자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Dollar General보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Dollar General Corp., 월별 수익률
| Dollar General Corp. (DG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DG,t1 | 피제수DG,t1 | RDG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $94.59 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $93.55 | -1.10% | 2,640.87 | -2.69% | |
| 2. | 2018. 4. 30. | $96.53 | $0.29 | 3.50% | 2,648.05 | 0.27% |
| 3. | 2018. 5. 31. | $87.48 | -9.38% | 2,705.27 | 2.16% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | $135.95 | 3.68% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $132.07 | $0.59 | -2.42% | 4,845.65 | 1.59% |
| 평균의 (R): | 0.83% | 0.95% | ||||
| 표준 편차: | 7.37% | 5.18% | ||||
| Dollar General Corp. (DG) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DG,t1 | 피제수DG,t1 | RDG,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $94.59 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $93.55 | -1.10% | 2,640.87 | -2.69% | |
| 2. | 2018. 4. 30. | $96.53 | $0.29 | 3.50% | 2,648.05 | 0.27% |
| 3. | 2018. 5. 31. | $87.48 | -9.38% | 2,705.27 | 2.16% | |
| 4. | 2018. 6. 30. | $98.60 | 12.71% | 2,718.37 | 0.48% | |
| 5. | 2018. 7. 31. | $98.15 | $0.29 | -0.16% | 2,816.29 | 3.60% |
| 6. | 2018. 8. 31. | $107.73 | 9.76% | 2,901.52 | 3.03% | |
| 7. | 2018. 9. 30. | $109.30 | 1.46% | 2,913.98 | 0.43% | |
| 8. | 2018. 10. 31. | $111.38 | $0.29 | 2.17% | 2,711.74 | -6.94% |
| 9. | 2018. 11. 30. | $110.99 | -0.35% | 2,760.17 | 1.79% | |
| 10. | 2018. 12. 31. | $108.08 | -2.62% | 2,506.85 | -9.18% | |
| 11. | 2019. 1. 31. | $115.43 | $0.29 | 7.07% | 2,704.10 | 7.87% |
| 12. | 2019. 2. 28. | $118.46 | 2.62% | 2,784.49 | 2.97% | |
| 13. | 2019. 3. 31. | $119.30 | 0.71% | 2,834.40 | 1.79% | |
| 14. | 2019. 4. 30. | $126.09 | $0.32 | 5.96% | 2,945.83 | 3.93% |
| 15. | 2019. 5. 31. | $127.28 | 0.94% | 2,752.06 | -6.58% | |
| 16. | 2019. 6. 30. | $135.16 | 6.19% | 2,941.76 | 6.89% | |
| 17. | 2019. 7. 31. | $134.02 | $0.32 | -0.61% | 2,980.38 | 1.31% |
| 18. | 2019. 8. 31. | $156.09 | 16.47% | 2,926.46 | -1.81% | |
| 19. | 2019. 9. 30. | $158.94 | 1.83% | 2,976.74 | 1.72% | |
| 20. | 2019. 10. 31. | $160.34 | $0.32 | 1.08% | 3,037.56 | 2.04% |
| 21. | 2019. 11. 30. | $157.36 | -1.86% | 3,140.98 | 3.40% | |
| 22. | 2019. 12. 31. | $155.98 | -0.88% | 3,230.78 | 2.86% | |
| 23. | 2020. 1. 31. | $153.41 | $0.32 | -1.44% | 3,225.52 | -0.16% |
| 24. | 2020. 2. 29. | $150.30 | -2.03% | 2,954.22 | -8.41% | |
| 25. | 2020. 3. 31. | $151.01 | 0.47% | 2,584.59 | -12.51% | |
| 26. | 2020. 4. 30. | $175.30 | $0.36 | 16.32% | 2,912.43 | 12.68% |
| 27. | 2020. 5. 31. | $191.51 | 9.25% | 3,044.31 | 4.53% | |
| 28. | 2020. 6. 30. | $190.51 | -0.52% | 3,100.29 | 1.84% | |
| 29. | 2020. 7. 31. | $190.40 | $0.36 | 0.13% | 3,271.12 | 5.51% |
| 30. | 2020. 8. 31. | $201.88 | 6.03% | 3,500.31 | 7.01% | |
| 31. | 2020. 9. 30. | $209.62 | 3.83% | 3,363.00 | -3.92% | |
| 32. | 2020. 10. 31. | $208.71 | $0.36 | -0.26% | 3,269.96 | -2.77% |
| 33. | 2020. 11. 30. | $218.58 | 4.73% | 3,621.63 | 10.75% | |
| 34. | 2020. 12. 31. | $210.30 | -3.79% | 3,756.07 | 3.71% | |
| 35. | 2021. 1. 31. | $194.61 | $0.36 | -7.29% | 3,714.24 | -1.11% |
| 36. | 2021. 2. 28. | $188.99 | -2.89% | 3,811.15 | 2.61% | |
| 37. | 2021. 3. 31. | $202.62 | 7.21% | 3,972.89 | 4.24% | |
| 38. | 2021. 4. 30. | $214.75 | $0.42 | 6.19% | 4,181.17 | 5.24% |
| 39. | 2021. 5. 31. | $202.96 | -5.49% | 4,204.11 | 0.55% | |
| 40. | 2021. 6. 30. | $216.39 | 6.62% | 4,297.50 | 2.22% | |
| 41. | 2021. 7. 31. | $232.64 | $0.42 | 7.70% | 4,395.26 | 2.27% |
| 42. | 2021. 8. 31. | $222.91 | -4.18% | 4,522.68 | 2.90% | |
| 43. | 2021. 9. 30. | $212.14 | -4.83% | 4,307.54 | -4.76% | |
| 44. | 2021. 10. 31. | $221.52 | $0.42 | 4.62% | 4,605.38 | 6.91% |
| 45. | 2021. 11. 30. | $221.30 | -0.10% | 4,567.00 | -0.83% | |
| 46. | 2021. 12. 31. | $235.83 | 6.57% | 4,766.18 | 4.36% | |
| 47. | 2022. 1. 31. | $208.48 | $0.42 | -11.42% | 4,515.55 | -5.26% |
| 48. | 2022. 2. 28. | $198.34 | -4.86% | 4,373.94 | -3.14% | |
| 49. | 2022. 3. 31. | $222.63 | 12.25% | 4,530.41 | 3.58% | |
| 50. | 2022. 4. 30. | $237.53 | $0.55 | 6.94% | 4,131.93 | -8.80% |
| 51. | 2022. 5. 31. | $220.34 | -7.24% | 4,132.15 | 0.01% | |
| 52. | 2022. 6. 30. | $245.44 | 11.39% | 3,785.38 | -8.39% | |
| 53. | 2022. 7. 31. | $248.43 | $0.55 | 1.44% | 4,130.29 | 9.11% |
| 54. | 2022. 8. 31. | $237.42 | -4.43% | 3,955.00 | -4.24% | |
| 55. | 2022. 9. 30. | $239.86 | 1.03% | 3,585.62 | -9.34% | |
| 56. | 2022. 10. 31. | $255.05 | $0.55 | 6.56% | 3,871.98 | 7.99% |
| 57. | 2022. 11. 30. | $255.68 | 0.25% | 4,080.11 | 5.38% | |
| 58. | 2022. 12. 31. | $246.25 | $0.55 | -3.47% | 3,839.50 | -5.90% |
| 59. | 2023. 1. 31. | $233.60 | -5.14% | 4,076.60 | 6.18% | |
| 60. | 2023. 2. 28. | $216.30 | -7.41% | 3,970.15 | -2.61% | |
| 61. | 2023. 3. 31. | $210.46 | -2.70% | 4,109.31 | 3.51% | |
| 62. | 2023. 4. 30. | $221.46 | $0.59 | 5.51% | 4,169.48 | 1.46% |
| 63. | 2023. 5. 31. | $201.09 | -9.20% | 4,179.83 | 0.25% | |
| 64. | 2023. 6. 30. | $169.78 | -15.57% | 4,376.86 | 4.71% | |
| 65. | 2023. 7. 31. | $168.86 | $0.59 | -0.19% | 4,588.96 | 4.85% |
| 66. | 2023. 8. 31. | $138.50 | -17.98% | 4,507.66 | -1.77% | |
| 67. | 2023. 9. 30. | $105.80 | -23.61% | 4,288.05 | -4.87% | |
| 68. | 2023. 10. 31. | $119.04 | $0.59 | 13.07% | 4,193.80 | -2.20% |
| 69. | 2023. 11. 30. | $131.12 | 10.15% | 4,567.80 | 8.92% | |
| 70. | 2023. 12. 31. | $135.95 | 3.68% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $132.07 | $0.59 | -2.42% | 4,845.65 | 1.59% |
| 평균의 (R): | 0.83% | 0.95% | ||||
| 표준 편차: | 7.37% | 5.18% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 DG의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Dollar General Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RDG,t | RS&P 500,t | (RDG,t–RDG)2 | (RS&P 500,t–RS&P 500)2 | (RDG,t–RDG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -1.10% | -2.69% | 3.73 | 13.26 | 7.03 |
| 2. | 2018. 4. 30. | 3.50% | 0.27% | 7.10 | 0.46 | -1.81 |
| 3. | 2018. 5. 31. | -9.38% | 2.16% | 104.17 | 1.46 | -12.33 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | 3.68% | 4.42% | 8.14 | 12.04 | 9.90 |
| 71. | 2024. 1. 31. | -2.42% | 1.59% | 10.57 | 0.41 | -2.07 |
| 합계 (Σ): | 3,804.50 | 1,876.53 | 740.94 | |||
| t | 날짜 | RDG,t | RS&P 500,t | (RDG,t–RDG)2 | (RS&P 500,t–RS&P 500)2 | (RDG,t–RDG)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -1.10% | -2.69% | 3.73 | 13.26 | 7.03 |
| 2. | 2018. 4. 30. | 3.50% | 0.27% | 7.10 | 0.46 | -1.81 |
| 3. | 2018. 5. 31. | -9.38% | 2.16% | 104.17 | 1.46 | -12.33 |
| 4. | 2018. 6. 30. | 12.71% | 0.48% | 141.15 | 0.22 | -5.57 |
| 5. | 2018. 7. 31. | -0.16% | 3.60% | 0.99 | 7.02 | -2.63 |
| 6. | 2018. 8. 31. | 9.76% | 3.03% | 79.74 | 4.30 | 18.51 |
| 7. | 2018. 9. 30. | 1.46% | 0.43% | 0.39 | 0.27 | -0.33 |
| 8. | 2018. 10. 31. | 2.17% | -6.94% | 1.79 | 62.30 | -10.56 |
| 9. | 2018. 11. 30. | -0.35% | 1.79% | 1.40 | 0.69 | -0.98 |
| 10. | 2018. 12. 31. | -2.62% | -9.18% | 11.92 | 102.63 | 34.98 |
| 11. | 2019. 1. 31. | 7.07% | 7.87% | 38.91 | 47.82 | 43.14 |
| 12. | 2019. 2. 28. | 2.62% | 2.97% | 3.22 | 4.08 | 3.62 |
| 13. | 2019. 3. 31. | 0.71% | 1.79% | 0.01 | 0.70 | -0.10 |
| 14. | 2019. 4. 30. | 5.96% | 3.93% | 26.30 | 8.87 | 15.28 |
| 15. | 2019. 5. 31. | 0.94% | -6.58% | 0.01 | 56.71 | -0.85 |
| 16. | 2019. 6. 30. | 6.19% | 6.89% | 28.73 | 35.28 | 31.84 |
| 17. | 2019. 7. 31. | -0.61% | 1.31% | 2.07 | 0.13 | -0.52 |
| 18. | 2019. 8. 31. | 16.47% | -1.81% | 244.51 | 7.63 | -43.19 |
| 19. | 2019. 9. 30. | 1.83% | 1.72% | 0.99 | 0.59 | 0.76 |
| 20. | 2019. 10. 31. | 1.08% | 2.04% | 0.06 | 1.19 | 0.27 |
| 21. | 2019. 11. 30. | -1.86% | 3.40% | 7.23 | 6.01 | -6.59 |
| 22. | 2019. 12. 31. | -0.88% | 2.86% | 2.92 | 3.63 | -3.26 |
| 23. | 2020. 1. 31. | -1.44% | -0.16% | 5.17 | 1.24 | 2.54 |
| 24. | 2020. 2. 29. | -2.03% | -8.41% | 8.17 | 87.68 | 26.76 |
| 25. | 2020. 3. 31. | 0.47% | -12.51% | 0.13 | 181.30 | 4.83 |
| 26. | 2020. 4. 30. | 16.32% | 12.68% | 240.02 | 137.63 | 181.75 |
| 27. | 2020. 5. 31. | 9.25% | 4.53% | 70.83 | 12.78 | 30.09 |
| 28. | 2020. 6. 30. | -0.52% | 1.84% | 1.83 | 0.78 | -1.20 |
| 29. | 2020. 7. 31. | 0.13% | 5.51% | 0.49 | 20.77 | -3.19 |
| 30. | 2020. 8. 31. | 6.03% | 7.01% | 27.02 | 36.65 | 31.47 |
| 31. | 2020. 9. 30. | 3.83% | -3.92% | 9.02 | 23.77 | -14.64 |
| 32. | 2020. 10. 31. | -0.26% | -2.77% | 1.20 | 13.83 | 4.07 |
| 33. | 2020. 11. 30. | 4.73% | 10.75% | 15.20 | 96.07 | 38.21 |
| 34. | 2020. 12. 31. | -3.79% | 3.71% | 21.34 | 7.61 | -12.74 |
| 35. | 2021. 1. 31. | -7.29% | -1.11% | 65.94 | 4.27 | 16.78 |
| 36. | 2021. 2. 28. | -2.89% | 2.61% | 13.83 | 2.74 | -6.16 |
| 37. | 2021. 3. 31. | 7.21% | 4.24% | 40.72 | 10.83 | 21.00 |
| 38. | 2021. 4. 30. | 6.19% | 5.24% | 28.76 | 18.40 | 23.00 |
| 39. | 2021. 5. 31. | -5.49% | 0.55% | 39.96 | 0.16 | 2.56 |
| 40. | 2021. 6. 30. | 6.62% | 2.22% | 33.48 | 1.61 | 7.34 |
| 41. | 2021. 7. 31. | 7.70% | 2.27% | 47.23 | 1.75 | 9.08 |
| 42. | 2021. 8. 31. | -4.18% | 2.90% | 25.13 | 3.79 | -9.76 |
| 43. | 2021. 9. 30. | -4.83% | -4.76% | 32.06 | 32.60 | 32.33 |
| 44. | 2021. 10. 31. | 4.62% | 6.91% | 14.35 | 35.54 | 22.59 |
| 45. | 2021. 11. 30. | -0.10% | -0.83% | 0.87 | 3.19 | 1.66 |
| 46. | 2021. 12. 31. | 6.57% | 4.36% | 32.89 | 11.62 | 19.55 |
| 47. | 2022. 1. 31. | -11.42% | -5.26% | 150.07 | 38.58 | 76.09 |
| 48. | 2022. 2. 28. | -4.86% | -3.14% | 32.43 | 16.72 | 23.29 |
| 49. | 2022. 3. 31. | 12.25% | 3.58% | 130.32 | 6.89 | 29.96 |
| 50. | 2022. 4. 30. | 6.94% | -8.80% | 37.32 | 95.04 | -59.55 |
| 51. | 2022. 5. 31. | -7.24% | 0.01% | 65.09 | 0.90 | 7.65 |
| 52. | 2022. 6. 30. | 11.39% | -8.39% | 111.52 | 87.33 | -98.69 |
| 53. | 2022. 7. 31. | 1.44% | 9.11% | 0.37 | 66.56 | 4.99 |
| 54. | 2022. 8. 31. | -4.43% | -4.24% | 27.70 | 27.01 | 27.35 |
| 55. | 2022. 9. 30. | 1.03% | -9.34% | 0.04 | 105.94 | -2.03 |
| 56. | 2022. 10. 31. | 6.56% | 7.99% | 32.85 | 49.47 | 40.31 |
| 57. | 2022. 11. 30. | 0.25% | 5.38% | 0.34 | 19.56 | -2.58 |
| 58. | 2022. 12. 31. | -3.47% | -5.90% | 18.52 | 46.92 | 29.48 |
| 59. | 2023. 1. 31. | -5.14% | 6.18% | 35.62 | 27.27 | -31.17 |
| 60. | 2023. 2. 28. | -7.41% | -2.61% | 67.84 | 12.70 | 29.36 |
| 61. | 2023. 3. 31. | -2.70% | 3.51% | 12.47 | 6.51 | -9.01 |
| 62. | 2023. 4. 30. | 5.51% | 1.46% | 21.87 | 0.26 | 2.39 |
| 63. | 2023. 5. 31. | -9.20% | 0.25% | 100.58 | 0.50 | 7.07 |
| 64. | 2023. 6. 30. | -15.57% | 4.71% | 269.00 | 14.14 | -61.68 |
| 65. | 2023. 7. 31. | -0.19% | 4.85% | 1.05 | 15.16 | -3.99 |
| 66. | 2023. 8. 31. | -17.98% | -1.77% | 353.83 | 7.42 | 51.25 |
| 67. | 2023. 9. 30. | -23.61% | -4.87% | 597.37 | 33.93 | 142.37 |
| 68. | 2023. 10. 31. | 13.07% | -2.20% | 149.84 | 9.93 | -38.57 |
| 69. | 2023. 11. 30. | 10.15% | 8.92% | 86.80 | 63.44 | 74.21 |
| 70. | 2023. 12. 31. | 3.68% | 4.42% | 8.14 | 12.04 | 9.90 |
| 71. | 2024. 1. 31. | -2.42% | 1.59% | 10.57 | 0.41 | -2.07 |
| 합계 (Σ): | 3,804.50 | 1,876.53 | 740.94 | |||
모두 보기
분산DG = Σ(RDG,t–RDG)2 ÷ (71 – 1)
= 3,804.50 ÷ (71 – 1)
= 54.35
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
공분산DG, S&P 500 = Σ(RDG,t–RDG)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 740.94 ÷ (71 – 1)
= 10.58
체계적인 위험 추정 (β)
| 분산DG | 54.35 |
| 분산S&P 500 | 26.81 |
| 공분산DG, S&P 500 | 10.58 |
| 상관 계수DG, S&P 5001 | 0.28 |
| βDG2 | 0.39 |
| αDG3 | 0.45% |
계산
1 상관 계수DG, S&P 500
= 공분산DG, S&P 500 ÷ (표준 편차DG × 표준 편차S&P 500)
= 10.58 ÷ (7.37% × 5.18%)
= 0.28
2 βDG
= 공분산DG, S&P 500 ÷ 분산S&P 500
= 10.58 ÷ 26.81
= 0.39
3 αDG
= 평균의DG – βDG × 평균의S&P 500
= 0.83% – 0.39 × 0.95%
= 0.45%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.60% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Dollar General | βDG | 0.39 |
| Dollar General 보통주의 예상 수익률3 | E(RDG) | 8.66% |
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(RDG) = RF + βDG [E(RM) – RF]
= 4.60% + 0.39 [14.89% – 4.60%]
= 8.66%