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
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 NFLX,t1 피제수NFLX,t1 RNFLX,t2 S&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

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. 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,tRNFLX)2 (RS&P 500,tRS&P 500)2 (RNFLX,tRNFLX)×(RS&P 500,tRS&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,tRNFLX)2 ÷ (59 – 1)
= 8,389.95 ÷ (59 – 1)
= 144.65

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

공분산NFLX, S&P 500 = Σ(RNFLX,tRNFLX)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,041.71 ÷ (59 – 1)
= 35.20


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
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%