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 |
| 2019. 1. 31. | $80.29 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $79.24 | -1.31% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $80.59 | 1.70% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $79.39 | $1.07 | -0.16% | 2,945.83 | 3.93% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $142.39 | 0.86% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $154.97 | 8.83% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.74% | 1.11% | ||||
| 표준 편차: | 7.10% | 5.31% | ||||
| 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 |
| 2019. 1. 31. | $80.29 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $79.24 | -1.31% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $80.59 | 1.70% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $79.39 | $1.07 | -0.16% | 2,945.83 | 3.93% |
| 4. | 2019. 5. 31. | $76.71 | -3.38% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $72.72 | -5.20% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $66.62 | $1.07 | -6.92% | 2,980.38 | 1.31% |
| 7. | 2019. 8. 31. | $65.74 | -1.32% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $75.72 | 15.18% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $79.55 | $1.07 | 6.47% | 3,037.56 | 2.04% |
| 10. | 2019. 11. 30. | $87.73 | 10.28% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $88.54 | 0.92% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $81.02 | $1.18 | -7.16% | 3,225.52 | -0.16% |
| 13. | 2020. 2. 29. | $85.71 | 5.79% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $76.19 | -11.11% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $82.20 | $1.18 | 9.44% | 2,912.43 | 12.68% |
| 16. | 2020. 5. 31. | $92.67 | 12.74% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $98.18 | 5.95% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $94.91 | $1.18 | -2.13% | 3,271.12 | 5.51% |
| 19. | 2020. 8. 31. | $95.77 | 0.91% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $87.59 | -8.54% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $85.10 | $1.18 | -1.50% | 3,269.96 | -2.77% |
| 22. | 2020. 11. 30. | $104.58 | 22.89% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $107.15 | 2.46% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $102.48 | $1.30 | -3.15% | 3,714.24 | -1.11% |
| 25. | 2021. 2. 28. | $107.74 | 5.13% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $108.22 | 0.45% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $111.50 | $1.30 | 4.23% | 4,181.17 | 5.24% |
| 28. | 2021. 5. 31. | $113.20 | 1.52% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $112.64 | -0.49% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $116.30 | $1.30 | 4.40% | 4,395.26 | 2.27% |
| 31. | 2021. 8. 31. | $120.78 | 3.85% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $107.87 | -10.69% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $114.67 | $1.30 | 7.51% | 4,605.38 | 6.91% |
| 34. | 2021. 11. 30. | $115.28 | 0.53% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $135.40 | 17.45% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $136.89 | $1.41 | 2.14% | 4,515.55 | -5.26% |
| 37. | 2022. 2. 28. | $147.77 | 7.95% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $162.11 | 9.70% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $146.88 | $1.41 | -8.53% | 4,131.93 | -8.80% |
| 40. | 2022. 5. 31. | $147.37 | 0.33% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $153.16 | 3.93% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $143.51 | $1.41 | -5.38% | 4,130.29 | 9.11% |
| 43. | 2022. 8. 31. | $134.46 | -6.31% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $134.21 | -0.19% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $146.40 | $1.41 | 10.13% | 3,871.98 | 7.99% |
| 46. | 2022. 11. 30. | $161.18 | 10.10% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $161.61 | 0.27% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $147.75 | $1.48 | -7.66% | 4,076.60 | 6.18% |
| 49. | 2023. 2. 28. | $153.90 | 4.16% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $159.37 | 3.55% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $151.12 | $1.48 | -4.25% | 4,169.48 | 1.46% |
| 52. | 2023. 5. 31. | $137.96 | -8.71% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $134.73 | -2.34% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $149.58 | $1.48 | 12.12% | 4,588.96 | 4.85% |
| 55. | 2023. 8. 31. | $146.96 | -1.75% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $149.06 | 1.43% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $141.18 | $1.48 | -4.29% | 4,193.80 | -2.20% |
| 58. | 2023. 11. 30. | $142.39 | 0.86% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $154.97 | 8.83% | 4,769.83 | 4.42% | |
| 평균의 (R): | 1.74% | 1.11% | ||||
| 표준 편차: | 7.10% | 5.31% | ||||
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. | 2019. 2. 28. | -1.31% | 2.97% | 9.31 | 3.49 | -5.70 |
| 2. | 2019. 3. 31. | 1.70% | 1.79% | 0.00 | 0.47 | -0.03 |
| 3. | 2019. 4. 30. | -0.16% | 3.93% | 3.63 | 7.98 | -5.38 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | 0.86% | 8.92% | 0.79 | 61.03 | -6.93 |
| 59. | 2023. 12. 31. | 8.83% | 4.42% | 50.29 | 11.00 | 23.52 |
| 합계 (Σ): | 2,925.10 | 1,634.30 | 948.59 | |||
| 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. | 2019. 2. 28. | -1.31% | 2.97% | 9.31 | 3.49 | -5.70 |
| 2. | 2019. 3. 31. | 1.70% | 1.79% | 0.00 | 0.47 | -0.03 |
| 3. | 2019. 4. 30. | -0.16% | 3.93% | 3.63 | 7.98 | -5.38 |
| 4. | 2019. 5. 31. | -3.38% | -6.58% | 26.21 | 59.04 | 39.34 |
| 5. | 2019. 6. 30. | -5.20% | 6.89% | 48.23 | 33.49 | -40.19 |
| 6. | 2019. 7. 31. | -6.92% | 1.31% | 75.01 | 0.04 | -1.79 |
| 7. | 2019. 8. 31. | -1.32% | -1.81% | 9.39 | 8.50 | 8.93 |
| 8. | 2019. 9. 30. | 15.18% | 1.72% | 180.56 | 0.37 | 8.23 |
| 9. | 2019. 10. 31. | 6.47% | 2.04% | 22.35 | 0.88 | 4.43 |
| 10. | 2019. 11. 30. | 10.28% | 3.40% | 72.92 | 5.28 | 19.63 |
| 11. | 2019. 12. 31. | 0.92% | 2.86% | 0.67 | 3.07 | -1.44 |
| 12. | 2020. 1. 31. | -7.16% | -0.16% | 79.29 | 1.61 | 11.30 |
| 13. | 2020. 2. 29. | 5.79% | -8.41% | 16.36 | 90.57 | -38.50 |
| 14. | 2020. 3. 31. | -11.11% | -12.51% | 165.14 | 185.44 | 175.00 |
| 15. | 2020. 4. 30. | 9.44% | 12.68% | 59.19 | 134.06 | 89.08 |
| 16. | 2020. 5. 31. | 12.74% | 4.53% | 120.86 | 11.71 | 37.62 |
| 17. | 2020. 6. 30. | 5.95% | 1.84% | 17.66 | 0.54 | 3.08 |
| 18. | 2020. 7. 31. | -2.13% | 5.51% | 15.00 | 19.40 | -17.05 |
| 19. | 2020. 8. 31. | 0.91% | 7.01% | 0.70 | 34.82 | -4.94 |
| 20. | 2020. 9. 30. | -8.54% | -3.92% | 105.78 | 25.29 | 51.72 |
| 21. | 2020. 10. 31. | -1.50% | -2.77% | 10.49 | 15.00 | 12.54 |
| 22. | 2020. 11. 30. | 22.89% | 10.75% | 447.20 | 93.10 | 204.04 |
| 23. | 2020. 12. 31. | 2.46% | 3.71% | 0.51 | 6.79 | 1.86 |
| 24. | 2021. 1. 31. | -3.15% | -1.11% | 23.90 | 4.93 | 10.85 |
| 25. | 2021. 2. 28. | 5.13% | 2.61% | 11.49 | 2.26 | 5.09 |
| 26. | 2021. 3. 31. | 0.45% | 4.24% | 1.69 | 9.85 | -4.07 |
| 27. | 2021. 4. 30. | 4.23% | 5.24% | 6.19 | 17.11 | 10.29 |
| 28. | 2021. 5. 31. | 1.52% | 0.55% | 0.05 | 0.31 | 0.12 |
| 29. | 2021. 6. 30. | -0.49% | 2.22% | 5.01 | 1.24 | -2.50 |
| 30. | 2021. 7. 31. | 4.40% | 2.27% | 7.07 | 1.37 | 3.11 |
| 31. | 2021. 8. 31. | 3.85% | 2.90% | 4.45 | 3.22 | 3.78 |
| 32. | 2021. 9. 30. | -10.69% | -4.76% | 154.57 | 34.37 | 72.89 |
| 33. | 2021. 10. 31. | 7.51% | 6.91% | 33.24 | 33.74 | 33.49 |
| 34. | 2021. 11. 30. | 0.53% | -0.83% | 1.47 | 3.76 | 2.35 |
| 35. | 2021. 12. 31. | 17.45% | 4.36% | 246.79 | 10.60 | 51.14 |
| 36. | 2022. 1. 31. | 2.14% | -5.26% | 0.16 | 40.51 | -2.53 |
| 37. | 2022. 2. 28. | 7.95% | -3.14% | 38.49 | 17.99 | -26.32 |
| 38. | 2022. 3. 31. | 9.70% | 3.58% | 63.37 | 6.11 | 19.67 |
| 39. | 2022. 4. 30. | -8.53% | -8.80% | 105.45 | 98.04 | 101.68 |
| 40. | 2022. 5. 31. | 0.33% | 0.01% | 1.99 | 1.21 | 1.55 |
| 41. | 2022. 6. 30. | 3.93% | -8.39% | 4.78 | 90.21 | -20.76 |
| 42. | 2022. 7. 31. | -5.38% | 9.11% | 50.75 | 64.09 | -57.03 |
| 43. | 2022. 8. 31. | -6.31% | -4.24% | 64.80 | 28.62 | 43.07 |
| 44. | 2022. 9. 30. | -0.19% | -9.34% | 3.72 | 109.11 | 20.15 |
| 45. | 2022. 10. 31. | 10.13% | 7.99% | 70.39 | 47.34 | 57.73 |
| 46. | 2022. 11. 30. | 10.10% | 5.38% | 69.76 | 18.23 | 35.66 |
| 47. | 2022. 12. 31. | 0.27% | -5.90% | 2.18 | 49.04 | 10.34 |
| 48. | 2023. 1. 31. | -7.66% | 6.18% | 88.44 | 25.70 | -47.67 |
| 49. | 2023. 2. 28. | 4.16% | -2.61% | 5.85 | 13.82 | -8.99 |
| 50. | 2023. 3. 31. | 3.55% | 3.51% | 3.28 | 5.76 | 4.34 |
| 51. | 2023. 4. 30. | -4.25% | 1.46% | 35.90 | 0.13 | -2.15 |
| 52. | 2023. 5. 31. | -8.71% | 0.25% | 109.24 | 0.74 | 8.96 |
| 53. | 2023. 6. 30. | -2.34% | 4.71% | 16.69 | 13.02 | -14.74 |
| 54. | 2023. 7. 31. | 12.12% | 4.85% | 107.68 | 13.99 | 38.81 |
| 55. | 2023. 8. 31. | -1.75% | -1.77% | 12.22 | 8.28 | 10.06 |
| 56. | 2023. 9. 30. | 1.43% | -4.87% | 0.10 | 35.73 | 1.88 |
| 57. | 2023. 10. 31. | -4.29% | -2.20% | 36.45 | 10.92 | 19.95 |
| 58. | 2023. 11. 30. | 0.86% | 8.92% | 0.79 | 61.03 | -6.93 |
| 59. | 2023. 12. 31. | 8.83% | 4.42% | 50.29 | 11.00 | 23.52 |
| 합계 (Σ): | 2,925.10 | 1,634.30 | 948.59 | |||
모두 보기
분산ABBV = Σ(RABBV,t–RABBV)2 ÷ (59 – 1)
= 2,925.10 ÷ (59 – 1)
= 50.43
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산ABBV, S&P 500 = Σ(RABBV,t–RABBV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 948.59 ÷ (59 – 1)
= 16.35
체계적인 위험 추정 (β)
| 분산ABBV | 50.43 |
| 분산S&P 500 | 28.18 |
| 공분산ABBV, S&P 500 | 16.35 |
| 상관 계수ABBV, S&P 5001 | 0.43 |
| βABBV2 | 0.58 |
| αABBV3 | 1.10% |
계산
1 상관 계수ABBV, S&P 500
= 공분산ABBV, S&P 500 ÷ (표준 편차ABBV × 표준 편차S&P 500)
= 16.35 ÷ (7.10% × 5.31%)
= 0.43
2 βABBV
= 공분산ABBV, S&P 500 ÷ 분산S&P 500
= 16.35 ÷ 28.18
= 0.58
3 αABBV
= 평균의ABBV – βABBV × 평균의S&P 500
= 1.74% – 0.58 × 1.11%
= 1.10%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.65% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험AbbVie | βABBV | 0.58 |
| AbbVie 보통주에 대한 기대 수익률3 | E(RABBV) | 9.95% |
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]
= 4.65% + 0.58 [13.79% – 4.65%]
= 9.95%