자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Teradyne보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Teradyne Inc., 월별 수익률
| Teradyne Inc. (TER) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값TER,t1 | 피제수TER,t1 | RTER,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $35.99 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $40.83 | $0.09 | 13.70% | 2,784.49 | 2.97% |
| 2. | 2019. 3. 31. | $39.84 | -2.42% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $49.00 | 22.99% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $92.23 | $0.11 | 10.89% | 4,567.80 | 8.92% |
| 59. | 2023. 12. 31. | $108.52 | 17.66% | 4,769.83 | 4.42% | |
| 평균의 (R): | 2.63% | 1.11% | ||||
| 표준 편차: | 11.94% | 5.31% | ||||
| Teradyne Inc. (TER) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값TER,t1 | 피제수TER,t1 | RTER,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $35.99 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $40.83 | $0.09 | 13.70% | 2,784.49 | 2.97% |
| 2. | 2019. 3. 31. | $39.84 | -2.42% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $49.00 | 22.99% | 2,945.83 | 3.93% | |
| 4. | 2019. 5. 31. | $42.14 | $0.09 | -13.82% | 2,752.06 | -6.58% |
| 5. | 2019. 6. 30. | $47.91 | 13.69% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $55.73 | 16.32% | 2,980.38 | 1.31% | |
| 7. | 2019. 8. 31. | $52.97 | -4.95% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $57.91 | $0.09 | 9.50% | 2,976.74 | 1.72% |
| 9. | 2019. 10. 31. | $61.22 | 5.72% | 3,037.56 | 2.04% | |
| 10. | 2019. 11. 30. | $62.59 | $0.09 | 2.38% | 3,140.98 | 3.40% |
| 11. | 2019. 12. 31. | $68.19 | 8.95% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $65.99 | -3.23% | 3,225.52 | -0.16% | |
| 13. | 2020. 2. 29. | $58.76 | $0.10 | -10.80% | 2,954.22 | -8.41% |
| 14. | 2020. 3. 31. | $54.17 | -7.81% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $62.54 | 15.45% | 2,912.43 | 12.68% | |
| 16. | 2020. 5. 31. | $67.02 | $0.10 | 7.32% | 3,044.31 | 4.53% |
| 17. | 2020. 6. 30. | $84.51 | 26.10% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $88.96 | 5.27% | 3,271.12 | 5.51% | |
| 19. | 2020. 8. 31. | $84.97 | -4.49% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $79.46 | $0.10 | -6.37% | 3,363.00 | -3.92% |
| 21. | 2020. 10. 31. | $87.85 | 10.56% | 3,269.96 | -2.77% | |
| 22. | 2020. 11. 30. | $110.34 | $0.10 | 25.71% | 3,621.63 | 10.75% |
| 23. | 2020. 12. 31. | $119.89 | 8.66% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $113.48 | -5.35% | 3,714.24 | -1.11% | |
| 25. | 2021. 2. 28. | $128.61 | $0.10 | 13.42% | 3,811.15 | 2.61% |
| 26. | 2021. 3. 31. | $121.68 | -5.39% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $125.08 | 2.79% | 4,181.17 | 5.24% | |
| 28. | 2021. 5. 31. | $132.35 | $0.10 | 5.89% | 4,204.11 | 0.55% |
| 29. | 2021. 6. 30. | $133.96 | 1.22% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $127.00 | -5.20% | 4,395.26 | 2.27% | |
| 31. | 2021. 8. 31. | $121.44 | $0.10 | -4.30% | 4,522.68 | 2.90% |
| 32. | 2021. 9. 30. | $109.17 | -10.10% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $138.24 | 26.63% | 4,605.38 | 6.91% | |
| 34. | 2021. 11. 30. | $152.87 | $0.10 | 10.66% | 4,567.00 | -0.83% |
| 35. | 2021. 12. 31. | $163.53 | 6.97% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $117.43 | -28.19% | 4,515.55 | -5.26% | |
| 37. | 2022. 2. 28. | $117.92 | $0.11 | 0.51% | 4,373.94 | -3.14% |
| 38. | 2022. 3. 31. | $118.23 | 0.26% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $105.46 | -10.80% | 4,131.93 | -8.80% | |
| 40. | 2022. 5. 31. | $109.26 | $0.11 | 3.71% | 4,132.15 | 0.01% |
| 41. | 2022. 6. 30. | $89.55 | -18.04% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $100.89 | 12.66% | 4,130.29 | 9.11% | |
| 43. | 2022. 8. 31. | $84.64 | $0.11 | -16.00% | 3,955.00 | -4.24% |
| 44. | 2022. 9. 30. | $75.15 | -11.21% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $81.35 | 8.25% | 3,871.98 | 7.99% | |
| 46. | 2022. 11. 30. | $93.45 | $0.11 | 15.01% | 4,080.11 | 5.38% |
| 47. | 2022. 12. 31. | $87.35 | -6.53% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $101.70 | 16.43% | 4,076.60 | 6.18% | |
| 49. | 2023. 2. 28. | $101.14 | $0.11 | -0.44% | 3,970.15 | -2.61% |
| 50. | 2023. 3. 31. | $107.51 | 6.30% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $91.38 | -15.00% | 4,169.48 | 1.46% | |
| 52. | 2023. 5. 31. | $100.19 | $0.11 | 9.76% | 4,179.83 | 0.25% |
| 53. | 2023. 6. 30. | $111.33 | 11.12% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $112.94 | 1.45% | 4,588.96 | 4.85% | |
| 55. | 2023. 8. 31. | $107.87 | $0.11 | -4.39% | 4,507.66 | -1.77% |
| 56. | 2023. 9. 30. | $100.46 | -6.87% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $83.27 | -17.11% | 4,193.80 | -2.20% | |
| 58. | 2023. 11. 30. | $92.23 | $0.11 | 10.89% | 4,567.80 | 8.92% |
| 59. | 2023. 12. 31. | $108.52 | 17.66% | 4,769.83 | 4.42% | |
| 평균의 (R): | 2.63% | 1.11% | ||||
| 표준 편차: | 11.94% | 5.31% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 TER의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Teradyne Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RTER,t | RS&P 500,t | (RTER,t–RTER)2 | (RS&P 500,t–RS&P 500)2 | (RTER,t–RTER)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 13.70% | 2.97% | 122.53 | 3.49 | 20.67 |
| 2. | 2019. 3. 31. | -2.42% | 1.79% | 25.54 | 0.47 | -3.47 |
| 3. | 2019. 4. 30. | 22.99% | 3.93% | 414.66 | 7.98 | 57.54 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 10.89% | 8.92% | 68.29 | 61.03 | 64.56 |
| 59. | 2023. 12. 31. | 17.66% | 4.42% | 226.01 | 11.00 | 49.87 |
| 합계 (Σ): | 8,264.99 | 1,634.30 | 2,554.74 | |||
| t | 날짜 | RTER,t | RS&P 500,t | (RTER,t–RTER)2 | (RS&P 500,t–RS&P 500)2 | (RTER,t–RTER)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | 13.70% | 2.97% | 122.53 | 3.49 | 20.67 |
| 2. | 2019. 3. 31. | -2.42% | 1.79% | 25.54 | 0.47 | -3.47 |
| 3. | 2019. 4. 30. | 22.99% | 3.93% | 414.66 | 7.98 | 57.54 |
| 4. | 2019. 5. 31. | -13.82% | -6.58% | 270.44 | 59.04 | 126.36 |
| 5. | 2019. 6. 30. | 13.69% | 6.89% | 122.40 | 33.49 | 64.03 |
| 6. | 2019. 7. 31. | 16.32% | 1.31% | 187.51 | 0.04 | 2.83 |
| 7. | 2019. 8. 31. | -4.95% | -1.81% | 57.48 | 8.50 | 22.10 |
| 8. | 2019. 9. 30. | 9.50% | 1.72% | 47.16 | 0.37 | 4.20 |
| 9. | 2019. 10. 31. | 5.72% | 2.04% | 9.53 | 0.88 | 2.89 |
| 10. | 2019. 11. 30. | 2.38% | 3.40% | 0.06 | 5.28 | -0.56 |
| 11. | 2019. 12. 31. | 8.95% | 2.86% | 39.92 | 3.07 | 11.08 |
| 12. | 2020. 1. 31. | -3.23% | -0.16% | 34.28 | 1.61 | 7.43 |
| 13. | 2020. 2. 29. | -10.80% | -8.41% | 180.46 | 90.57 | 127.84 |
| 14. | 2020. 3. 31. | -7.81% | -12.51% | 109.00 | 185.44 | 142.17 |
| 15. | 2020. 4. 30. | 15.45% | 12.68% | 164.42 | 134.06 | 148.47 |
| 16. | 2020. 5. 31. | 7.32% | 4.53% | 22.04 | 11.71 | 16.07 |
| 17. | 2020. 6. 30. | 26.10% | 1.84% | 550.74 | 0.54 | 17.20 |
| 18. | 2020. 7. 31. | 5.27% | 5.51% | 6.95 | 19.40 | 11.61 |
| 19. | 2020. 8. 31. | -4.49% | 7.01% | 50.61 | 34.82 | -41.98 |
| 20. | 2020. 9. 30. | -6.37% | -3.92% | 80.92 | 25.29 | 45.24 |
| 21. | 2020. 10. 31. | 10.56% | -2.77% | 62.88 | 15.00 | -30.71 |
| 22. | 2020. 11. 30. | 25.71% | 10.75% | 532.94 | 93.10 | 222.75 |
| 23. | 2020. 12. 31. | 8.66% | 3.71% | 36.32 | 6.79 | 15.71 |
| 24. | 2021. 1. 31. | -5.35% | -1.11% | 63.61 | 4.93 | 17.70 |
| 25. | 2021. 2. 28. | 13.42% | 2.61% | 116.47 | 2.26 | 16.22 |
| 26. | 2021. 3. 31. | -5.39% | 4.24% | 64.27 | 9.85 | -25.16 |
| 27. | 2021. 4. 30. | 2.79% | 5.24% | 0.03 | 17.11 | 0.68 |
| 28. | 2021. 5. 31. | 5.89% | 0.55% | 10.65 | 0.31 | -1.82 |
| 29. | 2021. 6. 30. | 1.22% | 2.22% | 1.99 | 1.24 | -1.58 |
| 30. | 2021. 7. 31. | -5.20% | 2.27% | 61.22 | 1.37 | -9.15 |
| 31. | 2021. 8. 31. | -4.30% | 2.90% | 48.00 | 3.22 | -12.42 |
| 32. | 2021. 9. 30. | -10.10% | -4.76% | 162.12 | 34.37 | 74.65 |
| 33. | 2021. 10. 31. | 26.63% | 6.91% | 575.97 | 33.74 | 139.40 |
| 34. | 2021. 11. 30. | 10.66% | -0.83% | 64.43 | 3.76 | -15.57 |
| 35. | 2021. 12. 31. | 6.97% | 4.36% | 18.87 | 10.60 | 14.14 |
| 36. | 2022. 1. 31. | -28.19% | -5.26% | 949.83 | 40.51 | 196.15 |
| 37. | 2022. 2. 28. | 0.51% | -3.14% | 4.49 | 17.99 | 8.98 |
| 38. | 2022. 3. 31. | 0.26% | 3.58% | 5.60 | 6.11 | -5.85 |
| 39. | 2022. 4. 30. | -10.80% | -8.80% | 180.36 | 98.04 | 132.98 |
| 40. | 2022. 5. 31. | 3.71% | 0.01% | 1.16 | 1.21 | -1.19 |
| 41. | 2022. 6. 30. | -18.04% | -8.39% | 427.18 | 90.21 | 196.30 |
| 42. | 2022. 7. 31. | 12.66% | 9.11% | 100.69 | 64.09 | 80.33 |
| 43. | 2022. 8. 31. | -16.00% | -4.24% | 346.94 | 28.62 | 99.65 |
| 44. | 2022. 9. 30. | -11.21% | -9.34% | 191.57 | 109.11 | 144.57 |
| 45. | 2022. 10. 31. | 8.25% | 7.99% | 31.60 | 47.34 | 38.68 |
| 46. | 2022. 11. 30. | 15.01% | 5.38% | 153.28 | 18.23 | 52.86 |
| 47. | 2022. 12. 31. | -6.53% | -5.90% | 83.84 | 49.04 | 64.12 |
| 48. | 2023. 1. 31. | 16.43% | 6.18% | 190.42 | 25.70 | 69.96 |
| 49. | 2023. 2. 28. | -0.44% | -2.61% | 9.43 | 13.82 | 11.42 |
| 50. | 2023. 3. 31. | 6.30% | 3.51% | 13.46 | 5.76 | 8.80 |
| 51. | 2023. 4. 30. | -15.00% | 1.46% | 310.89 | 0.13 | -6.32 |
| 52. | 2023. 5. 31. | 9.76% | 0.25% | 50.87 | 0.74 | -6.12 |
| 53. | 2023. 6. 30. | 11.12% | 4.71% | 72.08 | 13.02 | 30.63 |
| 54. | 2023. 7. 31. | 1.45% | 4.85% | 1.40 | 13.99 | -4.42 |
| 55. | 2023. 8. 31. | -4.39% | -1.77% | 49.29 | 8.28 | 20.20 |
| 56. | 2023. 9. 30. | -6.87% | -4.87% | 90.22 | 35.73 | 56.78 |
| 57. | 2023. 10. 31. | -17.11% | -2.20% | 389.67 | 10.92 | 65.22 |
| 58. | 2023. 11. 30. | 10.89% | 8.92% | 68.29 | 61.03 | 64.56 |
| 59. | 2023. 12. 31. | 17.66% | 4.42% | 226.01 | 11.00 | 49.87 |
| 합계 (Σ): | 8,264.99 | 1,634.30 | 2,554.74 | |||
모두 보기
분산TER = Σ(RTER,t–RTER)2 ÷ (59 – 1)
= 8,264.99 ÷ (59 – 1)
= 142.50
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산TER, S&P 500 = Σ(RTER,t–RTER)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,554.74 ÷ (59 – 1)
= 44.05
체계적인 위험 추정 (β)
| 분산TER | 142.50 |
| 분산S&P 500 | 28.18 |
| 공분산TER, S&P 500 | 44.05 |
| 상관 계수TER, S&P 5001 | 0.70 |
| βTER2 | 1.56 |
| αTER3 | 0.90% |
계산
1 상관 계수TER, S&P 500
= 공분산TER, S&P 500 ÷ (표준 편차TER × 표준 편차S&P 500)
= 44.05 ÷ (11.94% × 5.31%)
= 0.70
2 βTER
= 공분산TER, S&P 500 ÷ 분산S&P 500
= 44.05 ÷ 28.18
= 1.56
3 αTER
= 평균의TER – βTER × 평균의S&P 500
= 2.63% – 1.56 × 1.11%
= 0.90%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.98% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험Teradyne | βTER | 1.56 |
| Teradyne 보통주의 예상 수익률3 | E(RTER) | 20.40% |
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(RTER) = RF + βTER [E(RM) – RF]
= 4.98% + 1.56 [14.84% – 4.98%]
= 20.40%