자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델 (CAPM)은 Danaher의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률을 나타냅니다.
수익률
Danaher Corp., 월별 수익률
| Danaher Corp. (DHR) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DHR,t1 | 피제수DHR,t1 | RDHR,t2 | 값S&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 | 값DHR,t1 | 피제수DHR,t1 | RDHR,t2 | 값S&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
| t | 날짜 | RDHR,t | RS&P 500,t | (RDHR,t–RDHR)2 | (RS&P 500,t–RS&P 500)2 | (RDHR,t–RDHR)×(RS&P 500,t–RS&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,t–RDHR)2 | (RS&P 500,t–RS&P 500)2 | (RDHR,t–RDHR)×(RS&P 500,t–RS&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,t–RDHR)2 ÷ (59 – 1)
= 2,746.37 ÷ (59 – 1)
= 47.35
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산DHR, S&P 500 = Σ(RDHR,t–RDHR)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,377.46 ÷ (59 – 1)
= 23.75
체계적인 위험 추정 (β)
| 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
| 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).
3 E(RDHR) = RF + βDHR [E(RM) – RF]
= 3.72% + 0.81 [13.71% – 3.72%]
= 11.85%