자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Accenture보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Accenture PLC, 월별 수익률
| Accenture PLC (ACN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ACN,t1 | 피제수ACN,t1 | RACN,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 9. 30. | $170.20 | 2,913.98 | ||||
| 1. | 2018. 10. 31. | $157.62 | $1.46 | -6.53% | 2,711.74 | -6.94% |
| 2. | 2018. 11. 30. | $164.52 | 4.38% | 2,760.17 | 1.79% | |
| 3. | 2018. 12. 31. | $141.01 | -14.29% | 2,506.85 | -9.18% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 7. 31. | $330.62 | $1.29 | 9.39% | 5,522.30 | 1.13% |
| 71. | 2024. 8. 31. | $341.95 | 3.43% | 5,648.40 | 2.28% | |
| 평균의 (R): | 1.41% | 1.07% | ||||
| 표준 편차: | 7.65% | 5.24% | ||||
| Accenture PLC (ACN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ACN,t1 | 피제수ACN,t1 | RACN,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 9. 30. | $170.20 | 2,913.98 | ||||
| 1. | 2018. 10. 31. | $157.62 | $1.46 | -6.53% | 2,711.74 | -6.94% |
| 2. | 2018. 11. 30. | $164.52 | 4.38% | 2,760.17 | 1.79% | |
| 3. | 2018. 12. 31. | $141.01 | -14.29% | 2,506.85 | -9.18% | |
| 4. | 2019. 1. 31. | $153.55 | 8.89% | 2,704.10 | 7.87% | |
| 5. | 2019. 2. 28. | $161.38 | 5.10% | 2,784.49 | 2.97% | |
| 6. | 2019. 3. 31. | $176.02 | 9.07% | 2,834.40 | 1.79% | |
| 7. | 2019. 4. 30. | $182.67 | $1.46 | 4.61% | 2,945.83 | 3.93% |
| 8. | 2019. 5. 31. | $178.07 | -2.52% | 2,752.06 | -6.58% | |
| 9. | 2019. 6. 30. | $184.77 | 3.76% | 2,941.76 | 6.89% | |
| 10. | 2019. 7. 31. | $192.58 | 4.23% | 2,980.38 | 1.31% | |
| 11. | 2019. 8. 31. | $198.17 | 2.90% | 2,926.46 | -1.81% | |
| 12. | 2019. 9. 30. | $192.35 | -2.94% | 2,976.74 | 1.72% | |
| 13. | 2019. 10. 31. | $185.42 | $0.80 | -3.19% | 3,037.56 | 2.04% |
| 14. | 2019. 11. 30. | $201.16 | 8.49% | 3,140.98 | 3.40% | |
| 15. | 2019. 12. 31. | $210.57 | 4.68% | 3,230.78 | 2.86% | |
| 16. | 2020. 1. 31. | $205.21 | $0.80 | -2.17% | 3,225.52 | -0.16% |
| 17. | 2020. 2. 29. | $180.59 | -12.00% | 2,954.22 | -8.41% | |
| 18. | 2020. 3. 31. | $163.26 | -9.60% | 2,584.59 | -12.51% | |
| 19. | 2020. 4. 30. | $185.19 | $0.80 | 13.92% | 2,912.43 | 12.68% |
| 20. | 2020. 5. 31. | $201.62 | 8.87% | 3,044.31 | 4.53% | |
| 21. | 2020. 6. 30. | $214.72 | 6.50% | 3,100.29 | 1.84% | |
| 22. | 2020. 7. 31. | $224.78 | $0.80 | 5.06% | 3,271.12 | 5.51% |
| 23. | 2020. 8. 31. | $239.93 | 6.74% | 3,500.31 | 7.01% | |
| 24. | 2020. 9. 30. | $225.99 | -5.81% | 3,363.00 | -3.92% | |
| 25. | 2020. 10. 31. | $216.91 | $0.88 | -3.63% | 3,269.96 | -2.77% |
| 26. | 2020. 11. 30. | $249.09 | 14.84% | 3,621.63 | 10.75% | |
| 27. | 2020. 12. 31. | $261.21 | 4.87% | 3,756.07 | 3.71% | |
| 28. | 2021. 1. 31. | $241.92 | $0.88 | -7.05% | 3,714.24 | -1.11% |
| 29. | 2021. 2. 28. | $250.90 | 3.71% | 3,811.15 | 2.61% | |
| 30. | 2021. 3. 31. | $276.25 | 10.10% | 3,972.89 | 4.24% | |
| 31. | 2021. 4. 30. | $289.97 | $0.88 | 5.29% | 4,181.17 | 5.24% |
| 32. | 2021. 5. 31. | $282.16 | -2.69% | 4,204.11 | 0.55% | |
| 33. | 2021. 6. 30. | $294.79 | 4.48% | 4,297.50 | 2.22% | |
| 34. | 2021. 7. 31. | $317.68 | $0.88 | 8.06% | 4,395.26 | 2.27% |
| 35. | 2021. 8. 31. | $336.56 | 5.94% | 4,522.68 | 2.90% | |
| 36. | 2021. 9. 30. | $319.92 | -4.94% | 4,307.54 | -4.76% | |
| 37. | 2021. 10. 31. | $358.79 | $0.97 | 12.45% | 4,605.38 | 6.91% |
| 38. | 2021. 11. 30. | $357.40 | -0.39% | 4,567.00 | -0.83% | |
| 39. | 2021. 12. 31. | $414.55 | 15.99% | 4,766.18 | 4.36% | |
| 40. | 2022. 1. 31. | $353.58 | $0.97 | -14.47% | 4,515.55 | -5.26% |
| 41. | 2022. 2. 28. | $316.02 | -10.62% | 4,373.94 | -3.14% | |
| 42. | 2022. 3. 31. | $337.23 | 6.71% | 4,530.41 | 3.58% | |
| 43. | 2022. 4. 30. | $300.36 | $0.97 | -10.65% | 4,131.93 | -8.80% |
| 44. | 2022. 5. 31. | $298.46 | -0.63% | 4,132.15 | 0.01% | |
| 45. | 2022. 6. 30. | $277.65 | -6.97% | 3,785.38 | -8.39% | |
| 46. | 2022. 7. 31. | $306.26 | $0.97 | 10.65% | 4,130.29 | 9.11% |
| 47. | 2022. 8. 31. | $288.46 | -5.81% | 3,955.00 | -4.24% | |
| 48. | 2022. 9. 30. | $257.30 | -10.80% | 3,585.62 | -9.34% | |
| 49. | 2022. 10. 31. | $283.90 | $1.12 | 10.77% | 3,871.98 | 7.99% |
| 50. | 2022. 11. 30. | $300.93 | 6.00% | 4,080.11 | 5.38% | |
| 51. | 2022. 12. 31. | $266.84 | -11.33% | 3,839.50 | -5.90% | |
| 52. | 2023. 1. 31. | $279.05 | $1.12 | 5.00% | 4,076.60 | 6.18% |
| 53. | 2023. 2. 28. | $265.55 | -4.84% | 3,970.15 | -2.61% | |
| 54. | 2023. 3. 31. | $285.81 | 7.63% | 4,109.31 | 3.51% | |
| 55. | 2023. 4. 30. | $280.29 | $1.12 | -1.54% | 4,169.48 | 1.46% |
| 56. | 2023. 5. 31. | $305.92 | 9.14% | 4,179.83 | 0.25% | |
| 57. | 2023. 6. 30. | $308.58 | 0.87% | 4,376.86 | 4.71% | |
| 58. | 2023. 7. 31. | $316.35 | $1.12 | 2.88% | 4,588.96 | 4.85% |
| 59. | 2023. 8. 31. | $323.77 | 2.35% | 4,507.66 | -1.77% | |
| 60. | 2023. 9. 30. | $307.11 | -5.15% | 4,288.05 | -4.87% | |
| 61. | 2023. 10. 31. | $297.09 | $1.29 | -2.84% | 4,193.80 | -2.20% |
| 62. | 2023. 11. 30. | $333.14 | 12.13% | 4,567.80 | 8.92% | |
| 63. | 2023. 12. 31. | $350.91 | 5.33% | 4,769.83 | 4.42% | |
| 64. | 2024. 1. 31. | $363.88 | $1.29 | 4.06% | 4,845.65 | 1.59% |
| 65. | 2024. 2. 29. | $374.78 | 3.00% | 5,096.27 | 5.17% | |
| 66. | 2024. 3. 31. | $346.61 | -7.52% | 5,254.35 | 3.10% | |
| 67. | 2024. 4. 30. | $300.91 | $1.29 | -12.81% | 5,035.69 | -4.16% |
| 68. | 2024. 5. 31. | $282.29 | -6.19% | 5,277.51 | 4.80% | |
| 69. | 2024. 6. 30. | $303.41 | 7.48% | 5,460.48 | 3.47% | |
| 70. | 2024. 7. 31. | $330.62 | $1.29 | 9.39% | 5,522.30 | 1.13% |
| 71. | 2024. 8. 31. | $341.95 | 3.43% | 5,648.40 | 2.28% | |
| 평균의 (R): | 1.41% | 1.07% | ||||
| 표준 편차: | 7.65% | 5.24% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 ACN의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Accenture PLC, 수익률의 분산 및 공분산 계산
| t | 날짜 | RACN,t | RS&P 500,t | (RACN,t–RACN)2 | (RS&P 500,t–RS&P 500)2 | (RACN,t–RACN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 10. 31. | -6.53% | -6.94% | 63.04 | 64.21 | 63.62 |
| 2. | 2018. 11. 30. | 4.38% | 1.79% | 8.83 | 0.51 | 2.12 |
| 3. | 2018. 12. 31. | -14.29% | -9.18% | 246.38 | 105.07 | 160.90 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 7. 31. | 9.39% | 1.13% | 63.79 | 0.00 | 0.47 |
| 71. | 2024. 8. 31. | 3.43% | 2.28% | 4.08 | 1.47 | 2.45 |
| 합계 (Σ): | 4,099.23 | 1,920.03 | 2,324.85 | |||
| t | 날짜 | RACN,t | RS&P 500,t | (RACN,t–RACN)2 | (RS&P 500,t–RS&P 500)2 | (RACN,t–RACN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 10. 31. | -6.53% | -6.94% | 63.04 | 64.21 | 63.62 |
| 2. | 2018. 11. 30. | 4.38% | 1.79% | 8.83 | 0.51 | 2.12 |
| 3. | 2018. 12. 31. | -14.29% | -9.18% | 246.38 | 105.07 | 160.90 |
| 4. | 2019. 1. 31. | 8.89% | 7.87% | 56.05 | 46.18 | 50.88 |
| 5. | 2019. 2. 28. | 5.10% | 2.97% | 13.64 | 3.61 | 7.02 |
| 6. | 2019. 3. 31. | 9.07% | 1.79% | 58.76 | 0.52 | 5.52 |
| 7. | 2019. 4. 30. | 4.61% | 3.93% | 10.25 | 8.17 | 9.15 |
| 8. | 2019. 5. 31. | -2.52% | -6.58% | 15.40 | 58.53 | 30.02 |
| 9. | 2019. 6. 30. | 3.76% | 6.89% | 5.55 | 33.88 | 13.71 |
| 10. | 2019. 7. 31. | 4.23% | 1.31% | 7.96 | 0.06 | 0.68 |
| 11. | 2019. 8. 31. | 2.90% | -1.81% | 2.24 | 8.31 | -4.31 |
| 12. | 2019. 9. 30. | -2.94% | 1.72% | 18.86 | 0.42 | -2.80 |
| 13. | 2019. 10. 31. | -3.19% | 2.04% | 21.10 | 0.94 | -4.46 |
| 14. | 2019. 11. 30. | 8.49% | 3.40% | 50.16 | 5.44 | 16.52 |
| 15. | 2019. 12. 31. | 4.68% | 2.86% | 10.70 | 3.19 | 5.84 |
| 16. | 2020. 1. 31. | -2.17% | -0.16% | 12.76 | 1.53 | 4.41 |
| 17. | 2020. 2. 29. | -12.00% | -8.41% | 179.66 | 89.94 | 127.12 |
| 18. | 2020. 3. 31. | -9.60% | -12.51% | 121.06 | 184.54 | 149.47 |
| 19. | 2020. 4. 30. | 13.92% | 12.68% | 156.66 | 134.83 | 145.33 |
| 20. | 2020. 5. 31. | 8.87% | 4.53% | 55.74 | 11.94 | 25.80 |
| 21. | 2020. 6. 30. | 6.50% | 1.84% | 25.92 | 0.59 | 3.90 |
| 22. | 2020. 7. 31. | 5.06% | 5.51% | 13.33 | 19.69 | 16.20 |
| 23. | 2020. 8. 31. | 6.74% | 7.01% | 28.45 | 35.21 | 31.65 |
| 24. | 2020. 9. 30. | -5.81% | -3.92% | 52.08 | 24.96 | 36.05 |
| 25. | 2020. 10. 31. | -3.63% | -2.77% | 25.35 | 14.74 | 19.33 |
| 26. | 2020. 11. 30. | 14.84% | 10.75% | 180.35 | 93.74 | 130.02 |
| 27. | 2020. 12. 31. | 4.87% | 3.71% | 11.97 | 6.97 | 9.13 |
| 28. | 2021. 1. 31. | -7.05% | -1.11% | 71.48 | 4.78 | 18.48 |
| 29. | 2021. 2. 28. | 3.71% | 2.61% | 5.32 | 2.36 | 3.54 |
| 30. | 2021. 3. 31. | 10.10% | 4.24% | 75.64 | 10.06 | 27.58 |
| 31. | 2021. 4. 30. | 5.29% | 5.24% | 15.04 | 17.39 | 16.17 |
| 32. | 2021. 5. 31. | -2.69% | 0.55% | 16.81 | 0.27 | 2.15 |
| 33. | 2021. 6. 30. | 4.48% | 2.22% | 9.42 | 1.32 | 3.53 |
| 34. | 2021. 7. 31. | 8.06% | 2.27% | 44.32 | 1.44 | 8.00 |
| 35. | 2021. 8. 31. | 5.94% | 2.90% | 20.58 | 3.34 | 8.29 |
| 36. | 2021. 9. 30. | -4.94% | -4.76% | 40.33 | 33.99 | 37.02 |
| 37. | 2021. 10. 31. | 12.45% | 6.91% | 122.03 | 34.12 | 64.53 |
| 38. | 2021. 11. 30. | -0.39% | -0.83% | 3.22 | 3.63 | 3.42 |
| 39. | 2021. 12. 31. | 15.99% | 4.36% | 212.70 | 10.81 | 47.96 |
| 40. | 2022. 1. 31. | -14.47% | -5.26% | 252.17 | 40.09 | 100.54 |
| 41. | 2022. 2. 28. | -10.62% | -3.14% | 144.70 | 17.71 | 50.63 |
| 42. | 2022. 3. 31. | 6.71% | 3.58% | 28.15 | 6.27 | 13.29 |
| 43. | 2022. 4. 30. | -10.65% | -8.80% | 145.25 | 97.39 | 118.93 |
| 44. | 2022. 5. 31. | -0.63% | 0.01% | 4.16 | 1.14 | 2.18 |
| 45. | 2022. 6. 30. | -6.97% | -8.39% | 70.20 | 89.58 | 79.30 |
| 46. | 2022. 7. 31. | 10.65% | 9.11% | 85.51 | 64.62 | 74.34 |
| 47. | 2022. 8. 31. | -5.81% | -4.24% | 52.11 | 28.27 | 38.38 |
| 48. | 2022. 9. 30. | -10.80% | -9.34% | 149.05 | 108.42 | 127.12 |
| 49. | 2022. 10. 31. | 10.77% | 7.99% | 87.74 | 47.80 | 64.76 |
| 50. | 2022. 11. 30. | 6.00% | 5.38% | 21.09 | 18.51 | 19.76 |
| 51. | 2022. 12. 31. | -11.33% | -5.90% | 162.17 | 48.58 | 88.76 |
| 52. | 2023. 1. 31. | 5.00% | 6.18% | 12.88 | 26.04 | 18.31 |
| 53. | 2023. 2. 28. | -4.84% | -2.61% | 38.99 | 13.57 | 23.00 |
| 54. | 2023. 3. 31. | 7.63% | 3.51% | 38.73 | 5.92 | 15.14 |
| 55. | 2023. 4. 30. | -1.54% | 1.46% | 8.68 | 0.15 | -1.15 |
| 56. | 2023. 5. 31. | 9.14% | 0.25% | 59.87 | 0.68 | -6.38 |
| 57. | 2023. 6. 30. | 0.87% | 4.71% | 0.29 | 13.26 | -1.95 |
| 58. | 2023. 7. 31. | 2.88% | 4.85% | 2.17 | 14.24 | 5.56 |
| 59. | 2023. 8. 31. | 2.35% | -1.77% | 0.88 | 8.09 | -2.67 |
| 60. | 2023. 9. 30. | -5.15% | -4.87% | 42.93 | 35.34 | 38.95 |
| 61. | 2023. 10. 31. | -2.84% | -2.20% | 18.05 | 10.70 | 13.90 |
| 62. | 2023. 11. 30. | 12.13% | 8.92% | 115.09 | 61.55 | 84.16 |
| 63. | 2023. 12. 31. | 5.33% | 4.42% | 15.43 | 11.22 | 13.16 |
| 64. | 2024. 1. 31. | 4.06% | 1.59% | 7.06 | 0.27 | 1.37 |
| 65. | 2024. 2. 29. | 3.00% | 5.17% | 2.53 | 16.80 | 6.51 |
| 66. | 2024. 3. 31. | -7.52% | 3.10% | 79.62 | 4.12 | -18.11 |
| 67. | 2024. 4. 30. | -12.81% | -4.16% | 202.18 | 27.40 | 74.43 |
| 68. | 2024. 5. 31. | -6.19% | 4.80% | 57.67 | 13.91 | -28.32 |
| 69. | 2024. 6. 30. | 7.48% | 3.47% | 36.91 | 5.73 | 14.55 |
| 70. | 2024. 7. 31. | 9.39% | 1.13% | 63.79 | 0.00 | 0.47 |
| 71. | 2024. 8. 31. | 3.43% | 2.28% | 4.08 | 1.47 | 2.45 |
| 합계 (Σ): | 4,099.23 | 1,920.03 | 2,324.85 | |||
모두 보기
분산ACN = Σ(RACN,t–RACN)2 ÷ (71 – 1)
= 4,099.23 ÷ (71 – 1)
= 58.56
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,920.03 ÷ (71 – 1)
= 27.43
공분산ACN, S&P 500 = Σ(RACN,t–RACN)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,324.85 ÷ (71 – 1)
= 33.21
체계적인 위험 추정 (β)
| 분산ACN | 58.56 |
| 분산S&P 500 | 27.43 |
| 공분산ACN, S&P 500 | 33.21 |
| 상관 계수ACN, S&P 5001 | 0.83 |
| βACN2 | 1.21 |
| αACN3 | 0.11% |
계산
1 상관 계수ACN, S&P 500
= 공분산ACN, S&P 500 ÷ (표준 편차ACN × 표준 편차S&P 500)
= 33.21 ÷ (7.65% × 5.24%)
= 0.83
2 βACN
= 공분산ACN, S&P 500 ÷ 분산S&P 500
= 33.21 ÷ 27.43
= 1.21
3 αACN
= 평균의ACN – βACN × 평균의S&P 500
= 1.41% – 1.21 × 1.07%
= 0.11%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.64% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Accenture | βACN | 1.21 |
| Accenture 보통주에 대한 예상 수익률3 | E(RACN) | 17.05% |
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(RACN) = RF + βACN [E(RM) – RF]
= 4.64% + 1.21 [14.89% – 4.64%]
= 17.05%