Stock Analysis on Net

Bristol-Myers Squibb Co. (NYSE:BMY)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Bristol-Myers Squibb Co., 월별 수익률

Microsoft Excel
Bristol-Myers Squibb Co. (BMY) Standard & Poor’s 500 (S&P 500)
t 날짜 BMY,t1 피제수BMY,t1 RBMY,t2 S&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 BMY,t1 피제수BMY,t1 RBMY,t2 S&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

Microsoft Excel
t 날짜 RBMY,t RS&P 500,t (RBMY,tRBMY)2 (RS&P 500,tRS&P 500)2 (RBMY,tRBMY)×(RS&P 500,tRS&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,tRBMY)2 (RS&P 500,tRS&P 500)2 (RBMY,tRBMY)×(RS&P 500,tRS&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,tRBMY)2 ÷ (59 – 1)
= 2,566.65 ÷ (59 – 1)
= 44.25

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

공분산BMY, S&P 500 = Σ(RBMY,tRBMY)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 736.14 ÷ (59 – 1)
= 12.69


체계적인 위험 추정 (β)

Microsoft Excel
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

Microsoft Excel
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).

2 세부 정보 보기 »

3 E(RBMY) = RF + βBMY [E(RM) – RF]
= 3.85% + 0.44 [13.71%3.85%]
= 8.14%