Stock Analysis on Net
Stock Analysis on Net

EMC Corp. (NYSE:EMC)

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자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 EMC보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.

수익률

EMC Corp., 월별 수익률

Microsoft Excel
EMC Corp. (EMC) Standard & Poor’s 500 (S&P 500)
t 날짜 값EMC,t1 피제수EMC,t1 REMC,t2 값S&P 500,t RS&P 500,t3
2011. 1. 31. $24.89 1,286.12
1. 2011. 2. 28. $27.21 9.32% 1,327.22 3.20%
2. 2011. 3. 31. $26.56 -2.39% 1,325.83 -0.10%
3. 2011. 4. 30. $28.34 6.70% 1,363.61 2.85%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2015. 11. 30. $25.34 -3.36% 2,080.41 0.05%
59. 2015. 12. 31. $25.68 $0.115 1.80% 2,043.94 -1.75%
평균의 (R): 0.39% 0.84%
표준 편차: 7.26% 3.40%
EMC Corp. (EMC) Standard & Poor’s 500 (S&P 500)
t 날짜 값EMC,t1 피제수EMC,t1 REMC,t2 값S&P 500,t RS&P 500,t3
2011. 1. 31. $24.89 1,286.12
1. 2011. 2. 28. $27.21 9.32% 1,327.22 3.20%
2. 2011. 3. 31. $26.56 -2.39% 1,325.83 -0.10%
3. 2011. 4. 30. $28.34 6.70% 1,363.61 2.85%
4. 2011. 5. 31. $28.47 0.46% 1,345.20 -1.35%
5. 2011. 6. 30. $27.55 -3.23% 1,320.64 -1.83%
6. 2011. 7. 31. $26.08 -5.34% 1,292.28 -2.15%
7. 2011. 8. 31. $22.59 -13.38% 1,218.89 -5.68%
8. 2011. 9. 30. $20.99 -7.08% 1,131.42 -7.18%
9. 2011. 10. 31. $24.51 16.77% 1,253.30 10.77%
10. 2011. 11. 30. $23.01 -6.12% 1,246.96 -0.51%
11. 2011. 12. 31. $21.54 -6.39% 1,257.60 0.85%
12. 2012. 1. 31. $25.76 19.59% 1,312.41 4.36%
13. 2012. 2. 29. $27.69 7.49% 1,365.68 4.06%
14. 2012. 3. 31. $29.88 7.91% 1,408.47 3.13%
15. 2012. 4. 30. $28.21 -5.59% 1,397.91 -0.75%
16. 2012. 5. 31. $23.85 -15.46% 1,310.33 -6.27%
17. 2012. 6. 30. $25.63 7.46% 1,362.16 3.96%
18. 2012. 7. 31. $26.21 2.26% 1,379.32 1.26%
19. 2012. 8. 31. $26.29 0.31% 1,406.58 1.98%
20. 2012. 9. 30. $27.27 3.73% 1,440.67 2.42%
21. 2012. 10. 31. $24.42 -10.45% 1,412.16 -1.98%
22. 2012. 11. 30. $24.82 1.64% 1,416.18 0.28%
23. 2012. 12. 31. $25.30 1.93% 1,426.19 0.71%
24. 2013. 1. 31. $24.61 -2.73% 1,498.11 5.04%
25. 2013. 2. 28. $23.01 -6.50% 1,514.68 1.11%
26. 2013. 3. 31. $23.89 3.82% 1,569.19 3.60%
27. 2013. 4. 30. $22.43 -6.11% 1,597.57 1.81%
28. 2013. 5. 31. $24.76 10.39% 1,630.74 2.08%
29. 2013. 6. 30. $23.62 $0.10 -4.20% 1,606.28 -1.50%
30. 2013. 7. 31. $26.15 10.71% 1,685.73 4.95%
31. 2013. 8. 31. $25.78 -1.41% 1,632.97 -3.13%
32. 2013. 9. 30. $25.56 $0.10 -0.47% 1,681.55 2.97%
33. 2013. 10. 31. $24.07 -5.83% 1,756.54 4.46%
34. 2013. 11. 30. $23.85 -0.91% 1,805.81 2.80%
35. 2013. 12. 31. $25.15 5.45% 1,848.36 2.36%
36. 2014. 1. 31. $24.24 $0.10 -3.22% 1,782.59 -3.56%
37. 2014. 2. 28. $26.37 8.79% 1,859.45 4.31%
38. 2014. 3. 31. $27.41 $0.10 4.32% 1,872.34 0.69%
39. 2014. 4. 30. $25.80 -5.87% 1,883.95 0.62%
40. 2014. 5. 31. $26.56 2.95% 1,923.57 2.10%
41. 2014. 6. 30. $26.34 $0.115 -0.40% 1,960.23 1.91%
42. 2014. 7. 31. $29.30 11.24% 1,930.67 -1.51%
43. 2014. 8. 31. $29.53 0.78% 2,003.37 3.77%
44. 2014. 9. 30. $29.26 $0.115 -0.52% 1,972.29 -1.55%
45. 2014. 10. 31. $28.73 -1.81% 2,018.05 2.32%
46. 2014. 11. 30. $30.35 5.64% 2,067.56 2.45%
47. 2014. 12. 31. $29.74 $0.115 -1.63% 2,058.90 -0.42%
48. 2015. 1. 31. $25.93 -12.81% 1,994.99 -3.10%
49. 2015. 2. 28. $28.94 11.61% 2,104.50 5.49%
50. 2015. 3. 31. $25.56 $0.115 -11.28% 2,067.89 -1.74%
51. 2015. 4. 30. $26.91 5.28% 2,085.51 0.85%
52. 2015. 5. 31. $26.34 -2.12% 2,107.39 1.05%
53. 2015. 6. 30. $26.39 $0.115 0.63% 2,063.11 -2.10%
54. 2015. 7. 31. $26.89 1.89% 2,103.84 1.97%
55. 2015. 8. 31. $24.87 -7.51% 1,972.18 -6.26%
56. 2015. 9. 30. $24.16 $0.115 -2.39% 1,920.03 -2.64%
57. 2015. 10. 31. $26.22 8.53% 2,079.36 8.30%
58. 2015. 11. 30. $25.34 -3.36% 2,080.41 0.05%
59. 2015. 12. 31. $25.68 $0.115 1.80% 2,043.94 -1.75%
평균의 (R): 0.39% 0.84%
표준 편차: 7.26% 3.40%

모두 보기

1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.

2 t기간 동안 EMC의 보통주 수익률

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.

분산과 공분산

EMC Corp., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 REMC,t RS&P 500,t (REMC,t–REMC)2 (RS&P 500,t–RS&P 500)2 (REMC,t–REMC)×(RS&P 500,t–RS&P 500)
1. 2011. 2. 28. 9.32% 3.20% 79.80 5.53 21.00
2. 2011. 3. 31. -2.39% -0.10% 7.71 0.90 2.64
3. 2011. 4. 30. 6.70% 2.85% 39.87 4.02 12.66
. . . . . . .
. . . . . . .
. . . . . . .
58. 2015. 11. 30. -3.36% 0.05% 14.02 0.63 2.97
59. 2015. 12. 31. 1.80% -1.75% 1.98 6.75 -3.66
합계 (Σ): 3,054.66 670.89 1,007.60
t 날짜 REMC,t RS&P 500,t (REMC,t–REMC)2 (RS&P 500,t–RS&P 500)2 (REMC,t–REMC)×(RS&P 500,t–RS&P 500)
1. 2011. 2. 28. 9.32% 3.20% 79.80 5.53 21.00
2. 2011. 3. 31. -2.39% -0.10% 7.71 0.90 2.64
3. 2011. 4. 30. 6.70% 2.85% 39.87 4.02 12.66
4. 2011. 5. 31. 0.46% -1.35% 0.01 4.82 -0.16
5. 2011. 6. 30. -3.23% -1.83% 13.10 7.13 9.67
6. 2011. 7. 31. -5.34% -2.15% 32.76 8.95 17.13
7. 2011. 8. 31. -13.38% -5.68% 189.61 42.56 89.83
8. 2011. 9. 30. -7.08% -7.18% 55.81 64.34 59.92
9. 2011. 10. 31. 16.77% 10.77% 268.37 98.56 162.63
10. 2011. 11. 30. -6.12% -0.51% 42.35 1.82 8.79
11. 2011. 12. 31. -6.39% 0.85% 45.92 0.00 -0.06
12. 2012. 1. 31. 19.59% 4.36% 368.78 12.35 67.47
13. 2012. 2. 29. 7.49% 4.06% 50.47 10.33 22.84
14. 2012. 3. 31. 7.91% 3.13% 56.57 5.24 17.21
15. 2012. 4. 30. -5.59% -0.75% 35.72 2.54 9.53
16. 2012. 5. 31. -15.46% -6.27% 251.01 50.55 112.64
17. 2012. 6. 30. 7.46% 3.96% 50.06 9.68 22.01
18. 2012. 7. 31. 2.26% 1.26% 3.52 0.17 0.78
19. 2012. 8. 31. 0.31% 1.98% 0.01 1.28 -0.09
20. 2012. 9. 30. 3.73% 2.42% 11.15 2.49 5.27
21. 2012. 10. 31. -10.45% -1.98% 117.48 7.97 30.61
22. 2012. 11. 30. 1.64% 0.28% 1.56 0.31 -0.70
23. 2012. 12. 31. 1.93% 0.71% 2.39 0.02 -0.21
24. 2013. 1. 31. -2.73% 5.04% 9.70 17.62 -13.08
25. 2013. 2. 28. -6.50% 1.11% 47.46 0.07 -1.80
26. 2013. 3. 31. 3.82% 3.60% 11.81 7.58 9.46
27. 2013. 4. 30. -6.11% 1.81% 42.24 0.93 -6.26
28. 2013. 5. 31. 10.39% 2.08% 100.00 1.52 12.32
29. 2013. 6. 30. -4.20% -1.50% 21.05 5.50 10.76
30. 2013. 7. 31. 10.71% 4.95% 106.57 16.82 42.34
31. 2013. 8. 31. -1.41% -3.13% 3.25 15.80 7.17
32. 2013. 9. 30. -0.47% 2.97% 0.73 4.54 -1.82
33. 2013. 10. 31. -5.83% 4.46% 38.65 13.07 -22.47
34. 2013. 11. 30. -0.91% 2.80% 1.69 3.84 -2.55
35. 2013. 12. 31. 5.45% 2.36% 25.63 2.28 7.65
36. 2014. 1. 31. -3.22% -3.56% 13.02 19.39 15.89
37. 2014. 2. 28. 8.79% 4.31% 70.55 12.02 29.12
38. 2014. 3. 31. 4.32% 0.69% 15.49 0.02 -0.60
39. 2014. 4. 30. -5.87% 0.62% 39.21 0.05 1.41
40. 2014. 5. 31. 2.95% 2.10% 6.54 1.58 3.22
41. 2014. 6. 30. -0.40% 1.91% 0.61 1.13 -0.83
42. 2014. 7. 31. 11.24% -1.51% 117.72 5.54 -25.53
43. 2014. 8. 31. 0.78% 3.77% 0.16 8.53 1.16
44. 2014. 9. 30. -0.52% -1.55% 0.83 5.74 2.19
45. 2014. 10. 31. -1.81% 2.32% 4.84 2.18 -3.24
46. 2014. 11. 30. 5.64% 2.45% 27.57 2.59 8.45
47. 2014. 12. 31. -1.63% -0.42% 4.08 1.60 2.55
48. 2015. 1. 31. -12.81% -3.10% 174.21 15.59 52.12
49. 2015. 2. 28. 11.61% 5.49% 125.90 21.57 52.11
50. 2015. 3. 31. -11.28% -1.74% 136.18 6.68 30.16
51. 2015. 4. 30. 5.28% 0.85% 23.95 0.00 0.04
52. 2015. 5. 31. -2.12% 1.05% 6.28 0.04 -0.51
53. 2015. 6. 30. 0.63% -2.10% 0.06 8.68 -0.70
54. 2015. 7. 31. 1.89% 1.97% 2.27 1.28 1.70
55. 2015. 8. 31. -7.51% -6.26% 62.41 50.45 56.11
56. 2015. 9. 30. -2.39% -2.64% 7.73 12.17 9.70
57. 2015. 10. 31. 8.53% 8.30% 66.24 55.56 60.66
58. 2015. 11. 30. -3.36% 0.05% 14.02 0.63 2.97
59. 2015. 12. 31. 1.80% -1.75% 1.98 6.75 -3.66
합계 (Σ): 3,054.66 670.89 1,007.60

모두 보기

분산EMC = Σ(REMC,t–REMC)2 ÷ (59 – 1)
= 3,054.66 ÷ (59 – 1)
= 52.67

분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 670.89 ÷ (59 – 1)
= 11.57

공분산EMC, S&P 500 = Σ(REMC,t–REMC)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,007.60 ÷ (59 – 1)
= 17.37

체계적인 위험 추정 (β)

Microsoft Excel
분산EMC 52.67
분산S&P 500 11.57
공분산EMC, S&P 500 17.37
상관 계수EMC, S&P 5001 0.70
βEMC2 1.50
αEMC3 -0.88%

계산

1 상관 계수EMC, S&P 500
= 공분산EMC, S&P 500 ÷ (표준 편차EMC × 표준 편차S&P 500)
= 17.37 ÷ (7.26% × 3.40%)
= 0.70

2 βEMC
= 공분산EMC, S&P 500 ÷ 분산S&P 500
= 17.37 ÷ 11.57
= 1.50

3 αEMC
= 평균의EMC – βEMC × 평균의S&P 500
= 0.39% – 1.50 × 0.84%
= -0.88%

기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.54%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 17.37%
보통주의 체계적 위험EMC βEMC 1.50
 
EMC 보통주에 대한 예상 수익률3 E(REMC) 23.80%

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(REMC) = RF + βEMC [E(RM) – RF]
= 4.54% + 1.50 [17.37% – 4.54%]
= 23.80%