자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Estée Lauder보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Estée Lauder Cos. Inc., 월별 수익률
| Estée Lauder Cos. Inc. (EL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EL,t1 | 피제수EL,t1 | REL,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 7. 31. | $98.99 | 2,470.30 | ||||
| 1. | 2017. 8. 31. | $106.99 | $0.34 | 8.43% | 2,471.65 | 0.05% |
| 2. | 2017. 9. 30. | $107.84 | 0.79% | 2,519.36 | 1.93% | |
| 3. | 2017. 10. 31. | $111.81 | 3.68% | 2,575.26 | 2.22% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 5. 31. | $184.03 | $0.66 | -25.14% | 4,179.83 | 0.25% |
| 71. | 2023. 6. 30. | $196.38 | 6.71% | 4,376.86 | 4.71% | |
| 평균의 (R): | 1.41% | 0.94% | ||||
| 표준 편차: | 8.51% | 5.05% | ||||
| Estée Lauder Cos. Inc. (EL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값EL,t1 | 피제수EL,t1 | REL,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 7. 31. | $98.99 | 2,470.30 | ||||
| 1. | 2017. 8. 31. | $106.99 | $0.34 | 8.43% | 2,471.65 | 0.05% |
| 2. | 2017. 9. 30. | $107.84 | 0.79% | 2,519.36 | 1.93% | |
| 3. | 2017. 10. 31. | $111.81 | 3.68% | 2,575.26 | 2.22% | |
| 4. | 2017. 11. 30. | $124.83 | $0.38 | 11.98% | 2,647.58 | 2.81% |
| 5. | 2017. 12. 31. | $127.24 | 1.93% | 2,673.61 | 0.98% | |
| 6. | 2018. 1. 31. | $134.96 | 6.07% | 2,823.81 | 5.62% | |
| 7. | 2018. 2. 28. | $138.44 | $0.38 | 2.86% | 2,713.83 | -3.89% |
| 8. | 2018. 3. 31. | $149.72 | 8.15% | 2,640.87 | -2.69% | |
| 9. | 2018. 4. 30. | $148.09 | -1.09% | 2,648.05 | 0.27% | |
| 10. | 2018. 5. 31. | $149.44 | $0.38 | 1.17% | 2,705.27 | 2.16% |
| 11. | 2018. 6. 30. | $142.69 | -4.52% | 2,718.37 | 0.48% | |
| 12. | 2018. 7. 31. | $134.94 | -5.43% | 2,816.29 | 3.60% | |
| 13. | 2018. 8. 31. | $140.12 | $0.38 | 4.12% | 2,901.52 | 3.03% |
| 14. | 2018. 9. 30. | $145.32 | 3.71% | 2,913.98 | 0.43% | |
| 15. | 2018. 10. 31. | $137.44 | -5.42% | 2,711.74 | -6.94% | |
| 16. | 2018. 11. 30. | $142.66 | $0.43 | 4.11% | 2,760.17 | 1.79% |
| 17. | 2018. 12. 31. | $130.10 | -8.80% | 2,506.85 | -9.18% | |
| 18. | 2019. 1. 31. | $136.42 | 4.86% | 2,704.10 | 7.87% | |
| 19. | 2019. 2. 28. | $156.94 | $0.43 | 15.36% | 2,784.49 | 2.97% |
| 20. | 2019. 3. 31. | $165.55 | 5.49% | 2,834.40 | 1.79% | |
| 21. | 2019. 4. 30. | $171.81 | 3.78% | 2,945.83 | 3.93% | |
| 22. | 2019. 5. 31. | $161.03 | $0.43 | -6.02% | 2,752.06 | -6.58% |
| 23. | 2019. 6. 30. | $183.11 | 13.71% | 2,941.76 | 6.89% | |
| 24. | 2019. 7. 31. | $184.19 | 0.59% | 2,980.38 | 1.31% | |
| 25. | 2019. 8. 31. | $197.99 | $0.43 | 7.73% | 2,926.46 | -1.81% |
| 26. | 2019. 9. 30. | $198.95 | 0.48% | 2,976.74 | 1.72% | |
| 27. | 2019. 10. 31. | $186.27 | -6.37% | 3,037.56 | 2.04% | |
| 28. | 2019. 11. 30. | $195.47 | $0.48 | 5.20% | 3,140.98 | 3.40% |
| 29. | 2019. 12. 31. | $206.54 | 5.66% | 3,230.78 | 2.86% | |
| 30. | 2020. 1. 31. | $195.16 | -5.51% | 3,225.52 | -0.16% | |
| 31. | 2020. 2. 29. | $183.60 | $0.48 | -5.68% | 2,954.22 | -8.41% |
| 32. | 2020. 3. 31. | $159.34 | -13.21% | 2,584.59 | -12.51% | |
| 33. | 2020. 4. 30. | $176.40 | 10.71% | 2,912.43 | 12.68% | |
| 34. | 2020. 5. 31. | $197.47 | 11.94% | 3,044.31 | 4.53% | |
| 35. | 2020. 6. 30. | $188.68 | -4.45% | 3,100.29 | 1.84% | |
| 36. | 2020. 7. 31. | $197.54 | 4.70% | 3,271.12 | 5.51% | |
| 37. | 2020. 8. 31. | $221.72 | $0.48 | 12.48% | 3,500.31 | 7.01% |
| 38. | 2020. 9. 30. | $218.25 | -1.57% | 3,363.00 | -3.92% | |
| 39. | 2020. 10. 31. | $219.66 | 0.65% | 3,269.96 | -2.77% | |
| 40. | 2020. 11. 30. | $245.32 | $0.53 | 11.92% | 3,621.63 | 10.75% |
| 41. | 2020. 12. 31. | $266.19 | 8.51% | 3,756.07 | 3.71% | |
| 42. | 2021. 1. 31. | $236.65 | -11.10% | 3,714.24 | -1.11% | |
| 43. | 2021. 2. 28. | $285.86 | $0.53 | 21.02% | 3,811.15 | 2.61% |
| 44. | 2021. 3. 31. | $290.85 | 1.75% | 3,972.89 | 4.24% | |
| 45. | 2021. 4. 30. | $313.80 | 7.89% | 4,181.17 | 5.24% | |
| 46. | 2021. 5. 31. | $306.52 | $0.53 | -2.15% | 4,204.11 | 0.55% |
| 47. | 2021. 6. 30. | $318.08 | 3.77% | 4,297.50 | 2.22% | |
| 48. | 2021. 7. 31. | $333.83 | 4.95% | 4,395.26 | 2.27% | |
| 49. | 2021. 8. 31. | $340.49 | $0.53 | 2.15% | 4,522.68 | 2.90% |
| 50. | 2021. 9. 30. | $299.93 | -11.91% | 4,307.54 | -4.76% | |
| 51. | 2021. 10. 31. | $324.33 | 8.14% | 4,605.38 | 6.91% | |
| 52. | 2021. 11. 30. | $332.07 | $0.60 | 2.57% | 4,567.00 | -0.83% |
| 53. | 2021. 12. 31. | $370.20 | 11.48% | 4,766.18 | 4.36% | |
| 54. | 2022. 1. 31. | $311.79 | -15.78% | 4,515.55 | -5.26% | |
| 55. | 2022. 2. 28. | $296.33 | $0.60 | -4.77% | 4,373.94 | -3.14% |
| 56. | 2022. 3. 31. | $272.32 | -8.10% | 4,530.41 | 3.58% | |
| 57. | 2022. 4. 30. | $264.06 | -3.03% | 4,131.93 | -8.80% | |
| 58. | 2022. 5. 31. | $254.65 | $0.60 | -3.34% | 4,132.15 | 0.01% |
| 59. | 2022. 6. 30. | $254.67 | 0.01% | 3,785.38 | -8.39% | |
| 60. | 2022. 7. 31. | $273.10 | 7.24% | 4,130.29 | 9.11% | |
| 61. | 2022. 8. 31. | $254.38 | $0.60 | -6.63% | 3,955.00 | -4.24% |
| 62. | 2022. 9. 30. | $215.90 | -15.13% | 3,585.62 | -9.34% | |
| 63. | 2022. 10. 31. | $200.49 | -7.14% | 3,871.98 | 7.99% | |
| 64. | 2022. 11. 30. | $235.79 | $0.66 | 17.94% | 4,080.11 | 5.38% |
| 65. | 2022. 12. 31. | $248.11 | 5.22% | 3,839.50 | -5.90% | |
| 66. | 2023. 1. 31. | $277.08 | 11.68% | 4,076.60 | 6.18% | |
| 67. | 2023. 2. 28. | $243.05 | $0.66 | -12.04% | 3,970.15 | -2.61% |
| 68. | 2023. 3. 31. | $246.46 | 1.40% | 4,109.31 | 3.51% | |
| 69. | 2023. 4. 30. | $246.72 | 0.11% | 4,169.48 | 1.46% | |
| 70. | 2023. 5. 31. | $184.03 | $0.66 | -25.14% | 4,179.83 | 0.25% |
| 71. | 2023. 6. 30. | $196.38 | 6.71% | 4,376.86 | 4.71% | |
| 평균의 (R): | 1.41% | 0.94% | ||||
| 표준 편차: | 8.51% | 5.05% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 EL의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Estée Lauder Cos. Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | REL,t | RS&P 500,t | (REL,t–REL)2 | (RS&P 500,t–RS&P 500)2 | (REL,t–REL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 8. 31. | 8.43% | 0.05% | 49.15 | 0.78 | -6.18 |
| 2. | 2017. 9. 30. | 0.79% | 1.93% | 0.38 | 0.99 | -0.62 |
| 3. | 2017. 10. 31. | 3.68% | 2.22% | 5.14 | 1.65 | 2.91 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 5. 31. | -25.14% | 0.25% | 705.25 | 0.47 | 18.26 |
| 71. | 2023. 6. 30. | 6.71% | 4.71% | 28.05 | 14.27 | 20.01 |
| 합계 (Σ): | 5,074.61 | 1,786.26 | 1,772.52 | |||
| t | 날짜 | REL,t | RS&P 500,t | (REL,t–REL)2 | (RS&P 500,t–RS&P 500)2 | (REL,t–REL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 8. 31. | 8.43% | 0.05% | 49.15 | 0.78 | -6.18 |
| 2. | 2017. 9. 30. | 0.79% | 1.93% | 0.38 | 0.99 | -0.62 |
| 3. | 2017. 10. 31. | 3.68% | 2.22% | 5.14 | 1.65 | 2.91 |
| 4. | 2017. 11. 30. | 11.98% | 2.81% | 111.72 | 3.51 | 19.79 |
| 5. | 2017. 12. 31. | 1.93% | 0.98% | 0.27 | 0.00 | 0.02 |
| 6. | 2018. 1. 31. | 6.07% | 5.62% | 21.65 | 21.92 | 21.78 |
| 7. | 2018. 2. 28. | 2.86% | -3.89% | 2.09 | 23.33 | -6.98 |
| 8. | 2018. 3. 31. | 8.15% | -2.69% | 45.34 | 13.14 | -24.40 |
| 9. | 2018. 4. 30. | -1.09% | 0.27% | 6.27 | 0.44 | 1.66 |
| 10. | 2018. 5. 31. | 1.17% | 2.16% | 0.06 | 1.50 | -0.30 |
| 11. | 2018. 6. 30. | -4.52% | 0.48% | 35.18 | 0.20 | 2.68 |
| 12. | 2018. 7. 31. | -5.43% | 3.60% | 46.87 | 7.11 | -18.25 |
| 13. | 2018. 8. 31. | 4.12% | 3.03% | 7.32 | 4.37 | 5.66 |
| 14. | 2018. 9. 30. | 3.71% | 0.43% | 5.27 | 0.26 | -1.16 |
| 15. | 2018. 10. 31. | -5.42% | -6.94% | 46.75 | 62.03 | 53.85 |
| 16. | 2018. 11. 30. | 4.11% | 1.79% | 7.27 | 0.72 | 2.29 |
| 17. | 2018. 12. 31. | -8.80% | -9.18% | 104.43 | 102.28 | 103.35 |
| 18. | 2019. 1. 31. | 4.86% | 7.87% | 11.85 | 48.06 | 23.87 |
| 19. | 2019. 2. 28. | 15.36% | 2.97% | 194.39 | 4.15 | 28.40 |
| 20. | 2019. 3. 31. | 5.49% | 1.79% | 16.58 | 0.73 | 3.49 |
| 21. | 2019. 4. 30. | 3.78% | 3.93% | 5.60 | 8.97 | 7.09 |
| 22. | 2019. 5. 31. | -6.02% | -6.58% | 55.34 | 56.45 | 55.89 |
| 23. | 2019. 6. 30. | 13.71% | 6.89% | 151.22 | 35.49 | 73.26 |
| 24. | 2019. 7. 31. | 0.59% | 1.31% | 0.68 | 0.14 | -0.31 |
| 25. | 2019. 8. 31. | 7.73% | -1.81% | 39.83 | 7.53 | -17.32 |
| 26. | 2019. 9. 30. | 0.48% | 1.72% | 0.86 | 0.61 | -0.73 |
| 27. | 2019. 10. 31. | -6.37% | 2.04% | 60.66 | 1.23 | -8.62 |
| 28. | 2019. 11. 30. | 5.20% | 3.40% | 14.30 | 6.10 | 9.34 |
| 29. | 2019. 12. 31. | 5.66% | 2.86% | 18.05 | 3.70 | 8.17 |
| 30. | 2020. 1. 31. | -5.51% | -0.16% | 47.95 | 1.21 | 7.61 |
| 31. | 2020. 2. 29. | -5.68% | -8.41% | 50.30 | 87.36 | 66.29 |
| 32. | 2020. 3. 31. | -13.21% | -12.51% | 213.99 | 180.84 | 196.72 |
| 33. | 2020. 4. 30. | 10.71% | 12.68% | 86.34 | 138.03 | 109.17 |
| 34. | 2020. 5. 31. | 11.94% | 4.53% | 110.87 | 12.91 | 37.83 |
| 35. | 2020. 6. 30. | -4.45% | 1.84% | 34.41 | 0.82 | -5.30 |
| 36. | 2020. 7. 31. | 4.70% | 5.51% | 10.77 | 20.92 | 15.01 |
| 37. | 2020. 8. 31. | 12.48% | 7.01% | 122.52 | 36.85 | 67.20 |
| 38. | 2020. 9. 30. | -1.57% | -3.92% | 8.88 | 23.61 | 14.48 |
| 39. | 2020. 10. 31. | 0.65% | -2.77% | 0.59 | 13.71 | 2.85 |
| 40. | 2020. 11. 30. | 11.92% | 10.75% | 110.42 | 96.41 | 103.18 |
| 41. | 2020. 12. 31. | 8.51% | 3.71% | 50.30 | 7.71 | 19.69 |
| 42. | 2021. 1. 31. | -11.10% | -1.11% | 156.55 | 4.20 | 25.64 |
| 43. | 2021. 2. 28. | 21.02% | 2.61% | 384.30 | 2.80 | 32.80 |
| 44. | 2021. 3. 31. | 1.75% | 4.24% | 0.11 | 10.94 | 1.09 |
| 45. | 2021. 4. 30. | 7.89% | 5.24% | 41.94 | 18.55 | 27.89 |
| 46. | 2021. 5. 31. | -2.15% | 0.55% | 12.71 | 0.15 | 1.38 |
| 47. | 2021. 6. 30. | 3.77% | 2.22% | 5.55 | 1.65 | 3.03 |
| 48. | 2021. 7. 31. | 4.95% | 2.27% | 12.51 | 1.79 | 4.74 |
| 49. | 2021. 8. 31. | 2.15% | 2.90% | 0.55 | 3.85 | 1.45 |
| 50. | 2021. 9. 30. | -11.91% | -4.76% | 177.61 | 32.41 | 75.87 |
| 51. | 2021. 10. 31. | 8.14% | 6.91% | 45.17 | 35.74 | 40.18 |
| 52. | 2021. 11. 30. | 2.57% | -0.83% | 1.34 | 3.13 | -2.05 |
| 53. | 2021. 12. 31. | 11.48% | 4.36% | 101.36 | 11.73 | 34.49 |
| 54. | 2022. 1. 31. | -15.78% | -5.26% | 295.59 | 38.37 | 106.50 |
| 55. | 2022. 2. 28. | -4.77% | -3.14% | 38.20 | 16.58 | 25.17 |
| 56. | 2022. 3. 31. | -8.10% | 3.58% | 90.58 | 6.98 | -25.14 |
| 57. | 2022. 4. 30. | -3.03% | -8.80% | 19.78 | 94.70 | 43.28 |
| 58. | 2022. 5. 31. | -3.34% | 0.01% | 22.57 | 0.87 | 4.42 |
| 59. | 2022. 6. 30. | 0.01% | -8.39% | 1.98 | 87.01 | 13.12 |
| 60. | 2022. 7. 31. | 7.24% | 9.11% | 33.90 | 66.84 | 47.60 |
| 61. | 2022. 8. 31. | -6.63% | -4.24% | 64.80 | 26.83 | 41.70 |
| 62. | 2022. 9. 30. | -15.13% | -9.34% | 273.63 | 105.58 | 169.97 |
| 63. | 2022. 10. 31. | -7.14% | 7.99% | 73.14 | 49.71 | -60.30 |
| 64. | 2022. 11. 30. | 17.94% | 5.38% | 272.95 | 19.71 | 73.35 |
| 65. | 2022. 12. 31. | 5.22% | -5.90% | 14.52 | 46.69 | -26.04 |
| 66. | 2023. 1. 31. | 11.68% | 6.18% | 105.30 | 27.45 | 53.77 |
| 67. | 2023. 2. 28. | -12.04% | -2.61% | 181.12 | 12.58 | 47.74 |
| 68. | 2023. 3. 31. | 1.40% | 3.51% | 0.00 | 6.60 | -0.03 |
| 69. | 2023. 4. 30. | 0.11% | 1.46% | 1.71 | 0.28 | -0.69 |
| 70. | 2023. 5. 31. | -25.14% | 0.25% | 705.25 | 0.47 | 18.26 |
| 71. | 2023. 6. 30. | 6.71% | 4.71% | 28.05 | 14.27 | 20.01 |
| 합계 (Σ): | 5,074.61 | 1,786.26 | 1,772.52 | |||
모두 표시
분산EL = Σ(REL,t–REL)2 ÷ (71 – 1)
= 5,074.61 ÷ (71 – 1)
= 72.49
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,786.26 ÷ (71 – 1)
= 25.52
공분산EL, S&P 500 = Σ(REL,t–REL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,772.52 ÷ (71 – 1)
= 25.32
체계적인 위험 추정 (β)
| 분산EL | 72.49 |
| 분산S&P 500 | 25.52 |
| 공분산EL, S&P 500 | 25.32 |
| 상관 계수EL, S&P 5001 | 0.59 |
| βEL2 | 0.99 |
| αEL3 | 0.49% |
계산
1 상관 계수EL, S&P 500
= 공분산EL, S&P 500 ÷ (표준 편차EL × 표준 편차S&P 500)
= 25.32 ÷ (8.51% × 5.05%)
= 0.59
2 βEL
= 공분산EL, S&P 500 ÷ 분산S&P 500
= 25.32 ÷ 25.52
= 0.99
3 αEL
= 평균의EL – βEL × 평균의S&P 500
= 1.41% – 0.99 × 0.94%
= 0.49%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.90% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.55% |
| 보통주의 체계적 위험Estée Lauder | βEL | 0.99 |
| 에스티 로더 보통주 예상 수익률3 | E(REL) | 13.48% |
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(REL) = RF + βEL [E(RM) – RF]
= 4.90% + 0.99 [13.55% – 4.90%]
= 13.48%