자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 AmerisourceBergen의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
AmerisourceBergen Corp., 월별 수익률
| AmerisourceBergen Corp. (ABC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABC,t1 | 피제수ABC,t1 | RABC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 10. 31. | $70.32 | 2,126.15 | ||||
| 1. | 2016. 11. 30. | $77.99 | $0.365 | 11.43% | 2,198.81 | 3.42% |
| 2. | 2016. 12. 31. | $78.19 | 0.26% | 2,238.83 | 1.82% | |
| 3. | 2017. 1. 31. | $87.28 | 11.63% | 2,278.87 | 1.79% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 8. 31. | $146.56 | $0.46 | 0.75% | 3,955.00 | -4.24% |
| 71. | 2022. 9. 30. | $135.33 | -7.66% | 3,585.62 | -9.34% | |
| 평균의 (R): | 1.28% | 0.85% | ||||
| 표준 편차: | 6.60% | 4.82% | ||||
| AmerisourceBergen Corp. (ABC) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ABC,t1 | 피제수ABC,t1 | RABC,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 10. 31. | $70.32 | 2,126.15 | ||||
| 1. | 2016. 11. 30. | $77.99 | $0.365 | 11.43% | 2,198.81 | 3.42% |
| 2. | 2016. 12. 31. | $78.19 | 0.26% | 2,238.83 | 1.82% | |
| 3. | 2017. 1. 31. | $87.28 | 11.63% | 2,278.87 | 1.79% | |
| 4. | 2017. 2. 28. | $91.51 | $0.365 | 5.26% | 2,363.64 | 3.72% |
| 5. | 2017. 3. 31. | $88.50 | -3.29% | 2,362.72 | -0.04% | |
| 6. | 2017. 4. 30. | $82.05 | -7.29% | 2,384.20 | 0.91% | |
| 7. | 2017. 5. 31. | $91.77 | $0.365 | 12.29% | 2,411.80 | 1.16% |
| 8. | 2017. 6. 30. | $94.53 | 3.01% | 2,423.41 | 0.48% | |
| 9. | 2017. 7. 31. | $93.82 | -0.75% | 2,470.30 | 1.93% | |
| 10. | 2017. 8. 31. | $80.25 | $0.365 | -14.07% | 2,471.65 | 0.05% |
| 11. | 2017. 9. 30. | $82.75 | 3.12% | 2,519.36 | 1.93% | |
| 12. | 2017. 10. 31. | $76.95 | -7.01% | 2,575.26 | 2.22% | |
| 13. | 2017. 11. 30. | $84.82 | $0.38 | 10.72% | 2,647.58 | 2.81% |
| 14. | 2017. 12. 31. | $91.82 | 8.25% | 2,673.61 | 0.98% | |
| 15. | 2018. 1. 31. | $99.67 | 8.55% | 2,823.81 | 5.62% | |
| 16. | 2018. 2. 28. | $95.16 | $0.38 | -4.14% | 2,713.83 | -3.89% |
| 17. | 2018. 3. 31. | $86.21 | -9.41% | 2,640.87 | -2.69% | |
| 18. | 2018. 4. 30. | $90.58 | 5.07% | 2,648.05 | 0.27% | |
| 19. | 2018. 5. 31. | $82.14 | $0.38 | -8.90% | 2,705.27 | 2.16% |
| 20. | 2018. 6. 30. | $85.27 | 3.81% | 2,718.37 | 0.48% | |
| 21. | 2018. 7. 31. | $81.83 | -4.03% | 2,816.29 | 3.60% | |
| 22. | 2018. 8. 31. | $89.97 | $0.38 | 10.41% | 2,901.52 | 3.03% |
| 23. | 2018. 9. 30. | $92.22 | 2.50% | 2,913.98 | 0.43% | |
| 24. | 2018. 10. 31. | $88.00 | -4.58% | 2,711.74 | -6.94% | |
| 25. | 2018. 11. 30. | $88.90 | $0.40 | 1.48% | 2,760.17 | 1.79% |
| 26. | 2018. 12. 31. | $74.40 | -16.31% | 2,506.85 | -9.18% | |
| 27. | 2019. 1. 31. | $83.37 | 12.06% | 2,704.10 | 7.87% | |
| 28. | 2019. 2. 28. | $83.30 | $0.40 | 0.40% | 2,784.49 | 2.97% |
| 29. | 2019. 3. 31. | $79.52 | -4.54% | 2,834.40 | 1.79% | |
| 30. | 2019. 4. 30. | $74.76 | -5.99% | 2,945.83 | 3.93% | |
| 31. | 2019. 5. 31. | $77.86 | $0.40 | 4.68% | 2,752.06 | -6.58% |
| 32. | 2019. 6. 30. | $85.26 | 9.50% | 2,941.76 | 6.89% | |
| 33. | 2019. 7. 31. | $87.15 | 2.22% | 2,980.38 | 1.31% | |
| 34. | 2019. 8. 31. | $82.27 | $0.40 | -5.14% | 2,926.46 | -1.81% |
| 35. | 2019. 9. 30. | $82.33 | 0.07% | 2,976.74 | 1.72% | |
| 36. | 2019. 10. 31. | $85.38 | 3.70% | 3,037.56 | 2.04% | |
| 37. | 2019. 11. 30. | $87.91 | $0.40 | 3.43% | 3,140.98 | 3.40% |
| 38. | 2019. 12. 31. | $85.02 | -3.29% | 3,230.78 | 2.86% | |
| 39. | 2020. 1. 31. | $85.56 | 0.64% | 3,225.52 | -0.16% | |
| 40. | 2020. 2. 29. | $84.32 | $0.42 | -0.96% | 2,954.22 | -8.41% |
| 41. | 2020. 3. 31. | $88.50 | 4.96% | 2,584.59 | -12.51% | |
| 42. | 2020. 4. 30. | $89.66 | 1.31% | 2,912.43 | 12.68% | |
| 43. | 2020. 5. 31. | $95.34 | $0.42 | 6.80% | 3,044.31 | 4.53% |
| 44. | 2020. 6. 30. | $100.77 | 5.70% | 3,100.29 | 1.84% | |
| 45. | 2020. 7. 31. | $100.19 | -0.58% | 3,271.12 | 5.51% | |
| 46. | 2020. 8. 31. | $97.03 | $0.42 | -2.73% | 3,500.31 | 7.01% |
| 47. | 2020. 9. 30. | $96.92 | -0.11% | 3,363.00 | -3.92% | |
| 48. | 2020. 10. 31. | $96.07 | -0.88% | 3,269.96 | -2.77% | |
| 49. | 2020. 11. 30. | $103.11 | $0.44 | 7.79% | 3,621.63 | 10.75% |
| 50. | 2020. 12. 31. | $97.76 | -5.19% | 3,756.07 | 3.71% | |
| 51. | 2021. 1. 31. | $104.20 | 6.59% | 3,714.24 | -1.11% | |
| 52. | 2021. 2. 28. | $101.22 | $0.44 | -2.44% | 3,811.15 | 2.61% |
| 53. | 2021. 3. 31. | $118.07 | 16.65% | 3,972.89 | 4.24% | |
| 54. | 2021. 4. 30. | $120.80 | 2.31% | 4,181.17 | 5.24% | |
| 55. | 2021. 5. 31. | $114.74 | $0.44 | -4.65% | 4,204.11 | 0.55% |
| 56. | 2021. 6. 30. | $114.49 | -0.22% | 4,297.50 | 2.22% | |
| 57. | 2021. 7. 31. | $122.17 | 6.71% | 4,395.26 | 2.27% | |
| 58. | 2021. 8. 31. | $122.21 | $0.44 | 0.39% | 4,522.68 | 2.90% |
| 59. | 2021. 9. 30. | $119.45 | -2.26% | 4,307.54 | -4.76% | |
| 60. | 2021. 10. 31. | $122.02 | 2.15% | 4,605.38 | 6.91% | |
| 61. | 2021. 11. 30. | $115.75 | $0.46 | -4.76% | 4,567.00 | -0.83% |
| 62. | 2021. 12. 31. | $132.89 | 14.81% | 4,766.18 | 4.36% | |
| 63. | 2022. 1. 31. | $136.20 | 2.49% | 4,515.55 | -5.26% | |
| 64. | 2022. 2. 28. | $142.53 | $0.46 | 4.99% | 4,373.94 | -3.14% |
| 65. | 2022. 3. 31. | $154.71 | 8.55% | 4,530.41 | 3.58% | |
| 66. | 2022. 4. 30. | $151.29 | -2.21% | 4,131.93 | -8.80% | |
| 67. | 2022. 5. 31. | $154.79 | $0.46 | 2.62% | 4,132.15 | 0.01% |
| 68. | 2022. 6. 30. | $141.48 | -8.60% | 3,785.38 | -8.39% | |
| 69. | 2022. 7. 31. | $145.93 | 3.15% | 4,130.29 | 9.11% | |
| 70. | 2022. 8. 31. | $146.56 | $0.46 | 0.75% | 3,955.00 | -4.24% |
| 71. | 2022. 9. 30. | $135.33 | -7.66% | 3,585.62 | -9.34% | |
| 평균의 (R): | 1.28% | 0.85% | ||||
| 표준 편차: | 6.60% | 4.82% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ABC의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
AmerisourceBergen Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RABC,t | RS&P 500,t | (RABC,t–RABC)2 | (RS&P 500,t–RS&P 500)2 | (RABC,t–RABC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 11. 30. | 11.43% | 3.42% | 102.86 | 6.57 | 25.99 |
| 2. | 2016. 12. 31. | 0.26% | 1.82% | 1.06 | 0.93 | -0.99 |
| 3. | 2017. 1. 31. | 11.63% | 1.79% | 106.94 | 0.87 | 9.66 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 8. 31. | 0.75% | -4.24% | 0.29 | 25.99 | 2.74 |
| 71. | 2022. 9. 30. | -7.66% | -9.34% | 80.04 | 103.92 | 91.20 |
| 합계 (Σ): | 3,052.74 | 1,625.64 | 850.44 | |||
| t | 날짜 | RABC,t | RS&P 500,t | (RABC,t–RABC)2 | (RS&P 500,t–RS&P 500)2 | (RABC,t–RABC)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 11. 30. | 11.43% | 3.42% | 102.86 | 6.57 | 25.99 |
| 2. | 2016. 12. 31. | 0.26% | 1.82% | 1.06 | 0.93 | -0.99 |
| 3. | 2017. 1. 31. | 11.63% | 1.79% | 106.94 | 0.87 | 9.66 |
| 4. | 2017. 2. 28. | 5.26% | 3.72% | 15.84 | 8.21 | 11.40 |
| 5. | 2017. 3. 31. | -3.29% | -0.04% | 20.92 | 0.80 | 4.09 |
| 6. | 2017. 4. 30. | -7.29% | 0.91% | 73.49 | 0.00 | -0.47 |
| 7. | 2017. 5. 31. | 12.29% | 1.16% | 121.15 | 0.09 | 3.34 |
| 8. | 2017. 6. 30. | 3.01% | 0.48% | 2.97 | 0.14 | -0.64 |
| 9. | 2017. 7. 31. | -0.75% | 1.93% | 4.14 | 1.17 | -2.20 |
| 10. | 2017. 8. 31. | -14.07% | 0.05% | 235.91 | 0.64 | 12.29 |
| 11. | 2017. 9. 30. | 3.12% | 1.93% | 3.35 | 1.16 | 1.97 |
| 12. | 2017. 10. 31. | -7.01% | 2.22% | 68.78 | 1.86 | -11.31 |
| 13. | 2017. 11. 30. | 10.72% | 2.81% | 89.05 | 3.82 | 18.44 |
| 14. | 2017. 12. 31. | 8.25% | 0.98% | 48.56 | 0.02 | 0.90 |
| 15. | 2018. 1. 31. | 8.55% | 5.62% | 52.78 | 22.69 | 34.61 |
| 16. | 2018. 2. 28. | -4.14% | -3.89% | 29.46 | 22.56 | 25.78 |
| 17. | 2018. 3. 31. | -9.41% | -2.69% | 114.27 | 12.55 | 37.87 |
| 18. | 2018. 4. 30. | 5.07% | 0.27% | 14.32 | 0.34 | -2.21 |
| 19. | 2018. 5. 31. | -8.90% | 2.16% | 103.69 | 1.71 | -13.30 |
| 20. | 2018. 6. 30. | 3.81% | 0.48% | 6.38 | 0.14 | -0.94 |
| 21. | 2018. 7. 31. | -4.03% | 3.60% | 28.29 | 7.55 | -14.61 |
| 22. | 2018. 8. 31. | 10.41% | 3.03% | 83.31 | 4.72 | 19.82 |
| 23. | 2018. 9. 30. | 2.50% | 0.43% | 1.48 | 0.18 | -0.52 |
| 24. | 2018. 10. 31. | -4.58% | -6.94% | 34.34 | 60.76 | 45.68 |
| 25. | 2018. 11. 30. | 1.48% | 1.79% | 0.04 | 0.87 | 0.18 |
| 26. | 2018. 12. 31. | -16.31% | -9.18% | 309.58 | 100.65 | 176.52 |
| 27. | 2019. 1. 31. | 12.06% | 7.87% | 116.04 | 49.20 | 75.55 |
| 28. | 2019. 2. 28. | 0.40% | 2.97% | 0.79 | 4.49 | -1.88 |
| 29. | 2019. 3. 31. | -4.54% | 1.79% | 33.90 | 0.88 | -5.46 |
| 30. | 2019. 4. 30. | -5.99% | 3.93% | 52.86 | 9.47 | -22.37 |
| 31. | 2019. 5. 31. | 4.68% | -6.58% | 11.54 | 55.24 | -25.25 |
| 32. | 2019. 6. 30. | 9.50% | 6.89% | 67.57 | 36.46 | 49.64 |
| 33. | 2019. 7. 31. | 2.22% | 1.31% | 0.87 | 0.21 | 0.43 |
| 34. | 2019. 8. 31. | -5.14% | -1.81% | 41.28 | 7.10 | 17.11 |
| 35. | 2019. 9. 30. | 0.07% | 1.72% | 1.47 | 0.75 | -1.05 |
| 36. | 2019. 10. 31. | 3.70% | 2.04% | 5.86 | 1.41 | 2.88 |
| 37. | 2019. 11. 30. | 3.43% | 3.40% | 4.61 | 6.50 | 5.48 |
| 38. | 2019. 12. 31. | -3.29% | 2.86% | 20.90 | 4.02 | -9.16 |
| 39. | 2020. 1. 31. | 0.64% | -0.16% | 0.42 | 1.03 | 0.66 |
| 40. | 2020. 2. 29. | -0.96% | -8.41% | 5.03 | 85.85 | 20.78 |
| 41. | 2020. 3. 31. | 4.96% | -12.51% | 13.49 | 178.66 | -49.09 |
| 42. | 2020. 4. 30. | 1.31% | 12.68% | 0.00 | 139.95 | 0.31 |
| 43. | 2020. 5. 31. | 6.80% | 4.53% | 30.46 | 13.50 | 20.28 |
| 44. | 2020. 6. 30. | 5.70% | 1.84% | 19.46 | 0.97 | 4.34 |
| 45. | 2020. 7. 31. | -0.58% | 5.51% | 3.46 | 21.67 | -8.66 |
| 46. | 2020. 8. 31. | -2.73% | 7.01% | 16.15 | 37.85 | -24.73 |
| 47. | 2020. 9. 30. | -0.11% | -3.92% | 1.95 | 22.82 | 6.68 |
| 48. | 2020. 10. 31. | -0.88% | -2.77% | 4.67 | 13.11 | 7.83 |
| 49. | 2020. 11. 30. | 7.79% | 10.75% | 42.27 | 98.01 | 64.37 |
| 50. | 2020. 12. 31. | -5.19% | 3.71% | 41.90 | 8.17 | -18.50 |
| 51. | 2021. 1. 31. | 6.59% | -1.11% | 28.12 | 3.87 | -10.44 |
| 52. | 2021. 2. 28. | -2.44% | 2.61% | 13.85 | 3.08 | -6.53 |
| 53. | 2021. 3. 31. | 16.65% | 4.24% | 236.01 | 11.49 | 52.07 |
| 54. | 2021. 4. 30. | 2.31% | 5.24% | 1.06 | 19.25 | 4.51 |
| 55. | 2021. 5. 31. | -4.65% | 0.55% | 35.24 | 0.09 | 1.82 |
| 56. | 2021. 6. 30. | -0.22% | 2.22% | 2.26 | 1.87 | -2.05 |
| 57. | 2021. 7. 31. | 6.71% | 2.27% | 29.42 | 2.02 | 7.70 |
| 58. | 2021. 8. 31. | 0.39% | 2.90% | 0.79 | 4.18 | -1.82 |
| 59. | 2021. 9. 30. | -2.26% | -4.76% | 12.55 | 31.49 | 19.88 |
| 60. | 2021. 10. 31. | 2.15% | 6.91% | 0.75 | 36.72 | 5.25 |
| 61. | 2021. 11. 30. | -4.76% | -0.83% | 36.55 | 2.85 | 10.20 |
| 62. | 2021. 12. 31. | 14.81% | 4.36% | 182.88 | 12.30 | 47.42 |
| 63. | 2022. 1. 31. | 2.49% | -5.26% | 1.46 | 37.37 | -7.37 |
| 64. | 2022. 2. 28. | 4.99% | -3.14% | 13.70 | 15.92 | -14.77 |
| 65. | 2022. 3. 31. | 8.55% | 3.58% | 52.72 | 7.41 | 19.77 |
| 66. | 2022. 4. 30. | -2.21% | -8.80% | 12.21 | 93.13 | 33.73 |
| 67. | 2022. 5. 31. | 2.62% | 0.01% | 1.78 | 0.72 | -1.13 |
| 68. | 2022. 6. 30. | -8.60% | -8.39% | 97.68 | 85.50 | 91.38 |
| 69. | 2022. 7. 31. | 3.15% | 9.11% | 3.46 | 68.18 | 15.37 |
| 70. | 2022. 8. 31. | 0.75% | -4.24% | 0.29 | 25.99 | 2.74 |
| 71. | 2022. 9. 30. | -7.66% | -9.34% | 80.04 | 103.92 | 91.20 |
| 합계 (Σ): | 3,052.74 | 1,625.64 | 850.44 | |||
모두 보기
분산ABC = Σ(RABC,t–RABC)2 ÷ (71 – 1)
= 3,052.74 ÷ (71 – 1)
= 43.61
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,625.64 ÷ (71 – 1)
= 23.22
공분산ABC, S&P 500 = Σ(RABC,t–RABC)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 850.44 ÷ (71 – 1)
= 12.15
체계적인 위험 추정 (β)
| 분산ABC | 43.61 |
| 분산S&P 500 | 23.22 |
| 공분산ABC, S&P 500 | 12.15 |
| 상관 계수ABC, S&P 5001 | 0.38 |
| βABC2 | 0.52 |
| αABC3 | 0.84% |
계산
1 상관 계수ABC, S&P 500
= 공분산ABC, S&P 500 ÷ (표준 편차ABC × 표준 편차S&P 500)
= 12.15 ÷ (6.60% × 4.82%)
= 0.38
2 βABC
= 공분산ABC, S&P 500 ÷ 분산S&P 500
= 12.15 ÷ 23.22
= 0.52
3 αABC
= 평균의ABC – βABC × 평균의S&P 500
= 1.28% – 0.52 × 0.85%
= 0.84%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.66% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.93% |
| 보통주의 체계적 위험AmerisourceBergen | βABC | 0.52 |
| AmerisourceBergen 보통주에 대한 예상 수익률3 | E(RABC) | 10.04% |
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(RABC) = RF + βABC [E(RM) – RF]
= 4.66% + 0.52 [14.93% – 4.66%]
= 10.04%