자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Regeneron보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Regeneron Pharmaceuticals Inc., 월별 수익률
| Regeneron Pharmaceuticals Inc. (REGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값REGN,t1 | 피제수REGN,t1 | RREGN,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $503.84 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $450.57 | -10.57% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $473.14 | 5.01% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $481.30 | 1.72% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $780.19 | $0.88 | 19.83% | 6,849.09 | 0.13% |
| 59. | 2025. 12. 31. | $771.87 | -1.07% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.09% | 1.14% | ||||
| 표준 편차: | 8.45% | 4.37% | ||||
| Regeneron Pharmaceuticals Inc. (REGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값REGN,t1 | 피제수REGN,t1 | RREGN,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $503.84 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $450.57 | -10.57% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $473.14 | 5.01% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $481.30 | 1.72% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $502.43 | 4.39% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $558.54 | 11.17% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $574.61 | 2.88% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $673.40 | 17.19% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $605.18 | -10.13% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $639.94 | 5.74% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $636.53 | -0.53% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $631.52 | -0.79% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $608.59 | -3.63% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $618.36 | 1.61% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $698.42 | 12.95% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $659.11 | -5.63% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $664.74 | 0.85% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $591.13 | -11.07% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $581.69 | -1.60% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $581.06 | -0.11% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $688.87 | 18.55% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $748.75 | 8.69% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $751.70 | 0.39% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $721.49 | -4.02% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $758.47 | 5.13% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $760.42 | 0.26% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $821.67 | 8.05% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $801.79 | -2.42% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $735.56 | -8.26% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $718.54 | -2.31% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $741.91 | 3.25% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $826.49 | 11.40% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $822.96 | -0.43% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $779.89 | -5.23% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $823.81 | 5.63% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $878.29 | 6.61% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $942.78 | 7.34% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $966.09 | 2.47% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $962.49 | -0.37% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $890.66 | -7.46% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $980.16 | 10.05% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $1,051.03 | 7.23% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $1,079.19 | 2.68% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $1,184.69 | 9.78% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $1,051.24 | -11.26% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $838.20 | -20.27% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $750.22 | -10.50% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $712.33 | -5.05% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $672.98 | -5.52% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $698.74 | $0.88 | 3.96% | 5,954.50 | -1.42% |
| 50. | 2025. 3. 31. | $634.23 | -9.23% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $598.76 | -5.59% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $490.28 | $0.88 | -17.97% | 5,911.69 | 6.15% |
| 53. | 2025. 6. 30. | $525.00 | 7.08% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $545.46 | 3.90% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $580.70 | $0.88 | 6.62% | 6,460.26 | 1.91% |
| 56. | 2025. 9. 30. | $562.27 | -3.17% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $651.80 | 15.92% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $780.19 | $0.88 | 19.83% | 6,849.09 | 0.13% |
| 59. | 2025. 12. 31. | $771.87 | -1.07% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.09% | 1.14% | ||||
| 표준 편차: | 8.45% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 REGN의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Regeneron Pharmaceuticals Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RREGN,t | RS&P 500,t | (RREGN,t–RREGN)2 | (RS&P 500,t–RS&P 500)2 | (RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -10.57% | 2.61% | 135.96 | 2.17 | -17.18 |
| 2. | 2021. 3. 31. | 5.01% | 4.24% | 15.38 | 9.66 | 12.19 |
| 3. | 2021. 4. 30. | 1.72% | 5.24% | 0.41 | 16.86 | 2.62 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | 19.83% | 0.13% | 351.40 | 1.01 | -18.86 |
| 59. | 2025. 12. 31. | -1.07% | -0.05% | 4.64 | 1.41 | 2.56 |
| 합계 (Σ): | 4,143.86 | 1,108.23 | 453.20 | |||
| t | 날짜 | RREGN,t | RS&P 500,t | (RREGN,t–RREGN)2 | (RS&P 500,t–RS&P 500)2 | (RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -10.57% | 2.61% | 135.96 | 2.17 | -17.18 |
| 2. | 2021. 3. 31. | 5.01% | 4.24% | 15.38 | 9.66 | 12.19 |
| 3. | 2021. 4. 30. | 1.72% | 5.24% | 0.41 | 16.86 | 2.62 |
| 4. | 2021. 5. 31. | 4.39% | 0.55% | 10.91 | 0.35 | -1.94 |
| 5. | 2021. 6. 30. | 11.17% | 2.22% | 101.62 | 1.18 | 10.94 |
| 6. | 2021. 7. 31. | 2.88% | 2.27% | 3.20 | 1.30 | 2.04 |
| 7. | 2021. 8. 31. | 17.19% | 2.90% | 259.38 | 3.11 | 28.39 |
| 8. | 2021. 9. 30. | -10.13% | -4.76% | 125.84 | 34.73 | 66.11 |
| 9. | 2021. 10. 31. | 5.74% | 6.91% | 21.68 | 33.39 | 26.91 |
| 10. | 2021. 11. 30. | -0.53% | -0.83% | 2.62 | 3.88 | 3.19 |
| 11. | 2021. 12. 31. | -0.79% | 4.36% | 3.51 | 10.40 | -6.04 |
| 12. | 2022. 1. 31. | -3.63% | -5.26% | 22.26 | 40.89 | 30.17 |
| 13. | 2022. 2. 28. | 1.61% | -3.14% | 0.27 | 18.25 | -2.21 |
| 14. | 2022. 3. 31. | 12.95% | 3.58% | 140.66 | 5.96 | 28.95 |
| 15. | 2022. 4. 30. | -5.63% | -8.80% | 45.10 | 98.64 | 66.70 |
| 16. | 2022. 5. 31. | 0.85% | 0.01% | 0.05 | 1.28 | 0.26 |
| 17. | 2022. 6. 30. | -11.07% | -8.39% | 147.88 | 90.79 | 115.87 |
| 18. | 2022. 7. 31. | -1.60% | 9.11% | 7.20 | 63.61 | -21.41 |
| 19. | 2022. 8. 31. | -0.11% | -4.24% | 1.43 | 28.95 | 6.43 |
| 20. | 2022. 9. 30. | 18.55% | -9.34% | 305.09 | 109.74 | -182.98 |
| 21. | 2022. 10. 31. | 8.69% | 7.99% | 57.84 | 46.93 | 52.10 |
| 22. | 2022. 11. 30. | 0.39% | 5.38% | 0.48 | 17.97 | -2.94 |
| 23. | 2022. 12. 31. | -4.02% | -5.90% | 26.07 | 49.47 | 35.91 |
| 24. | 2023. 1. 31. | 5.13% | 6.18% | 16.31 | 25.39 | 20.35 |
| 25. | 2023. 2. 28. | 0.26% | -2.61% | 0.69 | 14.04 | 3.11 |
| 26. | 2023. 3. 31. | 8.05% | 3.51% | 48.55 | 5.61 | 16.51 |
| 27. | 2023. 4. 30. | -2.42% | 1.46% | 12.30 | 0.11 | -1.15 |
| 28. | 2023. 5. 31. | -8.26% | 0.25% | 87.38 | 0.79 | 8.30 |
| 29. | 2023. 6. 30. | -2.31% | 4.71% | 11.57 | 12.80 | -12.17 |
| 30. | 2023. 7. 31. | 3.25% | 4.85% | 4.69 | 13.76 | 8.03 |
| 31. | 2023. 8. 31. | 11.40% | -1.77% | 106.36 | 8.46 | -29.99 |
| 32. | 2023. 9. 30. | -0.43% | -4.87% | 2.29 | 36.10 | 9.10 |
| 33. | 2023. 10. 31. | -5.23% | -2.20% | 39.95 | 11.12 | 21.07 |
| 34. | 2023. 11. 30. | 5.63% | 8.92% | 20.65 | 60.56 | 35.36 |
| 35. | 2023. 12. 31. | 6.61% | 4.42% | 30.54 | 10.80 | 18.16 |
| 36. | 2024. 1. 31. | 7.34% | 1.59% | 39.13 | 0.21 | 2.84 |
| 37. | 2024. 2. 29. | 2.47% | 5.17% | 1.92 | 16.29 | 5.59 |
| 38. | 2024. 3. 31. | -0.37% | 3.10% | 2.13 | 3.86 | -2.87 |
| 39. | 2024. 4. 30. | -7.46% | -4.16% | 73.10 | 28.06 | 45.30 |
| 40. | 2024. 5. 31. | 10.05% | 4.80% | 80.31 | 13.44 | 32.85 |
| 41. | 2024. 6. 30. | 7.23% | 3.47% | 37.74 | 5.43 | 14.32 |
| 42. | 2024. 7. 31. | 2.68% | 1.13% | 2.53 | 0.00 | -0.01 |
| 43. | 2024. 8. 31. | 9.78% | 2.28% | 75.49 | 1.32 | 9.97 |
| 44. | 2024. 9. 30. | -11.26% | 2.02% | 152.57 | 0.78 | -10.91 |
| 45. | 2024. 10. 31. | -20.27% | -0.99% | 455.94 | 4.52 | 45.39 |
| 46. | 2024. 11. 30. | -10.50% | 5.73% | 134.18 | 21.10 | -53.21 |
| 47. | 2024. 12. 31. | -5.05% | -2.50% | 37.67 | 13.21 | 22.31 |
| 48. | 2025. 1. 31. | -5.52% | 2.70% | 43.71 | 2.45 | -10.35 |
| 49. | 2025. 2. 28. | 3.96% | -1.42% | 8.24 | 6.56 | -7.35 |
| 50. | 2025. 3. 31. | -9.23% | -5.75% | 106.49 | 47.48 | 71.11 |
| 51. | 2025. 4. 30. | -5.59% | -0.76% | 44.62 | 3.60 | 12.68 |
| 52. | 2025. 5. 31. | -17.97% | 6.15% | 363.19 | 25.16 | -95.60 |
| 53. | 2025. 6. 30. | 7.08% | 4.96% | 35.93 | 14.63 | 22.93 |
| 54. | 2025. 7. 31. | 3.90% | 2.17% | 7.90 | 1.06 | 2.90 |
| 55. | 2025. 8. 31. | 6.62% | 1.91% | 30.63 | 0.59 | 4.26 |
| 56. | 2025. 9. 30. | -3.17% | 3.53% | 18.16 | 5.74 | -10.21 |
| 57. | 2025. 10. 31. | 15.92% | 2.27% | 220.10 | 1.28 | 16.80 |
| 58. | 2025. 11. 30. | 19.83% | 0.13% | 351.40 | 1.01 | -18.86 |
| 59. | 2025. 12. 31. | -1.07% | -0.05% | 4.64 | 1.41 | 2.56 |
| 합계 (Σ): | 4,143.86 | 1,108.23 | 453.20 | |||
모두 보기
분산REGN = Σ(RREGN,t–RREGN)2 ÷ (59 – 1)
= 4,143.86 ÷ (59 – 1)
= 71.45
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산REGN, S&P 500 = Σ(RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 453.20 ÷ (59 – 1)
= 7.81
체계적인 위험 추정 (β)
| 분산REGN | 71.45 |
| 분산S&P 500 | 19.11 |
| 공분산REGN, S&P 500 | 7.81 |
| 상관 계수REGN, S&P 5001 | 0.21 |
| βREGN2 | 0.41 |
| αREGN3 | 0.62% |
계산
1 상관 계수REGN, S&P 500
= 공분산REGN, S&P 500 ÷ (표준 편차REGN × 표준 편차S&P 500)
= 7.81 ÷ (8.45% × 4.37%)
= 0.21
2 βREGN
= 공분산REGN, S&P 500 ÷ 분산S&P 500
= 7.81 ÷ 19.11
= 0.41
3 αREGN
= 평균의REGN – βREGN × 평균의S&P 500
= 1.09% – 0.41 × 1.14%
= 0.62%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Regeneron | βREGN | 0.41 |
| Regeneron 보통주에 대한 예상 수익률3 | E(RREGN) | 10.02% |
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(RREGN) = RF + βREGN [E(RM) – RF]
= 4.94% + 0.41 [17.36% – 4.94%]
= 10.02%