Stock Analysis on Net

Danaher Corp. (NYSE:DHR)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Danaher Corp., 월별 수익률

Microsoft Excel
Danaher Corp. (DHR) Standard & Poor’s 500 (S&P 500)
t 날짜 DHR,t1 피제수DHR,t1 RDHR,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $101.28 2,823.81
1. 2018. 2. 28. $97.78 -3.46% 2,713.83 -3.89%
2. 2018. 3. 31. $97.91 $0.16 0.30% 2,640.87 -2.69%
3. 2018. 4. 30. $100.32 2.46% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. $273.41 8.64% 4,080.11 5.38%
59. 2022. 12. 31. $265.42 $0.25 -2.83% 3,839.50 -5.90%
평균의 (R): 1.91% 0.67%
표준 편차: 6.88% 5.40%
Danaher Corp. (DHR) Standard & Poor’s 500 (S&P 500)
t 날짜 DHR,t1 피제수DHR,t1 RDHR,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $101.28 2,823.81
1. 2018. 2. 28. $97.78 -3.46% 2,713.83 -3.89%
2. 2018. 3. 31. $97.91 $0.16 0.30% 2,640.87 -2.69%
3. 2018. 4. 30. $100.32 2.46% 2,648.05 0.27%
4. 2018. 5. 31. $99.28 -1.04% 2,705.27 2.16%
5. 2018. 6. 30. $98.68 $0.16 -0.44% 2,718.37 0.48%
6. 2018. 7. 31. $102.58 3.95% 2,816.29 3.60%
7. 2018. 8. 31. $103.54 0.94% 2,901.52 3.03%
8. 2018. 9. 30. $108.66 $0.16 5.10% 2,913.98 0.43%
9. 2018. 10. 31. $99.40 -8.52% 2,711.74 -6.94%
10. 2018. 11. 30. $109.54 10.20% 2,760.17 1.79%
11. 2018. 12. 31. $103.12 $0.16 -5.71% 2,506.85 -9.18%
12. 2019. 1. 31. $110.92 7.56% 2,704.10 7.87%
13. 2019. 2. 28. $127.02 14.51% 2,784.49 2.97%
14. 2019. 3. 31. $132.02 $0.17 4.07% 2,834.40 1.79%
15. 2019. 4. 30. $132.44 0.32% 2,945.83 3.93%
16. 2019. 5. 31. $132.01 -0.32% 2,752.06 -6.58%
17. 2019. 6. 30. $142.92 $0.17 8.39% 2,941.76 6.89%
18. 2019. 7. 31. $140.50 -1.69% 2,980.38 1.31%
19. 2019. 8. 31. $142.09 1.13% 2,926.46 -1.81%
20. 2019. 9. 30. $144.43 $0.17 1.77% 2,976.74 1.72%
21. 2019. 10. 31. $137.82 -4.58% 3,037.56 2.04%
22. 2019. 11. 30. $145.98 5.92% 3,140.98 3.40%
23. 2019. 12. 31. $153.48 $0.17 5.25% 3,230.78 2.86%
24. 2020. 1. 31. $160.87 4.81% 3,225.52 -0.16%
25. 2020. 2. 29. $144.58 -10.13% 2,954.22 -8.41%
26. 2020. 3. 31. $138.41 $0.18 -4.14% 2,584.59 -12.51%
27. 2020. 4. 30. $163.46 18.10% 2,912.43 12.68%
28. 2020. 5. 31. $166.61 1.93% 3,044.31 4.53%
29. 2020. 6. 30. $176.83 $0.18 6.24% 3,100.29 1.84%
30. 2020. 7. 31. $203.80 15.25% 3,271.12 5.51%
31. 2020. 8. 31. $206.47 1.31% 3,500.31 7.01%
32. 2020. 9. 30. $215.33 $0.18 4.38% 3,363.00 -3.92%
33. 2020. 10. 31. $229.54 6.60% 3,269.96 -2.77%
34. 2020. 11. 30. $224.63 -2.14% 3,621.63 10.75%
35. 2020. 12. 31. $222.14 $0.18 -1.03% 3,756.07 3.71%
36. 2021. 1. 31. $237.84 7.07% 3,714.24 -1.11%
37. 2021. 2. 28. $219.67 -7.64% 3,811.15 2.61%
38. 2021. 3. 31. $225.08 $0.21 2.56% 3,972.89 4.24%
39. 2021. 4. 30. $253.94 12.82% 4,181.17 5.24%
40. 2021. 5. 31. $256.14 0.87% 4,204.11 0.55%
41. 2021. 6. 30. $268.36 $0.21 4.85% 4,297.50 2.22%
42. 2021. 7. 31. $297.49 10.85% 4,395.26 2.27%
43. 2021. 8. 31. $324.16 8.97% 4,522.68 2.90%
44. 2021. 9. 30. $304.44 $0.21 -6.02% 4,307.54 -4.76%
45. 2021. 10. 31. $311.77 2.41% 4,605.38 6.91%
46. 2021. 11. 30. $321.64 3.17% 4,567.00 -0.83%
47. 2021. 12. 31. $329.01 $0.21 2.36% 4,766.18 4.36%
48. 2022. 1. 31. $285.79 -13.14% 4,515.55 -5.26%
49. 2022. 2. 28. $274.41 -3.98% 4,373.94 -3.14%
50. 2022. 3. 31. $293.33 $0.25 6.99% 4,530.41 3.58%
51. 2022. 4. 30. $251.13 -14.39% 4,131.93 -8.80%
52. 2022. 5. 31. $263.82 5.05% 4,132.15 0.01%
53. 2022. 6. 30. $253.52 $0.25 -3.81% 3,785.38 -8.39%
54. 2022. 7. 31. $291.47 14.97% 4,130.29 9.11%
55. 2022. 8. 31. $269.91 -7.40% 3,955.00 -4.24%
56. 2022. 9. 30. $258.29 $0.25 -4.21% 3,585.62 -9.34%
57. 2022. 10. 31. $251.67 -2.56% 3,871.98 7.99%
58. 2022. 11. 30. $273.41 8.64% 4,080.11 5.38%
59. 2022. 12. 31. $265.42 $0.25 -2.83% 3,839.50 -5.90%
평균의 (R): 1.91% 0.67%
표준 편차: 6.88% 5.40%

모두 보기

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

2 기간 t 동안 DHR의 보통주에 대한 수익률.

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


분산과 공분산

Danaher Corp., 수익의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RDHR,t RS&P 500,t (RDHR,tRDHR)2 (RS&P 500,tRS&P 500)2 (RDHR,tRDHR)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -3.46% -3.89% 28.83 20.81 24.49
2. 2018. 3. 31. 0.30% -2.69% 2.61 11.26 5.42
3. 2018. 4. 30. 2.46% 0.27% 0.30 0.16 -0.22
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. 8.64% 5.38% 45.23 22.17 31.67
59. 2022. 12. 31. -2.83% -5.90% 22.51 43.08 31.14
합계 (Σ): 2,746.37 1,691.48 1,377.46
t 날짜 RDHR,t RS&P 500,t (RDHR,tRDHR)2 (RS&P 500,tRS&P 500)2 (RDHR,tRDHR)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -3.46% -3.89% 28.83 20.81 24.49
2. 2018. 3. 31. 0.30% -2.69% 2.61 11.26 5.42
3. 2018. 4. 30. 2.46% 0.27% 0.30 0.16 -0.22
4. 2018. 5. 31. -1.04% 2.16% 8.70 2.23 -4.41
5. 2018. 6. 30. -0.44% 0.48% 5.55 0.03 0.43
6. 2018. 7. 31. 3.95% 3.60% 4.16 8.62 5.99
7. 2018. 8. 31. 0.94% 3.03% 0.96 5.57 -2.31
8. 2018. 9. 30. 5.10% 0.43% 10.15 0.06 -0.76
9. 2018. 10. 31. -8.52% -6.94% 108.90 57.87 79.38
10. 2018. 11. 30. 10.20% 1.79% 68.69 1.25 9.28
11. 2018. 12. 31. -5.71% -9.18% 58.19 96.91 75.09
12. 2019. 1. 31. 7.56% 7.87% 31.93 51.87 40.69
13. 2019. 2. 28. 14.51% 2.97% 158.80 5.32 29.06
14. 2019. 3. 31. 4.07% 1.79% 4.65 1.27 2.43
15. 2019. 4. 30. 0.32% 3.93% 2.54 10.66 -5.21
16. 2019. 5. 31. -0.32% -6.58% 5.01 52.48 16.21
17. 2019. 6. 30. 8.39% 6.89% 41.99 38.77 40.35
18. 2019. 7. 31. -1.69% 1.31% 13.01 0.42 -2.33
19. 2019. 8. 31. 1.13% -1.81% 0.61 6.13 1.94
20. 2019. 9. 30. 1.77% 1.72% 0.02 1.11 -0.15
21. 2019. 10. 31. -4.58% 2.04% 42.12 1.89 -8.93
22. 2019. 11. 30. 5.92% 3.40% 16.06 7.50 10.97
23. 2019. 12. 31. 5.25% 2.86% 11.16 4.81 7.32
24. 2020. 1. 31. 4.81% -0.16% 8.42 0.69 -2.41
25. 2020. 2. 29. -10.13% -8.41% 144.95 82.40 109.29
26. 2020. 3. 31. -4.14% -12.51% 36.68 173.67 79.81
27. 2020. 4. 30. 18.10% 12.68% 261.96 144.43 194.51
28. 2020. 5. 31. 1.93% 4.53% 0.00 14.91 0.05
29. 2020. 6. 30. 6.24% 1.84% 18.74 1.37 5.07
30. 2020. 7. 31. 15.25% 5.51% 177.92 23.46 64.61
31. 2020. 8. 31. 1.31% 7.01% 0.36 40.19 -3.82
32. 2020. 9. 30. 4.38% -3.92% 6.08 21.06 -11.31
33. 2020. 10. 31. 6.60% -2.77% 21.96 11.79 -16.09
34. 2020. 11. 30. -2.14% 10.75% 16.42 101.77 -40.88
35. 2020. 12. 31. -1.03% 3.71% 8.65 9.28 -8.96
36. 2021. 1. 31. 7.07% -1.11% 26.57 3.17 -9.18
37. 2021. 2. 28. -7.64% 2.61% 91.26 3.77 -18.56
38. 2021. 3. 31. 2.56% 4.24% 0.42 12.80 2.31
39. 2021. 4. 30. 12.82% 5.24% 119.00 20.94 49.92
40. 2021. 5. 31. 0.87% 0.55% 1.10 0.01 0.12
41. 2021. 6. 30. 4.85% 2.22% 8.64 2.42 4.57
42. 2021. 7. 31. 10.85% 2.27% 79.95 2.59 14.38
43. 2021. 8. 31. 8.97% 2.90% 49.73 4.98 15.74
44. 2021. 9. 30. -6.02% -4.76% 62.92 29.42 43.02
45. 2021. 10. 31. 2.41% 6.91% 0.24 39.03 3.09
46. 2021. 11. 30. 3.17% -0.83% 1.57 2.25 -1.88
47. 2021. 12. 31. 2.36% 4.36% 0.20 13.65 1.64
48. 2022. 1. 31. -13.14% -5.26% 226.49 35.11 89.17
49. 2022. 2. 28. -3.98% -3.14% 34.75 14.46 22.42
50. 2022. 3. 31. 6.99% 3.58% 25.73 8.47 14.76
51. 2022. 4. 30. -14.39% -8.80% 265.69 89.54 154.23
52. 2022. 5. 31. 5.05% 0.01% 9.86 0.44 -2.08
53. 2022. 6. 30. -3.81% -8.39% 32.75 82.06 51.84
54. 2022. 7. 31. 14.97% 9.11% 170.46 71.32 110.26
55. 2022. 8. 31. -7.40% -4.24% 86.68 24.11 45.72
56. 2022. 9. 30. -4.21% -9.34% 37.53 100.12 61.30
57. 2022. 10. 31. -2.56% 7.99% 20.04 53.58 -32.77
58. 2022. 11. 30. 8.64% 5.38% 45.23 22.17 31.67
59. 2022. 12. 31. -2.83% -5.90% 22.51 43.08 31.14
합계 (Σ): 2,746.37 1,691.48 1,377.46

모두 보기

분산DHR = Σ(RDHR,tRDHR)2 ÷ (59 – 1)
= 2,746.37 ÷ (59 – 1)
= 47.35

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

공분산DHR, S&P 500 = Σ(RDHR,tRDHR)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,377.46 ÷ (59 – 1)
= 23.75


체계적인 위험 추정 (β)

Microsoft Excel
분산DHR 47.35
분산S&P 500 29.16
공분산DHR, S&P 500 23.75
상관 계수DHR, S&P 5001 0.64
βDHR2 0.81
αDHR3 1.37%

계산

1 상관 계수DHR, S&P 500
= 공분산DHR, S&P 500 ÷ (표준 편차DHR × 표준 편차S&P 500)
= 23.75 ÷ (6.88% × 5.40%)
= 0.64

2 βDHR
= 공분산DHR, S&P 500 ÷ 분산S&P 500
= 23.75 ÷ 29.16
= 0.81

3 αDHR
= 평균의DHR – βDHR × 평균의S&P 500
= 1.91%0.81 × 0.67%
= 1.37%


예상 수익률

Microsoft Excel
가정
LT 재무부 복합재의 수익률1 RF 3.72%
시장 포트폴리오의 예상 수익률2 E(RM) 13.71%
보통주 Danaher 의 체계적인 위험 βDHR 0.81
 
Danaher 보통주의 기대 수익률3 E(RDHR) 11.85%

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(RDHR) = RF + βDHR [E(RM) – RF]
= 3.72% + 0.81 [13.71%3.72%]
= 11.85%