자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다 EQT.
수익률
EQT Corp., 월별 수익률
| EQT Corp. (EQT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EQT,t1 | 피제수EQT,t1 | REQT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $60.63 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $59.89 | $0.03 | -1.17% | 2,363.64 | 3.72% |
| 2. | 2017. 3. 31. | $61.10 | 2.02% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $58.14 | -4.84% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | $19.43 | -2.41% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $21.81 | 12.25% | 4,766.18 | 4.36% | |
| 평균의 (R): | 0.82% | 1.36% | ||||
| 표준 편차: | 18.95% | 4.48% | ||||
| EQT Corp. (EQT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EQT,t1 | 피제수EQT,t1 | REQT,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $60.63 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $59.89 | $0.03 | -1.17% | 2,363.64 | 3.72% |
| 2. | 2017. 3. 31. | $61.10 | 2.02% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $58.14 | -4.84% | 2,384.20 | 0.91% | |
| 4. | 2017. 5. 31. | $55.27 | $0.03 | -4.88% | 2,411.80 | 1.16% |
| 5. | 2017. 6. 30. | $58.59 | 6.01% | 2,423.41 | 0.48% | |
| 6. | 2017. 7. 31. | $63.70 | 8.72% | 2,470.30 | 1.93% | |
| 7. | 2017. 8. 31. | $62.34 | $0.03 | -2.09% | 2,471.65 | 0.05% |
| 8. | 2017. 9. 30. | $65.24 | 4.65% | 2,519.36 | 1.93% | |
| 9. | 2017. 10. 31. | $62.54 | -4.14% | 2,575.26 | 2.22% | |
| 10. | 2017. 11. 30. | $59.60 | $0.03 | -4.65% | 2,647.58 | 2.81% |
| 11. | 2017. 12. 31. | $56.92 | -4.50% | 2,673.61 | 0.98% | |
| 12. | 2018. 1. 31. | $54.29 | -4.62% | 2,823.81 | 5.62% | |
| 13. | 2018. 2. 28. | $50.31 | $0.03 | -7.28% | 2,713.83 | -3.89% |
| 14. | 2018. 3. 31. | $47.51 | -5.57% | 2,640.87 | -2.69% | |
| 15. | 2018. 4. 30. | $50.19 | 5.64% | 2,648.05 | 0.27% | |
| 16. | 2018. 5. 31. | $51.54 | $0.03 | 2.75% | 2,705.27 | 2.16% |
| 17. | 2018. 6. 30. | $55.18 | 7.06% | 2,718.37 | 0.48% | |
| 18. | 2018. 7. 31. | $49.68 | -9.97% | 2,816.29 | 3.60% | |
| 19. | 2018. 8. 31. | $51.02 | $0.03 | 2.76% | 2,901.52 | 3.03% |
| 20. | 2018. 9. 30. | $44.23 | -13.31% | 2,913.98 | 0.43% | |
| 21. | 2018. 10. 31. | $33.97 | -23.20% | 2,711.74 | -6.94% | |
| 22. | 2018. 11. 30. | $18.71 | $15.91 | 1.91% | 2,760.17 | 1.79% |
| 23. | 2018. 12. 31. | $18.89 | 0.96% | 2,506.85 | -9.18% | |
| 24. | 2019. 1. 31. | $19.47 | 3.07% | 2,704.10 | 7.87% | |
| 25. | 2019. 2. 28. | $18.12 | $0.03 | -6.78% | 2,784.49 | 2.97% |
| 26. | 2019. 3. 31. | $20.74 | 14.46% | 2,834.40 | 1.79% | |
| 27. | 2019. 4. 30. | $20.45 | -1.40% | 2,945.83 | 3.93% | |
| 28. | 2019. 5. 31. | $18.30 | $0.03 | -10.37% | 2,752.06 | -6.58% |
| 29. | 2019. 6. 30. | $15.81 | -13.61% | 2,941.76 | 6.89% | |
| 30. | 2019. 7. 31. | $15.11 | -4.43% | 2,980.38 | 1.31% | |
| 31. | 2019. 8. 31. | $10.17 | $0.03 | -32.50% | 2,926.46 | -1.81% |
| 32. | 2019. 9. 30. | $10.64 | 4.62% | 2,976.74 | 1.72% | |
| 33. | 2019. 10. 31. | $10.74 | 0.94% | 3,037.56 | 2.04% | |
| 34. | 2019. 11. 30. | $8.73 | $0.03 | -18.44% | 3,140.98 | 3.40% |
| 35. | 2019. 12. 31. | $10.90 | 24.86% | 3,230.78 | 2.86% | |
| 36. | 2020. 1. 31. | $6.05 | -44.50% | 3,225.52 | -0.16% | |
| 37. | 2020. 2. 29. | $5.87 | $0.03 | -2.48% | 2,954.22 | -8.41% |
| 38. | 2020. 3. 31. | $7.07 | 20.44% | 2,584.59 | -12.51% | |
| 39. | 2020. 4. 30. | $14.59 | 106.36% | 2,912.43 | 12.68% | |
| 40. | 2020. 5. 31. | $13.34 | -8.57% | 3,044.31 | 4.53% | |
| 41. | 2020. 6. 30. | $11.90 | -10.79% | 3,100.29 | 1.84% | |
| 42. | 2020. 7. 31. | $14.52 | 22.02% | 3,271.12 | 5.51% | |
| 43. | 2020. 8. 31. | $15.87 | 9.30% | 3,500.31 | 7.01% | |
| 44. | 2020. 9. 30. | $12.93 | -18.53% | 3,363.00 | -3.92% | |
| 45. | 2020. 10. 31. | $15.14 | 17.09% | 3,269.96 | -2.77% | |
| 46. | 2020. 11. 30. | $14.88 | -1.72% | 3,621.63 | 10.75% | |
| 47. | 2020. 12. 31. | $12.71 | -14.58% | 3,756.07 | 3.71% | |
| 48. | 2021. 1. 31. | $16.31 | 28.32% | 3,714.24 | -1.11% | |
| 49. | 2021. 2. 28. | $17.79 | 9.07% | 3,811.15 | 2.61% | |
| 50. | 2021. 3. 31. | $18.58 | 4.44% | 3,972.89 | 4.24% | |
| 51. | 2021. 4. 30. | $19.10 | 2.80% | 4,181.17 | 5.24% | |
| 52. | 2021. 5. 31. | $20.88 | 9.32% | 4,204.11 | 0.55% | |
| 53. | 2021. 6. 30. | $22.26 | 6.61% | 4,297.50 | 2.22% | |
| 54. | 2021. 7. 31. | $18.39 | -17.39% | 4,395.26 | 2.27% | |
| 55. | 2021. 8. 31. | $18.33 | -0.33% | 4,522.68 | 2.90% | |
| 56. | 2021. 9. 30. | $20.46 | 11.62% | 4,307.54 | -4.76% | |
| 57. | 2021. 10. 31. | $19.91 | -2.69% | 4,605.38 | 6.91% | |
| 58. | 2021. 11. 30. | $19.43 | -2.41% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $21.81 | 12.25% | 4,766.18 | 4.36% | |
| 평균의 (R): | 0.82% | 1.36% | ||||
| 표준 편차: | 18.95% | 4.48% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 EQT의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
EQT Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | REQT,t | RS&P 500,t | (REQT,t–REQT)2 | (RS&P 500,t–RS&P 500)2 | (REQT,t–REQT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -1.17% | 3.72% | 3.96 | 5.58 | -4.70 |
| 2. | 2017. 3. 31. | 2.02% | -0.04% | 1.44 | 1.95 | -1.68 |
| 3. | 2017. 4. 30. | -4.84% | 0.91% | 32.09 | 0.20 | 2.54 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | -2.41% | -0.83% | 10.44 | 4.80 | 7.08 |
| 59. | 2021. 12. 31. | 12.25% | 4.36% | 130.62 | 9.02 | 34.33 |
| 합계 (Σ): | 20,818.66 | 1,164.17 | 1,330.87 | |||
| t | 날짜 | REQT,t | RS&P 500,t | (REQT,t–REQT)2 | (RS&P 500,t–RS&P 500)2 | (REQT,t–REQT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -1.17% | 3.72% | 3.96 | 5.58 | -4.70 |
| 2. | 2017. 3. 31. | 2.02% | -0.04% | 1.44 | 1.95 | -1.68 |
| 3. | 2017. 4. 30. | -4.84% | 0.91% | 32.09 | 0.20 | 2.54 |
| 4. | 2017. 5. 31. | -4.88% | 1.16% | 32.55 | 0.04 | 1.14 |
| 5. | 2017. 6. 30. | 6.01% | 0.48% | 26.90 | 0.77 | -4.55 |
| 6. | 2017. 7. 31. | 8.72% | 1.93% | 62.43 | 0.33 | 4.56 |
| 7. | 2017. 8. 31. | -2.09% | 0.05% | 8.46 | 1.70 | 3.79 |
| 8. | 2017. 9. 30. | 4.65% | 1.93% | 14.68 | 0.33 | 2.19 |
| 9. | 2017. 10. 31. | -4.14% | 2.22% | 24.59 | 0.74 | -4.27 |
| 10. | 2017. 11. 30. | -4.65% | 2.81% | 29.96 | 2.10 | -7.94 |
| 11. | 2017. 12. 31. | -4.50% | 0.98% | 28.27 | 0.14 | 1.99 |
| 12. | 2018. 1. 31. | -4.62% | 5.62% | 29.60 | 18.15 | -23.18 |
| 13. | 2018. 2. 28. | -7.28% | -3.89% | 65.54 | 27.59 | 42.52 |
| 14. | 2018. 3. 31. | -5.57% | -2.69% | 40.78 | 16.37 | 25.84 |
| 15. | 2018. 4. 30. | 5.64% | 0.27% | 23.24 | 1.18 | -5.24 |
| 16. | 2018. 5. 31. | 2.75% | 2.16% | 3.72 | 0.64 | 1.55 |
| 17. | 2018. 6. 30. | 7.06% | 0.48% | 38.97 | 0.76 | -5.45 |
| 18. | 2018. 7. 31. | -9.97% | 3.60% | 116.37 | 5.04 | -24.21 |
| 19. | 2018. 8. 31. | 2.76% | 3.03% | 3.75 | 2.78 | 3.23 |
| 20. | 2018. 9. 30. | -13.31% | 0.43% | 199.62 | 0.86 | 13.12 |
| 21. | 2018. 10. 31. | -23.20% | -6.94% | 576.82 | 68.86 | 199.30 |
| 22. | 2018. 11. 30. | 1.91% | 1.79% | 1.20 | 0.18 | 0.47 |
| 23. | 2018. 12. 31. | 0.96% | -9.18% | 0.02 | 111.00 | -1.49 |
| 24. | 2019. 1. 31. | 3.07% | 7.87% | 5.06 | 42.39 | 14.65 |
| 25. | 2019. 2. 28. | -6.78% | 2.97% | 57.76 | 2.61 | -12.27 |
| 26. | 2019. 3. 31. | 14.46% | 1.79% | 186.02 | 0.19 | 5.93 |
| 27. | 2019. 4. 30. | -1.40% | 3.93% | 4.92 | 6.62 | -5.71 |
| 28. | 2019. 5. 31. | -10.37% | -6.58% | 125.15 | 62.97 | 88.78 |
| 29. | 2019. 6. 30. | -13.61% | 6.89% | 208.13 | 30.64 | -79.85 |
| 30. | 2019. 7. 31. | -4.43% | 1.31% | 27.54 | 0.00 | 0.24 |
| 31. | 2019. 8. 31. | -32.50% | -1.81% | 1,109.90 | 10.03 | 105.51 |
| 32. | 2019. 9. 30. | 4.62% | 1.72% | 14.45 | 0.13 | 1.37 |
| 33. | 2019. 10. 31. | 0.94% | 2.04% | 0.01 | 0.47 | 0.08 |
| 34. | 2019. 11. 30. | -18.44% | 3.40% | 370.79 | 4.19 | -39.41 |
| 35. | 2019. 12. 31. | 24.86% | 2.86% | 577.76 | 2.25 | 36.08 |
| 36. | 2020. 1. 31. | -44.50% | -0.16% | 2,053.50 | 2.31 | 68.91 |
| 37. | 2020. 2. 29. | -2.48% | -8.41% | 10.89 | 95.43 | 32.23 |
| 38. | 2020. 3. 31. | 20.44% | -12.51% | 385.05 | 192.37 | -272.16 |
| 39. | 2020. 4. 30. | 106.36% | 12.68% | 11,139.69 | 128.29 | 1,195.45 |
| 40. | 2020. 5. 31. | -8.57% | 4.53% | 88.13 | 10.05 | -29.76 |
| 41. | 2020. 6. 30. | -10.79% | 1.84% | 134.90 | 0.23 | -5.59 |
| 42. | 2020. 7. 31. | 22.02% | 5.51% | 449.30 | 17.24 | 88.01 |
| 43. | 2020. 8. 31. | 9.30% | 7.01% | 71.87 | 31.91 | 47.88 |
| 44. | 2020. 9. 30. | -18.53% | -3.92% | 374.26 | 27.89 | 102.16 |
| 45. | 2020. 10. 31. | 17.09% | -2.77% | 264.77 | 17.01 | -67.11 |
| 46. | 2020. 11. 30. | -1.72% | 10.75% | 6.44 | 88.30 | -23.84 |
| 47. | 2020. 12. 31. | -14.58% | 3.71% | 237.27 | 5.54 | -36.26 |
| 48. | 2021. 1. 31. | 28.32% | -1.11% | 756.47 | 6.11 | -67.98 |
| 49. | 2021. 2. 28. | 9.07% | 2.61% | 68.13 | 1.57 | 10.33 |
| 50. | 2021. 3. 31. | 4.44% | 4.24% | 13.11 | 8.33 | 10.45 |
| 51. | 2021. 4. 30. | 2.80% | 5.24% | 3.91 | 15.09 | 7.69 |
| 52. | 2021. 5. 31. | 9.32% | 0.55% | 72.24 | 0.65 | -6.88 |
| 53. | 2021. 6. 30. | 6.61% | 2.22% | 33.51 | 0.75 | 5.00 |
| 54. | 2021. 7. 31. | -17.39% | 2.27% | 331.44 | 0.84 | -16.69 |
| 55. | 2021. 8. 31. | -0.33% | 2.90% | 1.31 | 2.38 | -1.77 |
| 56. | 2021. 9. 30. | 11.62% | -4.76% | 116.64 | 37.39 | -66.04 |
| 57. | 2021. 10. 31. | -2.69% | 6.91% | 12.31 | 30.87 | -19.49 |
| 58. | 2021. 11. 30. | -2.41% | -0.83% | 10.44 | 4.80 | 7.08 |
| 59. | 2021. 12. 31. | 12.25% | 4.36% | 130.62 | 9.02 | 34.33 |
| 합계 (Σ): | 20,818.66 | 1,164.17 | 1,330.87 | |||
모두 표시
분산EQT = Σ(REQT,t–REQT)2 ÷ (59 – 1)
= 20,818.66 ÷ (59 – 1)
= 358.94
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
공분산EQT, S&P 500 = Σ(REQT,t–REQT)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,330.87 ÷ (59 – 1)
= 22.95
체계적인 위험 추정 (β)
| 분산EQT | 358.94 |
| 분산S&P 500 | 20.07 |
| 공분산EQT, S&P 500 | 22.95 |
| 상관 계수EQT, S&P 5001 | 0.27 |
| βEQT2 | 1.14 |
| αEQT3 | -0.73% |
계산
1 상관 계수EQT, S&P 500
= 공분산EQT, S&P 500 ÷ (표준 편차EQT × 표준 편차S&P 500)
= 22.95 ÷ (18.95% × 4.48%)
= 0.27
2 βEQT
= 공분산EQT, S&P 500 ÷ 분산S&P 500
= 22.95 ÷ 20.07
= 1.14
3 αEQT
= 평균의EQT – βEQT × 평균의S&P 500
= 0.82% – 1.14 × 1.36%
= -0.73%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.70% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.42% |
| 보통주 EQT 의 체계적인 리스크 | βEQT | 1.14 |
| EQT 보통주에 대한 예상 수익률3 | E(REQT) | 14.67% |
1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).
2 자세히 보기 »
3 E(REQT) = RF + βEQT [E(RM) – RF]
= 4.70% + 1.14 [13.42% – 4.70%]
= 14.67%