자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 O’Reilly의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
O’Reilly Automotive Inc., 월별 수익률
| O’Reilly Automotive Inc. (ORLY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ORLY,t1 | 피제수ORLY,t1 | RORLY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $262.27 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $271.71 | 3.60% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $269.84 | -0.69% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $248.15 | -8.04% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | $638.16 | 2.55% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $706.23 | 10.67% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.95% | 1.36% | ||||
| 표준 편차: | 7.36% | 4.48% | ||||
| O’Reilly Automotive Inc. (ORLY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ORLY,t1 | 피제수ORLY,t1 | RORLY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $262.27 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $271.71 | 3.60% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $269.84 | -0.69% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $248.15 | -8.04% | 2,384.20 | 0.91% | |
| 4. | 2017. 5. 31. | $242.08 | -2.45% | 2,411.80 | 1.16% | |
| 5. | 2017. 6. 30. | $218.74 | -9.64% | 2,423.41 | 0.48% | |
| 6. | 2017. 7. 31. | $204.30 | -6.60% | 2,470.30 | 1.93% | |
| 7. | 2017. 8. 31. | $196.13 | -4.00% | 2,471.65 | 0.05% | |
| 8. | 2017. 9. 30. | $215.37 | 9.81% | 2,519.36 | 1.93% | |
| 9. | 2017. 10. 31. | $210.95 | -2.05% | 2,575.26 | 2.22% | |
| 10. | 2017. 11. 30. | $236.21 | 11.97% | 2,647.58 | 2.81% | |
| 11. | 2017. 12. 31. | $240.54 | 1.83% | 2,673.61 | 0.98% | |
| 12. | 2018. 1. 31. | $264.69 | 10.04% | 2,823.81 | 5.62% | |
| 13. | 2018. 2. 28. | $244.19 | -7.74% | 2,713.83 | -3.89% | |
| 14. | 2018. 3. 31. | $247.38 | 1.31% | 2,640.87 | -2.69% | |
| 15. | 2018. 4. 30. | $256.07 | 3.51% | 2,648.05 | 0.27% | |
| 16. | 2018. 5. 31. | $269.41 | 5.21% | 2,705.27 | 2.16% | |
| 17. | 2018. 6. 30. | $273.57 | 1.54% | 2,718.37 | 0.48% | |
| 18. | 2018. 7. 31. | $306.00 | 11.85% | 2,816.29 | 3.60% | |
| 19. | 2018. 8. 31. | $335.42 | 9.61% | 2,901.52 | 3.03% | |
| 20. | 2018. 9. 30. | $347.32 | 3.55% | 2,913.98 | 0.43% | |
| 21. | 2018. 10. 31. | $320.75 | -7.65% | 2,711.74 | -6.94% | |
| 22. | 2018. 11. 30. | $346.78 | 8.12% | 2,760.17 | 1.79% | |
| 23. | 2018. 12. 31. | $344.33 | -0.71% | 2,506.85 | -9.18% | |
| 24. | 2019. 1. 31. | $344.66 | 0.10% | 2,704.10 | 7.87% | |
| 25. | 2019. 2. 28. | $371.96 | 7.92% | 2,784.49 | 2.97% | |
| 26. | 2019. 3. 31. | $388.30 | 4.39% | 2,834.40 | 1.79% | |
| 27. | 2019. 4. 30. | $378.57 | -2.51% | 2,945.83 | 3.93% | |
| 28. | 2019. 5. 31. | $371.37 | -1.90% | 2,752.06 | -6.58% | |
| 29. | 2019. 6. 30. | $369.32 | -0.55% | 2,941.76 | 6.89% | |
| 30. | 2019. 7. 31. | $380.76 | 3.10% | 2,980.38 | 1.31% | |
| 31. | 2019. 8. 31. | $383.76 | 0.79% | 2,926.46 | -1.81% | |
| 32. | 2019. 9. 30. | $398.51 | 3.84% | 2,976.74 | 1.72% | |
| 33. | 2019. 10. 31. | $435.51 | 9.28% | 3,037.56 | 2.04% | |
| 34. | 2019. 11. 30. | $442.28 | 1.55% | 3,140.98 | 3.40% | |
| 35. | 2019. 12. 31. | $438.26 | -0.91% | 3,230.78 | 2.86% | |
| 36. | 2020. 1. 31. | $406.10 | -7.34% | 3,225.52 | -0.16% | |
| 37. | 2020. 2. 29. | $368.72 | -9.20% | 2,954.22 | -8.41% | |
| 38. | 2020. 3. 31. | $301.05 | -18.35% | 2,584.59 | -12.51% | |
| 39. | 2020. 4. 30. | $386.34 | 28.33% | 2,912.43 | 12.68% | |
| 40. | 2020. 5. 31. | $417.24 | 8.00% | 3,044.31 | 4.53% | |
| 41. | 2020. 6. 30. | $421.67 | 1.06% | 3,100.29 | 1.84% | |
| 42. | 2020. 7. 31. | $477.38 | 13.21% | 3,271.12 | 5.51% | |
| 43. | 2020. 8. 31. | $465.63 | -2.46% | 3,500.31 | 7.01% | |
| 44. | 2020. 9. 30. | $461.08 | -0.98% | 3,363.00 | -3.92% | |
| 45. | 2020. 10. 31. | $436.60 | -5.31% | 3,269.96 | -2.77% | |
| 46. | 2020. 11. 30. | $442.44 | 1.34% | 3,621.63 | 10.75% | |
| 47. | 2020. 12. 31. | $452.57 | 2.29% | 3,756.07 | 3.71% | |
| 48. | 2021. 1. 31. | $425.47 | -5.99% | 3,714.24 | -1.11% | |
| 49. | 2021. 2. 28. | $447.33 | 5.14% | 3,811.15 | 2.61% | |
| 50. | 2021. 3. 31. | $507.25 | 13.40% | 3,972.89 | 4.24% | |
| 51. | 2021. 4. 30. | $552.88 | 9.00% | 4,181.17 | 5.24% | |
| 52. | 2021. 5. 31. | $535.12 | -3.21% | 4,204.11 | 0.55% | |
| 53. | 2021. 6. 30. | $566.21 | 5.81% | 4,297.50 | 2.22% | |
| 54. | 2021. 7. 31. | $603.84 | 6.65% | 4,395.26 | 2.27% | |
| 55. | 2021. 8. 31. | $594.08 | -1.62% | 4,522.68 | 2.90% | |
| 56. | 2021. 9. 30. | $611.06 | 2.86% | 4,307.54 | -4.76% | |
| 57. | 2021. 10. 31. | $622.32 | 1.84% | 4,605.38 | 6.91% | |
| 58. | 2021. 11. 30. | $638.16 | 2.55% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $706.23 | 10.67% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.95% | 1.36% | ||||
| 표준 편차: | 7.36% | 4.48% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ORLY의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
O’Reilly Automotive Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RORLY,t | RS&P 500,t | (RORLY,t–RORLY)2 | (RS&P 500,t–RS&P 500)2 | (RORLY,t–RORLY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | 3.60% | 3.72% | 2.71 | 5.58 | 3.89 |
| 2. | 2017. 3. 31. | -0.69% | -0.04% | 6.97 | 1.95 | 3.69 |
| 3. | 2017. 4. 30. | -8.04% | 0.91% | 99.80 | 0.20 | 4.48 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | 2.55% | -0.83% | 0.35 | 4.80 | -1.30 |
| 59. | 2021. 12. 31. | 10.67% | 4.36% | 75.94 | 9.02 | 26.17 |
| 합계 (Σ): | 3,145.58 | 1,164.17 | 1,176.34 | |||
| t | 날짜 | RORLY,t | RS&P 500,t | (RORLY,t–RORLY)2 | (RS&P 500,t–RS&P 500)2 | (RORLY,t–RORLY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | 3.60% | 3.72% | 2.71 | 5.58 | 3.89 |
| 2. | 2017. 3. 31. | -0.69% | -0.04% | 6.97 | 1.95 | 3.69 |
| 3. | 2017. 4. 30. | -8.04% | 0.91% | 99.80 | 0.20 | 4.48 |
| 4. | 2017. 5. 31. | -2.45% | 1.16% | 19.34 | 0.04 | 0.88 |
| 5. | 2017. 6. 30. | -9.64% | 0.48% | 134.41 | 0.77 | 10.16 |
| 6. | 2017. 7. 31. | -6.60% | 1.93% | 73.16 | 0.33 | -4.94 |
| 7. | 2017. 8. 31. | -4.00% | 0.05% | 35.41 | 1.70 | 7.76 |
| 8. | 2017. 9. 30. | 9.81% | 1.93% | 61.74 | 0.33 | 4.50 |
| 9. | 2017. 10. 31. | -2.05% | 2.22% | 16.03 | 0.74 | -3.45 |
| 10. | 2017. 11. 30. | 11.97% | 2.81% | 100.45 | 2.10 | 14.54 |
| 11. | 2017. 12. 31. | 1.83% | 0.98% | 0.01 | 0.14 | 0.04 |
| 12. | 2018. 1. 31. | 10.04% | 5.62% | 65.41 | 18.15 | 34.45 |
| 13. | 2018. 2. 28. | -7.74% | -3.89% | 94.03 | 27.59 | 50.93 |
| 14. | 2018. 3. 31. | 1.31% | -2.69% | 0.42 | 16.37 | 2.61 |
| 15. | 2018. 4. 30. | 3.51% | 0.27% | 2.44 | 1.18 | -1.70 |
| 16. | 2018. 5. 31. | 5.21% | 2.16% | 10.61 | 0.64 | 2.62 |
| 17. | 2018. 6. 30. | 1.54% | 0.48% | 0.17 | 0.76 | 0.36 |
| 18. | 2018. 7. 31. | 11.85% | 3.60% | 98.06 | 5.04 | 22.22 |
| 19. | 2018. 8. 31. | 9.61% | 3.03% | 58.71 | 2.78 | 12.78 |
| 20. | 2018. 9. 30. | 3.55% | 0.43% | 2.55 | 0.86 | -1.48 |
| 21. | 2018. 10. 31. | -7.65% | -6.94% | 92.20 | 68.86 | 79.68 |
| 22. | 2018. 11. 30. | 8.12% | 1.79% | 37.99 | 0.18 | 2.64 |
| 23. | 2018. 12. 31. | -0.71% | -9.18% | 7.07 | 111.00 | 28.01 |
| 24. | 2019. 1. 31. | 0.10% | 7.87% | 3.45 | 42.39 | -12.08 |
| 25. | 2019. 2. 28. | 7.92% | 2.97% | 35.63 | 2.61 | 9.64 |
| 26. | 2019. 3. 31. | 4.39% | 1.79% | 5.96 | 0.19 | 1.06 |
| 27. | 2019. 4. 30. | -2.51% | 3.93% | 19.87 | 6.62 | -11.47 |
| 28. | 2019. 5. 31. | -1.90% | -6.58% | 14.85 | 62.97 | 30.58 |
| 29. | 2019. 6. 30. | -0.55% | 6.89% | 6.27 | 30.64 | -13.86 |
| 30. | 2019. 7. 31. | 3.10% | 1.31% | 1.31 | 0.00 | -0.05 |
| 31. | 2019. 8. 31. | 0.79% | -1.81% | 1.36 | 10.03 | 3.69 |
| 32. | 2019. 9. 30. | 3.84% | 1.72% | 3.58 | 0.13 | 0.68 |
| 33. | 2019. 10. 31. | 9.28% | 2.04% | 53.77 | 0.47 | 5.02 |
| 34. | 2019. 11. 30. | 1.55% | 3.40% | 0.16 | 4.19 | -0.81 |
| 35. | 2019. 12. 31. | -0.91% | 2.86% | 8.19 | 2.25 | -4.29 |
| 36. | 2020. 1. 31. | -7.34% | -0.16% | 86.31 | 2.31 | 14.13 |
| 37. | 2020. 2. 29. | -9.20% | -8.41% | 124.47 | 95.43 | 108.99 |
| 38. | 2020. 3. 31. | -18.35% | -12.51% | 412.28 | 192.37 | 281.62 |
| 39. | 2020. 4. 30. | 28.33% | 12.68% | 695.84 | 128.29 | 298.78 |
| 40. | 2020. 5. 31. | 8.00% | 4.53% | 36.56 | 10.05 | 19.17 |
| 41. | 2020. 6. 30. | 1.06% | 1.84% | 0.79 | 0.23 | -0.43 |
| 42. | 2020. 7. 31. | 13.21% | 5.51% | 126.78 | 17.24 | 46.75 |
| 43. | 2020. 8. 31. | -2.46% | 7.01% | 19.48 | 31.91 | -24.93 |
| 44. | 2020. 9. 30. | -0.98% | -3.92% | 8.58 | 27.89 | 15.47 |
| 45. | 2020. 10. 31. | -5.31% | -2.77% | 52.73 | 17.01 | 29.95 |
| 46. | 2020. 11. 30. | 1.34% | 10.75% | 0.38 | 88.30 | -5.77 |
| 47. | 2020. 12. 31. | 2.29% | 3.71% | 0.11 | 5.54 | 0.79 |
| 48. | 2021. 1. 31. | -5.99% | -1.11% | 63.04 | 6.11 | 19.62 |
| 49. | 2021. 2. 28. | 5.14% | 2.61% | 10.15 | 1.57 | 3.99 |
| 50. | 2021. 3. 31. | 13.40% | 4.24% | 130.94 | 8.33 | 33.02 |
| 51. | 2021. 4. 30. | 9.00% | 5.24% | 49.61 | 15.09 | 27.36 |
| 52. | 2021. 5. 31. | -3.21% | 0.55% | 26.67 | 0.65 | 4.18 |
| 53. | 2021. 6. 30. | 5.81% | 2.22% | 14.88 | 0.75 | 3.33 |
| 54. | 2021. 7. 31. | 6.65% | 2.27% | 22.03 | 0.84 | 4.30 |
| 55. | 2021. 8. 31. | -1.62% | 2.90% | 12.73 | 2.38 | -5.50 |
| 56. | 2021. 9. 30. | 2.86% | -4.76% | 0.82 | 37.39 | -5.54 |
| 57. | 2021. 10. 31. | 1.84% | 6.91% | 0.01 | 30.87 | -0.61 |
| 58. | 2021. 11. 30. | 2.55% | -0.83% | 0.35 | 4.80 | -1.30 |
| 59. | 2021. 12. 31. | 10.67% | 4.36% | 75.94 | 9.02 | 26.17 |
| 합계 (Σ): | 3,145.58 | 1,164.17 | 1,176.34 | |||
모두 보기
분산ORLY = Σ(RORLY,t–RORLY)2 ÷ (59 – 1)
= 3,145.58 ÷ (59 – 1)
= 54.23
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
공분산ORLY, S&P 500 = Σ(RORLY,t–RORLY)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,176.34 ÷ (59 – 1)
= 20.28
체계적인 위험 추정 (β)
| 분산ORLY | 54.23 |
| 분산S&P 500 | 20.07 |
| 공분산ORLY, S&P 500 | 20.28 |
| 상관 계수ORLY, S&P 5001 | 0.61 |
| βORLY2 | 1.01 |
| αORLY3 | 0.58% |
계산
1 상관 계수ORLY, S&P 500
= 공분산ORLY, S&P 500 ÷ (표준 편차ORLY × 표준 편차S&P 500)
= 20.28 ÷ (7.36% × 4.48%)
= 0.61
2 βORLY
= 공분산ORLY, S&P 500 ÷ 분산S&P 500
= 20.28 ÷ 20.07
= 1.01
3 αORLY
= 평균의ORLY – βORLY × 평균의S&P 500
= 1.95% – 1.01 × 1.36%
= 0.58%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.91% |
| 보통주의 체계적 위험O’Reilly | βORLY | 1.01 |
| O’Reilly 보통주의 예상 수익률3 | E(RORLY) | 15.02% |
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(RORLY) = RF + βORLY [E(RM) – RF]
= 4.67% + 1.01 [14.91% – 4.67%]
= 15.02%