자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Edwards Lifesciences보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Edwards Lifesciences Corp., 월별 수익률
| Edwards Lifesciences Corp. (EW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EW,t1 | 피제수EW,t1 | REW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $32.08 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $31.35 | -2.28% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $31.36 | 0.03% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $36.56 | 16.58% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | $107.31 | -10.44% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $129.55 | 20.73% | 4,766.18 | 4.36% | |
| 평균의 (R): | 2.75% | 1.36% | ||||
| 표준 편차: | 8.69% | 4.48% | ||||
| Edwards Lifesciences Corp. (EW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EW,t1 | 피제수EW,t1 | REW,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $32.08 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $31.35 | -2.28% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $31.36 | 0.03% | 2,362.72 | -0.04% | |
| 3. | 2017. 4. 30. | $36.56 | 16.58% | 2,384.20 | 0.91% | |
| 4. | 2017. 5. 31. | $38.36 | 4.92% | 2,411.80 | 1.16% | |
| 5. | 2017. 6. 30. | $39.41 | 2.74% | 2,423.41 | 0.48% | |
| 6. | 2017. 7. 31. | $38.39 | -2.59% | 2,470.30 | 1.93% | |
| 7. | 2017. 8. 31. | $37.89 | -1.30% | 2,471.65 | 0.05% | |
| 8. | 2017. 9. 30. | $36.44 | -3.83% | 2,519.36 | 1.93% | |
| 9. | 2017. 10. 31. | $34.08 | -6.48% | 2,575.26 | 2.22% | |
| 10. | 2017. 11. 30. | $39.07 | 14.64% | 2,647.58 | 2.81% | |
| 11. | 2017. 12. 31. | $37.57 | -3.84% | 2,673.61 | 0.98% | |
| 12. | 2018. 1. 31. | $42.19 | 12.30% | 2,823.81 | 5.62% | |
| 13. | 2018. 2. 28. | $44.56 | 5.62% | 2,713.83 | -3.89% | |
| 14. | 2018. 3. 31. | $46.51 | 4.38% | 2,640.87 | -2.69% | |
| 15. | 2018. 4. 30. | $42.45 | -8.73% | 2,648.05 | 0.27% | |
| 16. | 2018. 5. 31. | $45.77 | 7.82% | 2,705.27 | 2.16% | |
| 17. | 2018. 6. 30. | $48.52 | 6.01% | 2,718.37 | 0.48% | |
| 18. | 2018. 7. 31. | $47.48 | -2.14% | 2,816.29 | 3.60% | |
| 19. | 2018. 8. 31. | $48.08 | 1.26% | 2,901.52 | 3.03% | |
| 20. | 2018. 9. 30. | $58.03 | 20.69% | 2,913.98 | 0.43% | |
| 21. | 2018. 10. 31. | $49.20 | -15.22% | 2,711.74 | -6.94% | |
| 22. | 2018. 11. 30. | $54.00 | 9.76% | 2,760.17 | 1.79% | |
| 23. | 2018. 12. 31. | $51.06 | -5.44% | 2,506.85 | -9.18% | |
| 24. | 2019. 1. 31. | $56.81 | 11.26% | 2,704.10 | 7.87% | |
| 25. | 2019. 2. 28. | $56.43 | -0.67% | 2,784.49 | 2.97% | |
| 26. | 2019. 3. 31. | $63.78 | 13.02% | 2,834.40 | 1.79% | |
| 27. | 2019. 4. 30. | $58.69 | -7.98% | 2,945.83 | 3.93% | |
| 28. | 2019. 5. 31. | $56.90 | -3.05% | 2,752.06 | -6.58% | |
| 29. | 2019. 6. 30. | $61.58 | 8.22% | 2,941.76 | 6.89% | |
| 30. | 2019. 7. 31. | $70.95 | 15.22% | 2,980.38 | 1.31% | |
| 31. | 2019. 8. 31. | $73.95 | 4.23% | 2,926.46 | -1.81% | |
| 32. | 2019. 9. 30. | $73.30 | -0.88% | 2,976.74 | 1.72% | |
| 33. | 2019. 10. 31. | $79.46 | 8.40% | 3,037.56 | 2.04% | |
| 34. | 2019. 11. 30. | $81.65 | 2.76% | 3,140.98 | 3.40% | |
| 35. | 2019. 12. 31. | $77.76 | -4.76% | 3,230.78 | 2.86% | |
| 36. | 2020. 1. 31. | $73.29 | -5.75% | 3,225.52 | -0.16% | |
| 37. | 2020. 2. 29. | $68.28 | -6.84% | 2,954.22 | -8.41% | |
| 38. | 2020. 3. 31. | $62.87 | -7.92% | 2,584.59 | -12.51% | |
| 39. | 2020. 4. 30. | $72.50 | 15.32% | 2,912.43 | 12.68% | |
| 40. | 2020. 5. 31. | $74.91 | 3.32% | 3,044.31 | 4.53% | |
| 41. | 2020. 6. 30. | $69.11 | -7.74% | 3,100.29 | 1.84% | |
| 42. | 2020. 7. 31. | $78.41 | 13.46% | 3,271.12 | 5.51% | |
| 43. | 2020. 8. 31. | $85.84 | 9.48% | 3,500.31 | 7.01% | |
| 44. | 2020. 9. 30. | $79.82 | -7.01% | 3,363.00 | -3.92% | |
| 45. | 2020. 10. 31. | $71.69 | -10.19% | 3,269.96 | -2.77% | |
| 46. | 2020. 11. 30. | $83.89 | 17.02% | 3,621.63 | 10.75% | |
| 47. | 2020. 12. 31. | $91.23 | 8.75% | 3,756.07 | 3.71% | |
| 48. | 2021. 1. 31. | $82.58 | -9.48% | 3,714.24 | -1.11% | |
| 49. | 2021. 2. 28. | $83.10 | 0.63% | 3,811.15 | 2.61% | |
| 50. | 2021. 3. 31. | $83.64 | 0.65% | 3,972.89 | 4.24% | |
| 51. | 2021. 4. 30. | $95.52 | 14.20% | 4,181.17 | 5.24% | |
| 52. | 2021. 5. 31. | $95.90 | 0.40% | 4,204.11 | 0.55% | |
| 53. | 2021. 6. 30. | $103.57 | 8.00% | 4,297.50 | 2.22% | |
| 54. | 2021. 7. 31. | $112.27 | 8.40% | 4,395.26 | 2.27% | |
| 55. | 2021. 8. 31. | $117.18 | 4.37% | 4,522.68 | 2.90% | |
| 56. | 2021. 9. 30. | $113.21 | -3.39% | 4,307.54 | -4.76% | |
| 57. | 2021. 10. 31. | $119.82 | 5.84% | 4,605.38 | 6.91% | |
| 58. | 2021. 11. 30. | $107.31 | -10.44% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $129.55 | 20.73% | 4,766.18 | 4.36% | |
| 평균의 (R): | 2.75% | 1.36% | ||||
| 표준 편차: | 8.69% | 4.48% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 EW의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Edwards Lifesciences Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | REW,t | RS&P 500,t | (REW,t–REW)2 | (RS&P 500,t–RS&P 500)2 | (REW,t–REW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -2.28% | 3.72% | 25.30 | 5.58 | -11.88 |
| 2. | 2017. 3. 31. | 0.03% | -0.04% | 7.41 | 1.95 | 3.80 |
| 3. | 2017. 4. 30. | 16.58% | 0.91% | 191.21 | 0.20 | -6.21 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | -10.44% | -0.83% | 174.10 | 4.80 | 28.91 |
| 59. | 2021. 12. 31. | 20.73% | 4.36% | 322.96 | 9.02 | 53.97 |
| 합계 (Σ): | 4,381.89 | 1,164.17 | 1,272.64 | |||
| t | 날짜 | REW,t | RS&P 500,t | (REW,t–REW)2 | (RS&P 500,t–RS&P 500)2 | (REW,t–REW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | -2.28% | 3.72% | 25.30 | 5.58 | -11.88 |
| 2. | 2017. 3. 31. | 0.03% | -0.04% | 7.41 | 1.95 | 3.80 |
| 3. | 2017. 4. 30. | 16.58% | 0.91% | 191.21 | 0.20 | -6.21 |
| 4. | 2017. 5. 31. | 4.92% | 1.16% | 4.71 | 0.04 | -0.43 |
| 5. | 2017. 6. 30. | 2.74% | 0.48% | 0.00 | 0.77 | 0.01 |
| 6. | 2017. 7. 31. | -2.59% | 1.93% | 28.54 | 0.33 | -3.08 |
| 7. | 2017. 8. 31. | -1.30% | 0.05% | 16.45 | 1.70 | 5.29 |
| 8. | 2017. 9. 30. | -3.83% | 1.93% | 43.31 | 0.33 | -3.77 |
| 9. | 2017. 10. 31. | -6.48% | 2.22% | 85.20 | 0.74 | -7.95 |
| 10. | 2017. 11. 30. | 14.64% | 2.81% | 141.33 | 2.10 | 17.24 |
| 11. | 2017. 12. 31. | -3.84% | 0.98% | 43.47 | 0.14 | 2.47 |
| 12. | 2018. 1. 31. | 12.30% | 5.62% | 91.07 | 18.15 | 40.65 |
| 13. | 2018. 2. 28. | 5.62% | -3.89% | 8.20 | 27.59 | -15.04 |
| 14. | 2018. 3. 31. | 4.38% | -2.69% | 2.63 | 16.37 | -6.56 |
| 15. | 2018. 4. 30. | -8.73% | 0.27% | 131.86 | 1.18 | 12.47 |
| 16. | 2018. 5. 31. | 7.82% | 2.16% | 25.68 | 0.64 | 4.07 |
| 17. | 2018. 6. 30. | 6.01% | 0.48% | 10.59 | 0.76 | -2.84 |
| 18. | 2018. 7. 31. | -2.14% | 3.60% | 23.98 | 5.04 | -10.99 |
| 19. | 2018. 8. 31. | 1.26% | 3.03% | 2.22 | 2.78 | -2.49 |
| 20. | 2018. 9. 30. | 20.69% | 0.43% | 321.87 | 0.86 | -16.66 |
| 21. | 2018. 10. 31. | -15.22% | -6.94% | 322.93 | 68.86 | 149.12 |
| 22. | 2018. 11. 30. | 9.76% | 1.79% | 49.03 | 0.18 | 3.00 |
| 23. | 2018. 12. 31. | -5.44% | -9.18% | 67.21 | 111.00 | 86.37 |
| 24. | 2019. 1. 31. | 11.26% | 7.87% | 72.38 | 42.39 | 55.39 |
| 25. | 2019. 2. 28. | -0.67% | 2.97% | 11.72 | 2.61 | -5.53 |
| 26. | 2019. 3. 31. | 13.02% | 1.79% | 105.50 | 0.19 | 4.46 |
| 27. | 2019. 4. 30. | -7.98% | 3.93% | 115.23 | 6.62 | -27.62 |
| 28. | 2019. 5. 31. | -3.05% | -6.58% | 33.68 | 62.97 | 46.06 |
| 29. | 2019. 6. 30. | 8.22% | 6.89% | 29.93 | 30.64 | 30.28 |
| 30. | 2019. 7. 31. | 15.22% | 1.31% | 155.30 | 0.00 | -0.56 |
| 31. | 2019. 8. 31. | 4.23% | -1.81% | 2.17 | 10.03 | -4.67 |
| 32. | 2019. 9. 30. | -0.88% | 1.72% | 13.20 | 0.13 | -1.31 |
| 33. | 2019. 10. 31. | 8.40% | 2.04% | 31.92 | 0.47 | 3.87 |
| 34. | 2019. 11. 30. | 2.76% | 3.40% | 0.00 | 4.19 | 0.00 |
| 35. | 2019. 12. 31. | -4.76% | 2.86% | 56.52 | 2.25 | -11.29 |
| 36. | 2020. 1. 31. | -5.75% | -0.16% | 72.29 | 2.31 | 12.93 |
| 37. | 2020. 2. 29. | -6.84% | -8.41% | 91.96 | 95.43 | 93.68 |
| 38. | 2020. 3. 31. | -7.92% | -12.51% | 114.00 | 192.37 | 148.09 |
| 39. | 2020. 4. 30. | 15.32% | 12.68% | 157.84 | 128.29 | 142.30 |
| 40. | 2020. 5. 31. | 3.32% | 4.53% | 0.33 | 10.05 | 1.81 |
| 41. | 2020. 6. 30. | -7.74% | 1.84% | 110.18 | 0.23 | -5.05 |
| 42. | 2020. 7. 31. | 13.46% | 5.51% | 114.55 | 17.24 | 44.44 |
| 43. | 2020. 8. 31. | 9.48% | 7.01% | 45.18 | 31.91 | 37.97 |
| 44. | 2020. 9. 30. | -7.01% | -3.92% | 95.39 | 27.89 | 51.58 |
| 45. | 2020. 10. 31. | -10.19% | -2.77% | 167.43 | 17.01 | 53.37 |
| 46. | 2020. 11. 30. | 17.02% | 10.75% | 203.46 | 88.30 | 134.03 |
| 47. | 2020. 12. 31. | 8.75% | 3.71% | 35.95 | 5.54 | 14.12 |
| 48. | 2021. 1. 31. | -9.48% | -1.11% | 149.71 | 6.11 | 30.24 |
| 49. | 2021. 2. 28. | 0.63% | 2.61% | 4.51 | 1.57 | -2.66 |
| 50. | 2021. 3. 31. | 0.65% | 4.24% | 4.43 | 8.33 | -6.07 |
| 51. | 2021. 4. 30. | 14.20% | 5.24% | 131.10 | 15.09 | 44.48 |
| 52. | 2021. 5. 31. | 0.40% | 0.55% | 5.55 | 0.65 | 1.91 |
| 53. | 2021. 6. 30. | 8.00% | 2.22% | 27.50 | 0.75 | 4.53 |
| 54. | 2021. 7. 31. | 8.40% | 2.27% | 31.88 | 0.84 | 5.18 |
| 55. | 2021. 8. 31. | 4.37% | 2.90% | 2.62 | 2.38 | 2.50 |
| 56. | 2021. 9. 30. | -3.39% | -4.76% | 37.72 | 37.39 | 37.56 |
| 57. | 2021. 10. 31. | 5.84% | 6.91% | 9.52 | 30.87 | 17.14 |
| 58. | 2021. 11. 30. | -10.44% | -0.83% | 174.10 | 4.80 | 28.91 |
| 59. | 2021. 12. 31. | 20.73% | 4.36% | 322.96 | 9.02 | 53.97 |
| 합계 (Σ): | 4,381.89 | 1,164.17 | 1,272.64 | |||
모두 보기
분산EW = Σ(REW,t–REW)2 ÷ (59 – 1)
= 4,381.89 ÷ (59 – 1)
= 75.55
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
공분산EW, S&P 500 = Σ(REW,t–REW)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,272.64 ÷ (59 – 1)
= 21.94
체계적인 위험 추정 (β)
| 분산EW | 75.55 |
| 분산S&P 500 | 20.07 |
| 공분산EW, S&P 500 | 21.94 |
| 상관 계수EW, S&P 5001 | 0.56 |
| βEW2 | 1.09 |
| αEW3 | 1.27% |
계산
1 상관 계수EW, S&P 500
= 공분산EW, S&P 500 ÷ (표준 편차EW × 표준 편차S&P 500)
= 21.94 ÷ (8.69% × 4.48%)
= 0.56
2 βEW
= 공분산EW, S&P 500 ÷ 분산S&P 500
= 21.94 ÷ 20.07
= 1.09
3 αEW
= 평균의EW – βEW × 평균의S&P 500
= 2.75% – 1.09 × 1.36%
= 1.27%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.85% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Edwards Lifesciences | βEW | 1.09 |
| Edwards Lifesciences 보통주의 예상 수익률3 | E(REW) | 15.82% |
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(REW) = RF + βEW [E(RM) – RF]
= 4.85% + 1.09 [14.89% – 4.85%]
= 15.82%