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 |
| 2021. 1. 31. | $102.48 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $107.74 | 5.13% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $108.22 | 0.45% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $111.50 | $1.30 | 4.23% | 4,181.17 | 5.24% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $227.70 | 4.43% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $228.49 | 0.35% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.88% | 1.14% | ||||
| 표준 편차: | 6.37% | 4.37% | ||||
| 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 |
| 2021. 1. 31. | $102.48 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $107.74 | 5.13% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $108.22 | 0.45% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $111.50 | $1.30 | 4.23% | 4,181.17 | 5.24% |
| 4. | 2021. 5. 31. | $113.20 | 1.52% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $112.64 | -0.49% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $116.30 | $1.30 | 4.40% | 4,395.26 | 2.27% |
| 7. | 2021. 8. 31. | $120.78 | 3.85% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $107.87 | -10.69% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $114.67 | $1.30 | 7.51% | 4,605.38 | 6.91% |
| 10. | 2021. 11. 30. | $115.28 | 0.53% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $135.40 | 17.45% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $136.89 | $1.41 | 2.14% | 4,515.55 | -5.26% |
| 13. | 2022. 2. 28. | $147.77 | 7.95% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $162.11 | 9.70% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $146.88 | $1.41 | -8.53% | 4,131.93 | -8.80% |
| 16. | 2022. 5. 31. | $147.37 | 0.33% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $153.16 | 3.93% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $143.51 | $1.41 | -5.38% | 4,130.29 | 9.11% |
| 19. | 2022. 8. 31. | $134.46 | -6.31% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $134.21 | -0.19% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $146.40 | $1.41 | 10.13% | 3,871.98 | 7.99% |
| 22. | 2022. 11. 30. | $161.18 | 10.10% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $161.61 | 0.27% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $147.75 | $1.48 | -7.66% | 4,076.60 | 6.18% |
| 25. | 2023. 2. 28. | $153.90 | 4.16% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $159.37 | 3.55% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $151.12 | $1.48 | -4.25% | 4,169.48 | 1.46% |
| 28. | 2023. 5. 31. | $137.96 | -8.71% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $134.73 | -2.34% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $149.58 | $1.48 | 12.12% | 4,588.96 | 4.85% |
| 31. | 2023. 8. 31. | $146.96 | -1.75% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $149.06 | 1.43% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $141.18 | $1.48 | -4.29% | 4,193.80 | -2.20% |
| 34. | 2023. 11. 30. | $142.39 | 0.86% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $154.97 | 8.83% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $164.40 | $1.55 | 7.09% | 4,845.65 | 1.59% |
| 37. | 2024. 2. 29. | $176.05 | 7.09% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $182.10 | 3.44% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $162.64 | $1.55 | -9.84% | 5,035.69 | -4.16% |
| 40. | 2024. 5. 31. | $161.24 | -0.86% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $171.52 | 6.38% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $185.32 | $1.55 | 8.95% | 5,522.30 | 1.13% |
| 43. | 2024. 8. 31. | $196.31 | 5.93% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $197.48 | 0.60% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $203.87 | $1.55 | 4.02% | 5,705.45 | -0.99% |
| 46. | 2024. 11. 30. | $182.93 | -10.27% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $177.70 | -2.86% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $183.90 | $1.64 | 4.41% | 6,040.53 | 2.70% |
| 49. | 2025. 2. 28. | $209.03 | 13.67% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $209.52 | 0.23% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $195.10 | $1.64 | -6.10% | 5,569.06 | -0.76% |
| 52. | 2025. 5. 31. | $186.11 | -4.61% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $185.62 | -0.26% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $189.02 | $1.64 | 2.72% | 6,339.39 | 2.17% |
| 55. | 2025. 8. 31. | $210.40 | 11.31% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $231.54 | 10.05% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $218.04 | $1.64 | -5.12% | 6,840.20 | 2.27% |
| 58. | 2025. 11. 30. | $227.70 | 4.43% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $228.49 | 0.35% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.88% | 1.14% | ||||
| 표준 편차: | 6.37% | 4.37% | ||||
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. | 2021. 2. 28. | 5.13% | 2.61% | 10.60 | 2.17 | 4.80 |
| 2. | 2021. 3. 31. | 0.45% | 4.24% | 2.05 | 9.66 | -4.45 |
| 3. | 2021. 4. 30. | 4.23% | 5.24% | 5.55 | 16.86 | 9.67 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | 4.43% | 0.13% | 6.52 | 1.01 | -2.57 |
| 59. | 2025. 12. 31. | 0.35% | -0.05% | 2.34 | 1.41 | 1.82 |
| 합계 (Σ): | 2,352.59 | 1,108.23 | 415.21 | |||
| 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. | 2021. 2. 28. | 5.13% | 2.61% | 10.60 | 2.17 | 4.80 |
| 2. | 2021. 3. 31. | 0.45% | 4.24% | 2.05 | 9.66 | -4.45 |
| 3. | 2021. 4. 30. | 4.23% | 5.24% | 5.55 | 16.86 | 9.67 |
| 4. | 2021. 5. 31. | 1.52% | 0.55% | 0.12 | 0.35 | 0.21 |
| 5. | 2021. 6. 30. | -0.49% | 2.22% | 5.62 | 1.18 | -2.57 |
| 6. | 2021. 7. 31. | 4.40% | 2.27% | 6.38 | 1.30 | 2.88 |
| 7. | 2021. 8. 31. | 3.85% | 2.90% | 3.90 | 3.11 | 3.48 |
| 8. | 2021. 9. 30. | -10.69% | -4.76% | 157.90 | 34.73 | 74.05 |
| 9. | 2021. 10. 31. | 7.51% | 6.91% | 31.72 | 33.39 | 32.54 |
| 10. | 2021. 11. 30. | 0.53% | -0.83% | 1.81 | 3.88 | 2.65 |
| 11. | 2021. 12. 31. | 17.45% | 4.36% | 242.62 | 10.40 | 50.24 |
| 12. | 2022. 1. 31. | 2.14% | -5.26% | 0.07 | 40.89 | -1.69 |
| 13. | 2022. 2. 28. | 7.95% | -3.14% | 36.86 | 18.25 | -25.94 |
| 14. | 2022. 3. 31. | 9.70% | 3.58% | 61.27 | 5.96 | 19.11 |
| 15. | 2022. 4. 30. | -8.53% | -8.80% | 108.20 | 98.64 | 103.31 |
| 16. | 2022. 5. 31. | 0.33% | 0.01% | 2.38 | 1.28 | 1.75 |
| 17. | 2022. 6. 30. | 3.93% | -8.39% | 4.21 | 90.79 | -19.55 |
| 18. | 2022. 7. 31. | -5.38% | 9.11% | 52.66 | 63.61 | -57.88 |
| 19. | 2022. 8. 31. | -6.31% | -4.24% | 66.96 | 28.95 | 44.03 |
| 20. | 2022. 9. 30. | -0.19% | -9.34% | 4.26 | 109.74 | 21.61 |
| 21. | 2022. 10. 31. | 10.13% | 7.99% | 68.17 | 46.93 | 56.56 |
| 22. | 2022. 11. 30. | 10.10% | 5.38% | 67.55 | 17.97 | 34.84 |
| 23. | 2022. 12. 31. | 0.27% | -5.90% | 2.59 | 49.47 | 11.32 |
| 24. | 2023. 1. 31. | -7.66% | 6.18% | 90.96 | 25.39 | -48.06 |
| 25. | 2023. 2. 28. | 4.16% | -2.61% | 5.22 | 14.04 | -8.56 |
| 26. | 2023. 3. 31. | 3.55% | 3.51% | 2.81 | 5.61 | 3.97 |
| 27. | 2023. 4. 30. | -4.25% | 1.46% | 37.51 | 0.11 | -2.01 |
| 28. | 2023. 5. 31. | -8.71% | 0.25% | 112.05 | 0.79 | 9.40 |
| 29. | 2023. 6. 30. | -2.34% | 4.71% | 17.79 | 12.80 | -15.09 |
| 30. | 2023. 7. 31. | 12.12% | 4.85% | 104.93 | 13.76 | 38.00 |
| 31. | 2023. 8. 31. | -1.75% | -1.77% | 13.17 | 8.46 | 10.55 |
| 32. | 2023. 9. 30. | 1.43% | -4.87% | 0.20 | 36.10 | 2.69 |
| 33. | 2023. 10. 31. | -4.29% | -2.20% | 38.07 | 11.12 | 20.57 |
| 34. | 2023. 11. 30. | 0.86% | 8.92% | 1.04 | 60.56 | -7.94 |
| 35. | 2023. 12. 31. | 8.83% | 4.42% | 48.41 | 10.80 | 22.87 |
| 36. | 2024. 1. 31. | 7.09% | 1.59% | 27.13 | 0.21 | 2.36 |
| 37. | 2024. 2. 29. | 7.09% | 5.17% | 27.14 | 16.29 | 21.03 |
| 38. | 2024. 3. 31. | 3.44% | 3.10% | 2.43 | 3.86 | 3.07 |
| 39. | 2024. 4. 30. | -9.84% | -4.16% | 137.17 | 28.06 | 62.05 |
| 40. | 2024. 5. 31. | -0.86% | 4.80% | 7.49 | 13.44 | -10.04 |
| 41. | 2024. 6. 30. | 6.38% | 3.47% | 20.24 | 5.43 | 10.49 |
| 42. | 2024. 7. 31. | 8.95% | 1.13% | 50.02 | 0.00 | -0.03 |
| 43. | 2024. 8. 31. | 5.93% | 2.28% | 16.43 | 1.32 | 4.65 |
| 44. | 2024. 9. 30. | 0.60% | 2.02% | 1.64 | 0.78 | -1.13 |
| 45. | 2024. 10. 31. | 4.02% | -0.99% | 4.60 | 4.52 | -4.56 |
| 46. | 2024. 11. 30. | -10.27% | 5.73% | 147.58 | 21.10 | -55.81 |
| 47. | 2024. 12. 31. | -2.86% | -2.50% | 22.43 | 13.21 | 17.22 |
| 48. | 2025. 1. 31. | 4.41% | 2.70% | 6.43 | 2.45 | 3.97 |
| 49. | 2025. 2. 28. | 13.67% | -1.42% | 138.96 | 6.56 | -30.18 |
| 50. | 2025. 3. 31. | 0.23% | -5.75% | 2.70 | 47.48 | 11.32 |
| 51. | 2025. 4. 30. | -6.10% | -0.76% | 63.62 | 3.60 | 15.14 |
| 52. | 2025. 5. 31. | -4.61% | 6.15% | 42.05 | 25.16 | -32.53 |
| 53. | 2025. 6. 30. | -0.26% | 4.96% | 4.58 | 14.63 | -8.19 |
| 54. | 2025. 7. 31. | 2.72% | 2.17% | 0.70 | 1.06 | 0.86 |
| 55. | 2025. 8. 31. | 11.31% | 1.91% | 89.00 | 0.59 | 7.27 |
| 56. | 2025. 9. 30. | 10.05% | 3.53% | 66.76 | 5.74 | 19.58 |
| 57. | 2025. 10. 31. | -5.12% | 2.27% | 48.99 | 1.28 | -7.93 |
| 58. | 2025. 11. 30. | 4.43% | 0.13% | 6.52 | 1.01 | -2.57 |
| 59. | 2025. 12. 31. | 0.35% | -0.05% | 2.34 | 1.41 | 1.82 |
| 합계 (Σ): | 2,352.59 | 1,108.23 | 415.21 | |||
모두 보기
분산ABBV = Σ(RABBV,t–RABBV)2 ÷ (59 – 1)
= 2,352.59 ÷ (59 – 1)
= 40.56
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산ABBV, S&P 500 = Σ(RABBV,t–RABBV)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 415.21 ÷ (59 – 1)
= 7.16
체계적인 위험 추정 (β)
| 분산ABBV | 40.56 |
| 분산S&P 500 | 19.11 |
| 공분산ABBV, S&P 500 | 7.16 |
| 상관 계수ABBV, S&P 5001 | 0.26 |
| βABBV2 | 0.37 |
| αABBV3 | 1.45% |
계산
1 상관 계수ABBV, S&P 500
= 공분산ABBV, S&P 500 ÷ (표준 편차ABBV × 표준 편차S&P 500)
= 7.16 ÷ (6.37% × 4.37%)
= 0.26
2 βABBV
= 공분산ABBV, S&P 500 ÷ 분산S&P 500
= 7.16 ÷ 19.11
= 0.37
3 αABBV
= 평균의ABBV – βABBV × 평균의S&P 500
= 1.88% – 0.37 × 1.14%
= 1.45%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험AbbVie | βABBV | 0.37 |
| AbbVie 보통주에 대한 기대 수익률3 | E(RABBV) | 9.59% |
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]
= 4.94% + 0.37 [17.36% – 4.94%]
= 9.59%