Stock Analysis on Net

Home Depot Inc. (NYSE:HD)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 Home Depot보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

Home Depot Inc., 월별 수익률

Microsoft Excel
Home Depot Inc. (HD) Standard & Poor’s 500 (S&P 500)
t 날짜 HD,t1 피제수HD,t1 RHD,t2 S&P 500,t RS&P 500,t3
2017. 2. 28. $144.91 2,363.64
1. 2017. 3. 31. $146.83 $0.89 1.94% 2,362.72 -0.04%
2. 2017. 4. 30. $156.10 6.31% 2,384.20 0.91%
3. 2017. 5. 31. $153.51 $0.89 -1.09% 2,411.80 1.16%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2022. 12. 31. $315.86 -2.51% 3,839.50 -5.90%
71. 2023. 1. 31. $324.17 2.63% 4,076.60 6.18%
평균의 (R): 1.56% 0.90%
표준 편차: 6.67% 5.01%
Home Depot Inc. (HD) Standard & Poor’s 500 (S&P 500)
t 날짜 HD,t1 피제수HD,t1 RHD,t2 S&P 500,t RS&P 500,t3
2017. 2. 28. $144.91 2,363.64
1. 2017. 3. 31. $146.83 $0.89 1.94% 2,362.72 -0.04%
2. 2017. 4. 30. $156.10 6.31% 2,384.20 0.91%
3. 2017. 5. 31. $153.51 $0.89 -1.09% 2,411.80 1.16%
4. 2017. 6. 30. $153.40 -0.07% 2,423.41 0.48%
5. 2017. 7. 31. $149.60 -2.48% 2,470.30 1.93%
6. 2017. 8. 31. $149.87 $0.89 0.78% 2,471.65 0.05%
7. 2017. 9. 30. $163.56 9.13% 2,519.36 1.93%
8. 2017. 10. 31. $165.78 1.36% 2,575.26 2.22%
9. 2017. 11. 30. $179.82 $0.89 9.01% 2,647.58 2.81%
10. 2017. 12. 31. $189.53 5.40% 2,673.61 0.98%
11. 2018. 1. 31. $200.90 6.00% 2,823.81 5.62%
12. 2018. 2. 28. $182.27 -9.27% 2,713.83 -3.89%
13. 2018. 3. 31. $178.24 $1.03 -1.65% 2,640.87 -2.69%
14. 2018. 4. 30. $184.80 3.68% 2,648.05 0.27%
15. 2018. 5. 31. $186.55 $1.03 1.50% 2,705.27 2.16%
16. 2018. 6. 30. $195.10 4.58% 2,718.37 0.48%
17. 2018. 7. 31. $197.52 1.24% 2,816.29 3.60%
18. 2018. 8. 31. $200.77 $1.03 2.17% 2,901.52 3.03%
19. 2018. 9. 30. $207.15 3.18% 2,913.98 0.43%
20. 2018. 10. 31. $175.88 -15.10% 2,711.74 -6.94%
21. 2018. 11. 30. $180.32 $1.03 3.11% 2,760.17 1.79%
22. 2018. 12. 31. $171.82 -4.71% 2,506.85 -9.18%
23. 2019. 1. 31. $183.53 6.82% 2,704.10 7.87%
24. 2019. 2. 28. $185.14 0.88% 2,784.49 2.97%
25. 2019. 3. 31. $191.89 $1.36 4.38% 2,834.40 1.79%
26. 2019. 4. 30. $203.70 6.15% 2,945.83 3.93%
27. 2019. 5. 31. $189.85 -6.80% 2,752.06 -6.58%
28. 2019. 6. 30. $207.97 $1.36 10.26% 2,941.76 6.89%
29. 2019. 7. 31. $213.69 2.75% 2,980.38 1.31%
30. 2019. 8. 31. $227.91 6.65% 2,926.46 -1.81%
31. 2019. 9. 30. $232.02 $1.36 2.40% 2,976.74 1.72%
32. 2019. 10. 31. $234.58 1.10% 3,037.56 2.04%
33. 2019. 11. 30. $220.51 -6.00% 3,140.98 3.40%
34. 2019. 12. 31. $218.38 $1.36 -0.35% 3,230.78 2.86%
35. 2020. 1. 31. $228.10 4.45% 3,225.52 -0.16%
36. 2020. 2. 29. $217.84 -4.50% 2,954.22 -8.41%
37. 2020. 3. 31. $186.71 $1.50 -13.60% 2,584.59 -12.51%
38. 2020. 4. 30. $219.83 17.74% 2,912.43 12.68%
39. 2020. 5. 31. $248.48 13.03% 3,044.31 4.53%
40. 2020. 6. 30. $250.51 $1.50 1.42% 3,100.29 1.84%
41. 2020. 7. 31. $265.49 5.98% 3,271.12 5.51%
42. 2020. 8. 31. $285.04 7.36% 3,500.31 7.01%
43. 2020. 9. 30. $277.71 $1.50 -2.05% 3,363.00 -3.92%
44. 2020. 10. 31. $266.71 -3.96% 3,269.96 -2.77%
45. 2020. 11. 30. $277.41 4.01% 3,621.63 10.75%
46. 2020. 12. 31. $265.62 $1.50 -3.71% 3,756.07 3.71%
47. 2021. 1. 31. $270.82 1.96% 3,714.24 -1.11%
48. 2021. 2. 28. $258.34 -4.61% 3,811.15 2.61%
49. 2021. 3. 31. $305.25 $1.65 18.80% 3,972.89 4.24%
50. 2021. 4. 30. $323.67 6.03% 4,181.17 5.24%
51. 2021. 5. 31. $318.91 -1.47% 4,204.11 0.55%
52. 2021. 6. 30. $318.89 $1.65 0.51% 4,297.50 2.22%
53. 2021. 7. 31. $328.19 2.92% 4,395.26 2.27%
54. 2021. 8. 31. $326.18 -0.61% 4,522.68 2.90%
55. 2021. 9. 30. $328.26 $1.65 1.14% 4,307.54 -4.76%
56. 2021. 10. 31. $371.74 13.25% 4,605.38 6.91%
57. 2021. 11. 30. $400.61 7.77% 4,567.00 -0.83%
58. 2021. 12. 31. $415.01 $1.65 4.01% 4,766.18 4.36%
59. 2022. 1. 31. $366.98 -11.57% 4,515.55 -5.26%
60. 2022. 2. 28. $315.83 -13.94% 4,373.94 -3.14%
61. 2022. 3. 31. $299.33 $1.90 -4.62% 4,530.41 3.58%
62. 2022. 4. 30. $300.40 0.36% 4,131.93 -8.80%
63. 2022. 5. 31. $302.75 0.78% 4,132.15 0.01%
64. 2022. 6. 30. $274.27 $1.90 -8.78% 3,785.38 -8.39%
65. 2022. 7. 31. $300.94 9.72% 4,130.29 9.11%
66. 2022. 8. 31. $288.42 $1.90 -3.53% 3,955.00 -4.24%
67. 2022. 9. 30. $275.94 -4.33% 3,585.62 -9.34%
68. 2022. 10. 31. $296.13 7.32% 3,871.98 7.99%
69. 2022. 11. 30. $323.99 $1.90 10.05% 4,080.11 5.38%
70. 2022. 12. 31. $315.86 -2.51% 3,839.50 -5.90%
71. 2023. 1. 31. $324.17 2.63% 4,076.60 6.18%
평균의 (R): 1.56% 0.90%
표준 편차: 6.67% 5.01%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 HD의 보통주에 대한 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.


분산과 공분산

Home Depot Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RHD,t RS&P 500,t (RHD,tRHD)2 (RS&P 500,tRS&P 500)2 (RHD,tRHD)×(RS&P 500,tRS&P 500)
1. 2017. 3. 31. 1.94% -0.04% 0.14 0.87 -0.35
2. 2017. 4. 30. 6.31% 0.91% 22.60 0.00 0.07
3. 2017. 5. 31. -1.09% 1.16% 7.01 0.07 -0.69
. . . . . . .
. . . . . . .
. . . . . . .
70. 2022. 12. 31. -2.51% -5.90% 16.56 46.14 27.64
71. 2023. 1. 31. 2.63% 6.18% 1.15 27.88 5.66
합계 (Σ): 3,114.15 1,754.14 1,651.11
t 날짜 RHD,t RS&P 500,t (RHD,tRHD)2 (RS&P 500,tRS&P 500)2 (RHD,tRHD)×(RS&P 500,tRS&P 500)
1. 2017. 3. 31. 1.94% -0.04% 0.14 0.87 -0.35
2. 2017. 4. 30. 6.31% 0.91% 22.60 0.00 0.07
3. 2017. 5. 31. -1.09% 1.16% 7.01 0.07 -0.69
4. 2017. 6. 30. -0.07% 0.48% 2.66 0.17 0.68
5. 2017. 7. 31. -2.48% 1.93% 16.29 1.08 -4.20
6. 2017. 8. 31. 0.78% 0.05% 0.61 0.71 0.66
7. 2017. 9. 30. 9.13% 1.93% 57.38 1.07 7.84
8. 2017. 10. 31. 1.36% 2.22% 0.04 1.75 -0.27
9. 2017. 11. 30. 9.01% 2.81% 55.45 3.66 14.24
10. 2017. 12. 31. 5.40% 0.98% 14.75 0.01 0.34
11. 2018. 1. 31. 6.00% 5.62% 19.71 22.30 20.97
12. 2018. 2. 28. -9.27% -3.89% 117.35 22.94 51.89
13. 2018. 3. 31. -1.65% -2.69% 10.27 12.84 11.49
14. 2018. 4. 30. 3.68% 0.27% 4.50 0.39 -1.32
15. 2018. 5. 31. 1.50% 2.16% 0.00 1.60 -0.07
16. 2018. 6. 30. 4.58% 0.48% 9.14 0.17 -1.24
17. 2018. 7. 31. 1.24% 3.60% 0.10 7.33 -0.86
18. 2018. 8. 31. 2.17% 3.03% 0.37 4.54 1.29
19. 2018. 9. 30. 3.18% 0.43% 2.62 0.22 -0.75
20. 2018. 10. 31. -15.10% -6.94% 277.38 61.40 130.50
21. 2018. 11. 30. 3.11% 1.79% 2.40 0.79 1.38
22. 2018. 12. 31. -4.71% -9.18% 39.35 101.46 63.19
23. 2019. 1. 31. 6.82% 7.87% 27.62 48.63 36.65
24. 2019. 2. 28. 0.88% 2.97% 0.47 4.32 -1.42
25. 2019. 3. 31. 4.38% 1.79% 7.96 0.80 2.53
26. 2019. 4. 30. 6.15% 3.93% 21.11 9.22 13.95
27. 2019. 5. 31. -6.80% -6.58% 69.87 55.85 62.47
28. 2019. 6. 30. 10.26% 6.89% 75.71 35.97 52.19
29. 2019. 7. 31. 2.75% 1.31% 1.42 0.17 0.50
30. 2019. 8. 31. 6.65% -1.81% 25.96 7.31 -13.78
31. 2019. 9. 30. 2.40% 1.72% 0.71 0.68 0.69
32. 2019. 10. 31. 1.10% 2.04% 0.21 1.32 -0.52
33. 2019. 11. 30. -6.00% 3.40% 57.12 6.30 -18.96
34. 2019. 12. 31. -0.35% 2.86% 3.64 3.86 -3.75
35. 2020. 1. 31. 4.45% -0.16% 8.36 1.12 -3.06
36. 2020. 2. 29. -4.50% -8.41% 36.69 86.61 56.37
37. 2020. 3. 31. -13.60% -12.51% 229.86 179.75 203.27
38. 2020. 4. 30. 17.74% 12.68% 261.77 138.98 190.74
39. 2020. 5. 31. 13.03% 4.53% 131.64 13.20 41.68
40. 2020. 6. 30. 1.42% 1.84% 0.02 0.89 -0.13
41. 2020. 7. 31. 5.98% 5.51% 19.54 21.30 20.40
42. 2020. 8. 31. 7.36% 7.01% 33.69 37.35 35.47
43. 2020. 9. 30. -2.05% -3.92% 12.99 23.21 17.37
44. 2020. 10. 31. -3.96% -2.77% 30.48 13.41 20.22
45. 2020. 11. 30. 4.01% 10.75% 6.01 97.21 24.18
46. 2020. 12. 31. -3.71% 3.71% 27.76 7.93 -14.84
47. 2021. 1. 31. 1.96% -1.11% 0.16 4.04 -0.80
48. 2021. 2. 28. -4.61% 2.61% 38.04 2.94 -10.57
49. 2021. 3. 31. 18.80% 4.24% 297.13 11.21 57.72
50. 2021. 4. 30. 6.03% 5.24% 20.02 18.90 19.45
51. 2021. 5. 31. -1.47% 0.55% 9.18 0.12 1.05
52. 2021. 6. 30. 0.51% 2.22% 1.10 1.76 -1.39
53. 2021. 7. 31. 2.92% 2.27% 1.84 1.90 1.87
54. 2021. 8. 31. -0.61% 2.90% 4.72 4.02 -4.35
55. 2021. 9. 30. 1.14% -4.76% 0.17 31.95 2.35
56. 2021. 10. 31. 13.25% 6.91% 136.57 36.23 70.34
57. 2021. 11. 30. 7.77% -0.83% 38.52 2.99 -10.73
58. 2021. 12. 31. 4.01% 4.36% 5.99 12.01 8.48
59. 2022. 1. 31. -11.57% -5.26% 172.47 37.87 80.82
60. 2022. 2. 28. -13.94% -3.14% 240.18 16.25 62.48
61. 2022. 3. 31. -4.62% 3.58% 38.22 7.19 -16.58
62. 2022. 4. 30. 0.36% -8.80% 1.44 93.91 11.65
63. 2022. 5. 31. 0.78% 0.01% 0.60 0.79 0.69
64. 2022. 6. 30. -8.78% -8.39% 106.90 86.25 96.02
65. 2022. 7. 31. 9.72% 9.11% 66.66 67.51 67.08
66. 2022. 8. 31. -3.53% -4.24% 25.89 26.41 26.15
67. 2022. 9. 30. -4.33% -9.34% 34.65 104.75 60.25
68. 2022. 10. 31. 7.32% 7.99% 33.15 50.28 40.83
69. 2022. 11. 30. 10.05% 5.38% 72.08 20.07 38.04
70. 2022. 12. 31. -2.51% -5.90% 16.56 46.14 27.64
71. 2023. 1. 31. 2.63% 6.18% 1.15 27.88 5.66
합계 (Σ): 3,114.15 1,754.14 1,651.11

모두 표시

분산HD = Σ(RHD,tRHD)2 ÷ (71 – 1)
= 3,114.15 ÷ (71 – 1)
= 44.49

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,754.14 ÷ (71 – 1)
= 25.06

공분산HD, S&P 500 = Σ(RHD,tRHD)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,651.11 ÷ (71 – 1)
= 23.59


체계적인 위험 추정 (β)

Microsoft Excel
분산HD 44.49
분산S&P 500 25.06
공분산HD, S&P 500 23.59
상관 계수HD, S&P 5001 0.71
βHD2 0.94
αHD3 0.72%

계산

1 상관 계수HD, S&P 500
= 공분산HD, S&P 500 ÷ (표준 편차HD × 표준 편차S&P 500)
= 23.59 ÷ (6.67% × 5.01%)
= 0.71

2 βHD
= 공분산HD, S&P 500 ÷ 분산S&P 500
= 23.59 ÷ 25.06
= 0.94

3 αHD
= 평균의HD – βHD × 평균의S&P 500
= 1.56%0.94 × 0.90%
= 0.72%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.48%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.81%
보통주의 체계적 위험Home Depot βHD 0.94
 
Home Depot 보통주 예상 수익률3 E(RHD) 12.32%

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(RHD) = RF + βHD [E(RM) – RF]
= 4.48% + 0.94 [12.81%4.48%]
= 12.32%