자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 CBI보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Constellation Brands Inc., 월별 수익률
| Constellation Brands Inc. (STZ) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값STZ,t1 | 피제수STZ,t1 | RSTZ,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 3. 31. | $151.09 | 2,059.74 | ||||
| 1. | 2016. 4. 30. | $156.06 | 3.29% | 2,065.30 | 0.27% | |
| 2. | 2016. 5. 31. | $153.15 | $0.40 | -1.61% | 2,096.95 | 1.53% |
| 3. | 2016. 6. 30. | $165.40 | 8.00% | 2,098.86 | 0.09% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 1. 31. | $237.75 | -5.27% | 4,515.55 | -5.26% | |
| 71. | 2022. 2. 28. | $215.62 | $0.76 | -8.99% | 4,373.94 | -3.14% |
| 평균의 (R): | 0.88% | 1.16% | ||||
| 표준 편차: | 7.34% | 4.23% | ||||
| Constellation Brands Inc. (STZ) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값STZ,t1 | 피제수STZ,t1 | RSTZ,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2016. 3. 31. | $151.09 | 2,059.74 | ||||
| 1. | 2016. 4. 30. | $156.06 | 3.29% | 2,065.30 | 0.27% | |
| 2. | 2016. 5. 31. | $153.15 | $0.40 | -1.61% | 2,096.95 | 1.53% |
| 3. | 2016. 6. 30. | $165.40 | 8.00% | 2,098.86 | 0.09% | |
| 4. | 2016. 7. 31. | $164.63 | -0.47% | 2,173.60 | 3.56% | |
| 5. | 2016. 8. 31. | $164.05 | $0.40 | -0.11% | 2,170.95 | -0.12% |
| 6. | 2016. 9. 30. | $166.49 | 1.49% | 2,168.27 | -0.12% | |
| 7. | 2016. 10. 31. | $167.12 | 0.38% | 2,126.15 | -1.94% | |
| 8. | 2016. 11. 30. | $151.14 | $0.40 | -9.32% | 2,198.81 | 3.42% |
| 9. | 2016. 12. 31. | $153.31 | 1.44% | 2,238.83 | 1.82% | |
| 10. | 2017. 1. 31. | $149.76 | -2.32% | 2,278.87 | 1.79% | |
| 11. | 2017. 2. 28. | $158.81 | $0.40 | 6.31% | 2,363.64 | 3.72% |
| 12. | 2017. 3. 31. | $162.07 | 2.05% | 2,362.72 | -0.04% | |
| 13. | 2017. 4. 30. | $172.54 | 6.46% | 2,384.20 | 0.91% | |
| 14. | 2017. 5. 31. | $182.75 | $0.52 | 6.22% | 2,411.80 | 1.16% |
| 15. | 2017. 6. 30. | $193.73 | 6.01% | 2,423.41 | 0.48% | |
| 16. | 2017. 7. 31. | $193.35 | -0.20% | 2,470.30 | 1.93% | |
| 17. | 2017. 8. 31. | $200.10 | $0.52 | 3.76% | 2,471.65 | 0.05% |
| 18. | 2017. 9. 30. | $199.45 | -0.32% | 2,519.36 | 1.93% | |
| 19. | 2017. 10. 31. | $219.09 | 9.85% | 2,575.26 | 2.22% | |
| 20. | 2017. 11. 30. | $217.59 | $0.52 | -0.45% | 2,647.58 | 2.81% |
| 21. | 2017. 12. 31. | $228.57 | 5.05% | 2,673.61 | 0.98% | |
| 22. | 2018. 1. 31. | $219.47 | -3.98% | 2,823.81 | 5.62% | |
| 23. | 2018. 2. 28. | $215.48 | $0.52 | -1.58% | 2,713.83 | -3.89% |
| 24. | 2018. 3. 31. | $227.92 | 5.77% | 2,640.87 | -2.69% | |
| 25. | 2018. 4. 30. | $233.13 | 2.29% | 2,648.05 | 0.27% | |
| 26. | 2018. 5. 31. | $223.08 | $0.74 | -3.99% | 2,705.27 | 2.16% |
| 27. | 2018. 6. 30. | $218.87 | -1.89% | 2,718.37 | 0.48% | |
| 28. | 2018. 7. 31. | $210.23 | -3.95% | 2,816.29 | 3.60% | |
| 29. | 2018. 8. 31. | $208.20 | $0.74 | -0.61% | 2,901.52 | 3.03% |
| 30. | 2018. 9. 30. | $215.62 | 3.56% | 2,913.98 | 0.43% | |
| 31. | 2018. 10. 31. | $199.23 | -7.60% | 2,711.74 | -6.94% | |
| 32. | 2018. 11. 30. | $195.76 | $0.74 | -1.37% | 2,760.17 | 1.79% |
| 33. | 2018. 12. 31. | $160.82 | -17.85% | 2,506.85 | -9.18% | |
| 34. | 2019. 1. 31. | $173.66 | 7.98% | 2,704.10 | 7.87% | |
| 35. | 2019. 2. 28. | $169.16 | $0.74 | -2.17% | 2,784.49 | 2.97% |
| 36. | 2019. 3. 31. | $175.33 | 3.65% | 2,834.40 | 1.79% | |
| 37. | 2019. 4. 30. | $211.67 | 20.73% | 2,945.83 | 3.93% | |
| 38. | 2019. 5. 31. | $176.45 | $0.75 | -16.28% | 2,752.06 | -6.58% |
| 39. | 2019. 6. 30. | $196.94 | 11.61% | 2,941.76 | 6.89% | |
| 40. | 2019. 7. 31. | $196.82 | -0.06% | 2,980.38 | 1.31% | |
| 41. | 2019. 8. 31. | $204.35 | $0.75 | 4.21% | 2,926.46 | -1.81% |
| 42. | 2019. 9. 30. | $207.28 | 1.43% | 2,976.74 | 1.72% | |
| 43. | 2019. 10. 31. | $190.33 | -8.18% | 3,037.56 | 2.04% | |
| 44. | 2019. 11. 30. | $186.06 | $0.75 | -1.85% | 3,140.98 | 3.40% |
| 45. | 2019. 12. 31. | $189.75 | 1.98% | 3,230.78 | 2.86% | |
| 46. | 2020. 1. 31. | $188.30 | -0.76% | 3,225.52 | -0.16% | |
| 47. | 2020. 2. 29. | $172.38 | $0.75 | -8.06% | 2,954.22 | -8.41% |
| 48. | 2020. 3. 31. | $143.36 | -16.83% | 2,584.59 | -12.51% | |
| 49. | 2020. 4. 30. | $164.69 | 14.88% | 2,912.43 | 12.68% | |
| 50. | 2020. 5. 31. | $172.70 | $0.75 | 5.32% | 3,044.31 | 4.53% |
| 51. | 2020. 6. 30. | $174.95 | 1.30% | 3,100.29 | 1.84% | |
| 52. | 2020. 7. 31. | $178.20 | 1.86% | 3,271.12 | 5.51% | |
| 53. | 2020. 8. 31. | $184.48 | $0.75 | 3.95% | 3,500.31 | 7.01% |
| 54. | 2020. 9. 30. | $189.51 | 2.73% | 3,363.00 | -3.92% | |
| 55. | 2020. 10. 31. | $165.23 | -12.81% | 3,269.96 | -2.77% | |
| 56. | 2020. 11. 30. | $205.84 | $0.75 | 25.03% | 3,621.63 | 10.75% |
| 57. | 2020. 12. 31. | $219.05 | 6.42% | 3,756.07 | 3.71% | |
| 58. | 2021. 1. 31. | $210.93 | -3.71% | 3,714.24 | -1.11% | |
| 59. | 2021. 2. 28. | $214.14 | $0.75 | 1.88% | 3,811.15 | 2.61% |
| 60. | 2021. 3. 31. | $228.00 | 6.47% | 3,972.89 | 4.24% | |
| 61. | 2021. 4. 30. | $240.32 | 5.40% | 4,181.17 | 5.24% | |
| 62. | 2021. 5. 31. | $239.72 | $0.76 | 0.07% | 4,204.11 | 0.55% |
| 63. | 2021. 6. 30. | $233.89 | -2.43% | 4,297.50 | 2.22% | |
| 64. | 2021. 7. 31. | $224.34 | -4.08% | 4,395.26 | 2.27% | |
| 65. | 2021. 8. 31. | $211.14 | $0.76 | -5.55% | 4,522.68 | 2.90% |
| 66. | 2021. 9. 30. | $210.69 | -0.21% | 4,307.54 | -4.76% | |
| 67. | 2021. 10. 31. | $216.81 | 2.90% | 4,605.38 | 6.91% | |
| 68. | 2021. 11. 30. | $225.33 | $0.76 | 4.28% | 4,567.00 | -0.83% |
| 69. | 2021. 12. 31. | $250.97 | 11.38% | 4,766.18 | 4.36% | |
| 70. | 2022. 1. 31. | $237.75 | -5.27% | 4,515.55 | -5.26% | |
| 71. | 2022. 2. 28. | $215.62 | $0.76 | -8.99% | 4,373.94 | -3.14% |
| 평균의 (R): | 0.88% | 1.16% | ||||
| 표준 편차: | 7.34% | 4.23% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 STZ의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Constellation Brands Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RSTZ,t | RS&P 500,t | (RSTZ,t–RSTZ)2 | (RS&P 500,t–RS&P 500)2 | (RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 4. 30. | 3.29% | 0.27% | 5.80 | 0.78 | -2.13 |
| 2. | 2016. 5. 31. | -1.61% | 1.53% | 6.19 | 0.14 | -0.94 |
| 3. | 2016. 6. 30. | 8.00% | 0.09% | 50.67 | 1.13 | -7.57 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022. 1. 31. | -5.27% | -5.26% | 37.80 | 41.13 | 39.43 |
| 71. | 2022. 2. 28. | -8.99% | -3.14% | 97.40 | 18.41 | 42.35 |
| 합계 (Σ): | 3,770.51 | 1,252.81 | 1,429.54 | |||
| t | 날짜 | RSTZ,t | RS&P 500,t | (RSTZ,t–RSTZ)2 | (RS&P 500,t–RS&P 500)2 | (RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016. 4. 30. | 3.29% | 0.27% | 5.80 | 0.78 | -2.13 |
| 2. | 2016. 5. 31. | -1.61% | 1.53% | 6.19 | 0.14 | -0.94 |
| 3. | 2016. 6. 30. | 8.00% | 0.09% | 50.67 | 1.13 | -7.57 |
| 4. | 2016. 7. 31. | -0.47% | 3.56% | 1.81 | 5.79 | -3.24 |
| 5. | 2016. 8. 31. | -0.11% | -0.12% | 0.98 | 1.63 | 1.26 |
| 6. | 2016. 9. 30. | 1.49% | -0.12% | 0.37 | 1.63 | -0.78 |
| 7. | 2016. 10. 31. | 0.38% | -1.94% | 0.25 | 9.60 | 1.56 |
| 8. | 2016. 11. 30. | -9.32% | 3.42% | 104.10 | 5.12 | -23.08 |
| 9. | 2016. 12. 31. | 1.44% | 1.82% | 0.31 | 0.44 | 0.37 |
| 10. | 2017. 1. 31. | -2.32% | 1.79% | 10.22 | 0.40 | -2.02 |
| 11. | 2017. 2. 28. | 6.31% | 3.72% | 29.48 | 6.58 | 13.93 |
| 12. | 2017. 3. 31. | 2.05% | -0.04% | 1.37 | 1.43 | -1.40 |
| 13. | 2017. 4. 30. | 6.46% | 0.91% | 31.13 | 0.06 | -1.37 |
| 14. | 2017. 5. 31. | 6.22% | 1.16% | 28.50 | 0.00 | 0.01 |
| 15. | 2017. 6. 30. | 6.01% | 0.48% | 26.29 | 0.45 | -3.45 |
| 16. | 2017. 7. 31. | -0.20% | 1.93% | 1.16 | 0.61 | -0.84 |
| 17. | 2017. 8. 31. | 3.76% | 0.05% | 8.29 | 1.21 | -3.17 |
| 18. | 2017. 9. 30. | -0.32% | 1.93% | 1.45 | 0.60 | -0.93 |
| 19. | 2017. 10. 31. | 9.85% | 2.22% | 80.40 | 1.13 | 9.54 |
| 20. | 2017. 11. 30. | -0.45% | 2.81% | 1.76 | 2.73 | -2.20 |
| 21. | 2017. 12. 31. | 5.05% | 0.98% | 17.35 | 0.03 | -0.72 |
| 22. | 2018. 1. 31. | -3.98% | 5.62% | 23.64 | 19.92 | -21.70 |
| 23. | 2018. 2. 28. | -1.58% | -3.89% | 6.06 | 25.50 | 12.43 |
| 24. | 2018. 3. 31. | 5.77% | -2.69% | 23.94 | 14.77 | -18.81 |
| 25. | 2018. 4. 30. | 2.29% | 0.27% | 1.98 | 0.78 | -1.24 |
| 26. | 2018. 5. 31. | -3.99% | 2.16% | 23.76 | 1.01 | -4.90 |
| 27. | 2018. 6. 30. | -1.89% | 0.48% | 7.66 | 0.45 | 1.86 |
| 28. | 2018. 7. 31. | -3.95% | 3.60% | 23.31 | 5.99 | -11.81 |
| 29. | 2018. 8. 31. | -0.61% | 3.03% | 2.23 | 3.50 | -2.80 |
| 30. | 2018. 9. 30. | 3.56% | 0.43% | 7.20 | 0.53 | -1.95 |
| 31. | 2018. 10. 31. | -7.60% | -6.94% | 71.94 | 65.54 | 68.66 |
| 32. | 2018. 11. 30. | -1.37% | 1.79% | 5.07 | 0.40 | -1.42 |
| 33. | 2018. 12. 31. | -17.85% | -9.18% | 350.77 | 106.77 | 193.52 |
| 34. | 2019. 1. 31. | 7.98% | 7.87% | 50.46 | 45.07 | 47.69 |
| 35. | 2019. 2. 28. | -2.17% | 2.97% | 9.28 | 3.30 | -5.54 |
| 36. | 2019. 3. 31. | 3.65% | 1.79% | 7.66 | 0.41 | 1.76 |
| 37. | 2019. 4. 30. | 20.73% | 3.93% | 393.87 | 7.71 | 55.10 |
| 38. | 2019. 5. 31. | -16.28% | -6.58% | 294.65 | 59.80 | 132.74 |
| 39. | 2019. 6. 30. | 11.61% | 6.89% | 115.17 | 32.92 | 61.58 |
| 40. | 2019. 7. 31. | -0.06% | 1.31% | 0.89 | 0.02 | -0.15 |
| 41. | 2019. 8. 31. | 4.21% | -1.81% | 11.06 | 8.79 | -9.86 |
| 42. | 2019. 9. 30. | 1.43% | 1.72% | 0.31 | 0.32 | 0.31 |
| 43. | 2019. 10. 31. | -8.18% | 2.04% | 82.05 | 0.79 | -8.04 |
| 44. | 2019. 11. 30. | -1.85% | 3.40% | 7.45 | 5.06 | -6.14 |
| 45. | 2019. 12. 31. | 1.98% | 2.86% | 1.22 | 2.90 | 1.88 |
| 46. | 2020. 1. 31. | -0.76% | -0.16% | 2.71 | 1.74 | 2.17 |
| 47. | 2020. 2. 29. | -8.06% | -8.41% | 79.87 | 91.51 | 85.49 |
| 48. | 2020. 3. 31. | -16.83% | -12.51% | 313.84 | 186.79 | 242.12 |
| 49. | 2020. 4. 30. | 14.88% | 12.68% | 195.95 | 132.92 | 161.39 |
| 50. | 2020. 5. 31. | 5.32% | 4.53% | 19.70 | 11.38 | 14.97 |
| 51. | 2020. 6. 30. | 1.30% | 1.84% | 0.18 | 0.47 | 0.29 |
| 52. | 2020. 7. 31. | 1.86% | 5.51% | 0.95 | 18.97 | 4.26 |
| 53. | 2020. 8. 31. | 3.95% | 7.01% | 9.39 | 34.24 | 17.93 |
| 54. | 2020. 9. 30. | 2.73% | -3.92% | 3.41 | 25.79 | -9.37 |
| 55. | 2020. 10. 31. | -12.81% | -2.77% | 187.49 | 15.38 | 53.70 |
| 56. | 2020. 11. 30. | 25.03% | 10.75% | 583.28 | 92.15 | 231.84 |
| 57. | 2020. 12. 31. | 6.42% | 3.71% | 30.66 | 6.54 | 14.16 |
| 58. | 2021. 1. 31. | -3.71% | -1.11% | 21.04 | 5.15 | 10.41 |
| 59. | 2021. 2. 28. | 1.88% | 2.61% | 0.99 | 2.11 | 1.45 |
| 60. | 2021. 3. 31. | 6.47% | 4.24% | 31.27 | 9.54 | 17.27 |
| 61. | 2021. 4. 30. | 5.40% | 5.24% | 20.46 | 16.71 | 18.49 |
| 62. | 2021. 5. 31. | 0.07% | 0.55% | 0.66 | 0.37 | 0.49 |
| 63. | 2021. 6. 30. | -2.43% | 2.22% | 10.97 | 1.14 | -3.53 |
| 64. | 2021. 7. 31. | -4.08% | 2.27% | 24.64 | 1.25 | -5.56 |
| 65. | 2021. 8. 31. | -5.55% | 2.90% | 41.29 | 3.04 | -11.21 |
| 66. | 2021. 9. 30. | -0.21% | -4.76% | 1.20 | 34.95 | 6.47 |
| 67. | 2021. 10. 31. | 2.90% | 6.91% | 4.10 | 33.17 | 11.66 |
| 68. | 2021. 11. 30. | 4.28% | -0.83% | 11.56 | 3.95 | -6.76 |
| 69. | 2021. 12. 31. | 11.38% | 4.36% | 110.21 | 10.28 | 33.66 |
| 70. | 2022. 1. 31. | -5.27% | -5.26% | 37.80 | 41.13 | 39.43 |
| 71. | 2022. 2. 28. | -8.99% | -3.14% | 97.40 | 18.41 | 42.35 |
| 합계 (Σ): | 3,770.51 | 1,252.81 | 1,429.54 | |||
모두 보기
분산STZ = Σ(RSTZ,t–RSTZ)2 ÷ (71 – 1)
= 3,770.51 ÷ (71 – 1)
= 53.86
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,252.81 ÷ (71 – 1)
= 17.90
공분산STZ, S&P 500 = Σ(RSTZ,t–RSTZ)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,429.54 ÷ (71 – 1)
= 20.42
체계적인 위험 추정 (β)
| 분산STZ | 53.86 |
| 분산S&P 500 | 17.90 |
| 공분산STZ, S&P 500 | 20.42 |
| 상관 계수STZ, S&P 5001 | 0.66 |
| βSTZ2 | 1.14 |
| αSTZ3 | -0.44% |
계산
1 상관 계수STZ, S&P 500
= 공분산STZ, S&P 500 ÷ (표준 편차STZ × 표준 편차S&P 500)
= 20.42 ÷ (7.34% × 4.23%)
= 0.66
2 βSTZ
= 공분산STZ, S&P 500 ÷ 분산S&P 500
= 20.42 ÷ 17.90
= 1.14
3 αSTZ
= 평균의STZ – βSTZ × 평균의S&P 500
= 0.88% – 1.14 × 1.16%
= -0.44%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.42% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 15.02% |
| 보통주의 체계적 위험CBI | βSTZ | 1.14 |
| CBI 보통주의 예상 수익률3 | E(RSTZ) | 16.52% |
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(RSTZ) = RF + βSTZ [E(RM) – RF]
= 4.42% + 1.14 [15.02% – 4.42%]
= 16.52%