Stock Analysis on Net

Netflix Inc. (NASDAQ:NFLX)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 Netflix보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

Netflix Inc., 월별 수익률

Microsoft Excel
Netflix Inc. (NFLX) Standard & Poor’s 500 (S&P 500)
t 날짜 NFLX,t1 피제수NFLX,t1 RNFLX,t2 S&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 NFLX,t1 피제수NFLX,t1 RNFLX,t2 S&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

Microsoft Excel
t 날짜 RNFLX,t RS&P 500,t (RNFLX,tRNFLX)2 (RS&P 500,tRS&P 500)2 (RNFLX,tRNFLX)×(RS&P 500,tRS&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,tRNFLX)2 (RS&P 500,tRS&P 500)2 (RNFLX,tRNFLX)×(RS&P 500,tRS&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,tRNFLX)2 ÷ (59 – 1)
= 8,063.92 ÷ (59 – 1)
= 139.03

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산NFLX, S&P 500 = Σ(RNFLX,tRNFLX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,972.99 ÷ (59 – 1)
= 34.02


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.46%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.71%
보통주의 체계적 위험Netflix βNFLX 1.21
 
Netflix 보통주 예상 수익률3 E(RNFLX) 15.62%

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]
= 4.46% + 1.21 [13.71%4.46%]
= 15.62%