Stock Analysis on Net
Stock Analysis on Net

Abbott Laboratories (NYSE:ABT)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델 (CAPM)은 Abbott의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률을 나타냅니다.

수익률

Abbott Laboratories, 월별 수익률

Microsoft Excel
Abbott Laboratories (ABT) Standard & Poor’s 500 (S&P 500)
t 날짜 값ABT,t1 피제수ABT,t1 RABT,t2 값S&P 500,t RS&P 500,t3
2018. 1. 31. $62.16 2,823.81
1. 2018. 2. 28. $60.33 -2.94% 2,713.83 -3.89%
2. 2018. 3. 31. $59.92 -0.68% 2,640.87 -2.69%
3. 2018. 4. 30. $58.13 $0.28 -2.52% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. $107.58 8.73% 4,080.11 5.38%
59. 2022. 12. 31. $109.79 2.05% 3,839.50 -5.90%
평균의 (R): 1.26% 0.67%
표준 편차: 5.81% 5.40%
Abbott Laboratories (ABT) Standard & Poor’s 500 (S&P 500)
t 날짜 값ABT,t1 피제수ABT,t1 RABT,t2 값S&P 500,t RS&P 500,t3
2018. 1. 31. $62.16 2,823.81
1. 2018. 2. 28. $60.33 -2.94% 2,713.83 -3.89%
2. 2018. 3. 31. $59.92 -0.68% 2,640.87 -2.69%
3. 2018. 4. 30. $58.13 $0.28 -2.52% 2,648.05 0.27%
4. 2018. 5. 31. $61.53 5.85% 2,705.27 2.16%
5. 2018. 6. 30. $60.99 -0.88% 2,718.37 0.48%
6. 2018. 7. 31. $65.54 $0.28 7.92% 2,816.29 3.60%
7. 2018. 8. 31. $66.84 1.98% 2,901.52 3.03%
8. 2018. 9. 30. $73.36 9.75% 2,913.98 0.43%
9. 2018. 10. 31. $68.94 $0.28 -5.64% 2,711.74 -6.94%
10. 2018. 11. 30. $74.05 7.41% 2,760.17 1.79%
11. 2018. 12. 31. $72.33 -2.32% 2,506.85 -9.18%
12. 2019. 1. 31. $72.98 $0.32 1.34% 2,704.10 7.87%
13. 2019. 2. 28. $77.62 6.36% 2,784.49 2.97%
14. 2019. 3. 31. $79.94 2.99% 2,834.40 1.79%
15. 2019. 4. 30. $79.56 $0.32 -0.08% 2,945.83 3.93%
16. 2019. 5. 31. $76.13 -4.31% 2,752.06 -6.58%
17. 2019. 6. 30. $84.10 10.47% 2,941.76 6.89%
18. 2019. 7. 31. $87.10 $0.32 3.95% 2,980.38 1.31%
19. 2019. 8. 31. $85.32 -2.04% 2,926.46 -1.81%
20. 2019. 9. 30. $83.67 -1.93% 2,976.74 1.72%
21. 2019. 10. 31. $83.61 $0.32 0.31% 3,037.56 2.04%
22. 2019. 11. 30. $85.45 2.20% 3,140.98 3.40%
23. 2019. 12. 31. $86.86 1.65% 3,230.78 2.86%
24. 2020. 1. 31. $87.14 $0.36 0.74% 3,225.52 -0.16%
25. 2020. 2. 29. $77.03 -11.60% 2,954.22 -8.41%
26. 2020. 3. 31. $78.91 2.44% 2,584.59 -12.51%
27. 2020. 4. 30. $92.09 $0.36 17.16% 2,912.43 12.68%
28. 2020. 5. 31. $94.92 3.07% 3,044.31 4.53%
29. 2020. 6. 30. $91.43 -3.68% 3,100.29 1.84%
30. 2020. 7. 31. $100.64 $0.36 10.47% 3,271.12 5.51%
31. 2020. 8. 31. $109.47 8.77% 3,500.31 7.01%
32. 2020. 9. 30. $108.83 -0.58% 3,363.00 -3.92%
33. 2020. 10. 31. $105.11 $0.36 -3.09% 3,269.96 -2.77%
34. 2020. 11. 30. $108.22 2.96% 3,621.63 10.75%
35. 2020. 12. 31. $109.49 1.17% 3,756.07 3.71%
36. 2021. 1. 31. $123.59 $0.45 13.29% 3,714.24 -1.11%
37. 2021. 2. 28. $119.78 -3.08% 3,811.15 2.61%
38. 2021. 3. 31. $119.84 0.05% 3,972.89 4.24%
39. 2021. 4. 30. $120.08 $0.45 0.58% 4,181.17 5.24%
40. 2021. 5. 31. $116.65 -2.86% 4,204.11 0.55%
41. 2021. 6. 30. $115.93 -0.62% 4,297.50 2.22%
42. 2021. 7. 31. $120.98 $0.45 4.74% 4,395.26 2.27%
43. 2021. 8. 31. $126.37 4.46% 4,522.68 2.90%
44. 2021. 9. 30. $118.13 -6.52% 4,307.54 -4.76%
45. 2021. 10. 31. $128.89 $0.45 9.49% 4,605.38 6.91%
46. 2021. 11. 30. $125.77 -2.42% 4,567.00 -0.83%
47. 2021. 12. 31. $140.74 11.90% 4,766.18 4.36%
48. 2022. 1. 31. $127.46 $0.47 -9.10% 4,515.55 -5.26%
49. 2022. 2. 28. $120.62 -5.37% 4,373.94 -3.14%
50. 2022. 3. 31. $118.36 -1.87% 4,530.41 3.58%
51. 2022. 4. 30. $113.50 $0.47 -3.71% 4,131.93 -8.80%
52. 2022. 5. 31. $117.46 3.49% 4,132.15 0.01%
53. 2022. 6. 30. $108.65 -7.50% 3,785.38 -8.39%
54. 2022. 7. 31. $108.84 $0.47 0.61% 4,130.29 9.11%
55. 2022. 8. 31. $102.65 -5.69% 3,955.00 -4.24%
56. 2022. 9. 30. $96.76 -5.74% 3,585.62 -9.34%
57. 2022. 10. 31. $98.94 $0.47 2.74% 3,871.98 7.99%
58. 2022. 11. 30. $107.58 8.73% 4,080.11 5.38%
59. 2022. 12. 31. $109.79 2.05% 3,839.50 -5.90%
평균의 (R): 1.26% 0.67%
표준 편차: 5.81% 5.40%

모두 보기

1 보통주의 주당 US $ 단위의 데이터, 분할 및 주식 배당을 위해 조정.

2 기간 t 동안 ABT의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.

분산과 공분산

Abbott Laboratories, 수익의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RABT,t RS&P 500,t (RABT,t–RABT)2 (RS&P 500,t–RS&P 500)2 (RABT,t–RABT)×(RS&P 500,t–RS&P 500)
1. 2018. 2. 28. -2.94% -3.89% 17.67 20.81 19.17
2. 2018. 3. 31. -0.68% -2.69% 3.76 11.26 6.51
3. 2018. 4. 30. -2.52% 0.27% 14.29 0.16 1.49
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. 8.73% 5.38% 55.84 22.17 35.19
59. 2022. 12. 31. 2.05% -5.90% 0.63 43.08 -5.22
합계 (Σ): 1,954.76 1,691.48 1,144.30
t 날짜 RABT,t RS&P 500,t (RABT,t–RABT)2 (RS&P 500,t–RS&P 500)2 (RABT,t–RABT)×(RS&P 500,t–RS&P 500)
1. 2018. 2. 28. -2.94% -3.89% 17.67 20.81 19.17
2. 2018. 3. 31. -0.68% -2.69% 3.76 11.26 6.51
3. 2018. 4. 30. -2.52% 0.27% 14.29 0.16 1.49
4. 2018. 5. 31. 5.85% 2.16% 21.06 2.23 6.86
5. 2018. 6. 30. -0.88% 0.48% 4.57 0.03 0.39
6. 2018. 7. 31. 7.92% 3.60% 44.35 8.62 19.55
7. 2018. 8. 31. 1.98% 3.03% 0.52 5.57 1.71
8. 2018. 9. 30. 9.75% 0.43% 72.16 0.06 -2.02
9. 2018. 10. 31. -5.64% -6.94% 47.65 57.87 52.51
10. 2018. 11. 30. 7.41% 1.79% 37.85 1.25 6.89
11. 2018. 12. 31. -2.32% -9.18% 12.83 96.91 35.27
12. 2019. 1. 31. 1.34% 7.87% 0.01 51.87 0.59
13. 2019. 2. 28. 6.36% 2.97% 25.99 5.32 11.76
14. 2019. 3. 31. 2.99% 1.79% 2.99 1.27 1.95
15. 2019. 4. 30. -0.08% 3.93% 1.78 10.66 -4.36
16. 2019. 5. 31. -4.31% -6.58% 31.03 52.48 40.36
17. 2019. 6. 30. 10.47% 6.89% 84.81 38.77 57.34
18. 2019. 7. 31. 3.95% 1.31% 7.23 0.42 1.74
19. 2019. 8. 31. -2.04% -1.81% 10.91 6.13 8.18
20. 2019. 9. 30. -1.93% 1.72% 10.20 1.11 -3.36
21. 2019. 10. 31. 0.31% 2.04% 0.90 1.89 -1.31
22. 2019. 11. 30. 2.20% 3.40% 0.89 7.50 2.58
23. 2019. 12. 31. 1.65% 2.86% 0.15 4.81 0.86
24. 2020. 1. 31. 0.74% -0.16% 0.27 0.69 0.43
25. 2020. 2. 29. -11.60% -8.41% 165.42 82.40 116.75
26. 2020. 3. 31. 2.44% -12.51% 1.39 173.67 -15.56
27. 2020. 4. 30. 17.16% 12.68% 252.78 144.43 191.07
28. 2020. 5. 31. 3.07% 4.53% 3.29 14.91 7.00
29. 2020. 6. 30. -3.68% 1.84% 24.37 1.37 -5.79
30. 2020. 7. 31. 10.47% 5.51% 84.78 23.46 44.60
31. 2020. 8. 31. 8.77% 7.01% 56.46 40.19 47.64
32. 2020. 9. 30. -0.58% -3.92% 3.40 21.06 8.46
33. 2020. 10. 31. -3.09% -2.77% 18.90 11.79 14.92
34. 2020. 11. 30. 2.96% 10.75% 2.89 101.77 17.14
35. 2020. 12. 31. 1.17% 3.71% 0.01 9.28 -0.26
36. 2021. 1. 31. 13.29% -1.11% 144.70 3.17 -21.42
37. 2021. 2. 28. -3.08% 2.61% 18.86 3.77 -8.44
38. 2021. 3. 31. 0.05% 4.24% 1.46 12.80 -4.33
39. 2021. 4. 30. 0.58% 5.24% 0.47 20.94 -3.13
40. 2021. 5. 31. -2.86% 0.55% 16.94 0.01 0.49
41. 2021. 6. 30. -0.62% 2.22% 3.52 2.42 -2.92
42. 2021. 7. 31. 4.74% 2.27% 12.14 2.59 5.60
43. 2021. 8. 31. 4.46% 2.90% 10.21 4.98 7.13
44. 2021. 9. 30. -6.52% -4.76% 60.53 29.42 42.20
45. 2021. 10. 31. 9.49% 6.91% 67.73 39.03 51.42
46. 2021. 11. 30. -2.42% -0.83% 13.54 2.25 5.52
47. 2021. 12. 31. 11.90% 4.36% 113.27 13.65 39.32
48. 2022. 1. 31. -9.10% -5.26% 107.36 35.11 61.39
49. 2022. 2. 28. -5.37% -3.14% 43.90 14.46 25.20
50. 2022. 3. 31. -1.87% 3.58% 9.82 8.47 -9.12
51. 2022. 4. 30. -3.71% -8.80% 24.69 89.54 47.02
52. 2022. 5. 31. 3.49% 0.01% 4.97 0.44 -1.47
53. 2022. 6. 30. -7.50% -8.39% 76.74 82.06 79.35
54. 2022. 7. 31. 0.61% 9.11% 0.43 71.32 -5.51
55. 2022. 8. 31. -5.69% -4.24% 48.26 24.11 34.11
56. 2022. 9. 30. -5.74% -9.34% 48.97 100.12 70.02
57. 2022. 10. 31. 2.74% 7.99% 2.19 53.58 10.83
58. 2022. 11. 30. 8.73% 5.38% 55.84 22.17 35.19
59. 2022. 12. 31. 2.05% -5.90% 0.63 43.08 -5.22
합계 (Σ): 1,954.76 1,691.48 1,144.30

모두 보기

분산ABT = Σ(RABT,t–RABT)2 ÷ (59 – 1)
= 1,954.76 ÷ (59 – 1)
= 33.70

분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

공분산ABT, S&P 500 = Σ(RABT,t–RABT)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,144.30 ÷ (59 – 1)
= 19.73

체계적인 위험 추정 (β)

Microsoft Excel
분산ABT 33.70
분산S&P 500 29.16
공분산ABT, S&P 500 19.73
상관 계수ABT, S&P 5001 0.63
βABT2 0.68
αABT3 0.81%

계산

1 상관 계수ABT, S&P 500
= 공분산ABT, S&P 500 ÷ (표준 편차ABT × 표준 편차S&P 500)
= 19.73 ÷ (5.81% × 5.40%)
= 0.63

2 βABT
= 공분산ABT, S&P 500 ÷ 분산S&P 500
= 19.73 ÷ 29.16
= 0.68

3 αABT
= 평균의ABT – βABT × 평균의S&P 500
= 1.26% – 0.68 × 0.67%
= 0.81%

예상 수익률

Microsoft Excel
가정
LT 재무부 복합재의 수익률1 RF 3.72%
시장 포트폴리오의 예상 수익률2 E(RM) 13.71%
보통주 Abbott 의 체계적인 위험 βABT 0.68
 
애보트 보통주의 기대수익률3 E(RABT) 10.48%

1 모든 미결 고정 쿠폰 미국 국채 채권에 대한 입찰 수익률의 무중 평균은 10 년 이내에 만기가되거나 호출 할 수 없습니다 (위험이없는 수익률 프록시).

2 세부 정보 보기 »

3 E(RABT) = RF + βABT [E(RM) – RF]
= 3.72% + 0.68 [13.71% – 3.72%]
= 10.48%