자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Western Digital보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Western Digital Corp., 월별 수익률
| Western Digital Corp. (WDC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값WDC,t1 | 피제수WDC,t1 | RWDC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 7. 31. | $85.12 | 2,470.30 | ||||
| 1. | 2017. 8. 31. | $88.27 | 3.70% | 2,471.65 | 0.05% | |
| 2. | 2017. 9. 30. | $86.40 | $0.50 | -1.55% | 2,519.36 | 1.93% |
| 3. | 2017. 10. 31. | $89.27 | 3.32% | 2,575.26 | 2.22% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 5. 31. | $38.73 | 12.46% | 4,179.83 | 0.25% | |
| 71. | 2023. 6. 30. | $37.93 | -2.07% | 4,376.86 | 4.71% | |
| 평균의 (R): | -0.09% | 0.94% | ||||
| 표준 편차: | 13.54% | 5.05% | ||||
| Western Digital Corp. (WDC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값WDC,t1 | 피제수WDC,t1 | RWDC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 7. 31. | $85.12 | 2,470.30 | ||||
| 1. | 2017. 8. 31. | $88.27 | 3.70% | 2,471.65 | 0.05% | |
| 2. | 2017. 9. 30. | $86.40 | $0.50 | -1.55% | 2,519.36 | 1.93% |
| 3. | 2017. 10. 31. | $89.27 | 3.32% | 2,575.26 | 2.22% | |
| 4. | 2017. 11. 30. | $78.86 | -11.66% | 2,647.58 | 2.81% | |
| 5. | 2017. 12. 31. | $79.53 | $0.50 | 1.48% | 2,673.61 | 0.98% |
| 6. | 2018. 1. 31. | $88.98 | 11.88% | 2,823.81 | 5.62% | |
| 7. | 2018. 2. 28. | $87.04 | -2.18% | 2,713.83 | -3.89% | |
| 8. | 2018. 3. 31. | $92.27 | $0.50 | 6.58% | 2,640.87 | -2.69% |
| 9. | 2018. 4. 30. | $78.79 | -14.61% | 2,648.05 | 0.27% | |
| 10. | 2018. 5. 31. | $83.51 | 5.99% | 2,705.27 | 2.16% | |
| 11. | 2018. 6. 30. | $77.41 | $0.50 | -6.71% | 2,718.37 | 0.48% |
| 12. | 2018. 7. 31. | $70.15 | -9.38% | 2,816.29 | 3.60% | |
| 13. | 2018. 8. 31. | $63.24 | -9.85% | 2,901.52 | 3.03% | |
| 14. | 2018. 9. 30. | $58.54 | $0.50 | -6.64% | 2,913.98 | 0.43% |
| 15. | 2018. 10. 31. | $43.07 | -26.43% | 2,711.74 | -6.94% | |
| 16. | 2018. 11. 30. | $45.39 | 5.39% | 2,760.17 | 1.79% | |
| 17. | 2018. 12. 31. | $36.97 | $0.50 | -17.45% | 2,506.85 | -9.18% |
| 18. | 2019. 1. 31. | $44.99 | 21.69% | 2,704.10 | 7.87% | |
| 19. | 2019. 2. 28. | $50.30 | 11.80% | 2,784.49 | 2.97% | |
| 20. | 2019. 3. 31. | $48.06 | $0.50 | -3.46% | 2,834.40 | 1.79% |
| 21. | 2019. 4. 30. | $51.12 | 6.37% | 2,945.83 | 3.93% | |
| 22. | 2019. 5. 31. | $37.22 | -27.19% | 2,752.06 | -6.58% | |
| 23. | 2019. 6. 30. | $47.55 | $0.50 | 29.10% | 2,941.76 | 6.89% |
| 24. | 2019. 7. 31. | $53.89 | 13.33% | 2,980.38 | 1.31% | |
| 25. | 2019. 8. 31. | $57.27 | 6.27% | 2,926.46 | -1.81% | |
| 26. | 2019. 9. 30. | $59.64 | 4.14% | 2,976.74 | 1.72% | |
| 27. | 2019. 10. 31. | $51.65 | $0.50 | -12.56% | 3,037.56 | 2.04% |
| 28. | 2019. 11. 30. | $50.33 | -2.56% | 3,140.98 | 3.40% | |
| 29. | 2019. 12. 31. | $63.47 | 26.11% | 3,230.78 | 2.86% | |
| 30. | 2020. 1. 31. | $65.50 | $0.50 | 3.99% | 3,225.52 | -0.16% |
| 31. | 2020. 2. 29. | $55.56 | -15.18% | 2,954.22 | -8.41% | |
| 32. | 2020. 3. 31. | $41.62 | -25.09% | 2,584.59 | -12.51% | |
| 33. | 2020. 4. 30. | $46.08 | $0.50 | 11.92% | 2,912.43 | 12.68% |
| 34. | 2020. 5. 31. | $44.37 | -3.71% | 3,044.31 | 4.53% | |
| 35. | 2020. 6. 30. | $44.15 | -0.50% | 3,100.29 | 1.84% | |
| 36. | 2020. 7. 31. | $43.10 | -2.38% | 3,271.12 | 5.51% | |
| 37. | 2020. 8. 31. | $38.42 | -10.86% | 3,500.31 | 7.01% | |
| 38. | 2020. 9. 30. | $36.55 | -4.87% | 3,363.00 | -3.92% | |
| 39. | 2020. 10. 31. | $37.73 | 3.23% | 3,269.96 | -2.77% | |
| 40. | 2020. 11. 30. | $44.88 | 18.95% | 3,621.63 | 10.75% | |
| 41. | 2020. 12. 31. | $55.39 | 23.42% | 3,756.07 | 3.71% | |
| 42. | 2021. 1. 31. | $56.43 | 1.88% | 3,714.24 | -1.11% | |
| 43. | 2021. 2. 28. | $68.53 | 21.44% | 3,811.15 | 2.61% | |
| 44. | 2021. 3. 31. | $66.75 | -2.60% | 3,972.89 | 4.24% | |
| 45. | 2021. 4. 30. | $70.63 | 5.81% | 4,181.17 | 5.24% | |
| 46. | 2021. 5. 31. | $75.23 | 6.51% | 4,204.11 | 0.55% | |
| 47. | 2021. 6. 30. | $71.17 | -5.40% | 4,297.50 | 2.22% | |
| 48. | 2021. 7. 31. | $64.93 | -8.77% | 4,395.26 | 2.27% | |
| 49. | 2021. 8. 31. | $63.20 | -2.66% | 4,522.68 | 2.90% | |
| 50. | 2021. 9. 30. | $56.44 | -10.70% | 4,307.54 | -4.76% | |
| 51. | 2021. 10. 31. | $52.29 | -7.35% | 4,605.38 | 6.91% | |
| 52. | 2021. 11. 30. | $57.84 | 10.61% | 4,567.00 | -0.83% | |
| 53. | 2021. 12. 31. | $65.21 | 12.74% | 4,766.18 | 4.36% | |
| 54. | 2022. 1. 31. | $51.74 | -20.66% | 4,515.55 | -5.26% | |
| 55. | 2022. 2. 28. | $50.94 | -1.55% | 4,373.94 | -3.14% | |
| 56. | 2022. 3. 31. | $49.65 | -2.53% | 4,530.41 | 3.58% | |
| 57. | 2022. 4. 30. | $53.07 | 6.89% | 4,131.93 | -8.80% | |
| 58. | 2022. 5. 31. | $60.69 | 14.36% | 4,132.15 | 0.01% | |
| 59. | 2022. 6. 30. | $44.83 | -26.13% | 3,785.38 | -8.39% | |
| 60. | 2022. 7. 31. | $49.10 | 9.52% | 4,130.29 | 9.11% | |
| 61. | 2022. 8. 31. | $42.26 | -13.93% | 3,955.00 | -4.24% | |
| 62. | 2022. 9. 30. | $32.55 | -22.98% | 3,585.62 | -9.34% | |
| 63. | 2022. 10. 31. | $34.37 | 5.59% | 3,871.98 | 7.99% | |
| 64. | 2022. 11. 30. | $36.75 | 6.92% | 4,080.11 | 5.38% | |
| 65. | 2022. 12. 31. | $31.55 | -14.15% | 3,839.50 | -5.90% | |
| 66. | 2023. 1. 31. | $43.95 | 39.30% | 4,076.60 | 6.18% | |
| 67. | 2023. 2. 28. | $38.48 | -12.45% | 3,970.15 | -2.61% | |
| 68. | 2023. 3. 31. | $37.67 | -2.10% | 4,109.31 | 3.51% | |
| 69. | 2023. 4. 30. | $34.44 | -8.57% | 4,169.48 | 1.46% | |
| 70. | 2023. 5. 31. | $38.73 | 12.46% | 4,179.83 | 0.25% | |
| 71. | 2023. 6. 30. | $37.93 | -2.07% | 4,376.86 | 4.71% | |
| 평균의 (R): | -0.09% | 0.94% | ||||
| 표준 편차: | 13.54% | 5.05% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 WDC의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Western Digital Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RWDC,t | RS&P 500,t | (RWDC,t–RWDC)2 | (RS&P 500,t–RS&P 500)2 | (RWDC,t–RWDC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 8. 31. | 3.70% | 0.05% | 14.40 | 0.78 | -3.34 |
| 2. | 2017. 9. 30. | -1.55% | 1.93% | 2.13 | 0.99 | -1.45 |
| 3. | 2017. 10. 31. | 3.32% | 2.22% | 11.67 | 1.65 | 4.38 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 5. 31. | 12.46% | 0.25% | 157.51 | 0.47 | -8.63 |
| 71. | 2023. 6. 30. | -2.07% | 4.71% | 3.89 | 14.27 | -7.45 |
| 합계 (Σ): | 12,838.63 | 1,786.26 | 2,894.84 | |||
| t | 날짜 | RWDC,t | RS&P 500,t | (RWDC,t–RWDC)2 | (RS&P 500,t–RS&P 500)2 | (RWDC,t–RWDC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 8. 31. | 3.70% | 0.05% | 14.40 | 0.78 | -3.34 |
| 2. | 2017. 9. 30. | -1.55% | 1.93% | 2.13 | 0.99 | -1.45 |
| 3. | 2017. 10. 31. | 3.32% | 2.22% | 11.67 | 1.65 | 4.38 |
| 4. | 2017. 11. 30. | -11.66% | 2.81% | 133.80 | 3.51 | -21.66 |
| 5. | 2017. 12. 31. | 1.48% | 0.98% | 2.49 | 0.00 | 0.07 |
| 6. | 2018. 1. 31. | 11.88% | 5.62% | 143.43 | 21.92 | 56.07 |
| 7. | 2018. 2. 28. | -2.18% | -3.89% | 4.35 | 23.33 | 10.08 |
| 8. | 2018. 3. 31. | 6.58% | -2.69% | 44.59 | 13.14 | -24.20 |
| 9. | 2018. 4. 30. | -14.61% | 0.27% | 210.69 | 0.44 | 9.64 |
| 10. | 2018. 5. 31. | 5.99% | 2.16% | 37.02 | 1.50 | 7.45 |
| 11. | 2018. 6. 30. | -6.71% | 0.48% | 43.72 | 0.20 | 2.99 |
| 12. | 2018. 7. 31. | -9.38% | 3.60% | 86.20 | 7.11 | -24.76 |
| 13. | 2018. 8. 31. | -9.85% | 3.03% | 95.18 | 4.37 | -20.40 |
| 14. | 2018. 9. 30. | -6.64% | 0.43% | 42.87 | 0.26 | 3.32 |
| 15. | 2018. 10. 31. | -26.43% | -6.94% | 693.39 | 62.03 | 207.40 |
| 16. | 2018. 11. 30. | 5.39% | 1.79% | 30.04 | 0.72 | 4.66 |
| 17. | 2018. 12. 31. | -17.45% | -9.18% | 301.19 | 102.28 | 175.52 |
| 18. | 2019. 1. 31. | 21.69% | 7.87% | 474.69 | 48.06 | 151.04 |
| 19. | 2019. 2. 28. | 11.80% | 2.97% | 141.53 | 4.15 | 24.23 |
| 20. | 2019. 3. 31. | -3.46% | 1.79% | 11.32 | 0.73 | -2.88 |
| 21. | 2019. 4. 30. | 6.37% | 3.93% | 41.75 | 8.97 | 19.35 |
| 22. | 2019. 5. 31. | -27.19% | -6.58% | 734.24 | 56.45 | 203.59 |
| 23. | 2019. 6. 30. | 29.10% | 6.89% | 852.13 | 35.49 | 173.90 |
| 24. | 2019. 7. 31. | 13.33% | 1.31% | 180.29 | 0.14 | 5.06 |
| 25. | 2019. 8. 31. | 6.27% | -1.81% | 40.53 | 7.53 | -17.47 |
| 26. | 2019. 9. 30. | 4.14% | 1.72% | 17.91 | 0.61 | 3.31 |
| 27. | 2019. 10. 31. | -12.56% | 2.04% | 155.37 | 1.23 | -13.80 |
| 28. | 2019. 11. 30. | -2.56% | 3.40% | 6.06 | 6.10 | -6.08 |
| 29. | 2019. 12. 31. | 26.11% | 2.86% | 686.53 | 3.70 | 50.39 |
| 30. | 2020. 1. 31. | 3.99% | -0.16% | 16.65 | 1.21 | -4.48 |
| 31. | 2020. 2. 29. | -15.18% | -8.41% | 227.45 | 87.36 | 140.96 |
| 32. | 2020. 3. 31. | -25.09% | -12.51% | 624.80 | 180.84 | 336.14 |
| 33. | 2020. 4. 30. | 11.92% | 12.68% | 144.27 | 138.03 | 141.12 |
| 34. | 2020. 5. 31. | -3.71% | 4.53% | 13.08 | 12.91 | -12.99 |
| 35. | 2020. 6. 30. | -0.50% | 1.84% | 0.16 | 0.82 | -0.36 |
| 36. | 2020. 7. 31. | -2.38% | 5.51% | 5.22 | 20.92 | -10.45 |
| 37. | 2020. 8. 31. | -10.86% | 7.01% | 115.87 | 36.85 | -65.35 |
| 38. | 2020. 9. 30. | -4.87% | -3.92% | 22.78 | 23.61 | 23.19 |
| 39. | 2020. 10. 31. | 3.23% | -2.77% | 11.04 | 13.71 | -12.30 |
| 40. | 2020. 11. 30. | 18.95% | 10.75% | 362.69 | 96.41 | 186.99 |
| 41. | 2020. 12. 31. | 23.42% | 3.71% | 552.82 | 7.71 | 65.28 |
| 42. | 2021. 1. 31. | 1.88% | -1.11% | 3.89 | 4.20 | -4.04 |
| 43. | 2021. 2. 28. | 21.44% | 2.61% | 463.82 | 2.80 | 36.04 |
| 44. | 2021. 3. 31. | -2.60% | 4.24% | 6.27 | 10.94 | -8.28 |
| 45. | 2021. 4. 30. | 5.81% | 5.24% | 34.89 | 18.55 | 25.44 |
| 46. | 2021. 5. 31. | 6.51% | 0.55% | 43.65 | 0.15 | -2.56 |
| 47. | 2021. 6. 30. | -5.40% | 2.22% | 28.12 | 1.65 | -6.82 |
| 48. | 2021. 7. 31. | -8.77% | 2.27% | 75.23 | 1.79 | -11.61 |
| 49. | 2021. 8. 31. | -2.66% | 2.90% | 6.61 | 3.85 | -5.05 |
| 50. | 2021. 9. 30. | -10.70% | -4.76% | 112.41 | 32.41 | 60.35 |
| 51. | 2021. 10. 31. | -7.35% | 6.91% | 52.69 | 35.74 | -43.40 |
| 52. | 2021. 11. 30. | 10.61% | -0.83% | 114.66 | 3.13 | -18.94 |
| 53. | 2021. 12. 31. | 12.74% | 4.36% | 164.77 | 11.73 | 43.97 |
| 54. | 2022. 1. 31. | -20.66% | -5.26% | 422.81 | 38.37 | 127.37 |
| 55. | 2022. 2. 28. | -1.55% | -3.14% | 2.11 | 16.58 | 5.91 |
| 56. | 2022. 3. 31. | -2.53% | 3.58% | 5.95 | 6.98 | -6.44 |
| 57. | 2022. 4. 30. | 6.89% | -8.80% | 48.75 | 94.70 | -67.95 |
| 58. | 2022. 5. 31. | 14.36% | 0.01% | 208.87 | 0.87 | -13.45 |
| 59. | 2022. 6. 30. | -26.13% | -8.39% | 678.02 | 87.01 | 242.88 |
| 60. | 2022. 7. 31. | 9.52% | 9.11% | 92.52 | 66.84 | 78.64 |
| 61. | 2022. 8. 31. | -13.93% | -4.24% | 191.45 | 26.83 | 71.67 |
| 62. | 2022. 9. 30. | -22.98% | -9.34% | 523.62 | 105.58 | 235.13 |
| 63. | 2022. 10. 31. | 5.59% | 7.99% | 32.32 | 49.71 | 40.09 |
| 64. | 2022. 11. 30. | 6.92% | 5.38% | 49.26 | 19.71 | 31.16 |
| 65. | 2022. 12. 31. | -14.15% | -5.90% | 197.56 | 46.69 | 96.04 |
| 66. | 2023. 1. 31. | 39.30% | 6.18% | 1,552.10 | 27.45 | 206.42 |
| 67. | 2023. 2. 28. | -12.45% | -2.61% | 152.57 | 12.58 | 43.81 |
| 68. | 2023. 3. 31. | -2.10% | 3.51% | 4.04 | 6.60 | -5.17 |
| 69. | 2023. 4. 30. | -8.57% | 1.46% | 71.92 | 0.28 | -4.48 |
| 70. | 2023. 5. 31. | 12.46% | 0.25% | 157.51 | 0.47 | -8.63 |
| 71. | 2023. 6. 30. | -2.07% | 4.71% | 3.89 | 14.27 | -7.45 |
| 합계 (Σ): | 12,838.63 | 1,786.26 | 2,894.84 | |||
모두 보기
분산WDC = Σ(RWDC,t–RWDC)2 ÷ (71 – 1)
= 12,838.63 ÷ (71 – 1)
= 183.41
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,786.26 ÷ (71 – 1)
= 25.52
공분산WDC, S&P 500 = Σ(RWDC,t–RWDC)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,894.84 ÷ (71 – 1)
= 41.35
체계적인 위험 추정 (β)
| 분산WDC | 183.41 |
| 분산S&P 500 | 25.52 |
| 공분산WDC, S&P 500 | 41.35 |
| 상관 계수WDC, S&P 5001 | 0.60 |
| βWDC2 | 1.62 |
| αWDC3 | -1.61% |
계산
1 상관 계수WDC, S&P 500
= 공분산WDC, S&P 500 ÷ (표준 편차WDC × 표준 편차S&P 500)
= 41.35 ÷ (13.54% × 5.05%)
= 0.60
2 βWDC
= 공분산WDC, S&P 500 ÷ 분산S&P 500
= 41.35 ÷ 25.52
= 1.62
3 αWDC
= 평균의WDC – βWDC × 평균의S&P 500
= -0.09% – 1.62 × 0.94%
= -1.61%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.83% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Western Digital | βWDC | 1.62 |
| Western Digital 보통주 예상 수익률3 | E(RWDC) | 21.13% |
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(RWDC) = RF + βWDC [E(RM) – RF]
= 4.83% + 1.62 [14.89% – 4.83%]
= 21.13%