자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Builders FirstSource보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Builders FirstSource Inc., 월별 수익률
| Builders FirstSource Inc. (BLDR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BLDR,t1 | 피제수BLDR,t1 | RBLDR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $21.42 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $19.18 | -10.46% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $19.84 | 3.44% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $18.23 | -8.11% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $63.93 | 3.68% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $64.88 | 1.49% | 3,839.50 | -5.90% | |
| 평균의 (R): | 2.99% | 0.67% | ||||
| 표준 편차: | 14.73% | 5.40% | ||||
| Builders FirstSource Inc. (BLDR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값BLDR,t1 | 피제수BLDR,t1 | RBLDR,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $21.42 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $19.18 | -10.46% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $19.84 | 3.44% | 2,640.87 | -2.69% | |
| 3. | 2018. 4. 30. | $18.23 | -8.11% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $19.58 | 7.41% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $18.29 | -6.59% | 2,718.37 | 0.48% | |
| 6. | 2018. 7. 31. | $17.93 | -1.97% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $15.62 | -12.88% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $14.68 | -6.02% | 2,913.98 | 0.43% | |
| 9. | 2018. 10. 31. | $12.38 | -15.67% | 2,711.74 | -6.94% | |
| 10. | 2018. 11. 30. | $13.53 | 9.29% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $10.91 | -19.36% | 2,506.85 | -9.18% | |
| 12. | 2019. 1. 31. | $13.22 | 21.17% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $13.93 | 5.37% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $13.34 | -4.24% | 2,834.40 | 1.79% | |
| 15. | 2019. 4. 30. | $13.78 | 3.30% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $14.08 | 2.18% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $16.86 | 19.74% | 2,941.76 | 6.89% | |
| 18. | 2019. 7. 31. | $17.18 | 1.90% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $19.45 | 13.21% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $20.58 | 5.81% | 2,976.74 | 1.72% | |
| 21. | 2019. 10. 31. | $22.61 | 9.86% | 3,037.56 | 2.04% | |
| 22. | 2019. 11. 30. | $25.41 | 12.38% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $25.41 | 0.00% | 3,230.78 | 2.86% | |
| 24. | 2020. 1. 31. | $24.80 | -2.40% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $22.71 | -8.43% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $12.23 | -46.15% | 2,584.59 | -12.51% | |
| 27. | 2020. 4. 30. | $18.35 | 50.04% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $20.81 | 13.41% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $20.70 | -0.53% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $23.69 | 14.44% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $30.62 | 29.25% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $32.62 | 6.53% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $30.30 | -7.11% | 3,269.96 | -2.77% | |
| 34. | 2020. 11. 30. | $37.41 | 23.47% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $40.81 | 9.09% | 3,756.07 | 3.71% | |
| 36. | 2021. 1. 31. | $38.25 | -6.27% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $43.27 | 13.12% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $46.37 | 7.16% | 3,972.89 | 4.24% | |
| 39. | 2021. 4. 30. | $48.67 | 4.96% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $44.54 | -8.49% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $42.66 | -4.22% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $44.50 | 4.31% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $53.29 | 19.75% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $51.74 | -2.91% | 4,307.54 | -4.76% | |
| 45. | 2021. 10. 31. | $58.27 | 12.62% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $69.44 | 19.17% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $85.71 | 23.43% | 4,766.18 | 4.36% | |
| 48. | 2022. 1. 31. | $67.99 | -20.67% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $74.42 | 9.46% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $64.54 | -13.28% | 4,530.41 | 3.58% | |
| 51. | 2022. 4. 30. | $61.57 | -4.60% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $65.09 | 5.72% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $53.70 | -17.50% | 3,785.38 | -8.39% | |
| 54. | 2022. 7. 31. | $68.00 | 26.63% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $58.61 | -13.81% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 30. | $58.92 | 0.53% | 3,585.62 | -9.34% | |
| 57. | 2022. 10. 31. | $61.66 | 4.65% | 3,871.98 | 7.99% | |
| 58. | 2022. 11. 30. | $63.93 | 3.68% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $64.88 | 1.49% | 3,839.50 | -5.90% | |
| 평균의 (R): | 2.99% | 0.67% | ||||
| 표준 편차: | 14.73% | 5.40% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 BLDR의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Builders FirstSource Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RBLDR,t | RS&P 500,t | (RBLDR,t–RBLDR)2 | (RS&P 500,t–RS&P 500)2 | (RBLDR,t–RBLDR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -10.46% | -3.89% | 180.80 | 20.81 | 61.33 |
| 2. | 2018. 3. 31. | 3.44% | -2.69% | 0.20 | 11.26 | -1.52 |
| 3. | 2018. 4. 30. | -8.11% | 0.27% | 123.29 | 0.16 | 4.38 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | 3.68% | 5.38% | 0.48 | 22.17 | 3.26 |
| 59. | 2022. 12. 31. | 1.49% | -5.90% | 2.26 | 43.08 | 9.86 |
| 합계 (Σ): | 12,576.57 | 1,691.48 | 3,348.75 | |||
| t | 날짜 | RBLDR,t | RS&P 500,t | (RBLDR,t–RBLDR)2 | (RS&P 500,t–RS&P 500)2 | (RBLDR,t–RBLDR)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -10.46% | -3.89% | 180.80 | 20.81 | 61.33 |
| 2. | 2018. 3. 31. | 3.44% | -2.69% | 0.20 | 11.26 | -1.52 |
| 3. | 2018. 4. 30. | -8.11% | 0.27% | 123.29 | 0.16 | 4.38 |
| 4. | 2018. 5. 31. | 7.41% | 2.16% | 19.51 | 2.23 | 6.60 |
| 5. | 2018. 6. 30. | -6.59% | 0.48% | 91.72 | 0.03 | 1.75 |
| 6. | 2018. 7. 31. | -1.97% | 3.60% | 24.57 | 8.62 | -14.55 |
| 7. | 2018. 8. 31. | -12.88% | 3.03% | 251.92 | 5.57 | -37.45 |
| 8. | 2018. 9. 30. | -6.02% | 0.43% | 81.12 | 0.06 | 2.14 |
| 9. | 2018. 10. 31. | -15.67% | -6.94% | 348.05 | 57.87 | 141.92 |
| 10. | 2018. 11. 30. | 9.29% | 1.79% | 39.70 | 1.25 | 7.05 |
| 11. | 2018. 12. 31. | -19.36% | -9.18% | 499.65 | 96.91 | 220.05 |
| 12. | 2019. 1. 31. | 21.17% | 7.87% | 330.68 | 51.87 | 130.96 |
| 13. | 2019. 2. 28. | 5.37% | 2.97% | 5.67 | 5.32 | 5.49 |
| 14. | 2019. 3. 31. | -4.24% | 1.79% | 52.19 | 1.27 | -8.13 |
| 15. | 2019. 4. 30. | 3.30% | 3.93% | 0.10 | 10.66 | 1.01 |
| 16. | 2019. 5. 31. | 2.18% | -6.58% | 0.66 | 52.48 | 5.88 |
| 17. | 2019. 6. 30. | 19.74% | 6.89% | 280.76 | 38.77 | 104.33 |
| 18. | 2019. 7. 31. | 1.90% | 1.31% | 1.19 | 0.42 | -0.70 |
| 19. | 2019. 8. 31. | 13.21% | -1.81% | 104.54 | 6.13 | -25.31 |
| 20. | 2019. 9. 30. | 5.81% | 1.72% | 7.96 | 1.11 | 2.97 |
| 21. | 2019. 10. 31. | 9.86% | 2.04% | 47.27 | 1.89 | 9.46 |
| 22. | 2019. 11. 30. | 12.38% | 3.40% | 88.27 | 7.50 | 25.73 |
| 23. | 2019. 12. 31. | 0.00% | 2.86% | 8.93 | 4.81 | -6.55 |
| 24. | 2020. 1. 31. | -2.40% | -0.16% | 29.04 | 0.69 | 4.47 |
| 25. | 2020. 2. 29. | -8.43% | -8.41% | 130.32 | 82.40 | 103.63 |
| 26. | 2020. 3. 31. | -46.15% | -12.51% | 2,414.30 | 173.67 | 647.54 |
| 27. | 2020. 4. 30. | 50.04% | 12.68% | 2,213.93 | 144.43 | 565.46 |
| 28. | 2020. 5. 31. | 13.41% | 4.53% | 108.52 | 14.91 | 40.23 |
| 29. | 2020. 6. 30. | -0.53% | 1.84% | 12.37 | 1.37 | -4.12 |
| 30. | 2020. 7. 31. | 14.44% | 5.51% | 131.24 | 23.46 | 55.49 |
| 31. | 2020. 8. 31. | 29.25% | 7.01% | 689.82 | 40.19 | 166.51 |
| 32. | 2020. 9. 30. | 6.53% | -3.92% | 12.55 | 21.06 | -16.26 |
| 33. | 2020. 10. 31. | -7.11% | -2.77% | 102.02 | 11.79 | 34.68 |
| 34. | 2020. 11. 30. | 23.47% | 10.75% | 419.30 | 101.77 | 206.57 |
| 35. | 2020. 12. 31. | 9.09% | 3.71% | 37.21 | 9.28 | 18.58 |
| 36. | 2021. 1. 31. | -6.27% | -1.11% | 85.77 | 3.17 | 16.49 |
| 37. | 2021. 2. 28. | 13.12% | 2.61% | 102.73 | 3.77 | 19.69 |
| 38. | 2021. 3. 31. | 7.16% | 4.24% | 17.44 | 12.80 | 14.94 |
| 39. | 2021. 4. 30. | 4.96% | 5.24% | 3.89 | 20.94 | 9.02 |
| 40. | 2021. 5. 31. | -8.49% | 0.55% | 131.66 | 0.01 | 1.35 |
| 41. | 2021. 6. 30. | -4.22% | 2.22% | 51.98 | 2.42 | -11.21 |
| 42. | 2021. 7. 31. | 4.31% | 2.27% | 1.75 | 2.59 | 2.13 |
| 43. | 2021. 8. 31. | 19.75% | 2.90% | 281.04 | 4.98 | 37.42 |
| 44. | 2021. 9. 30. | -2.91% | -4.76% | 34.78 | 29.42 | 31.98 |
| 45. | 2021. 10. 31. | 12.62% | 6.91% | 92.78 | 39.03 | 60.18 |
| 46. | 2021. 11. 30. | 19.17% | -0.83% | 261.82 | 2.25 | -24.27 |
| 47. | 2021. 12. 31. | 23.43% | 4.36% | 417.87 | 13.65 | 75.53 |
| 48. | 2022. 1. 31. | -20.67% | -5.26% | 559.93 | 35.11 | 140.21 |
| 49. | 2022. 2. 28. | 9.46% | -3.14% | 41.85 | 14.46 | -24.60 |
| 50. | 2022. 3. 31. | -13.28% | 3.58% | 264.53 | 8.47 | -47.34 |
| 51. | 2022. 4. 30. | -4.60% | -8.80% | 57.61 | 89.54 | 71.82 |
| 52. | 2022. 5. 31. | 5.72% | 0.01% | 7.45 | 0.44 | -1.80 |
| 53. | 2022. 6. 30. | -17.50% | -8.39% | 419.73 | 82.06 | 185.59 |
| 54. | 2022. 7. 31. | 26.63% | 9.11% | 558.89 | 71.32 | 199.65 |
| 55. | 2022. 8. 31. | -13.81% | -4.24% | 282.15 | 24.11 | 82.49 |
| 56. | 2022. 9. 30. | 0.53% | -9.34% | 6.05 | 100.12 | 24.61 |
| 57. | 2022. 10. 31. | 4.65% | 7.99% | 2.76 | 53.58 | 12.16 |
| 58. | 2022. 11. 30. | 3.68% | 5.38% | 0.48 | 22.17 | 3.26 |
| 59. | 2022. 12. 31. | 1.49% | -5.90% | 2.26 | 43.08 | 9.86 |
| 합계 (Σ): | 12,576.57 | 1,691.48 | 3,348.75 | |||
모두 표시
분산BLDR = Σ(RBLDR,t–RBLDR)2 ÷ (59 – 1)
= 12,576.57 ÷ (59 – 1)
= 216.84
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산BLDR, S&P 500 = Σ(RBLDR,t–RBLDR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 3,348.75 ÷ (59 – 1)
= 57.74
체계적인 위험 추정 (β)
| 분산BLDR | 216.84 |
| 분산S&P 500 | 29.16 |
| 공분산BLDR, S&P 500 | 57.74 |
| 상관 계수BLDR, S&P 5001 | 0.73 |
| βBLDR2 | 1.98 |
| αBLDR3 | 1.67% |
계산
1 상관 계수BLDR, S&P 500
= 공분산BLDR, S&P 500 ÷ (표준 편차BLDR × 표준 편차S&P 500)
= 57.74 ÷ (14.73% × 5.40%)
= 0.73
2 βBLDR
= 공분산BLDR, S&P 500 ÷ 분산S&P 500
= 57.74 ÷ 29.16
= 1.98
3 αBLDR
= 평균의BLDR – βBLDR × 평균의S&P 500
= 2.99% – 1.98 × 0.67%
= 1.67%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.62% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.69% |
| 보통주의 체계적 위험 Builders FirstSource | βBLDR | 1.98 |
| Builders FirstSource 보통주에 대한 예상 수익률3 | E(RBLDR) | 22.57% |
1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).
2 자세히 보기 »
3 E(RBLDR) = RF + βBLDR [E(RM) – RF]
= 4.62% + 1.98 [13.69% – 4.62%]
= 22.57%