Stock Analysis on Net

Caterpillar Inc. (NYSE:CAT)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Caterpillar Inc., 월별 수익률

Microsoft Excel
Caterpillar Inc. (CAT) Standard & Poor’s 500 (S&P 500)
t 날짜 CAT,t1 피제수CAT,t1 RCAT,t2 S&P 500,t RS&P 500,t3
2017. 1. 31. $95.66 2,278.87
1. 2017. 2. 28. $96.66 1.05% 2,363.64 3.72%
2. 2017. 3. 31. $92.76 -4.03% 2,362.72 -0.04%
3. 2017. 4. 30. $102.26 $0.77 11.07% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2021. 11. 30. $193.35 -5.23% 4,567.00 -0.83%
59. 2021. 12. 31. $206.74 6.93% 4,766.18 4.36%
평균의 (R): 1.80% 1.36%
표준 편차: 7.39% 4.48%
Caterpillar Inc. (CAT) Standard & Poor’s 500 (S&P 500)
t 날짜 CAT,t1 피제수CAT,t1 RCAT,t2 S&P 500,t RS&P 500,t3
2017. 1. 31. $95.66 2,278.87
1. 2017. 2. 28. $96.66 1.05% 2,363.64 3.72%
2. 2017. 3. 31. $92.76 -4.03% 2,362.72 -0.04%
3. 2017. 4. 30. $102.26 $0.77 11.07% 2,384.20 0.91%
4. 2017. 5. 31. $105.43 3.10% 2,411.80 1.16%
5. 2017. 6. 30. $107.46 1.93% 2,423.41 0.48%
6. 2017. 7. 31. $113.95 $0.78 6.77% 2,470.30 1.93%
7. 2017. 8. 31. $117.49 3.11% 2,471.65 0.05%
8. 2017. 9. 30. $124.71 6.15% 2,519.36 1.93%
9. 2017. 10. 31. $135.80 $0.78 9.52% 2,575.26 2.22%
10. 2017. 11. 30. $141.15 3.94% 2,647.58 2.81%
11. 2017. 12. 31. $157.58 11.64% 2,673.61 0.98%
12. 2018. 1. 31. $162.78 $0.78 3.79% 2,823.81 5.62%
13. 2018. 2. 28. $154.63 -5.01% 2,713.83 -3.89%
14. 2018. 3. 31. $147.38 -4.69% 2,640.87 -2.69%
15. 2018. 4. 30. $144.36 $0.78 -1.52% 2,648.05 0.27%
16. 2018. 5. 31. $151.91 5.23% 2,705.27 2.16%
17. 2018. 6. 30. $135.67 -10.69% 2,718.37 0.48%
18. 2018. 7. 31. $143.80 $0.86 6.63% 2,816.29 3.60%
19. 2018. 8. 31. $138.85 -3.44% 2,901.52 3.03%
20. 2018. 9. 30. $152.49 9.82% 2,913.98 0.43%
21. 2018. 10. 31. $121.32 $0.86 -19.88% 2,711.74 -6.94%
22. 2018. 11. 30. $135.67 11.83% 2,760.17 1.79%
23. 2018. 12. 31. $127.07 -6.34% 2,506.85 -9.18%
24. 2019. 1. 31. $133.16 $0.86 5.47% 2,704.10 7.87%
25. 2019. 2. 28. $137.34 3.14% 2,784.49 2.97%
26. 2019. 3. 31. $135.49 -1.35% 2,834.40 1.79%
27. 2019. 4. 30. $139.42 $0.86 3.54% 2,945.83 3.93%
28. 2019. 5. 31. $119.81 -14.07% 2,752.06 -6.58%
29. 2019. 6. 30. $136.29 13.76% 2,941.76 6.89%
30. 2019. 7. 31. $131.67 $1.03 -2.63% 2,980.38 1.31%
31. 2019. 8. 31. $119.00 -9.62% 2,926.46 -1.81%
32. 2019. 9. 30. $126.31 6.14% 2,976.74 1.72%
33. 2019. 10. 31. $137.80 $1.03 9.91% 3,037.56 2.04%
34. 2019. 11. 30. $144.73 5.03% 3,140.98 3.40%
35. 2019. 12. 31. $147.68 2.04% 3,230.78 2.86%
36. 2020. 1. 31. $131.35 $1.03 -10.36% 3,225.52 -0.16%
37. 2020. 2. 29. $124.24 -5.41% 2,954.22 -8.41%
38. 2020. 3. 31. $116.04 -6.60% 2,584.59 -12.51%
39. 2020. 4. 30. $116.38 $1.03 1.18% 2,912.43 12.68%
40. 2020. 5. 31. $120.13 3.22% 3,044.31 4.53%
41. 2020. 6. 30. $126.50 5.30% 3,100.29 1.84%
42. 2020. 7. 31. $132.88 $1.03 5.86% 3,271.12 5.51%
43. 2020. 8. 31. $142.31 7.10% 3,500.31 7.01%
44. 2020. 9. 30. $149.15 4.81% 3,363.00 -3.92%
45. 2020. 10. 31. $157.05 $1.03 5.99% 3,269.96 -2.77%
46. 2020. 11. 30. $173.59 10.53% 3,621.63 10.75%
47. 2020. 12. 31. $182.02 4.86% 3,756.07 3.71%
48. 2021. 1. 31. $182.84 $1.03 1.02% 3,714.24 -1.11%
49. 2021. 2. 28. $215.88 18.07% 3,811.15 2.61%
50. 2021. 3. 31. $231.87 7.41% 3,972.89 4.24%
51. 2021. 4. 30. $228.11 $1.03 -1.18% 4,181.17 5.24%
52. 2021. 5. 31. $241.08 5.69% 4,204.11 0.55%
53. 2021. 6. 30. $217.63 -9.73% 4,297.50 2.22%
54. 2021. 7. 31. $206.75 $1.11 -4.49% 4,395.26 2.27%
55. 2021. 8. 31. $210.87 1.99% 4,522.68 2.90%
56. 2021. 9. 30. $191.97 -8.96% 4,307.54 -4.76%
57. 2021. 10. 31. $204.01 $1.11 6.85% 4,605.38 6.91%
58. 2021. 11. 30. $193.35 -5.23% 4,567.00 -0.83%
59. 2021. 12. 31. $206.74 6.93% 4,766.18 4.36%
평균의 (R): 1.80% 1.36%
표준 편차: 7.39% 4.48%

모두 보기

1 보통주의 주당 US $ 단위의 데이터, 분할 및 주식 배당을 위해 조정.

2 기간 t 동안 CAT의 보통주에 대한 수익률.

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


분산 및 공분산

Caterpillar Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RCAT,t RS&P 500,t (RCAT,tRCAT)2 (RS&P 500,tRS&P 500)2 (RCAT,tRCAT)×(RS&P 500,tRS&P 500)
1. 2017. 2. 28. 1.05% 3.72% 0.57 5.58 -1.78
2. 2017. 3. 31. -4.03% -0.04% 34.03 1.95 8.15
3. 2017. 4. 30. 11.07% 0.91% 85.98 0.20 -4.16
. . . . . . .
. . . . . . .
. . . . . . .
58. 2021. 11. 30. -5.23% -0.83% 49.34 4.80 15.39
59. 2021. 12. 31. 6.93% 4.36% 26.28 9.02 15.40
합계 (Σ): 3,171.63 1,164.17 1,076.08
t 날짜 RCAT,t RS&P 500,t (RCAT,tRCAT)2 (RS&P 500,tRS&P 500)2 (RCAT,tRCAT)×(RS&P 500,tRS&P 500)
1. 2017. 2. 28. 1.05% 3.72% 0.57 5.58 -1.78
2. 2017. 3. 31. -4.03% -0.04% 34.03 1.95 8.15
3. 2017. 4. 30. 11.07% 0.91% 85.98 0.20 -4.16
4. 2017. 5. 31. 3.10% 1.16% 1.69 0.04 -0.26
5. 2017. 6. 30. 1.93% 0.48% 0.02 0.77 -0.11
6. 2017. 7. 31. 6.77% 1.93% 24.66 0.33 2.87
7. 2017. 8. 31. 3.11% 0.05% 1.71 1.70 -1.70
8. 2017. 9. 30. 6.15% 1.93% 18.89 0.33 2.49
9. 2017. 10. 31. 9.52% 2.22% 59.58 0.74 6.65
10. 2017. 11. 30. 3.94% 2.81% 4.58 2.10 3.10
11. 2017. 12. 31. 11.64% 0.98% 96.84 0.14 -3.69
12. 2018. 1. 31. 3.79% 5.62% 3.98 18.15 8.50
13. 2018. 2. 28. -5.01% -3.89% 46.32 27.59 35.75
14. 2018. 3. 31. -4.69% -2.69% 42.09 16.37 26.25
15. 2018. 4. 30. -1.52% 0.27% 11.02 1.18 3.60
16. 2018. 5. 31. 5.23% 2.16% 11.77 0.64 2.75
17. 2018. 6. 30. -10.69% 0.48% 155.99 0.76 10.91
18. 2018. 7. 31. 6.63% 3.60% 23.30 5.04 10.83
19. 2018. 8. 31. -3.44% 3.03% 27.47 2.78 -8.74
20. 2018. 9. 30. 9.82% 0.43% 64.39 0.86 -7.45
21. 2018. 10. 31. -19.88% -6.94% 469.84 68.86 179.87
22. 2018. 11. 30. 11.83% 1.79% 100.58 0.18 4.29
23. 2018. 12. 31. -6.34% -9.18% 66.23 111.00 85.74
24. 2019. 1. 31. 5.47% 7.87% 13.47 42.39 23.90
25. 2019. 2. 28. 3.14% 2.97% 1.80 2.61 2.16
26. 2019. 3. 31. -1.35% 1.79% 9.90 0.19 -1.37
27. 2019. 4. 30. 3.54% 3.93% 3.01 6.62 4.47
28. 2019. 5. 31. -14.07% -6.58% 251.68 62.97 125.90
29. 2019. 6. 30. 13.76% 6.89% 142.95 30.64 66.18
30. 2019. 7. 31. -2.63% 1.31% 19.65 0.00 0.20
31. 2019. 8. 31. -9.62% -1.81% 130.45 10.03 36.17
32. 2019. 9. 30. 6.14% 1.72% 18.87 0.13 1.56
33. 2019. 10. 31. 9.91% 2.04% 65.82 0.47 5.56
34. 2019. 11. 30. 5.03% 3.40% 10.43 4.19 6.61
35. 2019. 12. 31. 2.04% 2.86% 0.06 2.25 0.36
36. 2020. 1. 31. -10.36% -0.16% 147.85 2.31 18.49
37. 2020. 2. 29. -5.41% -8.41% 52.01 95.43 70.45
38. 2020. 3. 31. -6.60% -12.51% 70.55 192.37 116.50
39. 2020. 4. 30. 1.18% 12.68% 0.38 128.29 -7.01
40. 2020. 5. 31. 3.22% 4.53% 2.03 10.05 4.51
41. 2020. 6. 30. 5.30% 1.84% 12.27 0.23 1.68
42. 2020. 7. 31. 5.86% 5.51% 16.47 17.24 16.85
43. 2020. 8. 31. 7.10% 7.01% 28.06 31.91 29.92
44. 2020. 9. 30. 4.81% -3.92% 9.04 27.89 -15.88
45. 2020. 10. 31. 5.99% -2.77% 17.54 17.01 -17.27
46. 2020. 11. 30. 10.53% 10.75% 76.26 88.30 82.06
47. 2020. 12. 31. 4.86% 3.71% 9.35 5.54 7.20
48. 2021. 1. 31. 1.02% -1.11% 0.61 6.11 1.93
49. 2021. 2. 28. 18.07% 2.61% 264.76 1.57 20.36
50. 2021. 3. 31. 7.41% 4.24% 31.45 8.33 16.18
51. 2021. 4. 30. -1.18% 5.24% 8.86 15.09 -11.56
52. 2021. 5. 31. 5.69% 0.55% 15.11 0.65 -3.15
53. 2021. 6. 30. -9.73% 2.22% 132.85 0.75 -9.95
54. 2021. 7. 31. -4.49% 2.27% 39.54 0.84 -5.77
55. 2021. 8. 31. 1.99% 2.90% 0.04 2.38 0.30
56. 2021. 9. 30. -8.96% -4.76% 115.82 37.39 65.81
57. 2021. 10. 31. 6.85% 6.91% 25.51 30.87 28.07
58. 2021. 11. 30. -5.23% -0.83% 49.34 4.80 15.39
59. 2021. 12. 31. 6.93% 4.36% 26.28 9.02 15.40
합계 (Σ): 3,171.63 1,164.17 1,076.08

모두 보기

분산CAT = Σ(RCAT,tRCAT)2 ÷ (59 – 1)
= 3,171.63 ÷ (59 – 1)
= 54.68

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

공분산CAT, S&P 500 = Σ(RCAT,tRCAT)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,076.08 ÷ (59 – 1)
= 18.55


체계적인 위험 추정 (β)

Microsoft Excel
분산CAT 54.68
분산S&P 500 20.07
공분산CAT, S&P 500 18.55
상관 계수CAT, S&P 5001 0.56
βCAT2 0.92
αCAT3 0.54%

계산

1 상관 계수CAT, S&P 500
= 공분산CAT, S&P 500 ÷ (표준 편차CAT × 표준 편차S&P 500)
= 18.55 ÷ (7.39% × 4.48%)
= 0.56

2 βCAT
= 공분산CAT, S&P 500 ÷ 분산S&P 500
= 18.55 ÷ 20.07
= 0.92

3 αCAT
= 평균의CAT – βCAT × 평균의S&P 500
= 1.80%0.92 × 1.36%
= 0.54%


예상 수익률

Microsoft Excel
가정
LT 재무부 복합재의 수익률1 RF 3.76%
시장 포트폴리오의 예상 수익률2 E(RM) 12.50%
일반주식 Caterpillar 의 체계적인 리스크 βCAT 0.92
 
Caterpillar 보통주의 예상 수익률3 E(RCAT) 11.83%

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(RCAT) = RF + βCAT [E(RM) – RF]
= 3.76% + 0.92 [12.50%3.76%]
= 11.83%