자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Ross Stores보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Ross Stores Inc., 월별 수익률
| Ross Stores Inc. (ROST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ROST,t1 | 피제수ROST,t1 | RROST,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 2. 29. | $54.98 | 1,932.23 | ||||
| 1. | 2016. 3. 31. | $57.90 | $0.135 | 5.56% | 2,059.74 | 6.60% |
| 2. | 2016. 4. 30. | $56.78 | -1.93% | 2,065.30 | 0.27% | |
| 3. | 2016. 5. 31. | $53.40 | -5.95% | 2,096.95 | 1.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2021. 12. 31. | $114.28 | $0.285 | 5.02% | 4,766.18 | 4.36% |
| 71. | 2022. 1. 31. | $97.75 | -14.46% | 4,515.55 | -5.26% | |
| 평균의 (R): | 1.15% | 1.29% | ||||
| 표준 편차: | 7.37% | 4.25% | ||||
| Ross Stores Inc. (ROST) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ROST,t1 | 피제수ROST,t1 | RROST,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 2. 29. | $54.98 | 1,932.23 | ||||
| 1. | 2016. 3. 31. | $57.90 | $0.135 | 5.56% | 2,059.74 | 6.60% |
| 2. | 2016. 4. 30. | $56.78 | -1.93% | 2,065.30 | 0.27% | |
| 3. | 2016. 5. 31. | $53.40 | -5.95% | 2,096.95 | 1.53% | |
| 4. | 2016. 6. 30. | $56.69 | $0.135 | 6.41% | 2,098.86 | 0.09% |
| 5. | 2016. 7. 31. | $61.83 | 9.07% | 2,173.60 | 3.56% | |
| 6. | 2016. 8. 31. | $62.24 | $0.135 | 0.88% | 2,170.95 | -0.12% |
| 7. | 2016. 9. 30. | $64.30 | 3.31% | 2,168.27 | -0.12% | |
| 8. | 2016. 10. 31. | $62.54 | -2.74% | 2,126.15 | -1.94% | |
| 9. | 2016. 11. 30. | $67.59 | 8.07% | 2,198.81 | 3.42% | |
| 10. | 2016. 12. 31. | $65.60 | $0.135 | -2.74% | 2,238.83 | 1.82% |
| 11. | 2017. 1. 31. | $66.11 | 0.78% | 2,278.87 | 1.79% | |
| 12. | 2017. 2. 28. | $68.58 | 3.74% | 2,363.64 | 3.72% | |
| 13. | 2017. 3. 31. | $65.87 | $0.16 | -3.72% | 2,362.72 | -0.04% |
| 14. | 2017. 4. 30. | $65.00 | -1.32% | 2,384.20 | 0.91% | |
| 15. | 2017. 5. 31. | $63.92 | -1.66% | 2,411.80 | 1.16% | |
| 16. | 2017. 6. 30. | $57.73 | $0.16 | -9.43% | 2,423.41 | 0.48% |
| 17. | 2017. 7. 31. | $55.32 | -4.17% | 2,470.30 | 1.93% | |
| 18. | 2017. 8. 31. | $58.45 | 5.66% | 2,471.65 | 0.05% | |
| 19. | 2017. 9. 30. | $64.57 | $0.16 | 10.74% | 2,519.36 | 1.93% |
| 20. | 2017. 10. 31. | $63.49 | -1.67% | 2,575.26 | 2.22% | |
| 21. | 2017. 11. 30. | $76.03 | $0.16 | 20.00% | 2,647.58 | 2.81% |
| 22. | 2017. 12. 31. | $80.25 | 5.55% | 2,673.61 | 0.98% | |
| 23. | 2018. 1. 31. | $82.39 | 2.67% | 2,823.81 | 5.62% | |
| 24. | 2018. 2. 28. | $78.09 | -5.22% | 2,713.83 | -3.89% | |
| 25. | 2018. 3. 31. | $77.98 | $0.225 | 0.15% | 2,640.87 | -2.69% |
| 26. | 2018. 4. 30. | $80.85 | 3.68% | 2,648.05 | 0.27% | |
| 27. | 2018. 5. 31. | $78.88 | -2.44% | 2,705.27 | 2.16% | |
| 28. | 2018. 6. 30. | $84.75 | $0.225 | 7.73% | 2,718.37 | 0.48% |
| 29. | 2018. 7. 31. | $87.43 | 3.16% | 2,816.29 | 3.60% | |
| 30. | 2018. 8. 31. | $95.78 | 9.55% | 2,901.52 | 3.03% | |
| 31. | 2018. 9. 30. | $99.10 | $0.225 | 3.70% | 2,913.98 | 0.43% |
| 32. | 2018. 10. 31. | $99.00 | -0.10% | 2,711.74 | -6.94% | |
| 33. | 2018. 11. 30. | $87.60 | -11.52% | 2,760.17 | 1.79% | |
| 34. | 2018. 12. 31. | $83.20 | $0.225 | -4.77% | 2,506.85 | -9.18% |
| 35. | 2019. 1. 31. | $92.12 | 10.72% | 2,704.10 | 7.87% | |
| 36. | 2019. 2. 28. | $94.83 | 2.94% | 2,784.49 | 2.97% | |
| 37. | 2019. 3. 31. | $93.10 | $0.255 | -1.56% | 2,834.40 | 1.79% |
| 38. | 2019. 4. 30. | $97.66 | 4.90% | 2,945.83 | 3.93% | |
| 39. | 2019. 5. 31. | $92.99 | -4.78% | 2,752.06 | -6.58% | |
| 40. | 2019. 6. 30. | $99.12 | $0.255 | 6.87% | 2,941.76 | 6.89% |
| 41. | 2019. 7. 31. | $106.03 | 6.97% | 2,980.38 | 1.31% | |
| 42. | 2019. 8. 31. | $106.01 | -0.02% | 2,926.46 | -1.81% | |
| 43. | 2019. 9. 30. | $109.85 | $0.255 | 3.86% | 2,976.74 | 1.72% |
| 44. | 2019. 10. 31. | $109.67 | -0.16% | 3,037.56 | 2.04% | |
| 45. | 2019. 11. 30. | $116.15 | 5.91% | 3,140.98 | 3.40% | |
| 46. | 2019. 12. 31. | $116.42 | $0.255 | 0.45% | 3,230.78 | 2.86% |
| 47. | 2020. 1. 31. | $112.19 | -3.63% | 3,225.52 | -0.16% | |
| 48. | 2020. 2. 29. | $108.78 | -3.04% | 2,954.22 | -8.41% | |
| 49. | 2020. 3. 31. | $86.97 | $0.285 | -19.79% | 2,584.59 | -12.51% |
| 50. | 2020. 4. 30. | $91.36 | 5.05% | 2,912.43 | 12.68% | |
| 51. | 2020. 5. 31. | $96.96 | 6.13% | 3,044.31 | 4.53% | |
| 52. | 2020. 6. 30. | $85.24 | -12.09% | 3,100.29 | 1.84% | |
| 53. | 2020. 7. 31. | $89.67 | 5.20% | 3,271.12 | 5.51% | |
| 54. | 2020. 8. 31. | $91.08 | 1.57% | 3,500.31 | 7.01% | |
| 55. | 2020. 9. 30. | $93.32 | 2.46% | 3,363.00 | -3.92% | |
| 56. | 2020. 10. 31. | $85.17 | -8.73% | 3,269.96 | -2.77% | |
| 57. | 2020. 11. 30. | $107.52 | 26.24% | 3,621.63 | 10.75% | |
| 58. | 2020. 12. 31. | $122.81 | 14.22% | 3,756.07 | 3.71% | |
| 59. | 2021. 1. 31. | $111.29 | -9.38% | 3,714.24 | -1.11% | |
| 60. | 2021. 2. 28. | $116.64 | 4.81% | 3,811.15 | 2.61% | |
| 61. | 2021. 3. 31. | $119.91 | $0.285 | 3.05% | 3,972.89 | 4.24% |
| 62. | 2021. 4. 30. | $130.94 | 9.20% | 4,181.17 | 5.24% | |
| 63. | 2021. 5. 31. | $126.39 | -3.47% | 4,204.11 | 0.55% | |
| 64. | 2021. 6. 30. | $124.00 | $0.285 | -1.67% | 4,297.50 | 2.22% |
| 65. | 2021. 7. 31. | $122.69 | -1.06% | 4,395.26 | 2.27% | |
| 66. | 2021. 8. 31. | $118.40 | -3.50% | 4,522.68 | 2.90% | |
| 67. | 2021. 9. 30. | $108.85 | $0.285 | -7.83% | 4,307.54 | -4.76% |
| 68. | 2021. 10. 31. | $113.20 | 4.00% | 4,605.38 | 6.91% | |
| 69. | 2021. 11. 30. | $109.09 | -3.63% | 4,567.00 | -0.83% | |
| 70. | 2021. 12. 31. | $114.28 | $0.285 | 5.02% | 4,766.18 | 4.36% |
| 71. | 2022. 1. 31. | $97.75 | -14.46% | 4,515.55 | -5.26% | |
| 평균의 (R): | 1.15% | 1.29% | ||||
| 표준 편차: | 7.37% | 4.25% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ROST의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Ross Stores Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RROST,t | RS&P 500,t | (RROST,t–RROST)2 | (RS&P 500,t–RS&P 500)2 | (RROST,t–RROST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 3. 31. | 5.56% | 6.60% | 19.40 | 28.16 | 23.38 |
| 2. | 2016. 4. 30. | -1.93% | 0.27% | 9.52 | 1.05 | 3.16 |
| 3. | 2016. 5. 31. | -5.95% | 1.53% | 50.48 | 0.06 | -1.71 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2021. 12. 31. | 5.02% | 4.36% | 14.95 | 9.42 | 11.87 |
| 71. | 2022. 1. 31. | -14.46% | -5.26% | 243.87 | 42.91 | 102.30 |
| 합계 (Σ): | 3,797.92 | 1,262.70 | 1,349.97 | |||
| t | 날짜 | RROST,t | RS&P 500,t | (RROST,t–RROST)2 | (RS&P 500,t–RS&P 500)2 | (RROST,t–RROST)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 3. 31. | 5.56% | 6.60% | 19.40 | 28.16 | 23.38 |
| 2. | 2016. 4. 30. | -1.93% | 0.27% | 9.52 | 1.05 | 3.16 |
| 3. | 2016. 5. 31. | -5.95% | 1.53% | 50.48 | 0.06 | -1.71 |
| 4. | 2016. 6. 30. | 6.41% | 0.09% | 27.69 | 1.44 | -6.32 |
| 5. | 2016. 7. 31. | 9.07% | 3.56% | 62.65 | 5.15 | 17.96 |
| 6. | 2016. 8. 31. | 0.88% | -0.12% | 0.07 | 2.00 | 0.38 |
| 7. | 2016. 9. 30. | 3.31% | -0.12% | 4.66 | 2.00 | -3.05 |
| 8. | 2016. 10. 31. | -2.74% | -1.94% | 15.12 | 10.46 | 12.58 |
| 9. | 2016. 11. 30. | 8.07% | 3.42% | 47.93 | 4.52 | 14.71 |
| 10. | 2016. 12. 31. | -2.74% | 1.82% | 15.18 | 0.28 | -2.06 |
| 11. | 2017. 1. 31. | 0.78% | 1.79% | 0.14 | 0.25 | -0.19 |
| 12. | 2017. 2. 28. | 3.74% | 3.72% | 6.68 | 5.89 | 6.27 |
| 13. | 2017. 3. 31. | -3.72% | -0.04% | 23.72 | 1.77 | 6.48 |
| 14. | 2017. 4. 30. | -1.32% | 0.91% | 6.11 | 0.15 | 0.95 |
| 15. | 2017. 5. 31. | -1.66% | 1.16% | 7.92 | 0.02 | 0.38 |
| 16. | 2017. 6. 30. | -9.43% | 0.48% | 112.05 | 0.66 | 8.58 |
| 17. | 2017. 7. 31. | -4.17% | 1.93% | 28.37 | 0.41 | -3.42 |
| 18. | 2017. 8. 31. | 5.66% | 0.05% | 20.30 | 1.53 | -5.58 |
| 19. | 2017. 9. 30. | 10.74% | 1.93% | 92.01 | 0.41 | 6.12 |
| 20. | 2017. 10. 31. | -1.67% | 2.22% | 7.98 | 0.86 | -2.62 |
| 21. | 2017. 11. 30. | 20.00% | 2.81% | 355.37 | 2.30 | 28.58 |
| 22. | 2017. 12. 31. | 5.55% | 0.98% | 19.35 | 0.10 | -1.36 |
| 23. | 2018. 1. 31. | 2.67% | 5.62% | 2.29 | 18.71 | 6.55 |
| 24. | 2018. 2. 28. | -5.22% | -3.89% | 40.59 | 26.90 | 33.05 |
| 25. | 2018. 3. 31. | 0.15% | -2.69% | 1.01 | 15.85 | 4.00 |
| 26. | 2018. 4. 30. | 3.68% | 0.27% | 6.39 | 1.04 | -2.58 |
| 27. | 2018. 5. 31. | -2.44% | 2.16% | 12.88 | 0.75 | -3.12 |
| 28. | 2018. 6. 30. | 7.73% | 0.48% | 43.23 | 0.65 | -5.31 |
| 29. | 2018. 7. 31. | 3.16% | 3.60% | 4.04 | 5.34 | 4.64 |
| 30. | 2018. 8. 31. | 9.55% | 3.03% | 70.54 | 3.01 | 14.56 |
| 31. | 2018. 9. 30. | 3.70% | 0.43% | 6.50 | 0.74 | -2.20 |
| 32. | 2018. 10. 31. | -0.10% | -6.94% | 1.57 | 67.78 | 10.31 |
| 33. | 2018. 11. 30. | -11.52% | 1.79% | 160.45 | 0.24 | -6.25 |
| 34. | 2018. 12. 31. | -4.77% | -9.18% | 35.02 | 109.62 | 61.96 |
| 35. | 2019. 1. 31. | 10.72% | 7.87% | 91.57 | 43.25 | 62.93 |
| 36. | 2019. 2. 28. | 2.94% | 2.97% | 3.20 | 2.82 | 3.01 |
| 37. | 2019. 3. 31. | -1.56% | 1.79% | 7.33 | 0.25 | -1.35 |
| 38. | 2019. 4. 30. | 4.90% | 3.93% | 14.03 | 6.96 | 9.89 |
| 39. | 2019. 5. 31. | -4.78% | -6.58% | 35.21 | 61.94 | 46.70 |
| 40. | 2019. 6. 30. | 6.87% | 6.89% | 32.65 | 31.37 | 32.01 |
| 41. | 2019. 7. 31. | 6.97% | 1.31% | 33.87 | 0.00 | 0.12 |
| 42. | 2019. 8. 31. | -0.02% | -1.81% | 1.37 | 9.62 | 3.63 |
| 43. | 2019. 9. 30. | 3.86% | 1.72% | 7.35 | 0.18 | 1.15 |
| 44. | 2019. 10. 31. | -0.16% | 2.04% | 1.73 | 0.56 | -0.99 |
| 45. | 2019. 11. 30. | 5.91% | 3.40% | 22.63 | 4.46 | 10.05 |
| 46. | 2019. 12. 31. | 0.45% | 2.86% | 0.49 | 2.45 | -1.10 |
| 47. | 2020. 1. 31. | -3.63% | -0.16% | 22.90 | 2.12 | 6.96 |
| 48. | 2020. 2. 29. | -3.04% | -8.41% | 17.57 | 94.15 | 40.67 |
| 49. | 2020. 3. 31. | -19.79% | -12.51% | 438.46 | 190.56 | 289.05 |
| 50. | 2020. 4. 30. | 5.05% | 12.68% | 15.18 | 129.78 | 44.38 |
| 51. | 2020. 5. 31. | 6.13% | 4.53% | 24.78 | 10.47 | 16.11 |
| 52. | 2020. 6. 30. | -12.09% | 1.84% | 175.28 | 0.30 | -7.24 |
| 53. | 2020. 7. 31. | 5.20% | 5.51% | 16.36 | 17.79 | 17.06 |
| 54. | 2020. 8. 31. | 1.57% | 7.01% | 0.18 | 32.65 | 2.40 |
| 55. | 2020. 9. 30. | 2.46% | -3.92% | 1.71 | 27.20 | -6.82 |
| 56. | 2020. 10. 31. | -8.73% | -2.77% | 97.72 | 16.47 | 40.12 |
| 57. | 2020. 11. 30. | 26.24% | 10.75% | 629.50 | 89.54 | 237.41 |
| 58. | 2020. 12. 31. | 14.22% | 3.71% | 170.79 | 5.86 | 31.62 |
| 59. | 2021. 1. 31. | -9.38% | -1.11% | 110.93 | 5.79 | 25.34 |
| 60. | 2021. 2. 28. | 4.81% | 2.61% | 13.36 | 1.73 | 4.81 |
| 61. | 2021. 3. 31. | 3.05% | 4.24% | 3.59 | 8.71 | 5.60 |
| 62. | 2021. 4. 30. | 9.20% | 5.24% | 64.75 | 15.60 | 31.79 |
| 63. | 2021. 5. 31. | -3.47% | 0.55% | 21.41 | 0.55 | 3.44 |
| 64. | 2021. 6. 30. | -1.67% | 2.22% | 7.94 | 0.86 | -2.62 |
| 65. | 2021. 7. 31. | -1.06% | 2.27% | 4.88 | 0.97 | -2.17 |
| 66. | 2021. 8. 31. | -3.50% | 2.90% | 21.61 | 2.58 | -7.47 |
| 67. | 2021. 9. 30. | -7.83% | -4.76% | 80.59 | 36.59 | 54.30 |
| 68. | 2021. 10. 31. | 4.00% | 6.91% | 8.09 | 31.61 | 15.99 |
| 69. | 2021. 11. 30. | -3.63% | -0.83% | 22.87 | 4.52 | 10.17 |
| 70. | 2021. 12. 31. | 5.02% | 4.36% | 14.95 | 9.42 | 11.87 |
| 71. | 2022. 1. 31. | -14.46% | -5.26% | 243.87 | 42.91 | 102.30 |
| 합계 (Σ): | 3,797.92 | 1,262.70 | 1,349.97 | |||
모두 보기
분산ROST = Σ(RROST,t–RROST)2 ÷ (71 – 1)
= 3,797.92 ÷ (71 – 1)
= 54.26
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,262.70 ÷ (71 – 1)
= 18.04
공분산ROST, S&P 500 = Σ(RROST,t–RROST)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,349.97 ÷ (71 – 1)
= 19.29
체계적인 위험 추정 (β)
| 분산ROST | 54.26 |
| 분산S&P 500 | 18.04 |
| 공분산ROST, S&P 500 | 19.29 |
| 상관 계수ROST, S&P 5001 | 0.62 |
| βROST2 | 1.07 |
| αROST3 | -0.23% |
계산
1 상관 계수ROST, S&P 500
= 공분산ROST, S&P 500 ÷ (표준 편차ROST × 표준 편차S&P 500)
= 19.29 ÷ (7.37% × 4.25%)
= 0.62
2 βROST
= 공분산ROST, S&P 500 ÷ 분산S&P 500
= 19.29 ÷ 18.04
= 1.07
3 αROST
= 평균의ROST – βROST × 평균의S&P 500
= 1.15% – 1.07 × 1.29%
= -0.23%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험 Ross Stores | βROST | 1.07 |
| Ross Stores 보통주의 예상 수익률3 | E(RROST) | 15.52% |
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(RROST) = RF + βROST [E(RM) – RF]
= 4.94% + 1.07 [14.84% – 4.94%]
= 15.52%