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 |
| 2020. 1. 31. | $337.94 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $444.57 | 31.55% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $488.29 | 9.83% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $525.88 | 7.70% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $750.22 | -10.50% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $712.33 | -5.05% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.63% | 1.16% | ||||
| 표준 편차: | 8.73% | 5.28% | ||||
| 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 |
| 2020. 1. 31. | $337.94 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $444.57 | 31.55% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $488.29 | 9.83% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $525.88 | 7.70% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $612.81 | 16.53% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $623.65 | 1.77% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $632.07 | 1.35% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $619.93 | -1.92% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $559.78 | -9.70% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $543.56 | -2.90% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $516.03 | -5.06% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $483.11 | -6.38% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $503.84 | 4.29% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $450.57 | -10.57% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $473.14 | 5.01% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $481.30 | 1.72% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $502.43 | 4.39% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $558.54 | 11.17% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $574.61 | 2.88% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $673.40 | 17.19% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $605.18 | -10.13% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $639.94 | 5.74% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $636.53 | -0.53% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $631.52 | -0.79% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $608.59 | -3.63% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $618.36 | 1.61% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $698.42 | 12.95% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $659.11 | -5.63% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $664.74 | 0.85% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $591.13 | -11.07% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $581.69 | -1.60% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $581.06 | -0.11% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $688.87 | 18.55% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $748.75 | 8.69% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $751.70 | 0.39% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $721.49 | -4.02% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $758.47 | 5.13% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $760.42 | 0.26% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $821.67 | 8.05% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $801.79 | -2.42% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $735.56 | -8.26% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $718.54 | -2.31% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $741.91 | 3.25% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $826.49 | 11.40% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $822.96 | -0.43% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $779.89 | -5.23% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $823.81 | 5.63% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $878.29 | 6.61% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $942.78 | 7.34% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $966.09 | 2.47% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $962.49 | -0.37% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $890.66 | -7.46% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $980.16 | 10.05% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $1,051.03 | 7.23% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $1,079.19 | 2.68% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $1,184.69 | 9.78% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $1,051.24 | -11.26% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $838.20 | -20.27% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $750.22 | -10.50% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $712.33 | -5.05% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.63% | 1.16% | ||||
| 표준 편차: | 8.73% | 5.28% | ||||
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. | 2020. 2. 29. | 31.55% | -8.41% | 895.10 | 91.63 | -286.39 |
| 2. | 2020. 3. 31. | 9.83% | -12.51% | 67.23 | 186.96 | -112.11 |
| 3. | 2020. 4. 30. | 7.70% | 12.68% | 36.77 | 132.78 | 69.87 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | -10.50% | 5.73% | 147.16 | 20.87 | -55.43 |
| 59. | 2024. 12. 31. | -5.05% | -2.50% | 44.69 | 13.40 | 24.47 |
| 합계 (Σ): | 4,423.77 | 1,618.62 | 148.50 | |||
| 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. | 2020. 2. 29. | 31.55% | -8.41% | 895.10 | 91.63 | -286.39 |
| 2. | 2020. 3. 31. | 9.83% | -12.51% | 67.23 | 186.96 | -112.11 |
| 3. | 2020. 4. 30. | 7.70% | 12.68% | 36.77 | 132.78 | 69.87 |
| 4. | 2020. 5. 31. | 16.53% | 4.53% | 221.88 | 11.34 | 50.15 |
| 5. | 2020. 6. 30. | 1.77% | 1.84% | 0.02 | 0.46 | 0.09 |
| 6. | 2020. 7. 31. | 1.35% | 5.51% | 0.08 | 18.91 | -1.24 |
| 7. | 2020. 8. 31. | -1.92% | 7.01% | 12.64 | 34.17 | -20.78 |
| 8. | 2020. 9. 30. | -9.70% | -3.92% | 128.54 | 25.85 | 57.64 |
| 9. | 2020. 10. 31. | -2.90% | -2.77% | 20.54 | 15.43 | 17.80 |
| 10. | 2020. 11. 30. | -5.06% | 10.75% | 44.88 | 92.03 | -64.27 |
| 11. | 2020. 12. 31. | -6.38% | 3.71% | 64.23 | 6.51 | -20.44 |
| 12. | 2021. 1. 31. | 4.29% | -1.11% | 7.06 | 5.18 | -6.04 |
| 13. | 2021. 2. 28. | -10.57% | 2.61% | 149.02 | 2.10 | -17.68 |
| 14. | 2021. 3. 31. | 5.01% | 4.24% | 11.39 | 9.50 | 10.40 |
| 15. | 2021. 4. 30. | 1.72% | 5.24% | 0.01 | 16.66 | 0.37 |
| 16. | 2021. 5. 31. | 4.39% | 0.55% | 7.59 | 0.38 | -1.69 |
| 17. | 2021. 6. 30. | 11.17% | 2.22% | 90.88 | 1.12 | 10.11 |
| 18. | 2021. 7. 31. | 2.88% | 2.27% | 1.54 | 1.24 | 1.38 |
| 19. | 2021. 8. 31. | 17.19% | 2.90% | 242.04 | 3.02 | 27.04 |
| 20. | 2021. 9. 30. | -10.13% | -4.76% | 138.43 | 35.02 | 69.63 |
| 21. | 2021. 10. 31. | 5.74% | 6.91% | 16.88 | 33.10 | 23.64 |
| 22. | 2021. 11. 30. | -0.53% | -0.83% | 4.70 | 3.98 | 4.32 |
| 23. | 2021. 12. 31. | -0.79% | 4.36% | 5.87 | 10.24 | -7.75 |
| 24. | 2022. 1. 31. | -3.63% | -5.26% | 27.73 | 41.21 | 33.80 |
| 25. | 2022. 2. 28. | 1.61% | -3.14% | 0.00 | 18.47 | 0.13 |
| 26. | 2022. 3. 31. | 12.95% | 3.58% | 127.97 | 5.84 | 27.33 |
| 27. | 2022. 4. 30. | -5.63% | -8.80% | 52.75 | 99.14 | 72.32 |
| 28. | 2022. 5. 31. | 0.85% | 0.01% | 0.61 | 1.34 | 0.90 |
| 29. | 2022. 6. 30. | -11.07% | -8.39% | 161.50 | 91.26 | 121.41 |
| 30. | 2022. 7. 31. | -1.60% | 9.11% | 10.44 | 63.21 | -25.69 |
| 31. | 2022. 8. 31. | -0.11% | -4.24% | 3.04 | 29.22 | 9.42 |
| 32. | 2022. 9. 30. | 18.55% | -9.34% | 286.26 | 110.27 | -177.67 |
| 33. | 2022. 10. 31. | 8.69% | 7.99% | 49.81 | 46.58 | 48.17 |
| 34. | 2022. 11. 30. | 0.39% | 5.38% | 1.54 | 17.76 | -5.23 |
| 35. | 2022. 12. 31. | -4.02% | -5.90% | 31.96 | 49.82 | 39.91 |
| 36. | 2023. 1. 31. | 5.13% | 6.18% | 12.19 | 25.14 | 17.50 |
| 37. | 2023. 2. 28. | 0.26% | -2.61% | 1.90 | 14.23 | 5.20 |
| 38. | 2023. 3. 31. | 8.05% | 3.51% | 41.22 | 5.49 | 15.05 |
| 39. | 2023. 4. 30. | -2.42% | 1.46% | 16.44 | 0.09 | -1.23 |
| 40. | 2023. 5. 31. | -8.26% | 0.25% | 97.91 | 0.83 | 9.03 |
| 41. | 2023. 6. 30. | -2.31% | 4.71% | 15.59 | 12.62 | -14.03 |
| 42. | 2023. 7. 31. | 3.25% | 4.85% | 2.62 | 13.58 | 5.96 |
| 43. | 2023. 8. 31. | 11.40% | -1.77% | 95.37 | 8.60 | -28.64 |
| 44. | 2023. 9. 30. | -0.43% | -4.87% | 4.25 | 36.40 | 12.44 |
| 45. | 2023. 10. 31. | -5.23% | -2.20% | 47.17 | 11.28 | 23.07 |
| 46. | 2023. 11. 30. | 5.63% | 8.92% | 15.97 | 60.17 | 31.00 |
| 47. | 2023. 12. 31. | 6.61% | 4.42% | 24.78 | 10.64 | 16.24 |
| 48. | 2024. 1. 31. | 7.34% | 1.59% | 32.58 | 0.18 | 2.44 |
| 49. | 2024. 2. 29. | 2.47% | 5.17% | 0.70 | 16.09 | 3.36 |
| 50. | 2024. 3. 31. | -0.37% | 3.10% | 4.03 | 3.77 | -3.90 |
| 51. | 2024. 4. 30. | -7.46% | -4.16% | 82.77 | 28.33 | 48.42 |
| 52. | 2024. 5. 31. | 10.05% | 4.80% | 70.80 | 13.26 | 30.63 |
| 53. | 2024. 6. 30. | 7.23% | 3.47% | 31.31 | 5.32 | 12.90 |
| 54. | 2024. 7. 31. | 2.68% | 1.13% | 1.09 | 0.00 | -0.03 |
| 55. | 2024. 8. 31. | 9.78% | 2.28% | 66.28 | 1.26 | 9.14 |
| 56. | 2024. 9. 30. | -11.26% | 2.02% | 166.39 | 0.74 | -11.07 |
| 57. | 2024. 10. 31. | -20.27% | -0.99% | 479.62 | 4.63 | 47.11 |
| 58. | 2024. 11. 30. | -10.50% | 5.73% | 147.16 | 20.87 | -55.43 |
| 59. | 2024. 12. 31. | -5.05% | -2.50% | 44.69 | 13.40 | 24.47 |
| 합계 (Σ): | 4,423.77 | 1,618.62 | 148.50 | |||
모두 보기
분산REGN = Σ(RREGN,t–RREGN)2 ÷ (59 – 1)
= 4,423.77 ÷ (59 – 1)
= 76.27
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산REGN, S&P 500 = Σ(RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 148.50 ÷ (59 – 1)
= 2.56
체계적인 위험 추정 (β)
| 분산REGN | 76.27 |
| 분산S&P 500 | 27.91 |
| 공분산REGN, S&P 500 | 2.56 |
| 상관 계수REGN, S&P 5001 | 0.06 |
| βREGN2 | 0.09 |
| αREGN3 | 1.53% |
계산
1 상관 계수REGN, S&P 500
= 공분산REGN, S&P 500 ÷ (표준 편차REGN × 표준 편차S&P 500)
= 2.56 ÷ (8.73% × 5.28%)
= 0.06
2 βREGN
= 공분산REGN, S&P 500 ÷ 분산S&P 500
= 2.56 ÷ 27.91
= 0.09
3 αREGN
= 평균의REGN – βREGN × 평균의S&P 500
= 1.63% – 0.09 × 1.16%
= 1.53%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.76% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.72% |
| 보통주의 체계적 위험Regeneron | βREGN | 0.09 |
| Regeneron 보통주에 대한 예상 수익률3 | E(RREGN) | 5.67% |
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]
= 4.76% + 0.09 [14.72% – 4.76%]
= 5.67%