자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 AbbVie보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
AbbVie Inc., 월별 수익률
| AbbVie Inc. (ABBV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABBV,t1 | 피제수ABBV,t1 | RABBV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $81.02 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $85.71 | 5.79% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $76.19 | -11.11% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $82.20 | $1.18 | 9.44% | 2,912.43 | 12.68% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $182.93 | -10.27% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $177.70 | -2.86% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.92% | 1.16% | ||||
| 표준 편차: | 7.02% | 5.28% | ||||
| AbbVie Inc. (ABBV) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABBV,t1 | 피제수ABBV,t1 | RABBV,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $81.02 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $85.71 | 5.79% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $76.19 | -11.11% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $82.20 | $1.18 | 9.44% | 2,912.43 | 12.68% |
| 4. | 2020. 5. 31. | $92.67 | 12.74% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $98.18 | 5.95% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $94.91 | $1.18 | -2.13% | 3,271.12 | 5.51% |
| 7. | 2020. 8. 31. | $95.77 | 0.91% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $87.59 | -8.54% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $85.10 | $1.18 | -1.50% | 3,269.96 | -2.77% |
| 10. | 2020. 11. 30. | $104.58 | 22.89% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $107.15 | 2.46% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $102.48 | $1.30 | -3.15% | 3,714.24 | -1.11% |
| 13. | 2021. 2. 28. | $107.74 | 5.13% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $108.22 | 0.45% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $111.50 | $1.30 | 4.23% | 4,181.17 | 5.24% |
| 16. | 2021. 5. 31. | $113.20 | 1.52% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $112.64 | -0.49% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $116.30 | $1.30 | 4.40% | 4,395.26 | 2.27% |
| 19. | 2021. 8. 31. | $120.78 | 3.85% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $107.87 | -10.69% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $114.67 | $1.30 | 7.51% | 4,605.38 | 6.91% |
| 22. | 2021. 11. 30. | $115.28 | 0.53% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $135.40 | 17.45% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $136.89 | $1.41 | 2.14% | 4,515.55 | -5.26% |
| 25. | 2022. 2. 28. | $147.77 | 7.95% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $162.11 | 9.70% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $146.88 | $1.41 | -8.53% | 4,131.93 | -8.80% |
| 28. | 2022. 5. 31. | $147.37 | 0.33% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $153.16 | 3.93% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $143.51 | $1.41 | -5.38% | 4,130.29 | 9.11% |
| 31. | 2022. 8. 31. | $134.46 | -6.31% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $134.21 | -0.19% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $146.40 | $1.41 | 10.13% | 3,871.98 | 7.99% |
| 34. | 2022. 11. 30. | $161.18 | 10.10% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $161.61 | 0.27% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $147.75 | $1.48 | -7.66% | 4,076.60 | 6.18% |
| 37. | 2023. 2. 28. | $153.90 | 4.16% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $159.37 | 3.55% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $151.12 | $1.48 | -4.25% | 4,169.48 | 1.46% |
| 40. | 2023. 5. 31. | $137.96 | -8.71% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $134.73 | -2.34% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $149.58 | $1.48 | 12.12% | 4,588.96 | 4.85% |
| 43. | 2023. 8. 31. | $146.96 | -1.75% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $149.06 | 1.43% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $141.18 | $1.48 | -4.29% | 4,193.80 | -2.20% |
| 46. | 2023. 11. 30. | $142.39 | 0.86% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $154.97 | 8.83% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $164.40 | $1.55 | 7.09% | 4,845.65 | 1.59% |
| 49. | 2024. 2. 29. | $176.05 | 7.09% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $182.10 | 3.44% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $162.64 | $1.55 | -9.84% | 5,035.69 | -4.16% |
| 52. | 2024. 5. 31. | $161.24 | -0.86% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $171.52 | 6.38% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $185.32 | $1.55 | 8.95% | 5,522.30 | 1.13% |
| 55. | 2024. 8. 31. | $196.31 | 5.93% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $197.48 | 0.60% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $203.87 | $1.55 | 4.02% | 5,705.45 | -0.99% |
| 58. | 2024. 11. 30. | $182.93 | -10.27% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $177.70 | -2.86% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.92% | 1.16% | ||||
| 표준 편차: | 7.02% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ABBV의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
AbbVie Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RABBV,t | RS&P 500,t | (RABBV,t–RABBV)2 | (RS&P 500,t–RS&P 500)2 | (RABBV,t–RABBV)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | 5.79% | -8.41% | 14.95 | 91.63 | -37.01 |
| 2. | 2020. 3. 31. | -11.11% | -12.51% | 169.77 | 186.96 | 178.15 |
| 3. | 2020. 4. 30. | 9.44% | 12.68% | 56.47 | 132.78 | 86.59 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | -10.27% | 5.73% | 148.68 | 20.87 | -55.71 |
| 59. | 2024. 12. 31. | -2.86% | -2.50% | 22.86 | 13.40 | 17.50 |
| 합계 (Σ): | 2,859.40 | 1,618.62 | 961.00 | |||
| t | 날짜 | RABBV,t | RS&P 500,t | (RABBV,t–RABBV)2 | (RS&P 500,t–RS&P 500)2 | (RABBV,t–RABBV)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | 5.79% | -8.41% | 14.95 | 91.63 | -37.01 |
| 2. | 2020. 3. 31. | -11.11% | -12.51% | 169.77 | 186.96 | 178.15 |
| 3. | 2020. 4. 30. | 9.44% | 12.68% | 56.47 | 132.78 | 86.59 |
| 4. | 2020. 5. 31. | 12.74% | 4.53% | 116.96 | 11.34 | 36.41 |
| 5. | 2020. 6. 30. | 5.95% | 1.84% | 16.19 | 0.46 | 2.73 |
| 6. | 2020. 7. 31. | -2.13% | 5.51% | 16.41 | 18.91 | -17.62 |
| 7. | 2020. 8. 31. | 0.91% | 7.01% | 1.03 | 34.17 | -5.94 |
| 8. | 2020. 9. 30. | -8.54% | -3.92% | 109.48 | 25.85 | 53.20 |
| 9. | 2020. 10. 31. | -1.50% | -2.77% | 11.68 | 15.43 | 13.42 |
| 10. | 2020. 11. 30. | 22.89% | 10.75% | 439.68 | 92.03 | 201.16 |
| 11. | 2020. 12. 31. | 2.46% | 3.71% | 0.29 | 6.51 | 1.37 |
| 12. | 2021. 1. 31. | -3.15% | -1.11% | 25.68 | 5.18 | 11.53 |
| 13. | 2021. 2. 28. | 5.13% | 2.61% | 10.31 | 2.10 | 4.65 |
| 14. | 2021. 3. 31. | 0.45% | 4.24% | 2.18 | 9.50 | -4.55 |
| 15. | 2021. 4. 30. | 4.23% | 5.24% | 5.34 | 16.66 | 9.43 |
| 16. | 2021. 5. 31. | 1.52% | 0.55% | 0.16 | 0.38 | 0.24 |
| 17. | 2021. 6. 30. | -0.49% | 2.22% | 5.84 | 1.12 | -2.56 |
| 18. | 2021. 7. 31. | 4.40% | 2.27% | 6.16 | 1.24 | 2.76 |
| 19. | 2021. 8. 31. | 3.85% | 2.90% | 3.72 | 3.02 | 3.35 |
| 20. | 2021. 9. 30. | -10.69% | -4.76% | 159.04 | 35.02 | 74.63 |
| 21. | 2021. 10. 31. | 7.51% | 6.91% | 31.21 | 33.10 | 32.14 |
| 22. | 2021. 11. 30. | 0.53% | -0.83% | 1.93 | 3.98 | 2.77 |
| 23. | 2021. 12. 31. | 17.45% | 4.36% | 241.21 | 10.24 | 49.70 |
| 24. | 2022. 1. 31. | 2.14% | -5.26% | 0.05 | 41.21 | -1.41 |
| 25. | 2022. 2. 28. | 7.95% | -3.14% | 36.31 | 18.47 | -25.89 |
| 26. | 2022. 3. 31. | 9.70% | 3.58% | 60.56 | 5.84 | 18.80 |
| 27. | 2022. 4. 30. | -8.53% | -8.80% | 109.15 | 99.14 | 104.02 |
| 28. | 2022. 5. 31. | 0.33% | 0.01% | 2.52 | 1.34 | 1.84 |
| 29. | 2022. 6. 30. | 3.93% | -8.39% | 4.03 | 91.26 | -19.17 |
| 30. | 2022. 7. 31. | -5.38% | 9.11% | 53.32 | 63.21 | -58.06 |
| 31. | 2022. 8. 31. | -6.31% | -4.24% | 67.71 | 29.22 | 44.48 |
| 32. | 2022. 9. 30. | -0.19% | -9.34% | 4.44 | 110.27 | 22.14 |
| 33. | 2022. 10. 31. | 10.13% | 7.99% | 67.42 | 46.58 | 56.04 |
| 34. | 2022. 11. 30. | 10.10% | 5.38% | 66.80 | 17.76 | 34.44 |
| 35. | 2022. 12. 31. | 0.27% | -5.90% | 2.74 | 49.82 | 11.68 |
| 36. | 2023. 1. 31. | -7.66% | 6.18% | 91.83 | 25.14 | -48.05 |
| 37. | 2023. 2. 28. | 4.16% | -2.61% | 5.02 | 14.23 | -8.45 |
| 38. | 2023. 3. 31. | 3.55% | 3.51% | 2.66 | 5.49 | 3.83 |
| 39. | 2023. 4. 30. | -4.25% | 1.46% | 38.07 | 0.09 | -1.87 |
| 40. | 2023. 5. 31. | -8.71% | 0.25% | 113.01 | 0.83 | 9.71 |
| 41. | 2023. 6. 30. | -2.34% | 4.71% | 18.18 | 12.62 | -15.15 |
| 42. | 2023. 7. 31. | 12.12% | 4.85% | 104.01 | 13.58 | 37.58 |
| 43. | 2023. 8. 31. | -1.75% | -1.77% | 13.50 | 8.60 | 10.77 |
| 44. | 2023. 9. 30. | 1.43% | -4.87% | 0.24 | 36.40 | 2.98 |
| 45. | 2023. 10. 31. | -4.29% | -2.20% | 38.64 | 11.28 | 20.88 |
| 46. | 2023. 11. 30. | 0.86% | 8.92% | 1.13 | 60.17 | -8.26 |
| 47. | 2023. 12. 31. | 8.83% | 4.42% | 47.79 | 10.64 | 22.55 |
| 48. | 2024. 1. 31. | 7.09% | 1.59% | 26.66 | 0.18 | 2.21 |
| 49. | 2024. 2. 29. | 7.09% | 5.17% | 26.67 | 16.09 | 20.71 |
| 50. | 2024. 3. 31. | 3.44% | 3.10% | 2.29 | 3.77 | 2.94 |
| 51. | 2024. 4. 30. | -9.84% | -4.16% | 138.24 | 28.33 | 62.58 |
| 52. | 2024. 5. 31. | -0.86% | 4.80% | 7.75 | 13.26 | -10.13 |
| 53. | 2024. 6. 30. | 6.38% | 3.47% | 19.83 | 5.32 | 10.27 |
| 54. | 2024. 7. 31. | 8.95% | 1.13% | 49.38 | 0.00 | -0.20 |
| 55. | 2024. 8. 31. | 5.93% | 2.28% | 16.06 | 1.26 | 4.50 |
| 56. | 2024. 9. 30. | 0.60% | 2.02% | 1.76 | 0.74 | -1.14 |
| 57. | 2024. 10. 31. | 4.02% | -0.99% | 4.40 | 4.63 | -4.51 |
| 58. | 2024. 11. 30. | -10.27% | 5.73% | 148.68 | 20.87 | -55.71 |
| 59. | 2024. 12. 31. | -2.86% | -2.50% | 22.86 | 13.40 | 17.50 |
| 합계 (Σ): | 2,859.40 | 1,618.62 | 961.00 | |||
모두 보기
분산ABBV = Σ(RABBV,t–RABBV)2 ÷ (59 – 1)
= 2,859.40 ÷ (59 – 1)
= 49.30
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산ABBV, S&P 500 = Σ(RABBV,t–RABBV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 961.00 ÷ (59 – 1)
= 16.57
체계적인 위험 추정 (β)
| 분산ABBV | 49.30 |
| 분산S&P 500 | 27.91 |
| 공분산ABBV, S&P 500 | 16.57 |
| 상관 계수ABBV, S&P 5001 | 0.45 |
| βABBV2 | 0.59 |
| αABBV3 | 1.23% |
계산
1 상관 계수ABBV, S&P 500
= 공분산ABBV, S&P 500 ÷ (표준 편차ABBV × 표준 편차S&P 500)
= 16.57 ÷ (7.02% × 5.28%)
= 0.45
2 βABBV
= 공분산ABBV, S&P 500 ÷ 분산S&P 500
= 16.57 ÷ 27.91
= 0.59
3 αABBV
= 평균의ABBV – βABBV × 평균의S&P 500
= 1.92% – 0.59 × 1.16%
= 1.23%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.91% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.84% |
| 보통주의 체계적 위험AbbVie | βABBV | 0.59 |
| AbbVie 보통주에 대한 기대 수익률3 | E(RABBV) | 10.80% |
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(RABBV) = RF + βABBV [E(RM) – RF]
= 4.91% + 0.59 [14.84% – 4.91%]
= 10.80%