자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Starbucks보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Starbucks Corp., 월별 수익률
| Starbucks Corp. (SBUX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SBUX,t1 | 피제수SBUX,t1 | RSBUX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 10. 31. | $84.56 | 3,037.56 | ||||
| 1. | 2019. 11. 30. | $85.43 | $0.41 | 1.51% | 3,140.98 | 3.40% |
| 2. | 2019. 12. 31. | $87.92 | 2.91% | 3,230.78 | 2.86% | |
| 3. | 2020. 1. 31. | $84.83 | -3.51% | 3,225.52 | -0.16% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 8. 31. | $88.19 | $0.61 | -0.40% | 6,460.26 | 1.91% |
| 71. | 2025. 9. 30. | $84.60 | -4.07% | 6,688.46 | 3.53% | |
| 평균의 (R): | 0.54% | 1.24% | ||||
| 표준 편차: | 8.51% | 4.98% | ||||
| Starbucks Corp. (SBUX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값SBUX,t1 | 피제수SBUX,t1 | RSBUX,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 10. 31. | $84.56 | 3,037.56 | ||||
| 1. | 2019. 11. 30. | $85.43 | $0.41 | 1.51% | 3,140.98 | 3.40% |
| 2. | 2019. 12. 31. | $87.92 | 2.91% | 3,230.78 | 2.86% | |
| 3. | 2020. 1. 31. | $84.83 | -3.51% | 3,225.52 | -0.16% | |
| 4. | 2020. 2. 29. | $78.43 | $0.41 | -7.06% | 2,954.22 | -8.41% |
| 5. | 2020. 3. 31. | $65.74 | -16.18% | 2,584.59 | -12.51% | |
| 6. | 2020. 4. 30. | $76.73 | 16.72% | 2,912.43 | 12.68% | |
| 7. | 2020. 5. 31. | $77.99 | $0.41 | 2.18% | 3,044.31 | 4.53% |
| 8. | 2020. 6. 30. | $73.59 | -5.64% | 3,100.29 | 1.84% | |
| 9. | 2020. 7. 31. | $76.53 | 4.00% | 3,271.12 | 5.51% | |
| 10. | 2020. 8. 31. | $84.47 | $0.41 | 10.91% | 3,500.31 | 7.01% |
| 11. | 2020. 9. 30. | $85.92 | 1.72% | 3,363.00 | -3.92% | |
| 12. | 2020. 10. 31. | $86.96 | 1.21% | 3,269.96 | -2.77% | |
| 13. | 2020. 11. 30. | $98.02 | $0.45 | 13.24% | 3,621.63 | 10.75% |
| 14. | 2020. 12. 31. | $106.98 | 9.14% | 3,756.07 | 3.71% | |
| 15. | 2021. 1. 31. | $96.81 | -9.51% | 3,714.24 | -1.11% | |
| 16. | 2021. 2. 28. | $108.03 | $0.45 | 12.05% | 3,811.15 | 2.61% |
| 17. | 2021. 3. 31. | $109.27 | 1.15% | 3,972.89 | 4.24% | |
| 18. | 2021. 4. 30. | $114.49 | 4.78% | 4,181.17 | 5.24% | |
| 19. | 2021. 5. 31. | $113.88 | $0.45 | -0.14% | 4,204.11 | 0.55% |
| 20. | 2021. 6. 30. | $111.81 | -1.82% | 4,297.50 | 2.22% | |
| 21. | 2021. 7. 31. | $121.43 | 8.60% | 4,395.26 | 2.27% | |
| 22. | 2021. 8. 31. | $117.49 | $0.45 | -2.87% | 4,522.68 | 2.90% |
| 23. | 2021. 9. 30. | $110.31 | -6.11% | 4,307.54 | -4.76% | |
| 24. | 2021. 10. 31. | $106.07 | -3.84% | 4,605.38 | 6.91% | |
| 25. | 2021. 11. 30. | $109.64 | $0.49 | 3.83% | 4,567.00 | -0.83% |
| 26. | 2021. 12. 31. | $116.97 | 6.69% | 4,766.18 | 4.36% | |
| 27. | 2022. 1. 31. | $98.32 | -15.94% | 4,515.55 | -5.26% | |
| 28. | 2022. 2. 28. | $91.79 | $0.49 | -6.14% | 4,373.94 | -3.14% |
| 29. | 2022. 3. 31. | $90.97 | -0.89% | 4,530.41 | 3.58% | |
| 30. | 2022. 4. 30. | $74.64 | -17.95% | 4,131.93 | -8.80% | |
| 31. | 2022. 5. 31. | $78.50 | $0.49 | 5.83% | 4,132.15 | 0.01% |
| 32. | 2022. 6. 30. | $76.39 | -2.69% | 3,785.38 | -8.39% | |
| 33. | 2022. 7. 31. | $84.78 | 10.98% | 4,130.29 | 9.11% | |
| 34. | 2022. 8. 31. | $84.07 | $0.49 | -0.26% | 3,955.00 | -4.24% |
| 35. | 2022. 9. 30. | $84.26 | 0.23% | 3,585.62 | -9.34% | |
| 36. | 2022. 10. 31. | $86.59 | 2.77% | 3,871.98 | 7.99% | |
| 37. | 2022. 11. 30. | $102.20 | $0.53 | 18.64% | 4,080.11 | 5.38% |
| 38. | 2022. 12. 31. | $99.20 | -2.94% | 3,839.50 | -5.90% | |
| 39. | 2023. 1. 31. | $109.14 | 10.02% | 4,076.60 | 6.18% | |
| 40. | 2023. 2. 28. | $102.09 | $0.53 | -5.97% | 3,970.15 | -2.61% |
| 41. | 2023. 3. 31. | $104.13 | 2.00% | 4,109.31 | 3.51% | |
| 42. | 2023. 4. 30. | $114.29 | 9.76% | 4,169.48 | 1.46% | |
| 43. | 2023. 5. 31. | $97.64 | $0.53 | -14.10% | 4,179.83 | 0.25% |
| 44. | 2023. 6. 30. | $99.06 | 1.45% | 4,376.86 | 4.71% | |
| 45. | 2023. 7. 31. | $101.57 | 2.53% | 4,588.96 | 4.85% | |
| 46. | 2023. 8. 31. | $97.44 | $0.53 | -3.54% | 4,507.66 | -1.77% |
| 47. | 2023. 9. 30. | $91.27 | -6.33% | 4,288.05 | -4.87% | |
| 48. | 2023. 10. 31. | $92.24 | 1.06% | 4,193.80 | -2.20% | |
| 49. | 2023. 11. 30. | $99.30 | $0.57 | 8.27% | 4,567.80 | 8.92% |
| 50. | 2023. 12. 31. | $96.01 | -3.31% | 4,769.83 | 4.42% | |
| 51. | 2024. 1. 31. | $93.03 | -3.10% | 4,845.65 | 1.59% | |
| 52. | 2024. 2. 29. | $94.90 | $0.57 | 2.62% | 5,096.27 | 5.17% |
| 53. | 2024. 3. 31. | $91.39 | -3.70% | 5,254.35 | 3.10% | |
| 54. | 2024. 4. 30. | $88.49 | -3.17% | 5,035.69 | -4.16% | |
| 55. | 2024. 5. 31. | $80.22 | $0.57 | -8.70% | 5,277.51 | 4.80% |
| 56. | 2024. 6. 30. | $77.85 | -2.95% | 5,460.48 | 3.47% | |
| 57. | 2024. 7. 31. | $77.95 | 0.13% | 5,522.30 | 1.13% | |
| 58. | 2024. 8. 31. | $94.57 | $0.57 | 22.05% | 5,648.40 | 2.28% |
| 59. | 2024. 9. 30. | $97.49 | 3.09% | 5,762.48 | 2.02% | |
| 60. | 2024. 10. 31. | $97.70 | 0.22% | 5,705.45 | -0.99% | |
| 61. | 2024. 11. 30. | $102.46 | $0.61 | 5.50% | 6,032.38 | 5.73% |
| 62. | 2024. 12. 31. | $91.25 | -10.94% | 5,881.63 | -2.50% | |
| 63. | 2025. 1. 31. | $107.68 | 18.01% | 6,040.53 | 2.70% | |
| 64. | 2025. 2. 28. | $115.81 | $0.61 | 8.12% | 5,954.50 | -1.42% |
| 65. | 2025. 3. 31. | $98.09 | -15.30% | 5,611.85 | -5.75% | |
| 66. | 2025. 4. 30. | $80.05 | -18.39% | 5,569.06 | -0.76% | |
| 67. | 2025. 5. 31. | $83.95 | $0.61 | 5.63% | 5,911.69 | 6.15% |
| 68. | 2025. 6. 30. | $91.63 | 9.15% | 6,204.95 | 4.96% | |
| 69. | 2025. 7. 31. | $89.16 | -2.70% | 6,339.39 | 2.17% | |
| 70. | 2025. 8. 31. | $88.19 | $0.61 | -0.40% | 6,460.26 | 1.91% |
| 71. | 2025. 9. 30. | $84.60 | -4.07% | 6,688.46 | 3.53% | |
| 평균의 (R): | 0.54% | 1.24% | ||||
| 표준 편차: | 8.51% | 4.98% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 SBUX의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Starbucks Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RSBUX,t | RS&P 500,t | (RSBUX,t–RSBUX)2 | (RS&P 500,t–RS&P 500)2 | (RSBUX,t–RSBUX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 11. 30. | 1.51% | 3.40% | 0.94 | 4.68 | 2.10 |
| 2. | 2019. 12. 31. | 2.91% | 2.86% | 5.63 | 2.62 | 3.84 |
| 3. | 2020. 1. 31. | -3.51% | -0.16% | 16.45 | 1.97 | 5.69 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 8. 31. | -0.40% | 1.91% | 0.89 | 0.44 | -0.63 |
| 71. | 2025. 9. 30. | -4.07% | 3.53% | 21.28 | 5.25 | -10.57 |
| 합계 (Σ): | 5,074.03 | 1,734.96 | 1,811.15 | |||
| t | 날짜 | RSBUX,t | RS&P 500,t | (RSBUX,t–RSBUX)2 | (RS&P 500,t–RS&P 500)2 | (RSBUX,t–RSBUX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 11. 30. | 1.51% | 3.40% | 0.94 | 4.68 | 2.10 |
| 2. | 2019. 12. 31. | 2.91% | 2.86% | 5.63 | 2.62 | 3.84 |
| 3. | 2020. 1. 31. | -3.51% | -0.16% | 16.45 | 1.97 | 5.69 |
| 4. | 2020. 2. 29. | -7.06% | -8.41% | 57.81 | 93.16 | 73.38 |
| 5. | 2020. 3. 31. | -16.18% | -12.51% | 279.62 | 189.14 | 229.97 |
| 6. | 2020. 4. 30. | 16.72% | 12.68% | 261.65 | 130.96 | 185.11 |
| 7. | 2020. 5. 31. | 2.18% | 4.53% | 2.67 | 10.81 | 5.37 |
| 8. | 2020. 6. 30. | -5.64% | 1.84% | 38.24 | 0.36 | -3.70 |
| 9. | 2020. 7. 31. | 4.00% | 5.51% | 11.93 | 18.23 | 14.74 |
| 10. | 2020. 8. 31. | 10.91% | 7.01% | 107.51 | 33.24 | 59.78 |
| 11. | 2020. 9. 30. | 1.72% | -3.92% | 1.38 | 26.66 | -6.07 |
| 12. | 2020. 10. 31. | 1.21% | -2.77% | 0.45 | 16.06 | -2.68 |
| 13. | 2020. 11. 30. | 13.24% | 10.75% | 161.14 | 90.51 | 120.77 |
| 14. | 2020. 12. 31. | 9.14% | 3.71% | 73.95 | 6.11 | 21.25 |
| 15. | 2021. 1. 31. | -9.51% | -1.11% | 100.97 | 5.54 | 23.66 |
| 16. | 2021. 2. 28. | 12.05% | 2.61% | 132.54 | 1.87 | 15.75 |
| 17. | 2021. 3. 31. | 1.15% | 4.24% | 0.37 | 9.02 | 1.82 |
| 18. | 2021. 4. 30. | 4.78% | 5.24% | 17.94 | 16.01 | 16.95 |
| 19. | 2021. 5. 31. | -0.14% | 0.55% | 0.46 | 0.48 | 0.47 |
| 20. | 2021. 6. 30. | -1.82% | 2.22% | 5.57 | 0.96 | -2.31 |
| 21. | 2021. 7. 31. | 8.60% | 2.27% | 65.00 | 1.07 | 8.34 |
| 22. | 2021. 8. 31. | -2.87% | 2.90% | 11.67 | 2.75 | -5.66 |
| 23. | 2021. 9. 30. | -6.11% | -4.76% | 44.26 | 35.97 | 39.90 |
| 24. | 2021. 10. 31. | -3.84% | 6.91% | 19.23 | 32.19 | -24.88 |
| 25. | 2021. 11. 30. | 3.83% | -0.83% | 10.80 | 4.30 | -6.82 |
| 26. | 2021. 12. 31. | 6.69% | 4.36% | 37.75 | 9.74 | 19.17 |
| 27. | 2022. 1. 31. | -15.94% | -5.26% | 271.79 | 42.24 | 107.15 |
| 28. | 2022. 2. 28. | -6.14% | -3.14% | 44.69 | 19.16 | 29.26 |
| 29. | 2022. 3. 31. | -0.89% | 3.58% | 2.06 | 5.46 | -3.35 |
| 30. | 2022. 4. 30. | -17.95% | -8.80% | 341.98 | 100.73 | 185.60 |
| 31. | 2022. 5. 31. | 5.83% | 0.01% | 27.94 | 1.53 | -6.53 |
| 32. | 2022. 6. 30. | -2.69% | -8.39% | 10.43 | 92.79 | 31.11 |
| 33. | 2022. 7. 31. | 10.98% | 9.11% | 109.02 | 61.95 | 82.18 |
| 34. | 2022. 8. 31. | -0.26% | -4.24% | 0.64 | 30.08 | 4.40 |
| 35. | 2022. 9. 30. | 0.23% | -9.34% | 0.10 | 111.94 | 3.34 |
| 36. | 2022. 10. 31. | 2.77% | 7.99% | 4.94 | 45.50 | 15.00 |
| 37. | 2022. 11. 30. | 18.64% | 5.38% | 327.53 | 17.09 | 74.83 |
| 38. | 2022. 12. 31. | -2.94% | -5.90% | 12.09 | 50.95 | 24.82 |
| 39. | 2023. 1. 31. | 10.02% | 6.18% | 89.84 | 24.35 | 46.77 |
| 40. | 2023. 2. 28. | -5.97% | -2.61% | 42.46 | 14.84 | 25.10 |
| 41. | 2023. 3. 31. | 2.00% | 3.51% | 2.12 | 5.13 | 3.30 |
| 42. | 2023. 4. 30. | 9.76% | 1.46% | 84.92 | 0.05 | 2.06 |
| 43. | 2023. 5. 31. | -14.10% | 0.25% | 214.51 | 0.99 | 14.54 |
| 44. | 2023. 6. 30. | 1.45% | 4.71% | 0.83 | 12.06 | 3.17 |
| 45. | 2023. 7. 31. | 2.53% | 4.85% | 3.97 | 13.00 | 7.18 |
| 46. | 2023. 8. 31. | -3.54% | -1.77% | 16.70 | 9.07 | 12.31 |
| 47. | 2023. 9. 30. | -6.33% | -4.87% | 47.25 | 37.37 | 42.02 |
| 48. | 2023. 10. 31. | 1.06% | -2.20% | 0.27 | 11.82 | -1.79 |
| 49. | 2023. 11. 30. | 8.27% | 8.92% | 59.75 | 58.94 | 59.35 |
| 50. | 2023. 12. 31. | -3.31% | 4.42% | 14.86 | 10.13 | -12.27 |
| 51. | 2024. 1. 31. | -3.10% | 1.59% | 13.29 | 0.12 | -1.27 |
| 52. | 2024. 2. 29. | 2.62% | 5.17% | 4.33 | 15.46 | 8.18 |
| 53. | 2024. 3. 31. | -3.70% | 3.10% | 17.98 | 3.46 | -7.89 |
| 54. | 2024. 4. 30. | -3.17% | -4.16% | 13.80 | 29.18 | 20.07 |
| 55. | 2024. 5. 31. | -8.70% | 4.80% | 85.44 | 12.68 | -32.92 |
| 56. | 2024. 6. 30. | -2.95% | 3.47% | 12.22 | 4.96 | -7.78 |
| 57. | 2024. 7. 31. | 0.13% | 1.13% | 0.17 | 0.01 | 0.04 |
| 58. | 2024. 8. 31. | 22.05% | 2.28% | 462.71 | 1.09 | 22.43 |
| 59. | 2024. 9. 30. | 3.09% | 2.02% | 6.48 | 0.61 | 1.98 |
| 60. | 2024. 10. 31. | 0.22% | -0.99% | 0.11 | 4.97 | 0.73 |
| 61. | 2024. 11. 30. | 5.50% | 5.73% | 24.55 | 20.15 | 22.24 |
| 62. | 2024. 12. 31. | -10.94% | -2.50% | 131.85 | 13.99 | 42.94 |
| 63. | 2025. 1. 31. | 18.01% | 2.70% | 304.98 | 2.13 | 25.51 |
| 64. | 2025. 2. 28. | 8.12% | -1.42% | 57.38 | 7.10 | -20.19 |
| 65. | 2025. 3. 31. | -15.30% | -5.75% | 250.99 | 48.93 | 110.82 |
| 66. | 2025. 4. 30. | -18.39% | -0.76% | 358.46 | 4.01 | 37.93 |
| 67. | 2025. 5. 31. | 5.63% | 6.15% | 25.93 | 24.12 | 25.01 |
| 68. | 2025. 6. 30. | 9.15% | 4.96% | 74.07 | 13.84 | 32.02 |
| 69. | 2025. 7. 31. | -2.70% | 2.17% | 10.48 | 0.86 | -3.00 |
| 70. | 2025. 8. 31. | -0.40% | 1.91% | 0.89 | 0.44 | -0.63 |
| 71. | 2025. 9. 30. | -4.07% | 3.53% | 21.28 | 5.25 | -10.57 |
| 합계 (Σ): | 5,074.03 | 1,734.96 | 1,811.15 | |||
모두 보기
분산SBUX = Σ(RSBUX,t–RSBUX)2 ÷ (71 – 1)
= 5,074.03 ÷ (71 – 1)
= 72.49
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,734.96 ÷ (71 – 1)
= 24.79
공분산SBUX, S&P 500 = Σ(RSBUX,t–RSBUX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,811.15 ÷ (71 – 1)
= 25.87
체계적인 위험 추정 (β)
| 분산SBUX | 72.49 |
| 분산S&P 500 | 24.79 |
| 공분산SBUX, S&P 500 | 25.87 |
| 상관 계수SBUX, S&P 5001 | 0.61 |
| βSBUX2 | 1.04 |
| αSBUX3 | -0.75% |
계산
1 상관 계수SBUX, S&P 500
= 공분산SBUX, S&P 500 ÷ (표준 편차SBUX × 표준 편차S&P 500)
= 25.87 ÷ (8.51% × 4.98%)
= 0.61
2 βSBUX
= 공분산SBUX, S&P 500 ÷ 분산S&P 500
= 25.87 ÷ 24.79
= 1.04
3 αSBUX
= 평균의SBUX – βSBUX × 평균의S&P 500
= 0.54% – 1.04 × 1.24%
= -0.75%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.84% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.37% |
| 보통주의 체계적 위험Starbucks | βSBUX | 1.04 |
| 스타벅스 보통주 예상 수익률3 | E(RSBUX) | 17.92% |
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(RSBUX) = RF + βSBUX [E(RM) – RF]
= 4.84% + 1.04 [17.37% – 4.84%]
= 17.92%