Stock Analysis on Net

Carnival Corp. & plc (NYSE:CCL)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다 Carnival.


수익률

Carnival Corp. & plc, 월별 수익률

Microsoft Excel
Carnival Corp. & plc (CCL) Standard & Poor’s 500 (S&P 500)
t 날짜 CCL,t1 피제수CCL,t1 RCCL,t2 S&P 500,t RS&P 500,t3
2017. 12. 31. $66.37 2,673.61
1. 2018. 1. 31. $71.61 7.90% 2,823.81 5.62%
2. 2018. 2. 28. $66.91 $0.45 -5.93% 2,713.83 -3.89%
3. 2018. 3. 31. $65.58 -1.99% 2,640.87 -2.69%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023. 10. 31. $11.46 -16.47% 4,193.80 -2.20%
71. 2023. 11. 30. $15.06 31.41% 4,567.80 8.92%
평균의 (R): -0.14% 0.89%
표준 편차: 18.84% 5.22%
Carnival Corp. & plc (CCL) Standard & Poor’s 500 (S&P 500)
t 날짜 CCL,t1 피제수CCL,t1 RCCL,t2 S&P 500,t RS&P 500,t3
2017. 12. 31. $66.37 2,673.61
1. 2018. 1. 31. $71.61 7.90% 2,823.81 5.62%
2. 2018. 2. 28. $66.91 $0.45 -5.93% 2,713.83 -3.89%
3. 2018. 3. 31. $65.58 -1.99% 2,640.87 -2.69%
4. 2018. 4. 30. $63.06 -3.84% 2,648.05 0.27%
5. 2018. 5. 31. $62.28 $0.50 -0.44% 2,705.27 2.16%
6. 2018. 6. 30. $57.31 -7.98% 2,718.37 0.48%
7. 2018. 7. 31. $59.24 3.37% 2,816.29 3.60%
8. 2018. 8. 31. $61.49 $0.50 4.64% 2,901.52 3.03%
9. 2018. 9. 30. $63.77 3.71% 2,913.98 0.43%
10. 2018. 10. 31. $56.04 -12.12% 2,711.74 -6.94%
11. 2018. 11. 30. $60.29 $0.50 8.48% 2,760.17 1.79%
12. 2018. 12. 31. $49.30 -18.23% 2,506.85 -9.18%
13. 2019. 1. 31. $57.58 16.80% 2,704.10 7.87%
14. 2019. 2. 28. $57.76 $0.50 1.18% 2,784.49 2.97%
15. 2019. 3. 31. $50.72 -12.19% 2,834.40 1.79%
16. 2019. 4. 30. $54.86 8.16% 2,945.83 3.93%
17. 2019. 5. 31. $51.19 $0.50 -5.78% 2,752.06 -6.58%
18. 2019. 6. 30. $46.55 -9.06% 2,941.76 6.89%
19. 2019. 7. 31. $47.23 1.46% 2,980.38 1.31%
20. 2019. 8. 31. $44.08 $0.50 -5.61% 2,926.46 -1.81%
21. 2019. 9. 30. $43.71 -0.84% 2,976.74 1.72%
22. 2019. 10. 31. $42.89 -1.88% 3,037.56 2.04%
23. 2019. 11. 30. $45.08 $0.50 6.27% 3,140.98 3.40%
24. 2019. 12. 31. $50.83 12.76% 3,230.78 2.86%
25. 2020. 1. 31. $43.53 -14.36% 3,225.52 -0.16%
26. 2020. 2. 29. $33.46 $0.50 -21.98% 2,954.22 -8.41%
27. 2020. 3. 31. $13.17 -60.64% 2,584.59 -12.51%
28. 2020. 4. 30. $15.90 20.73% 2,912.43 12.68%
29. 2020. 5. 31. $15.74 -1.01% 3,044.31 4.53%
30. 2020. 6. 30. $16.42 4.32% 3,100.29 1.84%
31. 2020. 7. 31. $13.88 -15.47% 3,271.12 5.51%
32. 2020. 8. 31. $16.48 18.73% 3,500.31 7.01%
33. 2020. 9. 30. $15.18 -7.89% 3,363.00 -3.92%
34. 2020. 10. 31. $13.71 -9.68% 3,269.96 -2.77%
35. 2020. 11. 30. $19.98 45.73% 3,621.63 10.75%
36. 2020. 12. 31. $21.66 8.41% 3,756.07 3.71%
37. 2021. 1. 31. $18.67 -13.80% 3,714.24 -1.11%
38. 2021. 2. 28. $26.75 43.28% 3,811.15 2.61%
39. 2021. 3. 31. $26.54 -0.79% 3,972.89 4.24%
40. 2021. 4. 30. $27.96 5.35% 4,181.17 5.24%
41. 2021. 5. 31. $29.56 5.72% 4,204.11 0.55%
42. 2021. 6. 30. $26.36 -10.83% 4,297.50 2.22%
43. 2021. 7. 31. $21.65 -17.87% 4,395.26 2.27%
44. 2021. 8. 31. $24.14 11.50% 4,522.68 2.90%
45. 2021. 9. 30. $25.01 3.60% 4,307.54 -4.76%
46. 2021. 10. 31. $22.16 -11.40% 4,605.38 6.91%
47. 2021. 11. 30. $17.62 -20.49% 4,567.00 -0.83%
48. 2021. 12. 31. $20.12 14.19% 4,766.18 4.36%
49. 2022. 1. 31. $19.81 -1.54% 4,515.55 -5.26%
50. 2022. 2. 28. $20.33 2.62% 4,373.94 -3.14%
51. 2022. 3. 31. $20.22 -0.54% 4,530.41 3.58%
52. 2022. 4. 30. $17.30 -14.44% 4,131.93 -8.80%
53. 2022. 5. 31. $13.88 -19.77% 4,132.15 0.01%
54. 2022. 6. 30. $8.65 -37.68% 3,785.38 -8.39%
55. 2022. 7. 31. $9.06 4.74% 4,130.29 9.11%
56. 2022. 8. 31. $9.46 4.42% 3,955.00 -4.24%
57. 2022. 9. 30. $7.03 -25.69% 3,585.62 -9.34%
58. 2022. 10. 31. $9.06 28.88% 3,871.98 7.99%
59. 2022. 11. 30. $9.93 9.60% 4,080.11 5.38%
60. 2022. 12. 31. $8.06 -18.83% 3,839.50 -5.90%
61. 2023. 1. 31. $10.82 34.24% 4,076.60 6.18%
62. 2023. 2. 28. $10.62 -1.85% 3,970.15 -2.61%
63. 2023. 3. 31. $10.15 -4.43% 4,109.31 3.51%
64. 2023. 4. 30. $9.21 -9.26% 4,169.48 1.46%
65. 2023. 5. 31. $11.23 21.93% 4,179.83 0.25%
66. 2023. 6. 30. $18.83 67.68% 4,376.86 4.71%
67. 2023. 7. 31. $18.84 0.05% 4,588.96 4.85%
68. 2023. 8. 31. $15.82 -16.03% 4,507.66 -1.77%
69. 2023. 9. 30. $13.72 -13.27% 4,288.05 -4.87%
70. 2023. 10. 31. $11.46 -16.47% 4,193.80 -2.20%
71. 2023. 11. 30. $15.06 31.41% 4,567.80 8.92%
평균의 (R): -0.14% 0.89%
표준 편차: 18.84% 5.22%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 CCL의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Carnival Corp. & plc, 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RCCL,t RS&P 500,t (RCCL,tRCCL)2 (RS&P 500,tRS&P 500)2 (RCCL,tRCCL)×(RS&P 500,tRS&P 500)
1. 2018. 1. 31. 7.90% 5.62% 64.59 22.33 37.98
2. 2018. 2. 28. -5.93% -3.89% 33.57 22.92 27.74
3. 2018. 3. 31. -1.99% -2.69% 3.41 12.82 6.61
. . . . . . .
. . . . . . .
. . . . . . .
70. 2023. 10. 31. -16.47% -2.20% 266.70 9.55 50.47
71. 2023. 11. 30. 31.41% 8.92% 995.72 64.41 253.24
합계 (Σ): 24,858.07 1,909.09 4,523.25
t 날짜 RCCL,t RS&P 500,t (RCCL,tRCCL)2 (RS&P 500,tRS&P 500)2 (RCCL,tRCCL)×(RS&P 500,tRS&P 500)
1. 2018. 1. 31. 7.90% 5.62% 64.59 22.33 37.98
2. 2018. 2. 28. -5.93% -3.89% 33.57 22.92 27.74
3. 2018. 3. 31. -1.99% -2.69% 3.41 12.82 6.61
4. 2018. 4. 30. -3.84% 0.27% 13.70 0.39 2.30
5. 2018. 5. 31. -0.44% 2.16% 0.09 1.61 -0.38
6. 2018. 6. 30. -7.98% 0.48% 61.45 0.17 3.20
7. 2018. 7. 31. 3.37% 3.60% 12.31 7.34 9.51
8. 2018. 8. 31. 4.64% 3.03% 22.88 4.55 10.21
9. 2018. 9. 30. 3.71% 0.43% 14.82 0.21 -1.78
10. 2018. 10. 31. -12.12% -6.94% 143.53 61.35 93.84
11. 2018. 11. 30. 8.48% 1.79% 74.26 0.80 7.70
12. 2018. 12. 31. -18.23% -9.18% 327.15 101.41 182.14
13. 2019. 1. 31. 16.80% 7.87% 286.85 48.66 118.15
14. 2019. 2. 28. 1.18% 2.97% 1.75 4.33 2.75
15. 2019. 3. 31. -12.19% 1.79% 145.13 0.81 -10.84
16. 2019. 4. 30. 8.16% 3.93% 68.95 9.23 25.23
17. 2019. 5. 31. -5.78% -6.58% 31.78 55.81 42.11
18. 2019. 6. 30. -9.06% 6.89% 79.62 36.01 -53.54
19. 2019. 7. 31. 1.46% 1.31% 2.57 0.18 0.67
20. 2019. 8. 31. -5.61% -1.81% 29.91 7.30 14.78
21. 2019. 9. 30. -0.84% 1.72% 0.49 0.68 -0.58
22. 2019. 10. 31. -1.88% 2.04% 3.01 1.32 -2.00
23. 2019. 11. 30. 6.27% 3.40% 41.13 6.31 16.11
24. 2019. 12. 31. 12.76% 2.86% 166.32 3.87 25.36
25. 2020. 1. 31. -14.36% -0.16% 202.21 1.11 15.01
26. 2020. 2. 29. -21.98% -8.41% 477.14 86.56 203.22
27. 2020. 3. 31. -60.64% -12.51% 3,660.03 179.68 810.94
28. 2020. 4. 30. 20.73% 12.68% 435.57 139.05 246.10
29. 2020. 5. 31. -1.01% 4.53% 0.75 13.22 -3.14
30. 2020. 6. 30. 4.32% 1.84% 19.91 0.90 4.22
31. 2020. 7. 31. -15.47% 5.51% 234.93 21.32 -70.78
32. 2020. 8. 31. 18.73% 7.01% 356.20 37.38 115.39
33. 2020. 9. 30. -7.89% -3.92% 60.02 23.19 37.30
34. 2020. 10. 31. -9.68% -2.77% 91.06 13.39 34.92
35. 2020. 11. 30. 45.73% 10.75% 2,104.46 97.26 452.42
36. 2020. 12. 31. 8.41% 3.71% 73.10 7.95 24.11
37. 2021. 1. 31. -13.80% -1.11% 186.67 4.02 27.41
38. 2021. 2. 28. 43.28% 2.61% 1,885.24 2.95 74.54
39. 2021. 3. 31. -0.79% 4.24% 0.41 11.23 -2.16
40. 2021. 4. 30. 5.35% 5.24% 30.16 18.92 23.89
41. 2021. 5. 31. 5.72% 0.55% 34.38 0.12 -2.02
42. 2021. 6. 30. -10.83% 2.22% 114.15 1.77 -14.20
43. 2021. 7. 31. -17.87% 2.27% 314.23 1.91 -24.50
44. 2021. 8. 31. 11.50% 2.90% 135.55 4.03 23.36
45. 2021. 9. 30. 3.60% -4.76% 14.03 31.92 -21.16
46. 2021. 10. 31. -11.40% 6.91% 126.65 36.26 -67.77
47. 2021. 11. 30. -20.49% -0.83% 413.96 2.98 35.11
48. 2021. 12. 31. 14.19% 4.36% 205.34 12.03 49.71
49. 2022. 1. 31. -1.54% -5.26% 1.96 37.83 8.61
50. 2022. 2. 28. 2.62% -3.14% 7.65 16.23 -11.14
51. 2022. 3. 31. -0.54% 3.58% 0.16 7.21 -1.07
52. 2022. 4. 30. -14.44% -8.80% 204.48 93.86 138.54
53. 2022. 5. 31. -19.77% 0.01% 385.23 0.79 17.41
54. 2022. 6. 30. -37.68% -8.39% 1,409.16 86.20 348.53
55. 2022. 7. 31. 4.74% 9.11% 23.83 67.55 40.12
56. 2022. 8. 31. 4.42% -4.24% 20.76 26.38 -23.40
57. 2022. 9. 30. -25.69% -9.34% 652.58 104.70 261.39
58. 2022. 10. 31. 28.88% 7.99% 842.02 50.32 205.85
59. 2022. 11. 30. 9.60% 5.38% 94.95 20.10 43.68
60. 2022. 12. 31. -18.83% -5.90% 349.33 46.10 126.90
61. 2023. 1. 31. 34.24% 6.18% 1,182.30 27.91 181.65
62. 2023. 2. 28. -1.85% -2.61% 2.91 12.28 5.98
63. 2023. 3. 31. -4.43% 3.51% 18.35 6.83 -11.19
64. 2023. 4. 30. -9.26% 1.46% 83.17 0.33 -5.21
65. 2023. 5. 31. 21.93% 0.25% 487.26 0.42 -14.22
66. 2023. 6. 30. 67.68% 4.71% 4,599.18 14.60 259.15
67. 2023. 7. 31. 0.05% 4.85% 0.04 15.63 0.77
68. 2023. 8. 31. -16.03% -1.77% 252.44 7.10 42.33
69. 2023. 9. 30. -13.27% -4.87% 172.47 33.23 75.70
70. 2023. 10. 31. -16.47% -2.20% 266.70 9.55 50.47
71. 2023. 11. 30. 31.41% 8.92% 995.72 64.41 253.24
합계 (Σ): 24,858.07 1,909.09 4,523.25

모두 표시

분산CCL = Σ(RCCL,tRCCL)2 ÷ (71 – 1)
= 24,858.07 ÷ (71 – 1)
= 355.12

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,909.09 ÷ (71 – 1)
= 27.27

공분산CCL, S&P 500 = Σ(RCCL,tRCCL)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 4,523.25 ÷ (71 – 1)
= 64.62


체계적인 위험 추정 (β)

Microsoft Excel
분산CCL 355.12
분산S&P 500 27.27
공분산CCL, S&P 500 64.62
상관 계수CCL, S&P 5001 0.66
βCCL2 2.37
αCCL3 -2.26%

계산

1 상관 계수CCL, S&P 500
= 공분산CCL, S&P 500 ÷ (표준 편차CCL × 표준 편차S&P 500)
= 64.62 ÷ (18.84% × 5.22%)
= 0.66

2 βCCL
= 공분산CCL, S&P 500 ÷ 분산S&P 500
= 64.62 ÷ 27.27
= 2.37

3 αCCL
= 평균의CCL – βCCL × 평균의S&P 500
= -0.14%2.37 × 0.89%
= -2.26%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.43%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.60%
보통주 Carnival 의 체계적인 리스크 βCCL 2.37
 
Carnival 보통주에 대한 예상 수익률3 E(RCCL) 26.17%

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(RCCL) = RF + βCCL [E(RM) – RF]
= 4.43% + 2.37 [13.60%4.43%]
= 26.17%