자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 CVS Health보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
CVS Health Corp., 월별 수익률
| CVS Health Corp. (CVS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CVS,t1 | 피제수CVS,t1 | RCVS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $65.55 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $57.83 | -11.78% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $53.93 | -6.74% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $54.38 | $0.50 | 1.76% | 2,945.83 | 3.93% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | $67.95 | -1.54% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $78.96 | 16.20% | 4,769.83 | 4.42% | |
| 평균의 (R): | 0.79% | 1.11% | ||||
| 표준 편차: | 7.14% | 5.31% | ||||
| CVS Health Corp. (CVS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CVS,t1 | 피제수CVS,t1 | RCVS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 1. 31. | $65.55 | 2,704.10 | ||||
| 1. | 2019. 2. 28. | $57.83 | -11.78% | 2,784.49 | 2.97% | |
| 2. | 2019. 3. 31. | $53.93 | -6.74% | 2,834.40 | 1.79% | |
| 3. | 2019. 4. 30. | $54.38 | $0.50 | 1.76% | 2,945.83 | 3.93% |
| 4. | 2019. 5. 31. | $52.37 | -3.70% | 2,752.06 | -6.58% | |
| 5. | 2019. 6. 30. | $54.49 | 4.05% | 2,941.76 | 6.89% | |
| 6. | 2019. 7. 31. | $55.87 | $0.50 | 3.45% | 2,980.38 | 1.31% |
| 7. | 2019. 8. 31. | $60.92 | 9.04% | 2,926.46 | -1.81% | |
| 8. | 2019. 9. 30. | $63.07 | 3.53% | 2,976.74 | 1.72% | |
| 9. | 2019. 10. 31. | $66.39 | $0.50 | 6.06% | 3,037.56 | 2.04% |
| 10. | 2019. 11. 30. | $75.27 | 13.38% | 3,140.98 | 3.40% | |
| 11. | 2019. 12. 31. | $74.29 | -1.30% | 3,230.78 | 2.86% | |
| 12. | 2020. 1. 31. | $67.82 | $0.50 | -8.04% | 3,225.52 | -0.16% |
| 13. | 2020. 2. 29. | $59.18 | -12.74% | 2,954.22 | -8.41% | |
| 14. | 2020. 3. 31. | $59.33 | 0.25% | 2,584.59 | -12.51% | |
| 15. | 2020. 4. 30. | $61.55 | $0.50 | 4.58% | 2,912.43 | 12.68% |
| 16. | 2020. 5. 31. | $65.57 | 6.53% | 3,044.31 | 4.53% | |
| 17. | 2020. 6. 30. | $64.97 | -0.92% | 3,100.29 | 1.84% | |
| 18. | 2020. 7. 31. | $62.94 | $0.50 | -2.35% | 3,271.12 | 5.51% |
| 19. | 2020. 8. 31. | $62.12 | -1.30% | 3,500.31 | 7.01% | |
| 20. | 2020. 9. 30. | $58.40 | -5.99% | 3,363.00 | -3.92% | |
| 21. | 2020. 10. 31. | $56.09 | $0.50 | -3.10% | 3,269.96 | -2.77% |
| 22. | 2020. 11. 30. | $67.79 | 20.86% | 3,621.63 | 10.75% | |
| 23. | 2020. 12. 31. | $68.30 | 0.75% | 3,756.07 | 3.71% | |
| 24. | 2021. 1. 31. | $71.65 | $0.50 | 5.64% | 3,714.24 | -1.11% |
| 25. | 2021. 2. 28. | $68.13 | -4.91% | 3,811.15 | 2.61% | |
| 26. | 2021. 3. 31. | $75.23 | 10.42% | 3,972.89 | 4.24% | |
| 27. | 2021. 4. 30. | $76.40 | $0.50 | 2.22% | 4,181.17 | 5.24% |
| 28. | 2021. 5. 31. | $86.44 | 13.14% | 4,204.11 | 0.55% | |
| 29. | 2021. 6. 30. | $83.44 | -3.47% | 4,297.50 | 2.22% | |
| 30. | 2021. 7. 31. | $82.36 | $0.50 | -0.70% | 4,395.26 | 2.27% |
| 31. | 2021. 8. 31. | $86.39 | 4.89% | 4,522.68 | 2.90% | |
| 32. | 2021. 9. 30. | $84.86 | -1.77% | 4,307.54 | -4.76% | |
| 33. | 2021. 10. 31. | $89.28 | $0.50 | 5.80% | 4,605.38 | 6.91% |
| 34. | 2021. 11. 30. | $89.06 | -0.25% | 4,567.00 | -0.83% | |
| 35. | 2021. 12. 31. | $103.16 | 15.83% | 4,766.18 | 4.36% | |
| 36. | 2022. 1. 31. | $106.51 | $0.55 | 3.78% | 4,515.55 | -5.26% |
| 37. | 2022. 2. 28. | $103.65 | -2.69% | 4,373.94 | -3.14% | |
| 38. | 2022. 3. 31. | $101.21 | -2.35% | 4,530.41 | 3.58% | |
| 39. | 2022. 4. 30. | $96.13 | $0.55 | -4.48% | 4,131.93 | -8.80% |
| 40. | 2022. 5. 31. | $96.75 | 0.64% | 4,132.15 | 0.01% | |
| 41. | 2022. 6. 30. | $92.66 | -4.23% | 3,785.38 | -8.39% | |
| 42. | 2022. 7. 31. | $95.68 | $0.55 | 3.85% | 4,130.29 | 9.11% |
| 43. | 2022. 8. 31. | $98.15 | 2.58% | 3,955.00 | -4.24% | |
| 44. | 2022. 9. 30. | $95.37 | -2.83% | 3,585.62 | -9.34% | |
| 45. | 2022. 10. 31. | $94.70 | $0.55 | -0.13% | 3,871.98 | 7.99% |
| 46. | 2022. 11. 30. | $101.88 | 7.58% | 4,080.11 | 5.38% | |
| 47. | 2022. 12. 31. | $93.19 | -8.53% | 3,839.50 | -5.90% | |
| 48. | 2023. 1. 31. | $88.22 | $0.605 | -4.68% | 4,076.60 | 6.18% |
| 49. | 2023. 2. 28. | $83.54 | -5.30% | 3,970.15 | -2.61% | |
| 50. | 2023. 3. 31. | $74.31 | -11.05% | 4,109.31 | 3.51% | |
| 51. | 2023. 4. 30. | $73.31 | $0.605 | -0.53% | 4,169.48 | 1.46% |
| 52. | 2023. 5. 31. | $68.03 | -7.20% | 4,179.83 | 0.25% | |
| 53. | 2023. 6. 30. | $69.13 | 1.62% | 4,376.86 | 4.71% | |
| 54. | 2023. 7. 31. | $74.69 | $0.605 | 8.92% | 4,588.96 | 4.85% |
| 55. | 2023. 8. 31. | $65.17 | -12.75% | 4,507.66 | -1.77% | |
| 56. | 2023. 9. 30. | $69.82 | 7.14% | 4,288.05 | -4.87% | |
| 57. | 2023. 10. 31. | $69.01 | $0.605 | -0.29% | 4,193.80 | -2.20% |
| 58. | 2023. 11. 30. | $67.95 | -1.54% | 4,567.80 | 8.92% | |
| 59. | 2023. 12. 31. | $78.96 | 16.20% | 4,769.83 | 4.42% | |
| 평균의 (R): | 0.79% | 1.11% | ||||
| 표준 편차: | 7.14% | 5.31% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 CVS의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
CVS Health Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RCVS,t | RS&P 500,t | (RCVS,t–RCVS)2 | (RS&P 500,t–RS&P 500)2 | (RCVS,t–RCVS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -11.78% | 2.97% | 158.05 | 3.49 | -23.47 |
| 2. | 2019. 3. 31. | -6.74% | 1.79% | 56.83 | 0.47 | -5.18 |
| 3. | 2019. 4. 30. | 1.76% | 3.93% | 0.94 | 7.98 | 2.73 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023. 11. 30. | -1.54% | 8.92% | 5.43 | 61.03 | -18.21 |
| 59. | 2023. 12. 31. | 16.20% | 4.42% | 237.43 | 11.00 | 51.11 |
| 합계 (Σ): | 2,959.32 | 1,634.30 | 840.23 | |||
| t | 날짜 | RCVS,t | RS&P 500,t | (RCVS,t–RCVS)2 | (RS&P 500,t–RS&P 500)2 | (RCVS,t–RCVS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 2. 28. | -11.78% | 2.97% | 158.05 | 3.49 | -23.47 |
| 2. | 2019. 3. 31. | -6.74% | 1.79% | 56.83 | 0.47 | -5.18 |
| 3. | 2019. 4. 30. | 1.76% | 3.93% | 0.94 | 7.98 | 2.73 |
| 4. | 2019. 5. 31. | -3.70% | -6.58% | 20.17 | 59.04 | 34.50 |
| 5. | 2019. 6. 30. | 4.05% | 6.89% | 10.59 | 33.49 | 18.83 |
| 6. | 2019. 7. 31. | 3.45% | 1.31% | 7.05 | 0.04 | 0.55 |
| 7. | 2019. 8. 31. | 9.04% | -1.81% | 67.97 | 8.50 | -24.03 |
| 8. | 2019. 9. 30. | 3.53% | 1.72% | 7.48 | 0.37 | 1.67 |
| 9. | 2019. 10. 31. | 6.06% | 2.04% | 27.69 | 0.88 | 4.93 |
| 10. | 2019. 11. 30. | 13.38% | 3.40% | 158.28 | 5.28 | 28.92 |
| 11. | 2019. 12. 31. | -1.30% | 2.86% | 4.39 | 3.07 | -3.68 |
| 12. | 2020. 1. 31. | -8.04% | -0.16% | 77.98 | 1.61 | 11.20 |
| 13. | 2020. 2. 29. | -12.74% | -8.41% | 183.17 | 90.57 | 128.80 |
| 14. | 2020. 3. 31. | 0.25% | -12.51% | 0.29 | 185.44 | 7.37 |
| 15. | 2020. 4. 30. | 4.58% | 12.68% | 14.37 | 134.06 | 43.88 |
| 16. | 2020. 5. 31. | 6.53% | 4.53% | 32.91 | 11.71 | 19.63 |
| 17. | 2020. 6. 30. | -0.92% | 1.84% | 2.92 | 0.54 | -1.25 |
| 18. | 2020. 7. 31. | -2.35% | 5.51% | 9.92 | 19.40 | -13.87 |
| 19. | 2020. 8. 31. | -1.30% | 7.01% | 4.40 | 34.82 | -12.37 |
| 20. | 2020. 9. 30. | -5.99% | -3.92% | 46.01 | 25.29 | 34.11 |
| 21. | 2020. 10. 31. | -3.10% | -2.77% | 15.16 | 15.00 | 15.08 |
| 22. | 2020. 11. 30. | 20.86% | 10.75% | 402.60 | 93.10 | 193.60 |
| 23. | 2020. 12. 31. | 0.75% | 3.71% | 0.00 | 6.79 | -0.11 |
| 24. | 2021. 1. 31. | 5.64% | -1.11% | 23.45 | 4.93 | -10.75 |
| 25. | 2021. 2. 28. | -4.91% | 2.61% | 32.57 | 2.26 | -8.58 |
| 26. | 2021. 3. 31. | 10.42% | 4.24% | 92.68 | 9.85 | 30.21 |
| 27. | 2021. 4. 30. | 2.22% | 5.24% | 2.03 | 17.11 | 5.90 |
| 28. | 2021. 5. 31. | 13.14% | 0.55% | 152.45 | 0.31 | -6.88 |
| 29. | 2021. 6. 30. | -3.47% | 2.22% | 18.19 | 1.24 | -4.76 |
| 30. | 2021. 7. 31. | -0.70% | 2.27% | 2.22 | 1.37 | -1.74 |
| 31. | 2021. 8. 31. | 4.89% | 2.90% | 16.80 | 3.22 | 7.35 |
| 32. | 2021. 9. 30. | -1.77% | -4.76% | 6.58 | 34.37 | 15.04 |
| 33. | 2021. 10. 31. | 5.80% | 6.91% | 25.03 | 33.74 | 29.06 |
| 34. | 2021. 11. 30. | -0.25% | -0.83% | 1.08 | 3.76 | 2.02 |
| 35. | 2021. 12. 31. | 15.83% | 4.36% | 226.13 | 10.60 | 48.95 |
| 36. | 2022. 1. 31. | 3.78% | -5.26% | 8.92 | 40.51 | -19.00 |
| 37. | 2022. 2. 28. | -2.69% | -3.14% | 12.11 | 17.99 | 14.76 |
| 38. | 2022. 3. 31. | -2.35% | 3.58% | 9.91 | 6.11 | -7.78 |
| 39. | 2022. 4. 30. | -4.48% | -8.80% | 27.78 | 98.04 | 52.18 |
| 40. | 2022. 5. 31. | 0.64% | 0.01% | 0.02 | 1.21 | 0.16 |
| 41. | 2022. 6. 30. | -4.23% | -8.39% | 25.22 | 90.21 | 47.70 |
| 42. | 2022. 7. 31. | 3.85% | 9.11% | 9.35 | 64.09 | 24.48 |
| 43. | 2022. 8. 31. | 2.58% | -4.24% | 3.19 | 28.62 | -9.56 |
| 44. | 2022. 9. 30. | -2.83% | -9.34% | 13.15 | 109.11 | 37.88 |
| 45. | 2022. 10. 31. | -0.13% | 7.99% | 0.85 | 47.34 | -6.33 |
| 46. | 2022. 11. 30. | 7.58% | 5.38% | 46.07 | 18.23 | 28.98 |
| 47. | 2022. 12. 31. | -8.53% | -5.90% | 86.94 | 49.04 | 65.30 |
| 48. | 2023. 1. 31. | -4.68% | 6.18% | 30.01 | 25.70 | -27.77 |
| 49. | 2023. 2. 28. | -5.30% | -2.61% | 37.20 | 13.82 | 22.67 |
| 50. | 2023. 3. 31. | -11.05% | 3.51% | 140.26 | 5.76 | -28.42 |
| 51. | 2023. 4. 30. | -0.53% | 1.46% | 1.76 | 0.13 | -0.48 |
| 52. | 2023. 5. 31. | -7.20% | 0.25% | 63.95 | 0.74 | 6.86 |
| 53. | 2023. 6. 30. | 1.62% | 4.71% | 0.68 | 13.02 | 2.97 |
| 54. | 2023. 7. 31. | 8.92% | 4.85% | 65.99 | 13.99 | 30.38 |
| 55. | 2023. 8. 31. | -12.75% | -1.77% | 183.34 | 8.28 | 38.96 |
| 56. | 2023. 9. 30. | 7.14% | -4.87% | 40.21 | 35.73 | -37.90 |
| 57. | 2023. 10. 31. | -0.29% | -2.20% | 1.18 | 10.92 | 3.59 |
| 58. | 2023. 11. 30. | -1.54% | 8.92% | 5.43 | 61.03 | -18.21 |
| 59. | 2023. 12. 31. | 16.20% | 4.42% | 237.43 | 11.00 | 51.11 |
| 합계 (Σ): | 2,959.32 | 1,634.30 | 840.23 | |||
모두 표시
분산CVS = Σ(RCVS,t–RCVS)2 ÷ (59 – 1)
= 2,959.32 ÷ (59 – 1)
= 51.02
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
공분산CVS, S&P 500 = Σ(RCVS,t–RCVS)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 840.23 ÷ (59 – 1)
= 14.49
체계적인 위험 추정 (β)
| 분산CVS | 51.02 |
| 분산S&P 500 | 28.18 |
| 공분산CVS, S&P 500 | 14.49 |
| 상관 계수CVS, S&P 5001 | 0.38 |
| βCVS2 | 0.51 |
| αCVS3 | 0.23% |
계산
1 상관 계수CVS, S&P 500
= 공분산CVS, S&P 500 ÷ (표준 편차CVS × 표준 편차S&P 500)
= 14.49 ÷ (7.14% × 5.31%)
= 0.38
2 βCVS
= 공분산CVS, S&P 500 ÷ 분산S&P 500
= 14.49 ÷ 28.18
= 0.51
3 αCVS
= 평균의CVS – βCVS × 평균의S&P 500
= 0.79% – 0.51 × 1.11%
= 0.23%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.70% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.52% |
| 보통주의 체계적 위험CVS Health | βCVS | 0.51 |
| CVS Health 보통주에 대한 기대 수익률3 | E(RCVS) | 9.23% |
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(RCVS) = RF + βCVS [E(RM) – RF]
= 4.70% + 0.51 [13.52% – 4.70%]
= 9.23%