자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 ExxonMobil보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Exxon Mobil Corp., 월별 수익률
| Exxon Mobil Corp. (XOM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값XOM,t1 | 피제수XOM,t1 | RXOM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $62.12 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $51.44 | $0.87 | -15.79% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $37.97 | -26.19% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $46.47 | 22.39% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $117.96 | $0.99 | 1.86% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $107.57 | -8.81% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.82% | 1.16% | ||||
| 표준 편차: | 9.80% | 5.28% | ||||
| Exxon Mobil Corp. (XOM) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값XOM,t1 | 피제수XOM,t1 | RXOM,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $62.12 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $51.44 | $0.87 | -15.79% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $37.97 | -26.19% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $46.47 | 22.39% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $45.47 | $0.87 | -0.28% | 3,044.31 | 4.53% |
| 5. | 2020. 6. 30. | $44.72 | -1.65% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $42.08 | -5.90% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $39.94 | $0.87 | -3.02% | 3,500.31 | 7.01% |
| 8. | 2020. 9. 30. | $34.33 | -14.05% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $32.62 | -4.98% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $38.13 | $0.87 | 19.56% | 3,621.63 | 10.75% |
| 11. | 2020. 12. 31. | $41.22 | 8.10% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $44.84 | 8.78% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $54.37 | $0.87 | 23.19% | 3,811.15 | 2.61% |
| 14. | 2021. 3. 31. | $55.83 | 2.69% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $57.24 | 2.53% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $58.37 | $0.87 | 3.49% | 4,204.11 | 0.55% |
| 17. | 2021. 6. 30. | $63.08 | 8.07% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $57.57 | -8.73% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $54.52 | $0.87 | -3.79% | 4,522.68 | 2.90% |
| 20. | 2021. 9. 30. | $58.82 | 7.89% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $64.47 | 9.61% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $59.84 | $0.88 | -5.82% | 4,567.00 | -0.83% |
| 23. | 2021. 12. 31. | $61.19 | 2.26% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $75.96 | 24.14% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $78.42 | $0.88 | 4.40% | 4,373.94 | -3.14% |
| 26. | 2022. 3. 31. | $82.59 | 5.32% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $85.25 | 3.22% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $96.00 | $0.88 | 13.64% | 4,132.15 | 0.01% |
| 29. | 2022. 6. 30. | $85.64 | -10.79% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $96.93 | 13.18% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $95.59 | $0.88 | -0.47% | 3,955.00 | -4.24% |
| 32. | 2022. 9. 30. | $87.31 | -8.66% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $110.81 | 26.92% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $111.34 | $0.91 | 1.30% | 4,080.11 | 5.38% |
| 35. | 2022. 12. 31. | $110.30 | -0.93% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $116.01 | 5.18% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $109.91 | $0.91 | -4.47% | 3,970.15 | -2.61% |
| 38. | 2023. 3. 31. | $109.66 | -0.23% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $118.34 | 7.92% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $102.18 | $0.91 | -12.89% | 4,179.83 | 0.25% |
| 41. | 2023. 6. 30. | $107.25 | 4.96% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $107.24 | -0.01% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $111.19 | $0.91 | 4.53% | 4,507.66 | -1.77% |
| 44. | 2023. 9. 30. | $117.58 | 5.75% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $105.85 | -9.98% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $102.74 | $0.95 | -2.04% | 4,567.80 | 8.92% |
| 47. | 2023. 12. 31. | $99.98 | -2.69% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $102.81 | 2.83% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $104.52 | $0.95 | 2.59% | 5,096.27 | 5.17% |
| 50. | 2024. 3. 31. | $116.24 | 11.21% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $118.27 | 1.75% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $117.26 | $0.95 | -0.05% | 5,277.51 | 4.80% |
| 53. | 2024. 6. 30. | $115.12 | -1.83% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $118.59 | 3.01% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $117.94 | $0.95 | 0.25% | 5,648.40 | 2.28% |
| 56. | 2024. 9. 30. | $117.22 | -0.61% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $116.78 | -0.38% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $117.96 | $0.99 | 1.86% | 6,032.38 | 5.73% |
| 59. | 2024. 12. 31. | $107.57 | -8.81% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.82% | 1.16% | ||||
| 표준 편차: | 9.80% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 XOM의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Exxon Mobil Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RXOM,t | RS&P 500,t | (RXOM,t–RXOM)2 | (RS&P 500,t–RS&P 500)2 | (RXOM,t–RXOM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -15.79% | -8.41% | 310.24 | 91.63 | 168.60 |
| 2. | 2020. 3. 31. | -26.19% | -12.51% | 784.41 | 186.96 | 382.95 |
| 3. | 2020. 4. 30. | 22.39% | 12.68% | 422.90 | 132.78 | 236.97 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 1.86% | 5.73% | 0.00 | 20.87 | 0.17 |
| 59. | 2024. 12. 31. | -8.81% | -2.50% | 112.99 | 13.40 | 38.91 |
| 합계 (Σ): | 5,568.99 | 1,618.62 | 1,455.01 | |||
| t | 날짜 | RXOM,t | RS&P 500,t | (RXOM,t–RXOM)2 | (RS&P 500,t–RS&P 500)2 | (RXOM,t–RXOM)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -15.79% | -8.41% | 310.24 | 91.63 | 168.60 |
| 2. | 2020. 3. 31. | -26.19% | -12.51% | 784.41 | 186.96 | 382.95 |
| 3. | 2020. 4. 30. | 22.39% | 12.68% | 422.90 | 132.78 | 236.97 |
| 4. | 2020. 5. 31. | -0.28% | 4.53% | 4.42 | 11.34 | -7.07 |
| 5. | 2020. 6. 30. | -1.65% | 1.84% | 12.05 | 0.46 | -2.35 |
| 6. | 2020. 7. 31. | -5.90% | 5.51% | 59.67 | 18.91 | -33.59 |
| 7. | 2020. 8. 31. | -3.02% | 7.01% | 23.42 | 34.17 | -28.29 |
| 8. | 2020. 9. 30. | -14.05% | -3.92% | 251.78 | 25.85 | 80.67 |
| 9. | 2020. 10. 31. | -4.98% | -2.77% | 46.28 | 15.43 | 26.72 |
| 10. | 2020. 11. 30. | 19.56% | 10.75% | 314.60 | 92.03 | 170.16 |
| 11. | 2020. 12. 31. | 8.10% | 3.71% | 39.47 | 6.51 | 16.03 |
| 12. | 2021. 1. 31. | 8.78% | -1.11% | 48.45 | 5.18 | -15.83 |
| 13. | 2021. 2. 28. | 23.19% | 2.61% | 456.76 | 2.10 | 30.94 |
| 14. | 2021. 3. 31. | 2.69% | 4.24% | 0.75 | 9.50 | 2.66 |
| 15. | 2021. 4. 30. | 2.53% | 5.24% | 0.50 | 16.66 | 2.87 |
| 16. | 2021. 5. 31. | 3.49% | 0.55% | 2.80 | 0.38 | -1.02 |
| 17. | 2021. 6. 30. | 8.07% | 2.22% | 39.03 | 1.12 | 6.62 |
| 18. | 2021. 7. 31. | -8.73% | 2.27% | 111.44 | 1.24 | -11.76 |
| 19. | 2021. 8. 31. | -3.79% | 2.90% | 31.45 | 3.02 | -9.75 |
| 20. | 2021. 9. 30. | 7.89% | -4.76% | 36.79 | 35.02 | -35.90 |
| 21. | 2021. 10. 31. | 9.61% | 6.91% | 60.59 | 33.10 | 44.78 |
| 22. | 2021. 11. 30. | -5.82% | -0.83% | 58.34 | 3.98 | 15.24 |
| 23. | 2021. 12. 31. | 2.26% | 4.36% | 0.19 | 10.24 | 1.39 |
| 24. | 2022. 1. 31. | 24.14% | -5.26% | 498.02 | 41.21 | -143.27 |
| 25. | 2022. 2. 28. | 4.40% | -3.14% | 6.63 | 18.47 | -11.07 |
| 26. | 2022. 3. 31. | 5.32% | 3.58% | 12.22 | 5.84 | 8.45 |
| 27. | 2022. 4. 30. | 3.22% | -8.80% | 1.96 | 99.14 | -13.93 |
| 28. | 2022. 5. 31. | 13.64% | 0.01% | 139.73 | 1.34 | -13.66 |
| 29. | 2022. 6. 30. | -10.79% | -8.39% | 159.09 | 91.26 | 120.50 |
| 30. | 2022. 7. 31. | 13.18% | 9.11% | 129.09 | 63.21 | 90.33 |
| 31. | 2022. 8. 31. | -0.47% | -4.24% | 5.27 | 29.22 | 12.41 |
| 32. | 2022. 9. 30. | -8.66% | -9.34% | 109.90 | 110.27 | 110.09 |
| 33. | 2022. 10. 31. | 26.92% | 7.99% | 629.71 | 46.58 | 171.27 |
| 34. | 2022. 11. 30. | 1.30% | 5.38% | 0.27 | 17.76 | -2.20 |
| 35. | 2022. 12. 31. | -0.93% | -5.90% | 7.59 | 49.82 | 19.45 |
| 36. | 2023. 1. 31. | 5.18% | 6.18% | 11.26 | 25.14 | 16.82 |
| 37. | 2023. 2. 28. | -4.47% | -2.61% | 39.63 | 14.23 | 23.75 |
| 38. | 2023. 3. 31. | -0.23% | 3.51% | 4.20 | 5.49 | -4.80 |
| 39. | 2023. 4. 30. | 7.92% | 1.46% | 37.14 | 0.09 | 1.85 |
| 40. | 2023. 5. 31. | -12.89% | 0.25% | 216.33 | 0.83 | 13.43 |
| 41. | 2023. 6. 30. | 4.96% | 4.71% | 9.86 | 12.62 | 11.16 |
| 42. | 2023. 7. 31. | -0.01% | 4.85% | 3.35 | 13.58 | -6.75 |
| 43. | 2023. 8. 31. | 4.53% | -1.77% | 7.35 | 8.60 | -7.95 |
| 44. | 2023. 9. 30. | 5.75% | -4.87% | 15.41 | 36.40 | -23.68 |
| 45. | 2023. 10. 31. | -9.98% | -2.20% | 139.19 | 11.28 | 39.63 |
| 46. | 2023. 11. 30. | -2.04% | 8.92% | 14.92 | 60.17 | -29.96 |
| 47. | 2023. 12. 31. | -2.69% | 4.42% | 20.32 | 10.64 | -14.70 |
| 48. | 2024. 1. 31. | 2.83% | 1.59% | 1.02 | 0.18 | 0.43 |
| 49. | 2024. 2. 29. | 2.59% | 5.17% | 0.59 | 16.09 | 3.07 |
| 50. | 2024. 3. 31. | 11.21% | 3.10% | 88.20 | 3.77 | 18.23 |
| 51. | 2024. 4. 30. | 1.75% | -4.16% | 0.01 | 28.33 | 0.40 |
| 52. | 2024. 5. 31. | -0.05% | 4.80% | 3.51 | 13.26 | -6.82 |
| 53. | 2024. 6. 30. | -1.83% | 3.47% | 13.30 | 5.32 | -8.41 |
| 54. | 2024. 7. 31. | 3.01% | 1.13% | 1.42 | 0.00 | -0.03 |
| 55. | 2024. 8. 31. | 0.25% | 2.28% | 2.46 | 1.26 | -1.76 |
| 56. | 2024. 9. 30. | -0.61% | 2.02% | 5.91 | 0.74 | -2.09 |
| 57. | 2024. 10. 31. | -0.38% | -0.99% | 4.83 | 4.63 | 4.73 |
| 58. | 2024. 11. 30. | 1.86% | 5.73% | 0.00 | 20.87 | 0.17 |
| 59. | 2024. 12. 31. | -8.81% | -2.50% | 112.99 | 13.40 | 38.91 |
| 합계 (Σ): | 5,568.99 | 1,618.62 | 1,455.01 | |||
모두 보기
분산XOM = Σ(RXOM,t–RXOM)2 ÷ (59 – 1)
= 5,568.99 ÷ (59 – 1)
= 96.02
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산XOM, S&P 500 = Σ(RXOM,t–RXOM)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,455.01 ÷ (59 – 1)
= 25.09
체계적인 위험 추정 (β)
| 분산XOM | 96.02 |
| 분산S&P 500 | 27.91 |
| 공분산XOM, S&P 500 | 25.09 |
| 상관 계수XOM, S&P 5001 | 0.48 |
| βXOM2 | 0.90 |
| αXOM3 | 0.78% |
계산
1 상관 계수XOM, S&P 500
= 공분산XOM, S&P 500 ÷ (표준 편차XOM × 표준 편차S&P 500)
= 25.09 ÷ (9.80% × 5.28%)
= 0.48
2 βXOM
= 공분산XOM, S&P 500 ÷ 분산S&P 500
= 25.09 ÷ 27.91
= 0.90
3 αXOM
= 평균의XOM – βXOM × 평균의S&P 500
= 1.82% – 0.90 × 1.16%
= 0.78%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.83% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.88% |
| 보통주의 체계적 위험ExxonMobil | βXOM | 0.90 |
| ExxonMobil 보통주 예상 수익률3 | E(RXOM) | 13.86% |
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(RXOM) = RF + βXOM [E(RM) – RF]
= 4.83% + 0.90 [14.88% – 4.83%]
= 13.86%