자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Carnival의 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Carnival Corp. & plc, 월별 수익률
| Carnival Corp. & plc (CCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값CCL,t1 | 피제수CCL,t1 | RCCL,t2 | 값S&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 | 값CCL,t1 | 피제수CCL,t1 | RCCL,t2 | 값S&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 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 CCL의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Carnival Corp. & plc, 수익률의 분산 및 공분산 계산
| t | 날짜 | RCCL,t | RS&P 500,t | (RCCL,t–RCCL)2 | (RS&P 500,t–RS&P 500)2 | (RCCL,t–RCCL)×(RS&P 500,t–RS&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,t–RCCL)2 | (RS&P 500,t–RS&P 500)2 | (RCCL,t–RCCL)×(RS&P 500,t–RS&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 보기
분산CCL = Σ(RCCL,t–RCCL)2 ÷ (71 – 1)
= 24,858.07 ÷ (71 – 1)
= 355.12
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,909.09 ÷ (71 – 1)
= 27.27
공분산CCL, S&P 500 = Σ(RCCL,t–RCCL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 4,523.25 ÷ (71 – 1)
= 64.62
체계적인 위험 추정 (β)
| 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%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.76% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 15.13% |
| 보통주의 체계적 위험Carnival | βCCL | 2.37 |
| Carnival 보통주에 대한 예상 수익률3 | E(RCCL) | 29.33% |
1 10년 이내에 만기가 도래하거나 콜링할 수 없는 모든 미결제 고정 쿠폰 미국 국채에 대한 입찰 수익률의 비가중 평균(무위험 수익률 대리).
2 자세히 보기 »
3 E(RCCL) = RF + βCCL [E(RM) – RF]
= 4.76% + 2.37 [15.13% – 4.76%]
= 29.33%