Stock Analysis on Net

AbbVie Inc. (NYSE:ABBV)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

AbbVie Inc., 월별 수익률

Microsoft Excel
AbbVie Inc. (ABBV) Standard & Poor’s 500 (S&P 500)
t 날짜 ABBV,t1 피제수ABBV,t1 RABBV,t2 S&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 ABBV,t1 피제수ABBV,t1 RABBV,t2 S&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

Microsoft Excel
t 날짜 RABBV,t RS&P 500,t (RABBV,tRABBV)2 (RS&P 500,tRS&P 500)2 (RABBV,tRABBV)×(RS&P 500,tRS&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,tRABBV)2 (RS&P 500,tRS&P 500)2 (RABBV,tRABBV)×(RS&P 500,tRS&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,tRABBV)2 ÷ (59 – 1)
= 2,859.40 ÷ (59 – 1)
= 49.30

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

공분산ABBV, S&P 500 = Σ(RABBV,tRABBV)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 961.00 ÷ (59 – 1)
= 16.57


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
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%