023. 12. 31. | 2.72% | 4.42% | 0.08 | 10.64 | 0.93 |
| 48. | 2024. 1. 31. | 15.86% | 1.59% | 180.18 | 0.18 | 5.75 |
| 49. | 2024. 2. 29. | 6.88% | 5.17% | 19.72 | 16.09 | 17.81 |
| 50. | 2024. 3. 31. | 0.73% | 3.10% | 2.92 | 3.77 | -3.31 |
| 51. | 2024. 4. 30. | -9.33% | -4.16% | 138.61 | 28.33 | 62.67 |
| 52. | 2024. 5. 31. | 16.52% | 4.80% | 198.35 | 13.26 | 51.28 |
| 53. | 2024. 6. 30. | 5.18% | 3.47% | 7.53 | 5.32 | 6.33 |
| 54. | 2024. 7. 31. | -6.89% | 1.13% | 87.11 | 0.00 | 0.27 |
| 55. | 2024. 8. 31. | 11.62% | 2.28% | 84.25 | 1.26 | 10.30 |
| 56. | 2024. 9. 30. | 1.13% | 2.02% | 1.72 | 0.74 | -1.12 |
| 57. | 2024. 10. 31. | 6.59% | -0.99% | 17.25 | 4.63 | -8.93 |
| 58. | 2024. 11. 30. | 17.30% | 5.73% | 220.80 | 20.87 | 67.89 |
| 59. | 2024. 12. 31. | 0.51% | -2.50% | 3.73 | 13.40 | 7.07 |
| 합계 (Σ): | 8,389.95 | 1,618.62 | 2,041.71 | |||
모두 보기
분산NFLX = Σ(RNFLX,t–RNFLX)2 ÷ (59 – 1)
= 8,389.95 ÷ (59 – 1)
= 144.65
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산NFLX, S&P 500 = Σ(RNFLX,t–RNFLX)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,041.71 ÷ (59 – 1)
= 35.20
체계적인 위험 추정 (β)
| 분산NFLX | 144.65 |
| 분산S&P 500 | 27.91 |
| 공분산NFLX, S&P 500 | 35.20 |
| 상관 계수NFLX, S&P 5001 | 0.55 |
| βNFLX2 | 1.26 |
| αNFLX3 | 0.97% |
계산
1 상관 계수NFLX, S&P 500
= 공분산NFLX, S&P 500 ÷ (표준 편차NFLX × 표준 편차S&P 500)
= 35.20 ÷ (12.03% × 5.28%)
= 0.55
2 βNFLX
= 공분산NFLX, S&P 500 ÷ 분산S&P 500
= 35.20 ÷ 27.91
= 1.26
3 αNFLX
= 평균의NFLX – βNFLX × 평균의S&P 500
= 2.44% – 1.26 × 1.16%
= 0.97%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.74% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.94% |
| 보통주의 체계적 위험Netflix | βNFLX | 1.26 |
| Netflix 보통주 예상 수익률3 | E(RNFLX) | 17.60% |
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(RNFLX) = RF + βNFLX [E(RM) – RF]
= 4.74% + 1.26 [14.94% – 4.74%]
= 17.60%