자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델 (CAPM)은 BMS의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률을 나타냅니다.
수익률
Bristol-Myers Squibb Co., 월별 수익률
| Bristol-Myers Squibb Co. (BMY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BMY,t1 | 피제수BMY,t1 | RBMY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $62.60 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $66.20 | 5.75% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $63.25 | -4.46% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $52.13 | $0.40 | -16.95% | 2,648.05 | 0.27% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $80.28 | 3.63% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $71.95 | -10.38% | 3,839.50 | -5.90% | |
| 평균의 (R): | 0.71% | 0.67% | ||||
| 표준 편차: | 6.65% | 5.40% | ||||
| Bristol-Myers Squibb Co. (BMY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BMY,t1 | 피제수BMY,t1 | RBMY,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $62.60 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $66.20 | 5.75% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $63.25 | -4.46% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $52.13 | $0.40 | -16.95% | 2,648.05 | 0.27% |
| 4. | 2018. 5. 31. | $52.62 | 0.94% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $55.34 | 5.17% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $58.75 | $0.40 | 6.88% | 2,816.29 | 3.60% |
| 7. | 2018. 8. 31. | $60.55 | 3.06% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $62.08 | 2.53% | 2,913.98 | 0.43% | |
| 9. | 2018. 10. 31. | $50.54 | $0.40 | -17.94% | 2,711.74 | -6.94% |
| 10. | 2018. 11. 30. | $53.46 | 5.78% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $51.98 | -2.77% | 2,506.85 | -9.18% | |
| 12. | 2019. 1. 31. | $49.37 | $0.41 | -4.23% | 2,704.10 | 7.87% |
| 13. | 2019. 2. 28. | $51.66 | 4.64% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $47.71 | -7.65% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $46.43 | $0.41 | -1.82% | 2,945.83 | 3.93% |
| 16. | 2019. 5. 31. | $45.37 | -2.28% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $45.35 | -0.04% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $44.41 | $0.41 | -1.17% | 2,980.38 | 1.31% |
| 19. | 2019. 8. 31. | $48.07 | 8.24% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $50.71 | 5.49% | 2,976.74 | 1.72% | |
| 21. | 2019. 10. 31. | $57.37 | $0.41 | 13.94% | 3,037.56 | 2.04% |
| 22. | 2019. 11. 30. | $56.94 | -0.75% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $64.19 | 12.73% | 3,230.78 | 2.86% | |
| 24. | 2020. 1. 31. | $62.95 | $0.45 | -1.23% | 3,225.52 | -0.16% |
| 25. | 2020. 2. 29. | $59.06 | -6.18% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $55.74 | -5.62% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $60.81 | $0.45 | 9.90% | 2,912.43 | 12.68% |
| 28. | 2020. 5. 31. | $59.72 | -1.79% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $58.80 | -1.54% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $58.66 | $0.45 | 0.53% | 3,271.12 | 5.51% |
| 31. | 2020. 8. 31. | $62.20 | 6.03% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $60.29 | -3.07% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $58.45 | $0.45 | -2.31% | 3,269.96 | -2.77% |
| 34. | 2020. 11. 30. | $62.40 | 6.76% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $62.03 | $0.49 | 0.19% | 3,756.07 | 3.71% |
| 36. | 2021. 1. 31. | $61.43 | -0.97% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $61.33 | -0.16% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $63.13 | $0.49 | 3.73% | 3,972.89 | 4.24% |
| 39. | 2021. 4. 30. | $62.42 | -1.12% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $65.72 | 5.29% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $66.82 | 1.67% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $67.87 | $0.49 | 2.30% | 4,395.26 | 2.27% |
| 43. | 2021. 8. 31. | $66.86 | -1.49% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $59.17 | $0.49 | -10.77% | 4,307.54 | -4.76% |
| 45. | 2021. 10. 31. | $58.40 | -1.30% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $53.63 | -8.17% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $62.35 | 16.26% | 4,766.18 | 4.36% | |
| 48. | 2022. 1. 31. | $64.89 | $0.54 | 4.94% | 4,515.55 | -5.26% |
| 49. | 2022. 2. 28. | $68.67 | 5.83% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $73.03 | $0.54 | 7.14% | 4,530.41 | 3.58% |
| 51. | 2022. 4. 30. | $75.27 | 3.07% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $75.45 | 0.24% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $77.00 | $0.54 | 2.77% | 3,785.38 | -8.39% |
| 54. | 2022. 7. 31. | $73.78 | -4.18% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $67.41 | -8.63% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 30. | $71.09 | 5.46% | 3,585.62 | -9.34% | |
| 57. | 2022. 10. 31. | $77.47 | $0.54 | 9.73% | 3,871.98 | 7.99% |
| 58. | 2022. 11. 30. | $80.28 | 3.63% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $71.95 | -10.38% | 3,839.50 | -5.90% | |
| 평균의 (R): | 0.71% | 0.67% | ||||
| 표준 편차: | 6.65% | 5.40% | ||||
모두 보기
1 보통주의 주당 US $ 단위의 데이터, 분할 및 주식 배당을 위해 조정.
2 기간 t 동안 BMY의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Bristol-Myers Squibb Co., 수익의 분산 및 공분산 계산
| t | 날짜 | RBMY,t | RS&P 500,t | (RBMY,t–RBMY)2 | (RS&P 500,t–RS&P 500)2 | (RBMY,t–RBMY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | 5.75% | -3.89% | 25.45 | 20.81 | -23.01 |
| 2. | 2018. 3. 31. | -4.46% | -2.69% | 26.65 | 11.26 | 17.32 |
| 3. | 2018. 4. 30. | -16.95% | 0.27% | 311.68 | 0.16 | 6.97 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | 3.63% | 5.38% | 8.53 | 22.17 | 13.76 |
| 59. | 2022. 12. 31. | -10.38% | -5.90% | 122.81 | 43.08 | 72.74 |
| 합계 (Σ): | 2,566.65 | 1,691.48 | 736.14 | |||
| t | 날짜 | RBMY,t | RS&P 500,t | (RBMY,t–RBMY)2 | (RS&P 500,t–RS&P 500)2 | (RBMY,t–RBMY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | 5.75% | -3.89% | 25.45 | 20.81 | -23.01 |
| 2. | 2018. 3. 31. | -4.46% | -2.69% | 26.65 | 11.26 | 17.32 |
| 3. | 2018. 4. 30. | -16.95% | 0.27% | 311.68 | 0.16 | 6.97 |
| 4. | 2018. 5. 31. | 0.94% | 2.16% | 0.05 | 2.23 | 0.35 |
| 5. | 2018. 6. 30. | 5.17% | 0.48% | 19.92 | 0.03 | -0.81 |
| 6. | 2018. 7. 31. | 6.88% | 3.60% | 38.18 | 8.62 | 18.14 |
| 7. | 2018. 8. 31. | 3.06% | 3.03% | 5.56 | 5.57 | 5.56 |
| 8. | 2018. 9. 30. | 2.53% | 0.43% | 3.32 | 0.06 | -0.43 |
| 9. | 2018. 10. 31. | -17.94% | -6.94% | 347.84 | 57.87 | 141.87 |
| 10. | 2018. 11. 30. | 5.78% | 1.79% | 25.72 | 1.25 | 5.68 |
| 11. | 2018. 12. 31. | -2.77% | -9.18% | 12.07 | 96.91 | 34.20 |
| 12. | 2019. 1. 31. | -4.23% | 7.87% | 24.39 | 51.87 | -35.57 |
| 13. | 2019. 2. 28. | 4.64% | 2.97% | 15.46 | 5.32 | 9.07 |
| 14. | 2019. 3. 31. | -7.65% | 1.79% | 69.76 | 1.27 | -9.40 |
| 15. | 2019. 4. 30. | -1.82% | 3.93% | 6.40 | 10.66 | -8.26 |
| 16. | 2019. 5. 31. | -2.28% | -6.58% | 8.93 | 52.48 | 21.65 |
| 17. | 2019. 6. 30. | -0.04% | 6.89% | 0.56 | 38.77 | -4.67 |
| 18. | 2019. 7. 31. | -1.17% | 1.31% | 3.51 | 0.42 | -1.21 |
| 19. | 2019. 8. 31. | 8.24% | -1.81% | 56.78 | 6.13 | -18.66 |
| 20. | 2019. 9. 30. | 5.49% | 1.72% | 22.91 | 1.11 | 5.03 |
| 21. | 2019. 10. 31. | 13.94% | 2.04% | 175.19 | 1.89 | 18.22 |
| 22. | 2019. 11. 30. | -0.75% | 3.40% | 2.12 | 7.50 | -3.99 |
| 23. | 2019. 12. 31. | 12.73% | 2.86% | 144.64 | 4.81 | 26.37 |
| 24. | 2020. 1. 31. | -1.23% | -0.16% | 3.75 | 0.69 | 1.61 |
| 25. | 2020. 2. 29. | -6.18% | -8.41% | 47.41 | 82.40 | 62.50 |
| 26. | 2020. 3. 31. | -5.62% | -12.51% | 40.04 | 173.67 | 83.39 |
| 27. | 2020. 4. 30. | 9.90% | 12.68% | 84.59 | 144.43 | 110.53 |
| 28. | 2020. 5. 31. | -1.79% | 4.53% | 6.24 | 14.91 | -9.65 |
| 29. | 2020. 6. 30. | -1.54% | 1.84% | 5.05 | 1.37 | -2.63 |
| 30. | 2020. 7. 31. | 0.53% | 5.51% | 0.03 | 23.46 | -0.87 |
| 31. | 2020. 8. 31. | 6.03% | 7.01% | 28.40 | 40.19 | 33.78 |
| 32. | 2020. 9. 30. | -3.07% | -3.92% | 14.26 | 21.06 | 17.33 |
| 33. | 2020. 10. 31. | -2.31% | -2.77% | 9.07 | 11.79 | 10.34 |
| 34. | 2020. 11. 30. | 6.76% | 10.75% | 36.63 | 101.77 | 61.05 |
| 35. | 2020. 12. 31. | 0.19% | 3.71% | 0.26 | 9.28 | -1.56 |
| 36. | 2021. 1. 31. | -0.97% | -1.11% | 2.80 | 3.17 | 2.98 |
| 37. | 2021. 2. 28. | -0.16% | 2.61% | 0.75 | 3.77 | -1.69 |
| 38. | 2021. 3. 31. | 3.73% | 4.24% | 9.17 | 12.80 | 10.83 |
| 39. | 2021. 4. 30. | -1.12% | 5.24% | 3.35 | 20.94 | -8.38 |
| 40. | 2021. 5. 31. | 5.29% | 0.55% | 20.98 | 0.01 | -0.54 |
| 41. | 2021. 6. 30. | 1.67% | 2.22% | 0.94 | 2.42 | 1.50 |
| 42. | 2021. 7. 31. | 2.30% | 2.27% | 2.56 | 2.59 | 2.57 |
| 43. | 2021. 8. 31. | -1.49% | 2.90% | 4.81 | 4.98 | -4.90 |
| 44. | 2021. 9. 30. | -10.77% | -4.76% | 131.67 | 29.42 | 62.23 |
| 45. | 2021. 10. 31. | -1.30% | 6.91% | 4.03 | 39.03 | -12.54 |
| 46. | 2021. 11. 30. | -8.17% | -0.83% | 78.74 | 2.25 | 13.31 |
| 47. | 2021. 12. 31. | 16.26% | 4.36% | 241.91 | 13.65 | 57.46 |
| 48. | 2022. 1. 31. | 4.94% | -5.26% | 17.93 | 35.11 | -25.09 |
| 49. | 2022. 2. 28. | 5.83% | -3.14% | 26.21 | 14.46 | -19.47 |
| 50. | 2022. 3. 31. | 7.14% | 3.58% | 41.34 | 8.47 | 18.71 |
| 51. | 2022. 4. 30. | 3.07% | -8.80% | 5.58 | 89.54 | -22.34 |
| 52. | 2022. 5. 31. | 0.24% | 0.01% | 0.22 | 0.44 | 0.31 |
| 53. | 2022. 6. 30. | 2.77% | -8.39% | 4.26 | 82.06 | -18.70 |
| 54. | 2022. 7. 31. | -4.18% | 9.11% | 23.89 | 71.32 | -41.28 |
| 55. | 2022. 8. 31. | -8.63% | -4.24% | 87.23 | 24.11 | 45.86 |
| 56. | 2022. 9. 30. | 5.46% | -9.34% | 22.59 | 100.12 | -47.56 |
| 57. | 2022. 10. 31. | 9.73% | 7.99% | 81.51 | 53.58 | 66.08 |
| 58. | 2022. 11. 30. | 3.63% | 5.38% | 8.53 | 22.17 | 13.76 |
| 59. | 2022. 12. 31. | -10.38% | -5.90% | 122.81 | 43.08 | 72.74 |
| 합계 (Σ): | 2,566.65 | 1,691.48 | 736.14 | |||
모두 보기
분산BMY = Σ(RBMY,t–RBMY)2 ÷ (59 – 1)
= 2,566.65 ÷ (59 – 1)
= 44.25
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산BMY, S&P 500 = Σ(RBMY,t–RBMY)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 736.14 ÷ (59 – 1)
= 12.69
체계적인 위험 추정 (β)
| 분산BMY | 44.25 |
| 분산S&P 500 | 29.16 |
| 공분산BMY, S&P 500 | 12.69 |
| 상관 계수BMY, S&P 5001 | 0.35 |
| βBMY2 | 0.44 |
| αBMY3 | 0.42% |
계산
1 상관 계수BMY, S&P 500
= 공분산BMY, S&P 500 ÷ (표준 편차BMY × 표준 편차S&P 500)
= 12.69 ÷ (6.65% × 5.40%)
= 0.35
2 βBMY
= 공분산BMY, S&P 500 ÷ 분산S&P 500
= 12.69 ÷ 29.16
= 0.44
3 αBMY
= 평균의BMY – βBMY × 평균의S&P 500
= 0.71% – 0.44 × 0.67%
= 0.42%
예상 수익률
| 가정 | ||
| LT 재무부 복합재의 수익률1 | RF | 3.85% |
| 시장 포트폴리오의 예상 수익률2 | E(RM) | 13.71% |
| 보통주 BMS 의 체계적인 위험 | βBMY | 0.44 |
| BMS 보통주의 기대수익률3 | E(RBMY) | 8.14% |
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(RBMY) = RF + βBMY [E(RM) – RF]
= 3.85% + 0.44 [13.71% – 3.85%]
= 8.14%