자본 자산 가격 책정 모델 (CAPM)은 Abbott의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률을 나타냅니다.
수익률
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
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)
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
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).
3 E(RABT) = RF + βABT [E(RM) – RF]
= 3.72% + 0.68 [13.71% – 3.72%]
= 10.48%