자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 GameStop보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
GameStop Corp., 월별 수익률
| GameStop Corp. (GME) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GME,t1 | 피제수GME,t1 | RGME,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $3.92 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $3.16 | $0.095 | -16.96% | 2,640.87 | -2.69% |
| 2. | 2018. 4. 30. | $3.41 | 7.91% | 2,648.05 | 0.27% | |
| 3. | 2018. 5. 31. | $3.30 | -3.23% | 2,705.27 | 2.16% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | $17.53 | 20.48% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $14.23 | -18.82% | 4,845.65 | 1.59% | |
| 평균의 (R): | 24.04% | 0.95% | ||||
| 표준 편차: | 194.40% | 5.18% | ||||
| GameStop Corp. (GME) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값GME,t1 | 피제수GME,t1 | RGME,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $3.92 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $3.16 | $0.095 | -16.96% | 2,640.87 | -2.69% |
| 2. | 2018. 4. 30. | $3.41 | 7.91% | 2,648.05 | 0.27% | |
| 3. | 2018. 5. 31. | $3.30 | -3.23% | 2,705.27 | 2.16% | |
| 4. | 2018. 6. 30. | $3.64 | $0.095 | 13.18% | 2,718.37 | 0.48% |
| 5. | 2018. 7. 31. | $3.60 | -1.10% | 2,816.29 | 3.60% | |
| 6. | 2018. 8. 31. | $3.32 | -7.78% | 2,901.52 | 3.03% | |
| 7. | 2018. 9. 30. | $3.82 | $0.095 | 17.92% | 2,913.98 | 0.43% |
| 8. | 2018. 10. 31. | $3.65 | -4.45% | 2,711.74 | -6.94% | |
| 9. | 2018. 11. 30. | $3.42 | -6.30% | 2,760.17 | 1.79% | |
| 10. | 2018. 12. 31. | $3.16 | $0.095 | -4.82% | 2,506.85 | -9.18% |
| 11. | 2019. 1. 31. | $2.84 | -10.13% | 2,704.10 | 7.87% | |
| 12. | 2019. 2. 28. | $2.93 | 3.17% | 2,784.49 | 2.97% | |
| 13. | 2019. 3. 31. | $2.54 | $0.095 | -10.07% | 2,834.40 | 1.79% |
| 14. | 2019. 4. 30. | $2.16 | -14.96% | 2,945.83 | 3.93% | |
| 15. | 2019. 5. 31. | $1.90 | -12.04% | 2,752.06 | -6.58% | |
| 16. | 2019. 6. 30. | $1.37 | -27.89% | 2,941.76 | 6.89% | |
| 17. | 2019. 7. 31. | $1.01 | -26.28% | 2,980.38 | 1.31% | |
| 18. | 2019. 8. 31. | $0.99 | -1.98% | 2,926.46 | -1.81% | |
| 19. | 2019. 9. 30. | $1.38 | 39.39% | 2,976.74 | 1.72% | |
| 20. | 2019. 10. 31. | $1.36 | -1.45% | 3,037.56 | 2.04% | |
| 21. | 2019. 11. 30. | $1.59 | 16.91% | 3,140.98 | 3.40% | |
| 22. | 2019. 12. 31. | $1.52 | -4.40% | 3,230.78 | 2.86% | |
| 23. | 2020. 1. 31. | $0.96 | -36.84% | 3,225.52 | -0.16% | |
| 24. | 2020. 2. 29. | $0.90 | -6.25% | 2,954.22 | -8.41% | |
| 25. | 2020. 3. 31. | $0.88 | -2.22% | 2,584.59 | -12.51% | |
| 26. | 2020. 4. 30. | $1.43 | 62.50% | 2,912.43 | 12.68% | |
| 27. | 2020. 5. 31. | $1.02 | -28.67% | 3,044.31 | 4.53% | |
| 28. | 2020. 6. 30. | $1.09 | 6.86% | 3,100.29 | 1.84% | |
| 29. | 2020. 7. 31. | $1.00 | -8.26% | 3,271.12 | 5.51% | |
| 30. | 2020. 8. 31. | $1.67 | 67.00% | 3,500.31 | 7.01% | |
| 31. | 2020. 9. 30. | $2.55 | 52.69% | 3,363.00 | -3.92% | |
| 32. | 2020. 10. 31. | $2.62 | 2.75% | 3,269.96 | -2.77% | |
| 33. | 2020. 11. 30. | $4.14 | 58.02% | 3,621.63 | 10.75% | |
| 34. | 2020. 12. 31. | $4.71 | 13.77% | 3,756.07 | 3.71% | |
| 35. | 2021. 1. 31. | $81.25 | 1,625.05% | 3,714.24 | -1.11% | |
| 36. | 2021. 2. 28. | $25.44 | -68.69% | 3,811.15 | 2.61% | |
| 37. | 2021. 3. 31. | $47.46 | 86.56% | 3,972.89 | 4.24% | |
| 38. | 2021. 4. 30. | $43.40 | -8.55% | 4,181.17 | 5.24% | |
| 39. | 2021. 5. 31. | $55.50 | 27.88% | 4,204.11 | 0.55% | |
| 40. | 2021. 6. 30. | $53.54 | -3.53% | 4,297.50 | 2.22% | |
| 41. | 2021. 7. 31. | $40.28 | -24.77% | 4,395.26 | 2.27% | |
| 42. | 2021. 8. 31. | $54.56 | 35.45% | 4,522.68 | 2.90% | |
| 43. | 2021. 9. 30. | $43.87 | -19.59% | 4,307.54 | -4.76% | |
| 44. | 2021. 10. 31. | $45.88 | 4.58% | 4,605.38 | 6.91% | |
| 45. | 2021. 11. 30. | $49.05 | 6.91% | 4,567.00 | -0.83% | |
| 46. | 2021. 12. 31. | $37.10 | -24.36% | 4,766.18 | 4.36% | |
| 47. | 2022. 1. 31. | $27.23 | -26.60% | 4,515.55 | -5.26% | |
| 48. | 2022. 2. 28. | $30.83 | 13.22% | 4,373.94 | -3.14% | |
| 49. | 2022. 3. 31. | $41.65 | 35.10% | 4,530.41 | 3.58% | |
| 50. | 2022. 4. 30. | $31.27 | -24.92% | 4,131.93 | -8.80% | |
| 51. | 2022. 5. 31. | $31.18 | -0.29% | 4,132.15 | 0.01% | |
| 52. | 2022. 6. 30. | $30.58 | -1.92% | 3,785.38 | -8.39% | |
| 53. | 2022. 7. 31. | $34.01 | 11.22% | 4,130.29 | 9.11% | |
| 54. | 2022. 8. 31. | $28.64 | -15.79% | 3,955.00 | -4.24% | |
| 55. | 2022. 9. 30. | $25.13 | -12.26% | 3,585.62 | -9.34% | |
| 56. | 2022. 10. 31. | $28.31 | 12.65% | 3,871.98 | 7.99% | |
| 57. | 2022. 11. 30. | $26.21 | -7.42% | 4,080.11 | 5.38% | |
| 58. | 2022. 12. 31. | $18.46 | -29.57% | 3,839.50 | -5.90% | |
| 59. | 2023. 1. 31. | $21.87 | 18.47% | 4,076.60 | 6.18% | |
| 60. | 2023. 2. 28. | $19.23 | -12.07% | 3,970.15 | -2.61% | |
| 61. | 2023. 3. 31. | $23.02 | 19.71% | 4,109.31 | 3.51% | |
| 62. | 2023. 4. 30. | $19.29 | -16.20% | 4,169.48 | 1.46% | |
| 63. | 2023. 5. 31. | $24.05 | 24.68% | 4,179.83 | 0.25% | |
| 64. | 2023. 6. 30. | $24.25 | 0.83% | 4,376.86 | 4.71% | |
| 65. | 2023. 7. 31. | $22.20 | -8.45% | 4,588.96 | 4.85% | |
| 66. | 2023. 8. 31. | $18.55 | -16.44% | 4,507.66 | -1.77% | |
| 67. | 2023. 9. 30. | $16.46 | -11.27% | 4,288.05 | -4.87% | |
| 68. | 2023. 10. 31. | $13.77 | -16.34% | 4,193.80 | -2.20% | |
| 69. | 2023. 11. 30. | $14.55 | 5.66% | 4,567.80 | 8.92% | |
| 70. | 2023. 12. 31. | $17.53 | 20.48% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $14.23 | -18.82% | 4,845.65 | 1.59% | |
| 평균의 (R): | 24.04% | 0.95% | ||||
| 표준 편차: | 194.40% | 5.18% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 GME 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
GameStop Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RGME,t | RS&P 500,t | (RGME,t–RGME)2 | (RS&P 500,t–RS&P 500)2 | (RGME,t–RGME)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -16.96% | -2.69% | 1,681.05 | 13.26 | 149.30 |
| 2. | 2018. 4. 30. | 7.91% | 0.27% | 260.01 | 0.46 | 10.98 |
| 3. | 2018. 5. 31. | -3.23% | 2.16% | 743.22 | 1.46 | -32.93 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | 20.48% | 4.42% | 12.64 | 12.04 | -12.34 |
| 71. | 2024. 1. 31. | -18.82% | 1.59% | 1,837.08 | 0.41 | -27.29 |
| 합계 (Σ): | 2,645,398.87 | 1,876.53 | -299.78 | |||
| t | 날짜 | RGME,t | RS&P 500,t | (RGME,t–RGME)2 | (RS&P 500,t–RS&P 500)2 | (RGME,t–RGME)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -16.96% | -2.69% | 1,681.05 | 13.26 | 149.30 |
| 2. | 2018. 4. 30. | 7.91% | 0.27% | 260.01 | 0.46 | 10.98 |
| 3. | 2018. 5. 31. | -3.23% | 2.16% | 743.22 | 1.46 | -32.93 |
| 4. | 2018. 6. 30. | 13.18% | 0.48% | 117.82 | 0.22 | 5.09 |
| 5. | 2018. 7. 31. | -1.10% | 3.60% | 631.78 | 7.02 | -66.59 |
| 6. | 2018. 8. 31. | -7.78% | 3.03% | 1,012.13 | 4.30 | -65.96 |
| 7. | 2018. 9. 30. | 17.92% | 0.43% | 37.39 | 0.27 | 3.20 |
| 8. | 2018. 10. 31. | -4.45% | -6.94% | 811.48 | 62.30 | 224.85 |
| 9. | 2018. 11. 30. | -6.30% | 1.79% | 920.37 | 0.69 | -25.27 |
| 10. | 2018. 12. 31. | -4.82% | -9.18% | 832.95 | 102.63 | 292.38 |
| 11. | 2019. 1. 31. | -10.13% | 7.87% | 1,167.10 | 47.82 | -236.25 |
| 12. | 2019. 2. 28. | 3.17% | 2.97% | 435.44 | 4.08 | -42.15 |
| 13. | 2019. 3. 31. | -10.07% | 1.79% | 1,163.12 | 0.70 | -28.63 |
| 14. | 2019. 4. 30. | -14.96% | 3.93% | 1,520.76 | 8.87 | -116.15 |
| 15. | 2019. 5. 31. | -12.04% | -6.58% | 1,301.28 | 56.71 | 271.66 |
| 16. | 2019. 6. 30. | -27.89% | 6.89% | 2,696.83 | 35.28 | -308.48 |
| 17. | 2019. 7. 31. | -26.28% | 1.31% | 2,531.46 | 0.13 | -18.11 |
| 18. | 2019. 8. 31. | -1.98% | -1.81% | 676.86 | 7.63 | 71.86 |
| 19. | 2019. 9. 30. | 39.39% | 1.72% | 235.86 | 0.59 | 11.75 |
| 20. | 2019. 10. 31. | -1.45% | 2.04% | 649.51 | 1.19 | -27.79 |
| 21. | 2019. 11. 30. | 16.91% | 3.40% | 50.76 | 6.01 | -17.47 |
| 22. | 2019. 12. 31. | -4.40% | 2.86% | 808.77 | 3.63 | -54.21 |
| 23. | 2020. 1. 31. | -36.84% | -0.16% | 3,706.18 | 1.24 | 67.92 |
| 24. | 2020. 2. 29. | -6.25% | -8.41% | 917.26 | 87.68 | 283.60 |
| 25. | 2020. 3. 31. | -2.22% | -12.51% | 689.51 | 181.30 | 353.57 |
| 26. | 2020. 4. 30. | 62.50% | 12.68% | 1,479.46 | 137.63 | 451.24 |
| 27. | 2020. 5. 31. | -28.67% | 4.53% | 2,778.09 | 12.78 | -188.44 |
| 28. | 2020. 6. 30. | 6.86% | 1.84% | 294.93 | 0.78 | -15.21 |
| 29. | 2020. 7. 31. | -8.26% | 5.51% | 1,042.85 | 20.77 | -147.17 |
| 30. | 2020. 8. 31. | 67.00% | 7.01% | 1,845.88 | 36.65 | 260.08 |
| 31. | 2020. 9. 30. | 52.69% | -3.92% | 821.30 | 23.77 | -139.73 |
| 32. | 2020. 10. 31. | 2.75% | -2.77% | 453.31 | 13.83 | 79.19 |
| 33. | 2020. 11. 30. | 58.02% | 10.75% | 1,154.57 | 96.07 | 333.05 |
| 34. | 2020. 12. 31. | 13.77% | 3.71% | 105.44 | 7.61 | -28.33 |
| 35. | 2021. 1. 31. | 1,625.05% | -1.11% | 2,563,254.79 | 4.27 | -3,308.64 |
| 36. | 2021. 2. 28. | -68.69% | 2.61% | 8,598.02 | 2.74 | -153.57 |
| 37. | 2021. 3. 31. | 86.56% | 4.24% | 3,908.79 | 10.83 | 205.75 |
| 38. | 2021. 4. 30. | -8.55% | 5.24% | 1,062.16 | 18.40 | -139.80 |
| 39. | 2021. 5. 31. | 27.88% | 0.55% | 14.78 | 0.16 | -1.55 |
| 40. | 2021. 6. 30. | -3.53% | 2.22% | 759.98 | 1.61 | -34.97 |
| 41. | 2021. 7. 31. | -24.77% | 2.27% | 2,381.71 | 1.75 | -64.51 |
| 42. | 2021. 8. 31. | 35.45% | 2.90% | 130.31 | 3.79 | 22.22 |
| 43. | 2021. 9. 30. | -19.59% | -4.76% | 1,903.52 | 32.60 | 249.12 |
| 44. | 2021. 10. 31. | 4.58% | 6.91% | 378.48 | 35.54 | -115.98 |
| 45. | 2021. 11. 30. | 6.91% | -0.83% | 293.33 | 3.19 | 30.59 |
| 46. | 2021. 12. 31. | -24.36% | 4.36% | 2,342.48 | 11.62 | -164.96 |
| 47. | 2022. 1. 31. | -26.60% | -5.26% | 2,564.42 | 38.58 | 314.55 |
| 48. | 2022. 2. 28. | 13.22% | -3.14% | 116.98 | 16.72 | 44.22 |
| 49. | 2022. 3. 31. | 35.10% | 3.58% | 122.31 | 6.89 | 29.02 |
| 50. | 2022. 4. 30. | -24.92% | -8.80% | 2,396.91 | 95.04 | 477.27 |
| 51. | 2022. 5. 31. | -0.29% | 0.01% | 591.66 | 0.90 | 23.05 |
| 52. | 2022. 6. 30. | -1.92% | -8.39% | 673.95 | 87.33 | 242.60 |
| 53. | 2022. 7. 31. | 11.22% | 9.11% | 164.35 | 66.56 | -104.59 |
| 54. | 2022. 8. 31. | -15.79% | -4.24% | 1,586.09 | 27.01 | 206.97 |
| 55. | 2022. 9. 30. | -12.26% | -9.34% | 1,317.10 | 105.94 | 373.53 |
| 56. | 2022. 10. 31. | 12.65% | 7.99% | 129.55 | 49.47 | -80.06 |
| 57. | 2022. 11. 30. | -7.42% | 5.38% | 989.36 | 19.56 | -139.10 |
| 58. | 2022. 12. 31. | -29.57% | -5.90% | 2,873.51 | 46.92 | 367.20 |
| 59. | 2023. 1. 31. | 18.47% | 6.18% | 30.96 | 27.27 | -29.06 |
| 60. | 2023. 2. 28. | -12.07% | -2.61% | 1,303.76 | 12.70 | 128.69 |
| 61. | 2023. 3. 31. | 19.71% | 3.51% | 18.73 | 6.51 | -11.04 |
| 62. | 2023. 4. 30. | -16.20% | 1.46% | 1,619.22 | 0.26 | -20.58 |
| 63. | 2023. 5. 31. | 24.68% | 0.25% | 0.41 | 0.50 | -0.45 |
| 64. | 2023. 6. 30. | 0.83% | 4.71% | 538.46 | 14.14 | -87.27 |
| 65. | 2023. 7. 31. | -8.45% | 4.85% | 1,055.59 | 15.16 | -126.48 |
| 66. | 2023. 8. 31. | -16.44% | -1.77% | 1,638.45 | 7.42 | 110.28 |
| 67. | 2023. 9. 30. | -11.27% | -4.87% | 1,246.31 | 33.93 | 205.64 |
| 68. | 2023. 10. 31. | -16.34% | -2.20% | 1,630.46 | 9.93 | 127.23 |
| 69. | 2023. 11. 30. | 5.66% | 8.92% | 337.52 | 63.44 | -146.33 |
| 70. | 2023. 12. 31. | 20.48% | 4.42% | 12.64 | 12.04 | -12.34 |
| 71. | 2024. 1. 31. | -18.82% | 1.59% | 1,837.08 | 0.41 | -27.29 |
| 합계 (Σ): | 2,645,398.87 | 1,876.53 | -299.78 | |||
모두 보기
분산GME = Σ(RGME,t–RGME)2 ÷ (71 – 1)
= 2,645,398.87 ÷ (71 – 1)
= 37,791.41
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
공분산GME, S&P 500 = Σ(RGME,t–RGME)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= -299.78 ÷ (71 – 1)
= -4.28
체계적인 위험 추정 (β)
| 분산GME | 37,791.41 |
| 분산S&P 500 | 26.81 |
| 공분산GME, S&P 500 | -4.28 |
| 상관 계수GME, S&P 5001 | 0.00 |
| βGME2 | -0.16 |
| αGME3 | 24.19% |
계산
1 상관 계수GME, S&P 500
= 공분산GME, S&P 500 ÷ (표준 편차GME × 표준 편차S&P 500)
= -4.28 ÷ (194.40% × 5.18%)
= 0.00
2 βGME
= 공분산GME, S&P 500 ÷ 분산S&P 500
= -4.28 ÷ 26.81
= -0.16
3 αGME
= 평균의GME – βGME × 평균의S&P 500
= 24.04% – -0.16 × 0.95%
= 24.19%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.34% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.74% |
| 보통주의 체계적 위험GameStop | βGME | -0.16 |
| 게임스톱 보통주 예상 수익률3 | E(RGME) | 2.84% |
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(RGME) = RF + βGME [E(RM) – RF]
= 4.34% + -0.16 [13.74% – 4.34%]
= 2.84%