자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Best Buy보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Best Buy Co. Inc., 월별 수익률
| Best Buy Co. Inc. (BBY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BBY,t1 | 피제수BBY,t1 | RBBY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 2. 29. | $32.39 | 1,932.23 | ||||
| 1. | 2016. 3. 31. | $32.44 | $0.73 | 2.41% | 2,059.74 | 6.60% |
| 2. | 2016. 4. 30. | $32.08 | -1.11% | 2,065.30 | 0.27% | |
| 3. | 2016. 5. 31. | $32.17 | 0.28% | 2,096.95 | 1.53% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2021. 12. 31. | $101.60 | $0.70 | -4.27% | 4,766.18 | 4.36% |
| 71. | 2022. 1. 31. | $99.28 | -2.28% | 4,515.55 | -5.26% | |
| 평균의 (R): | 2.32% | 1.29% | ||||
| 표준 편차: | 9.91% | 4.25% | ||||
| Best Buy Co. Inc. (BBY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BBY,t1 | 피제수BBY,t1 | RBBY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 2. 29. | $32.39 | 1,932.23 | ||||
| 1. | 2016. 3. 31. | $32.44 | $0.73 | 2.41% | 2,059.74 | 6.60% |
| 2. | 2016. 4. 30. | $32.08 | -1.11% | 2,065.30 | 0.27% | |
| 3. | 2016. 5. 31. | $32.17 | 0.28% | 2,096.95 | 1.53% | |
| 4. | 2016. 6. 30. | $30.60 | $0.28 | -4.01% | 2,098.86 | 0.09% |
| 5. | 2016. 7. 31. | $33.60 | 9.80% | 2,173.60 | 3.56% | |
| 6. | 2016. 8. 31. | $38.48 | 14.52% | 2,170.95 | -0.12% | |
| 7. | 2016. 9. 30. | $38.18 | $0.28 | -0.05% | 2,168.27 | -0.12% |
| 8. | 2016. 10. 31. | $38.91 | 1.91% | 2,126.15 | -1.94% | |
| 9. | 2016. 11. 30. | $45.70 | 17.45% | 2,198.81 | 3.42% | |
| 10. | 2016. 12. 31. | $42.67 | $0.28 | -6.02% | 2,238.83 | 1.82% |
| 11. | 2017. 1. 31. | $44.52 | 4.34% | 2,278.87 | 1.79% | |
| 12. | 2017. 2. 28. | $44.13 | -0.88% | 2,363.64 | 3.72% | |
| 13. | 2017. 3. 31. | $49.15 | $0.34 | 12.15% | 2,362.72 | -0.04% |
| 14. | 2017. 4. 30. | $51.81 | 5.41% | 2,384.20 | 0.91% | |
| 15. | 2017. 5. 31. | $59.39 | 14.63% | 2,411.80 | 1.16% | |
| 16. | 2017. 6. 30. | $57.33 | $0.34 | -2.90% | 2,423.41 | 0.48% |
| 17. | 2017. 7. 31. | $58.34 | 1.76% | 2,470.30 | 1.93% | |
| 18. | 2017. 8. 31. | $54.26 | -6.99% | 2,471.65 | 0.05% | |
| 19. | 2017. 9. 30. | $56.96 | $0.34 | 5.60% | 2,519.36 | 1.93% |
| 20. | 2017. 10. 31. | $55.98 | -1.72% | 2,575.26 | 2.22% | |
| 21. | 2017. 11. 30. | $59.61 | 6.48% | 2,647.58 | 2.81% | |
| 22. | 2017. 12. 31. | $68.47 | $0.34 | 15.43% | 2,673.61 | 0.98% |
| 23. | 2018. 1. 31. | $73.06 | 6.70% | 2,823.81 | 5.62% | |
| 24. | 2018. 2. 28. | $72.44 | -0.85% | 2,713.83 | -3.89% | |
| 25. | 2018. 3. 31. | $69.99 | $0.45 | -2.76% | 2,640.87 | -2.69% |
| 26. | 2018. 4. 30. | $76.53 | 9.34% | 2,648.05 | 0.27% | |
| 27. | 2018. 5. 31. | $68.25 | -10.82% | 2,705.27 | 2.16% | |
| 28. | 2018. 6. 30. | $74.58 | $0.45 | 9.93% | 2,718.37 | 0.48% |
| 29. | 2018. 7. 31. | $75.03 | 0.60% | 2,816.29 | 3.60% | |
| 30. | 2018. 8. 31. | $79.56 | 6.04% | 2,901.52 | 3.03% | |
| 31. | 2018. 9. 30. | $79.36 | $0.45 | 0.31% | 2,913.98 | 0.43% |
| 32. | 2018. 10. 31. | $70.16 | -11.59% | 2,711.74 | -6.94% | |
| 33. | 2018. 11. 30. | $64.59 | -7.94% | 2,760.17 | 1.79% | |
| 34. | 2018. 12. 31. | $52.96 | $0.45 | -17.31% | 2,506.85 | -9.18% |
| 35. | 2019. 1. 31. | $59.24 | 11.86% | 2,704.10 | 7.87% | |
| 36. | 2019. 2. 28. | $68.84 | 16.21% | 2,784.49 | 2.97% | |
| 37. | 2019. 3. 31. | $71.06 | $0.50 | 3.95% | 2,834.40 | 1.79% |
| 38. | 2019. 4. 30. | $74.41 | 4.71% | 2,945.83 | 3.93% | |
| 39. | 2019. 5. 31. | $62.67 | -15.78% | 2,752.06 | -6.58% | |
| 40. | 2019. 6. 30. | $69.73 | $0.50 | 12.06% | 2,941.76 | 6.89% |
| 41. | 2019. 7. 31. | $76.53 | 9.75% | 2,980.38 | 1.31% | |
| 42. | 2019. 8. 31. | $63.65 | -16.83% | 2,926.46 | -1.81% | |
| 43. | 2019. 9. 30. | $68.99 | $0.50 | 9.18% | 2,976.74 | 1.72% |
| 44. | 2019. 10. 31. | $71.83 | 4.12% | 3,037.56 | 2.04% | |
| 45. | 2019. 11. 30. | $80.64 | 12.27% | 3,140.98 | 3.40% | |
| 46. | 2019. 12. 31. | $87.80 | $0.50 | 9.50% | 3,230.78 | 2.86% |
| 47. | 2020. 1. 31. | $84.69 | -3.54% | 3,225.52 | -0.16% | |
| 48. | 2020. 2. 29. | $75.65 | -10.67% | 2,954.22 | -8.41% | |
| 49. | 2020. 3. 31. | $57.00 | $0.55 | -23.93% | 2,584.59 | -12.51% |
| 50. | 2020. 4. 30. | $76.73 | 34.61% | 2,912.43 | 12.68% | |
| 51. | 2020. 5. 31. | $78.09 | 1.77% | 3,044.31 | 4.53% | |
| 52. | 2020. 6. 30. | $87.27 | $0.55 | 12.46% | 3,100.29 | 1.84% |
| 53. | 2020. 7. 31. | $99.59 | 14.12% | 3,271.12 | 5.51% | |
| 54. | 2020. 8. 31. | $110.91 | 11.37% | 3,500.31 | 7.01% | |
| 55. | 2020. 9. 30. | $111.29 | $0.55 | 0.84% | 3,363.00 | -3.92% |
| 56. | 2020. 10. 31. | $111.55 | 0.23% | 3,269.96 | -2.77% | |
| 57. | 2020. 11. 30. | $108.80 | -2.47% | 3,621.63 | 10.75% | |
| 58. | 2020. 12. 31. | $99.79 | $0.55 | -7.78% | 3,756.07 | 3.71% |
| 59. | 2021. 1. 31. | $108.82 | 9.05% | 3,714.24 | -1.11% | |
| 60. | 2021. 2. 28. | $100.35 | -7.78% | 3,811.15 | 2.61% | |
| 61. | 2021. 3. 31. | $114.81 | $0.70 | 15.11% | 3,972.89 | 4.24% |
| 62. | 2021. 4. 30. | $116.27 | 1.27% | 4,181.17 | 5.24% | |
| 63. | 2021. 5. 31. | $116.24 | -0.03% | 4,204.11 | 0.55% | |
| 64. | 2021. 6. 30. | $114.98 | $0.70 | -0.48% | 4,297.50 | 2.22% |
| 65. | 2021. 7. 31. | $112.35 | -2.29% | 4,395.26 | 2.27% | |
| 66. | 2021. 8. 31. | $116.51 | 3.70% | 4,522.68 | 2.90% | |
| 67. | 2021. 9. 30. | $105.71 | $0.70 | -8.67% | 4,307.54 | -4.76% |
| 68. | 2021. 10. 31. | $122.24 | 15.64% | 4,605.38 | 6.91% | |
| 69. | 2021. 11. 30. | $106.86 | -12.58% | 4,567.00 | -0.83% | |
| 70. | 2021. 12. 31. | $101.60 | $0.70 | -4.27% | 4,766.18 | 4.36% |
| 71. | 2022. 1. 31. | $99.28 | -2.28% | 4,515.55 | -5.26% | |
| 평균의 (R): | 2.32% | 1.29% | ||||
| 표준 편차: | 9.91% | 4.25% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 BBY의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Best Buy Co. Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RBBY,t | RS&P 500,t | (RBBY,t–RBBY)2 | (RS&P 500,t–RS&P 500)2 | (RBBY,t–RBBY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 3. 31. | 2.41% | 6.60% | 0.01 | 28.16 | 0.48 |
| 2. | 2016. 4. 30. | -1.11% | 0.27% | 11.75 | 1.05 | 3.50 |
| 3. | 2016. 5. 31. | 0.28% | 1.53% | 4.15 | 0.06 | -0.49 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2021. 12. 31. | -4.27% | 4.36% | 43.37 | 9.42 | -20.21 |
| 71. | 2022. 1. 31. | -2.28% | -5.26% | 21.17 | 42.91 | 30.14 |
| 합계 (Σ): | 6,868.63 | 1,262.70 | 1,873.35 | |||
| t | 날짜 | RBBY,t | RS&P 500,t | (RBBY,t–RBBY)2 | (RS&P 500,t–RS&P 500)2 | (RBBY,t–RBBY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 3. 31. | 2.41% | 6.60% | 0.01 | 28.16 | 0.48 |
| 2. | 2016. 4. 30. | -1.11% | 0.27% | 11.75 | 1.05 | 3.50 |
| 3. | 2016. 5. 31. | 0.28% | 1.53% | 4.15 | 0.06 | -0.49 |
| 4. | 2016. 6. 30. | -4.01% | 0.09% | 40.04 | 1.44 | 7.60 |
| 5. | 2016. 7. 31. | 9.80% | 3.56% | 56.04 | 5.15 | 16.98 |
| 6. | 2016. 8. 31. | 14.52% | -0.12% | 148.98 | 2.00 | -17.26 |
| 7. | 2016. 9. 30. | -0.05% | -0.12% | 5.62 | 2.00 | 3.36 |
| 8. | 2016. 10. 31. | 1.91% | -1.94% | 0.16 | 10.46 | 1.31 |
| 9. | 2016. 11. 30. | 17.45% | 3.42% | 228.99 | 4.52 | 32.16 |
| 10. | 2016. 12. 31. | -6.02% | 1.82% | 69.48 | 0.28 | -4.40 |
| 11. | 2017. 1. 31. | 4.34% | 1.79% | 4.07 | 0.25 | 1.00 |
| 12. | 2017. 2. 28. | -0.88% | 3.72% | 10.20 | 5.89 | -7.75 |
| 13. | 2017. 3. 31. | 12.15% | -0.04% | 96.59 | 1.77 | -13.08 |
| 14. | 2017. 4. 30. | 5.41% | 0.91% | 9.57 | 0.15 | -1.19 |
| 15. | 2017. 5. 31. | 14.63% | 1.16% | 151.60 | 0.02 | -1.66 |
| 16. | 2017. 6. 30. | -2.90% | 0.48% | 27.19 | 0.66 | 4.23 |
| 17. | 2017. 7. 31. | 1.76% | 1.93% | 0.31 | 0.41 | -0.36 |
| 18. | 2017. 8. 31. | -6.99% | 0.05% | 86.70 | 1.53 | 11.52 |
| 19. | 2017. 9. 30. | 5.60% | 1.93% | 10.79 | 0.41 | 2.10 |
| 20. | 2017. 10. 31. | -1.72% | 2.22% | 16.31 | 0.86 | -3.74 |
| 21. | 2017. 11. 30. | 6.48% | 2.81% | 17.36 | 2.30 | 6.32 |
| 22. | 2017. 12. 31. | 15.43% | 0.98% | 172.02 | 0.10 | -4.05 |
| 23. | 2018. 1. 31. | 6.70% | 5.62% | 19.23 | 18.71 | 18.97 |
| 24. | 2018. 2. 28. | -0.85% | -3.89% | 10.03 | 26.90 | 16.43 |
| 25. | 2018. 3. 31. | -2.76% | -2.69% | 25.80 | 15.85 | 20.22 |
| 26. | 2018. 4. 30. | 9.34% | 0.27% | 49.37 | 1.04 | -7.17 |
| 27. | 2018. 5. 31. | -10.82% | 2.16% | 172.59 | 0.75 | -11.41 |
| 28. | 2018. 6. 30. | 9.93% | 0.48% | 58.00 | 0.65 | -6.15 |
| 29. | 2018. 7. 31. | 0.60% | 3.60% | 2.94 | 5.34 | -3.96 |
| 30. | 2018. 8. 31. | 6.04% | 3.03% | 13.84 | 3.01 | 6.45 |
| 31. | 2018. 9. 30. | 0.31% | 0.43% | 4.02 | 0.74 | 1.73 |
| 32. | 2018. 10. 31. | -11.59% | -6.94% | 193.51 | 67.78 | 114.52 |
| 33. | 2018. 11. 30. | -7.94% | 1.79% | 105.21 | 0.24 | -5.06 |
| 34. | 2018. 12. 31. | -17.31% | -9.18% | 385.23 | 109.62 | 205.50 |
| 35. | 2019. 1. 31. | 11.86% | 7.87% | 91.01 | 43.25 | 62.74 |
| 36. | 2019. 2. 28. | 16.21% | 2.97% | 192.86 | 2.82 | 23.34 |
| 37. | 2019. 3. 31. | 3.95% | 1.79% | 2.67 | 0.25 | 0.82 |
| 38. | 2019. 4. 30. | 4.71% | 3.93% | 5.74 | 6.96 | 6.32 |
| 39. | 2019. 5. 31. | -15.78% | -6.58% | 327.44 | 61.94 | 142.41 |
| 40. | 2019. 6. 30. | 12.06% | 6.89% | 94.97 | 31.37 | 54.58 |
| 41. | 2019. 7. 31. | 9.75% | 1.31% | 55.26 | 0.00 | 0.15 |
| 42. | 2019. 8. 31. | -16.83% | -1.81% | 366.65 | 9.62 | 59.39 |
| 43. | 2019. 9. 30. | 9.18% | 1.72% | 47.02 | 0.18 | 2.92 |
| 44. | 2019. 10. 31. | 4.12% | 2.04% | 3.23 | 0.56 | 1.35 |
| 45. | 2019. 11. 30. | 12.27% | 3.40% | 98.94 | 4.46 | 21.01 |
| 46. | 2019. 12. 31. | 9.50% | 2.86% | 51.57 | 2.45 | 11.25 |
| 47. | 2020. 1. 31. | -3.54% | -0.16% | 34.34 | 2.12 | 8.53 |
| 48. | 2020. 2. 29. | -10.67% | -8.41% | 168.80 | 94.15 | 126.07 |
| 49. | 2020. 3. 31. | -23.93% | -12.51% | 688.75 | 190.56 | 362.28 |
| 50. | 2020. 4. 30. | 34.61% | 12.68% | 1,043.04 | 129.78 | 367.92 |
| 51. | 2020. 5. 31. | 1.77% | 4.53% | 0.30 | 10.47 | -1.77 |
| 52. | 2020. 6. 30. | 12.46% | 1.84% | 102.86 | 0.30 | 5.54 |
| 53. | 2020. 7. 31. | 14.12% | 5.51% | 139.22 | 17.79 | 49.77 |
| 54. | 2020. 8. 31. | 11.37% | 7.01% | 81.88 | 32.65 | 51.71 |
| 55. | 2020. 9. 30. | 0.84% | -3.92% | 2.19 | 27.20 | 7.72 |
| 56. | 2020. 10. 31. | 0.23% | -2.77% | 4.34 | 16.47 | 8.46 |
| 57. | 2020. 11. 30. | -2.47% | 10.75% | 22.88 | 89.54 | -45.26 |
| 58. | 2020. 12. 31. | -7.78% | 3.71% | 101.88 | 5.86 | -24.43 |
| 59. | 2021. 1. 31. | 9.05% | -1.11% | 45.31 | 5.79 | -16.19 |
| 60. | 2021. 2. 28. | -7.78% | 2.61% | 102.04 | 1.73 | -13.30 |
| 61. | 2021. 3. 31. | 15.11% | 4.24% | 163.56 | 8.71 | 37.75 |
| 62. | 2021. 4. 30. | 1.27% | 5.24% | 1.09 | 15.60 | -4.13 |
| 63. | 2021. 5. 31. | -0.03% | 0.55% | 5.49 | 0.55 | 1.74 |
| 64. | 2021. 6. 30. | -0.48% | 2.22% | 7.84 | 0.86 | -2.60 |
| 65. | 2021. 7. 31. | -2.29% | 2.27% | 21.21 | 0.97 | -4.53 |
| 66. | 2021. 8. 31. | 3.70% | 2.90% | 1.92 | 2.58 | 2.22 |
| 67. | 2021. 9. 30. | -8.67% | -4.76% | 120.71 | 36.59 | 66.46 |
| 68. | 2021. 10. 31. | 15.64% | 6.91% | 177.40 | 31.61 | 74.88 |
| 69. | 2021. 11. 30. | -12.58% | -0.83% | 222.00 | 4.52 | 31.67 |
| 70. | 2021. 12. 31. | -4.27% | 4.36% | 43.37 | 9.42 | -20.21 |
| 71. | 2022. 1. 31. | -2.28% | -5.26% | 21.17 | 42.91 | 30.14 |
| 합계 (Σ): | 6,868.63 | 1,262.70 | 1,873.35 | |||
모두 보기
분산BBY = Σ(RBBY,t–RBBY)2 ÷ (71 – 1)
= 6,868.63 ÷ (71 – 1)
= 98.12
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,262.70 ÷ (71 – 1)
= 18.04
공분산BBY, S&P 500 = Σ(RBBY,t–RBBY)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,873.35 ÷ (71 – 1)
= 26.76
체계적인 위험 추정 (β)
| 분산BBY | 98.12 |
| 분산S&P 500 | 18.04 |
| 공분산BBY, S&P 500 | 26.76 |
| 상관 계수BBY, S&P 5001 | 0.64 |
| βBBY2 | 1.48 |
| αBBY3 | 0.40% |
계산
1 상관 계수BBY, S&P 500
= 공분산BBY, S&P 500 ÷ (표준 편차BBY × 표준 편차S&P 500)
= 26.76 ÷ (9.91% × 4.25%)
= 0.64
2 βBBY
= 공분산BBY, S&P 500 ÷ 분산S&P 500
= 26.76 ÷ 18.04
= 1.48
3 αBBY
= 평균의BBY – βBBY × 평균의S&P 500
= 2.32% – 1.48 × 1.29%
= 0.40%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험 Best Buy | βBBY | 1.48 |
| Best Buy 보통주에 대한 예상 수익률3 | E(RBBY) | 18.20% |
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(RBBY) = RF + βBBY [E(RM) – RF]
= 4.67% + 1.48 [13.79% – 4.67%]
= 18.20%