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 |
| 2018. 10. 31. | $58.27 | 2,711.74 | ||||
| 1. | 2018. 11. 30. | $66.72 | $0.36 | 15.12% | 2,760.17 | 1.79% |
| 2. | 2018. 12. 31. | $64.40 | -3.48% | 2,506.85 | -9.18% | |
| 3. | 2019. 1. 31. | $68.14 | 5.81% | 2,704.10 | 7.87% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 8. 31. | $94.57 | $0.57 | 22.05% | 5,648.40 | 2.28% |
| 71. | 2024. 9. 30. | $97.49 | 3.09% | 5,762.48 | 2.02% | |
| 평균의 (R): | 1.21% | 1.20% | ||||
| 표준 편차: | 7.97% | 5.15% | ||||
| 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 |
| 2018. 10. 31. | $58.27 | 2,711.74 | ||||
| 1. | 2018. 11. 30. | $66.72 | $0.36 | 15.12% | 2,760.17 | 1.79% |
| 2. | 2018. 12. 31. | $64.40 | -3.48% | 2,506.85 | -9.18% | |
| 3. | 2019. 1. 31. | $68.14 | 5.81% | 2,704.10 | 7.87% | |
| 4. | 2019. 2. 28. | $70.26 | $0.36 | 3.64% | 2,784.49 | 2.97% |
| 5. | 2019. 3. 31. | $74.34 | 5.81% | 2,834.40 | 1.79% | |
| 6. | 2019. 4. 30. | $77.68 | 4.49% | 2,945.83 | 3.93% | |
| 7. | 2019. 5. 31. | $76.06 | $0.36 | -1.62% | 2,752.06 | -6.58% |
| 8. | 2019. 6. 30. | $83.83 | 10.22% | 2,941.76 | 6.89% | |
| 9. | 2019. 7. 31. | $94.69 | 12.95% | 2,980.38 | 1.31% | |
| 10. | 2019. 8. 31. | $96.56 | $0.36 | 2.36% | 2,926.46 | -1.81% |
| 11. | 2019. 9. 30. | $88.42 | -8.43% | 2,976.74 | 1.72% | |
| 12. | 2019. 10. 31. | $84.56 | -4.37% | 3,037.56 | 2.04% | |
| 13. | 2019. 11. 30. | $85.43 | $0.41 | 1.51% | 3,140.98 | 3.40% |
| 14. | 2019. 12. 31. | $87.92 | 2.91% | 3,230.78 | 2.86% | |
| 15. | 2020. 1. 31. | $84.83 | -3.51% | 3,225.52 | -0.16% | |
| 16. | 2020. 2. 29. | $78.43 | $0.41 | -7.06% | 2,954.22 | -8.41% |
| 17. | 2020. 3. 31. | $65.74 | -16.18% | 2,584.59 | -12.51% | |
| 18. | 2020. 4. 30. | $76.73 | 16.72% | 2,912.43 | 12.68% | |
| 19. | 2020. 5. 31. | $77.99 | $0.41 | 2.18% | 3,044.31 | 4.53% |
| 20. | 2020. 6. 30. | $73.59 | -5.64% | 3,100.29 | 1.84% | |
| 21. | 2020. 7. 31. | $76.53 | 4.00% | 3,271.12 | 5.51% | |
| 22. | 2020. 8. 31. | $84.47 | $0.41 | 10.91% | 3,500.31 | 7.01% |
| 23. | 2020. 9. 30. | $85.92 | 1.72% | 3,363.00 | -3.92% | |
| 24. | 2020. 10. 31. | $86.96 | 1.21% | 3,269.96 | -2.77% | |
| 25. | 2020. 11. 30. | $98.02 | $0.45 | 13.24% | 3,621.63 | 10.75% |
| 26. | 2020. 12. 31. | $106.98 | 9.14% | 3,756.07 | 3.71% | |
| 27. | 2021. 1. 31. | $96.81 | -9.51% | 3,714.24 | -1.11% | |
| 28. | 2021. 2. 28. | $108.03 | $0.45 | 12.05% | 3,811.15 | 2.61% |
| 29. | 2021. 3. 31. | $109.27 | 1.15% | 3,972.89 | 4.24% | |
| 30. | 2021. 4. 30. | $114.49 | 4.78% | 4,181.17 | 5.24% | |
| 31. | 2021. 5. 31. | $113.88 | $0.45 | -0.14% | 4,204.11 | 0.55% |
| 32. | 2021. 6. 30. | $111.81 | -1.82% | 4,297.50 | 2.22% | |
| 33. | 2021. 7. 31. | $121.43 | 8.60% | 4,395.26 | 2.27% | |
| 34. | 2021. 8. 31. | $117.49 | $0.45 | -2.87% | 4,522.68 | 2.90% |
| 35. | 2021. 9. 30. | $110.31 | -6.11% | 4,307.54 | -4.76% | |
| 36. | 2021. 10. 31. | $106.07 | -3.84% | 4,605.38 | 6.91% | |
| 37. | 2021. 11. 30. | $109.64 | $0.49 | 3.83% | 4,567.00 | -0.83% |
| 38. | 2021. 12. 31. | $116.97 | 6.69% | 4,766.18 | 4.36% | |
| 39. | 2022. 1. 31. | $98.32 | -15.94% | 4,515.55 | -5.26% | |
| 40. | 2022. 2. 28. | $91.79 | $0.49 | -6.14% | 4,373.94 | -3.14% |
| 41. | 2022. 3. 31. | $90.97 | -0.89% | 4,530.41 | 3.58% | |
| 42. | 2022. 4. 30. | $74.64 | -17.95% | 4,131.93 | -8.80% | |
| 43. | 2022. 5. 31. | $78.50 | $0.49 | 5.83% | 4,132.15 | 0.01% |
| 44. | 2022. 6. 30. | $76.39 | -2.69% | 3,785.38 | -8.39% | |
| 45. | 2022. 7. 31. | $84.78 | 10.98% | 4,130.29 | 9.11% | |
| 46. | 2022. 8. 31. | $84.07 | $0.49 | -0.26% | 3,955.00 | -4.24% |
| 47. | 2022. 9. 30. | $84.26 | 0.23% | 3,585.62 | -9.34% | |
| 48. | 2022. 10. 31. | $86.59 | 2.77% | 3,871.98 | 7.99% | |
| 49. | 2022. 11. 30. | $102.20 | $0.53 | 18.64% | 4,080.11 | 5.38% |
| 50. | 2022. 12. 31. | $99.20 | -2.94% | 3,839.50 | -5.90% | |
| 51. | 2023. 1. 31. | $109.14 | 10.02% | 4,076.60 | 6.18% | |
| 52. | 2023. 2. 28. | $102.09 | $0.53 | -5.97% | 3,970.15 | -2.61% |
| 53. | 2023. 3. 31. | $104.13 | 2.00% | 4,109.31 | 3.51% | |
| 54. | 2023. 4. 30. | $114.29 | 9.76% | 4,169.48 | 1.46% | |
| 55. | 2023. 5. 31. | $97.64 | $0.53 | -14.10% | 4,179.83 | 0.25% |
| 56. | 2023. 6. 30. | $99.06 | 1.45% | 4,376.86 | 4.71% | |
| 57. | 2023. 7. 31. | $101.57 | 2.53% | 4,588.96 | 4.85% | |
| 58. | 2023. 8. 31. | $97.44 | $0.53 | -3.54% | 4,507.66 | -1.77% |
| 59. | 2023. 9. 30. | $91.27 | -6.33% | 4,288.05 | -4.87% | |
| 60. | 2023. 10. 31. | $92.24 | 1.06% | 4,193.80 | -2.20% | |
| 61. | 2023. 11. 30. | $99.30 | $0.57 | 8.27% | 4,567.80 | 8.92% |
| 62. | 2023. 12. 31. | $96.01 | -3.31% | 4,769.83 | 4.42% | |
| 63. | 2024. 1. 31. | $93.03 | -3.10% | 4,845.65 | 1.59% | |
| 64. | 2024. 2. 29. | $94.90 | $0.57 | 2.62% | 5,096.27 | 5.17% |
| 65. | 2024. 3. 31. | $91.39 | -3.70% | 5,254.35 | 3.10% | |
| 66. | 2024. 4. 30. | $88.49 | -3.17% | 5,035.69 | -4.16% | |
| 67. | 2024. 5. 31. | $80.22 | $0.57 | -8.70% | 5,277.51 | 4.80% |
| 68. | 2024. 6. 30. | $77.85 | -2.95% | 5,460.48 | 3.47% | |
| 69. | 2024. 7. 31. | $77.95 | 0.13% | 5,522.30 | 1.13% | |
| 70. | 2024. 8. 31. | $94.57 | $0.57 | 22.05% | 5,648.40 | 2.28% |
| 71. | 2024. 9. 30. | $97.49 | 3.09% | 5,762.48 | 2.02% | |
| 평균의 (R): | 1.21% | 1.20% | ||||
| 표준 편차: | 7.97% | 5.15% | ||||
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. | 2018. 11. 30. | 15.12% | 1.79% | 193.37 | 0.34 | 8.16 |
| 2. | 2018. 12. 31. | -3.48% | -9.18% | 22.00 | 107.68 | 48.67 |
| 3. | 2019. 1. 31. | 5.81% | 7.87% | 21.11 | 44.48 | 30.64 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 8. 31. | 22.05% | 2.28% | 434.27 | 1.18 | 22.60 |
| 71. | 2024. 9. 30. | 3.09% | 2.02% | 3.51 | 0.67 | 1.54 |
| 합계 (Σ): | 4,450.55 | 1,855.59 | 1,712.68 | |||
| 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. | 2018. 11. 30. | 15.12% | 1.79% | 193.37 | 0.34 | 8.16 |
| 2. | 2018. 12. 31. | -3.48% | -9.18% | 22.00 | 107.68 | 48.67 |
| 3. | 2019. 1. 31. | 5.81% | 7.87% | 21.11 | 44.48 | 30.64 |
| 4. | 2019. 2. 28. | 3.64% | 2.97% | 5.89 | 3.15 | 4.30 |
| 5. | 2019. 3. 31. | 5.81% | 1.79% | 21.10 | 0.35 | 2.73 |
| 6. | 2019. 4. 30. | 4.49% | 3.93% | 10.75 | 7.47 | 8.96 |
| 7. | 2019. 5. 31. | -1.62% | -6.58% | 8.04 | 60.48 | 22.05 |
| 8. | 2019. 6. 30. | 10.22% | 6.89% | 81.04 | 32.42 | 51.26 |
| 9. | 2019. 7. 31. | 12.95% | 1.31% | 137.86 | 0.01 | 1.34 |
| 10. | 2019. 8. 31. | 2.36% | -1.81% | 1.30 | 9.05 | -3.43 |
| 11. | 2019. 9. 30. | -8.43% | 1.72% | 93.00 | 0.27 | -5.01 |
| 12. | 2019. 10. 31. | -4.37% | 2.04% | 31.12 | 0.71 | -4.71 |
| 13. | 2019. 11. 30. | 1.51% | 3.40% | 0.09 | 4.87 | 0.66 |
| 14. | 2019. 12. 31. | 2.91% | 2.86% | 2.89 | 2.76 | 2.82 |
| 15. | 2020. 1. 31. | -3.51% | -0.16% | 22.35 | 1.85 | 6.44 |
| 16. | 2020. 2. 29. | -7.06% | -8.41% | 68.47 | 92.35 | 79.52 |
| 17. | 2020. 3. 31. | -16.18% | -12.51% | 302.53 | 187.99 | 238.48 |
| 18. | 2020. 4. 30. | 16.72% | 12.68% | 240.37 | 131.91 | 178.07 |
| 19. | 2020. 5. 31. | 2.18% | 4.53% | 0.93 | 11.08 | 3.21 |
| 20. | 2020. 6. 30. | -5.64% | 1.84% | 46.99 | 0.41 | -4.39 |
| 21. | 2020. 7. 31. | 4.00% | 5.51% | 7.74 | 18.59 | 11.99 |
| 22. | 2020. 8. 31. | 10.91% | 7.01% | 94.04 | 33.73 | 56.32 |
| 23. | 2020. 9. 30. | 1.72% | -3.92% | 0.25 | 26.23 | -2.58 |
| 24. | 2020. 10. 31. | 1.21% | -2.77% | 0.00 | 15.73 | 0.01 |
| 25. | 2020. 11. 30. | 13.24% | 10.75% | 144.54 | 91.31 | 114.88 |
| 26. | 2020. 12. 31. | 9.14% | 3.71% | 62.85 | 6.32 | 19.92 |
| 27. | 2021. 1. 31. | -9.51% | -1.11% | 114.92 | 5.35 | 24.79 |
| 28. | 2021. 2. 28. | 12.05% | 2.61% | 117.53 | 1.99 | 15.29 |
| 29. | 2021. 3. 31. | 1.15% | 4.24% | 0.00 | 9.27 | -0.20 |
| 30. | 2021. 4. 30. | 4.78% | 5.24% | 12.70 | 16.35 | 14.41 |
| 31. | 2021. 5. 31. | -0.14% | 0.55% | 1.83 | 0.42 | 0.88 |
| 32. | 2021. 6. 30. | -1.82% | 2.22% | 9.19 | 1.05 | -3.10 |
| 33. | 2021. 7. 31. | 8.60% | 2.27% | 54.62 | 1.16 | 7.95 |
| 34. | 2021. 8. 31. | -2.87% | 2.90% | 16.71 | 2.89 | -6.95 |
| 35. | 2021. 9. 30. | -6.11% | -4.76% | 53.65 | 35.47 | 43.62 |
| 36. | 2021. 10. 31. | -3.84% | 6.91% | 25.57 | 32.67 | -28.90 |
| 37. | 2021. 11. 30. | 3.83% | -0.83% | 6.83 | 4.13 | -5.31 |
| 38. | 2021. 12. 31. | 6.69% | 4.36% | 29.94 | 10.00 | 17.30 |
| 39. | 2022. 1. 31. | -15.94% | -5.26% | 294.39 | 41.70 | 110.80 |
| 40. | 2022. 2. 28. | -6.14% | -3.14% | 54.12 | 18.79 | 31.89 |
| 41. | 2022. 3. 31. | -0.89% | 3.58% | 4.44 | 5.66 | -5.01 |
| 42. | 2022. 4. 30. | -17.95% | -8.80% | 367.27 | 99.89 | 191.54 |
| 43. | 2022. 5. 31. | 5.83% | 0.01% | 21.29 | 1.42 | -5.51 |
| 44. | 2022. 6. 30. | -2.69% | -8.39% | 15.22 | 91.99 | 37.42 |
| 45. | 2022. 7. 31. | 10.98% | 9.11% | 95.45 | 62.61 | 77.30 |
| 46. | 2022. 8. 31. | -0.26% | -4.24% | 2.17 | 29.63 | 8.02 |
| 47. | 2022. 9. 30. | 0.23% | -9.34% | 0.97 | 111.06 | 10.41 |
| 48. | 2022. 10. 31. | 2.77% | 7.99% | 2.41 | 46.07 | 10.53 |
| 49. | 2022. 11. 30. | 18.64% | 5.38% | 303.67 | 17.44 | 72.78 |
| 50. | 2022. 12. 31. | -2.94% | -5.90% | 17.21 | 50.36 | 29.44 |
| 51. | 2023. 1. 31. | 10.02% | 6.18% | 77.56 | 24.76 | 43.82 |
| 52. | 2023. 2. 28. | -5.97% | -2.61% | 51.66 | 14.52 | 27.39 |
| 53. | 2023. 3. 31. | 2.00% | 3.51% | 0.62 | 5.32 | 1.81 |
| 54. | 2023. 4. 30. | 9.76% | 1.46% | 72.99 | 0.07 | 2.27 |
| 55. | 2023. 5. 31. | -14.10% | 0.25% | 234.64 | 0.90 | 14.56 |
| 56. | 2023. 6. 30. | 1.45% | 4.71% | 0.06 | 12.35 | 0.85 |
| 57. | 2023. 7. 31. | 2.53% | 4.85% | 1.74 | 13.30 | 4.82 |
| 58. | 2023. 8. 31. | -3.54% | -1.77% | 22.64 | 8.82 | 14.13 |
| 59. | 2023. 9. 30. | -6.33% | -4.87% | 56.93 | 36.86 | 45.81 |
| 60. | 2023. 10. 31. | 1.06% | -2.20% | 0.02 | 11.54 | 0.51 |
| 61. | 2023. 11. 30. | 8.27% | 8.92% | 49.82 | 59.58 | 54.48 |
| 62. | 2023. 12. 31. | -3.31% | 4.42% | 20.49 | 10.39 | -14.59 |
| 63. | 2024. 1. 31. | -3.10% | 1.59% | 18.64 | 0.15 | -1.69 |
| 64. | 2024. 2. 29. | 2.62% | 5.17% | 1.99 | 15.79 | 5.60 |
| 65. | 2024. 3. 31. | -3.70% | 3.10% | 24.13 | 3.62 | -9.35 |
| 66. | 2024. 4. 30. | -3.17% | -4.16% | 19.24 | 28.73 | 23.51 |
| 67. | 2024. 5. 31. | -8.70% | 4.80% | 98.31 | 12.98 | -35.72 |
| 68. | 2024. 6. 30. | -2.95% | 3.47% | 17.37 | 5.14 | -9.45 |
| 69. | 2024. 7. 31. | 0.13% | 1.13% | 1.18 | 0.00 | 0.07 |
| 70. | 2024. 8. 31. | 22.05% | 2.28% | 434.27 | 1.18 | 22.60 |
| 71. | 2024. 9. 30. | 3.09% | 2.02% | 3.51 | 0.67 | 1.54 |
| 합계 (Σ): | 4,450.55 | 1,855.59 | 1,712.68 | |||
모두 보기
분산SBUX = Σ(RSBUX,t–RSBUX)2 ÷ (71 – 1)
= 4,450.55 ÷ (71 – 1)
= 63.58
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,855.59 ÷ (71 – 1)
= 26.51
공분산SBUX, S&P 500 = Σ(RSBUX,t–RSBUX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,712.68 ÷ (71 – 1)
= 24.47
체계적인 위험 추정 (β)
| 분산SBUX | 63.58 |
| 분산S&P 500 | 26.51 |
| 공분산SBUX, S&P 500 | 24.47 |
| 상관 계수SBUX, S&P 5001 | 0.60 |
| βSBUX2 | 0.92 |
| αSBUX3 | 0.11% |
계산
1 상관 계수SBUX, S&P 500
= 공분산SBUX, S&P 500 ÷ (표준 편차SBUX × 표준 편차S&P 500)
= 24.47 ÷ (7.97% × 5.15%)
= 0.60
2 βSBUX
= 공분산SBUX, S&P 500 ÷ 분산S&P 500
= 24.47 ÷ 26.51
= 0.92
3 αSBUX
= 평균의SBUX – βSBUX × 평균의S&P 500
= 1.21% – 0.92 × 1.20%
= 0.11%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.93% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.85% |
| 보통주의 체계적 위험Starbucks | βSBUX | 0.92 |
| 스타벅스 보통주 예상 수익률3 | E(RSBUX) | 14.08% |
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]
= 4.93% + 0.92 [14.85% – 4.93%]
= 14.08%