Stock Analysis on Net

PepsiCo Inc. (NASDAQ:PEP)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

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


수익률

PepsiCo Inc., 월별 수익률

Microsoft Excel
PepsiCo Inc. (PEP) Standard & Poor’s 500 (S&P 500)
t 날짜 PEP,t1 피제수PEP,t1 RPEP,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $112.67 2,704.10
1. 2019. 2. 28. $115.64 $0.9275 3.46% 2,784.49 2.97%
2. 2019. 3. 31. $122.55 5.98% 2,834.40 1.79%
3. 2019. 4. 30. $128.05 4.49% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $168.29 $1.265 3.84% 4,567.80 8.92%
59. 2023. 12. 31. $169.84 0.92% 4,769.83 4.42%
평균의 (R): 1.04% 1.11%
표준 편차: 4.63% 5.31%
PepsiCo Inc. (PEP) Standard & Poor’s 500 (S&P 500)
t 날짜 PEP,t1 피제수PEP,t1 RPEP,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $112.67 2,704.10
1. 2019. 2. 28. $115.64 $0.9275 3.46% 2,784.49 2.97%
2. 2019. 3. 31. $122.55 5.98% 2,834.40 1.79%
3. 2019. 4. 30. $128.05 4.49% 2,945.83 3.93%
4. 2019. 5. 31. $128.00 -0.04% 2,752.06 -6.58%
5. 2019. 6. 30. $131.13 $0.955 3.19% 2,941.76 6.89%
6. 2019. 7. 31. $127.81 -2.53% 2,980.38 1.31%
7. 2019. 8. 31. $136.73 6.98% 2,926.46 -1.81%
8. 2019. 9. 30. $137.10 $0.955 0.97% 2,976.74 1.72%
9. 2019. 10. 31. $137.17 0.05% 3,037.56 2.04%
10. 2019. 11. 30. $135.83 -0.98% 3,140.98 3.40%
11. 2019. 12. 31. $136.67 $0.955 1.32% 3,230.78 2.86%
12. 2020. 1. 31. $142.02 3.91% 3,225.52 -0.16%
13. 2020. 2. 29. $132.03 -7.03% 2,954.22 -8.41%
14. 2020. 3. 31. $120.10 $0.955 -8.31% 2,584.59 -12.51%
15. 2020. 4. 30. $132.29 10.15% 2,912.43 12.68%
16. 2020. 5. 31. $131.55 -0.56% 3,044.31 4.53%
17. 2020. 6. 30. $132.26 $1.0225 1.32% 3,100.29 1.84%
18. 2020. 7. 31. $137.66 4.08% 3,271.12 5.51%
19. 2020. 8. 31. $140.06 1.74% 3,500.31 7.01%
20. 2020. 9. 30. $138.60 $1.0225 -0.31% 3,363.00 -3.92%
21. 2020. 10. 31. $133.29 -3.83% 3,269.96 -2.77%
22. 2020. 11. 30. $144.23 8.21% 3,621.63 10.75%
23. 2020. 12. 31. $148.30 $1.0225 3.53% 3,756.07 3.71%
24. 2021. 1. 31. $136.57 -7.91% 3,714.24 -1.11%
25. 2021. 2. 28. $129.19 -5.40% 3,811.15 2.61%
26. 2021. 3. 31. $141.45 $1.0225 10.28% 3,972.89 4.24%
27. 2021. 4. 30. $144.16 1.92% 4,181.17 5.24%
28. 2021. 5. 31. $147.94 2.62% 4,204.11 0.55%
29. 2021. 6. 30. $148.17 $1.075 0.88% 4,297.50 2.22%
30. 2021. 7. 31. $156.95 5.93% 4,395.26 2.27%
31. 2021. 8. 31. $156.39 -0.36% 4,522.68 2.90%
32. 2021. 9. 30. $150.41 $1.075 -3.14% 4,307.54 -4.76%
33. 2021. 10. 31. $161.60 7.44% 4,605.38 6.91%
34. 2021. 11. 30. $159.78 -1.13% 4,567.00 -0.83%
35. 2021. 12. 31. $173.71 $1.075 9.39% 4,766.18 4.36%
36. 2022. 1. 31. $173.52 -0.11% 4,515.55 -5.26%
37. 2022. 2. 28. $163.74 -5.64% 4,373.94 -3.14%
38. 2022. 3. 31. $167.38 $1.075 2.88% 4,530.41 3.58%
39. 2022. 4. 30. $171.71 2.59% 4,131.93 -8.80%
40. 2022. 5. 31. $167.75 -2.31% 4,132.15 0.01%
41. 2022. 6. 30. $166.66 $1.15 0.04% 3,785.38 -8.39%
42. 2022. 7. 31. $174.96 4.98% 4,130.29 9.11%
43. 2022. 8. 31. $172.27 -1.54% 3,955.00 -4.24%
44. 2022. 9. 30. $163.26 $1.15 -4.56% 3,585.62 -9.34%
45. 2022. 10. 31. $181.58 11.22% 3,871.98 7.99%
46. 2022. 11. 30. $185.51 2.16% 4,080.11 5.38%
47. 2022. 12. 31. $180.66 $1.15 -1.99% 3,839.50 -5.90%
48. 2023. 1. 31. $171.02 -5.34% 4,076.60 6.18%
49. 2023. 2. 28. $173.53 1.47% 3,970.15 -2.61%
50. 2023. 3. 31. $182.30 $1.15 5.72% 4,109.31 3.51%
51. 2023. 4. 30. $190.89 4.71% 4,169.48 1.46%
52. 2023. 5. 31. $182.35 -4.47% 4,179.83 0.25%
53. 2023. 6. 30. $185.22 $1.265 2.27% 4,376.86 4.71%
54. 2023. 7. 31. $187.46 1.21% 4,588.96 4.85%
55. 2023. 8. 31. $177.92 $1.265 -4.41% 4,507.66 -1.77%
56. 2023. 9. 30. $169.44 -4.77% 4,288.05 -4.87%
57. 2023. 10. 31. $163.28 -3.64% 4,193.80 -2.20%
58. 2023. 11. 30. $168.29 $1.265 3.84% 4,567.80 8.92%
59. 2023. 12. 31. $169.84 0.92% 4,769.83 4.42%
평균의 (R): 1.04% 1.11%
표준 편차: 4.63% 5.31%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 PEP의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

PepsiCo Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RPEP,t RS&P 500,t (RPEP,tRPEP)2 (RS&P 500,tRS&P 500)2 (RPEP,tRPEP)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 3.46% 2.97% 5.84 3.49 4.51
2. 2019. 3. 31. 5.98% 1.79% 24.33 0.47 3.39
3. 2019. 4. 30. 4.49% 3.93% 11.87 7.98 9.73
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. 3.84% 8.92% 7.84 61.03 21.87
59. 2023. 12. 31. 0.92% 4.42% 0.01 11.00 -0.40
합계 (Σ): 1,242.35 1,634.30 886.66
t 날짜 RPEP,t RS&P 500,t (RPEP,tRPEP)2 (RS&P 500,tRS&P 500)2 (RPEP,tRPEP)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 3.46% 2.97% 5.84 3.49 4.51
2. 2019. 3. 31. 5.98% 1.79% 24.33 0.47 3.39
3. 2019. 4. 30. 4.49% 3.93% 11.87 7.98 9.73
4. 2019. 5. 31. -0.04% -6.58% 1.17 59.04 8.31
5. 2019. 6. 30. 3.19% 6.89% 4.62 33.49 12.43
6. 2019. 7. 31. -2.53% 1.31% 12.78 0.04 -0.74
7. 2019. 8. 31. 6.98% -1.81% 35.24 8.50 -17.30
8. 2019. 9. 30. 0.97% 1.72% 0.01 0.37 -0.05
9. 2019. 10. 31. 0.05% 2.04% 0.98 0.88 -0.93
10. 2019. 11. 30. -0.98% 3.40% 4.08 5.28 -4.64
11. 2019. 12. 31. 1.32% 2.86% 0.08 3.07 0.49
12. 2020. 1. 31. 3.91% -0.16% 8.25 1.61 -3.64
13. 2020. 2. 29. -7.03% -8.41% 65.24 90.57 76.87
14. 2020. 3. 31. -8.31% -12.51% 87.53 185.44 127.40
15. 2020. 4. 30. 10.15% 12.68% 82.93 134.06 105.44
16. 2020. 5. 31. -0.56% 4.53% 2.57 11.71 -5.48
17. 2020. 6. 30. 1.32% 1.84% 0.08 0.54 0.20
18. 2020. 7. 31. 4.08% 5.51% 9.24 19.40 13.39
19. 2020. 8. 31. 1.74% 7.01% 0.49 34.82 4.13
20. 2020. 9. 30. -0.31% -3.92% 1.84 25.29 6.82
21. 2020. 10. 31. -3.83% -2.77% 23.76 15.00 18.88
22. 2020. 11. 30. 8.21% 10.75% 51.33 93.10 69.13
23. 2020. 12. 31. 3.53% 3.71% 6.19 6.79 6.48
24. 2021. 1. 31. -7.91% -1.11% 80.15 4.93 19.87
25. 2021. 2. 28. -5.40% 2.61% 41.56 2.26 -9.69
26. 2021. 3. 31. 10.28% 4.24% 85.35 9.85 28.99
27. 2021. 4. 30. 1.92% 5.24% 0.76 17.11 3.61
28. 2021. 5. 31. 2.62% 0.55% 2.49 0.31 -0.88
29. 2021. 6. 30. 0.88% 2.22% 0.03 1.24 -0.18
30. 2021. 7. 31. 5.93% 2.27% 23.84 1.37 5.71
31. 2021. 8. 31. -0.36% 2.90% 1.96 3.22 -2.51
32. 2021. 9. 30. -3.14% -4.76% 17.47 34.37 24.50
33. 2021. 10. 31. 7.44% 6.91% 40.92 33.74 37.15
34. 2021. 11. 30. -1.13% -0.83% 4.71 3.76 4.21
35. 2021. 12. 31. 9.39% 4.36% 69.69 10.60 27.18
36. 2022. 1. 31. -0.11% -5.26% 1.33 40.51 7.33
37. 2022. 2. 28. -5.64% -3.14% 44.61 17.99 28.33
38. 2022. 3. 31. 2.88% 3.58% 3.37 6.11 4.54
39. 2022. 4. 30. 2.59% -8.80% 2.38 98.04 -15.29
40. 2022. 5. 31. -2.31% 0.01% 11.22 1.21 3.69
41. 2022. 6. 30. 0.04% -8.39% 1.01 90.21 9.57
42. 2022. 7. 31. 4.98% 9.11% 15.50 64.09 31.52
43. 2022. 8. 31. -1.54% -4.24% 6.66 28.62 13.81
44. 2022. 9. 30. -4.56% -9.34% 31.42 109.11 58.55
45. 2022. 10. 31. 11.22% 7.99% 103.60 47.34 70.03
46. 2022. 11. 30. 2.16% 5.38% 1.26 18.23 4.79
47. 2022. 12. 31. -1.99% -5.90% 9.23 49.04 21.27
48. 2023. 1. 31. -5.34% 6.18% 40.69 25.70 -32.34
49. 2023. 2. 28. 1.47% -2.61% 0.18 13.82 -1.58
50. 2023. 3. 31. 5.72% 3.51% 21.84 5.76 11.21
51. 2023. 4. 30. 4.71% 1.46% 13.46 0.13 1.31
52. 2023. 5. 31. -4.47% 0.25% 30.44 0.74 4.73
53. 2023. 6. 30. 2.27% 4.71% 1.50 13.02 4.42
54. 2023. 7. 31. 1.21% 4.85% 0.03 13.99 0.62
55. 2023. 8. 31. -4.41% -1.77% 29.78 8.28 15.70
56. 2023. 9. 30. -4.77% -4.87% 33.75 35.73 34.73
57. 2023. 10. 31. -3.64% -2.20% 21.89 10.92 15.46
58. 2023. 11. 30. 3.84% 8.92% 7.84 61.03 21.87
59. 2023. 12. 31. 0.92% 4.42% 0.01 11.00 -0.40
합계 (Σ): 1,242.35 1,634.30 886.66

모두 표시

분산PEP = Σ(RPEP,tRPEP)2 ÷ (59 – 1)
= 1,242.35 ÷ (59 – 1)
= 21.42

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

공분산PEP, S&P 500 = Σ(RPEP,tRPEP)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 886.66 ÷ (59 – 1)
= 15.29


체계적인 위험 추정 (β)

Microsoft Excel
분산PEP 21.42
분산S&P 500 28.18
공분산PEP, S&P 500 15.29
상관 계수PEP, S&P 5001 0.62
βPEP2 0.54
αPEP3 0.44%

계산

1 상관 계수PEP, S&P 500
= 공분산PEP, S&P 500 ÷ (표준 편차PEP × 표준 편차S&P 500)
= 15.29 ÷ (4.63% × 5.31%)
= 0.62

2 βPEP
= 공분산PEP, S&P 500 ÷ 분산S&P 500
= 15.29 ÷ 28.18
= 0.54

3 αPEP
= 평균의PEP – βPEP × 평균의S&P 500
= 1.04%0.54 × 1.11%
= 0.44%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.62%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.69%
보통주의 체계적 위험PepsiCo βPEP 0.54
 
PepsiCo 보통주 예상 수익률3 E(RPEP) 9.54%

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(RPEP) = RF + βPEP [E(RM) – RF]
= 4.62% + 0.54 [13.69%4.62%]
= 9.54%