자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Home Depot보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Home Depot Inc., 월별 수익률
| Home Depot Inc. (HD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HD,t1 | 피제수HD,t1 | RHD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $182.27 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $178.24 | $1.03 | -1.65% | 2,640.87 | -2.69% |
| 2. | 2018. 4. 30. | $184.80 | 3.68% | 2,648.05 | 0.27% | |
| 3. | 2018. 5. 31. | $186.55 | $1.03 | 1.50% | 2,705.27 | 2.16% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | $346.55 | 10.55% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $352.96 | 1.85% | 4,845.65 | 1.59% | |
| 평균의 (R): | 1.38% | 0.95% | ||||
| 표준 편차: | 6.94% | 5.18% | ||||
| Home Depot Inc. (HD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값HD,t1 | 피제수HD,t1 | RHD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 2. 28. | $182.27 | 2,713.83 | ||||
| 1. | 2018. 3. 31. | $178.24 | $1.03 | -1.65% | 2,640.87 | -2.69% |
| 2. | 2018. 4. 30. | $184.80 | 3.68% | 2,648.05 | 0.27% | |
| 3. | 2018. 5. 31. | $186.55 | $1.03 | 1.50% | 2,705.27 | 2.16% |
| 4. | 2018. 6. 30. | $195.10 | 4.58% | 2,718.37 | 0.48% | |
| 5. | 2018. 7. 31. | $197.52 | 1.24% | 2,816.29 | 3.60% | |
| 6. | 2018. 8. 31. | $200.77 | $1.03 | 2.17% | 2,901.52 | 3.03% |
| 7. | 2018. 9. 30. | $207.15 | 3.18% | 2,913.98 | 0.43% | |
| 8. | 2018. 10. 31. | $175.88 | -15.10% | 2,711.74 | -6.94% | |
| 9. | 2018. 11. 30. | $180.32 | $1.03 | 3.11% | 2,760.17 | 1.79% |
| 10. | 2018. 12. 31. | $171.82 | -4.71% | 2,506.85 | -9.18% | |
| 11. | 2019. 1. 31. | $183.53 | 6.82% | 2,704.10 | 7.87% | |
| 12. | 2019. 2. 28. | $185.14 | 0.88% | 2,784.49 | 2.97% | |
| 13. | 2019. 3. 31. | $191.89 | $1.36 | 4.38% | 2,834.40 | 1.79% |
| 14. | 2019. 4. 30. | $203.70 | 6.15% | 2,945.83 | 3.93% | |
| 15. | 2019. 5. 31. | $189.85 | -6.80% | 2,752.06 | -6.58% | |
| 16. | 2019. 6. 30. | $207.97 | $1.36 | 10.26% | 2,941.76 | 6.89% |
| 17. | 2019. 7. 31. | $213.69 | 2.75% | 2,980.38 | 1.31% | |
| 18. | 2019. 8. 31. | $227.91 | 6.65% | 2,926.46 | -1.81% | |
| 19. | 2019. 9. 30. | $232.02 | $1.36 | 2.40% | 2,976.74 | 1.72% |
| 20. | 2019. 10. 31. | $234.58 | 1.10% | 3,037.56 | 2.04% | |
| 21. | 2019. 11. 30. | $220.51 | -6.00% | 3,140.98 | 3.40% | |
| 22. | 2019. 12. 31. | $218.38 | $1.36 | -0.35% | 3,230.78 | 2.86% |
| 23. | 2020. 1. 31. | $228.10 | 4.45% | 3,225.52 | -0.16% | |
| 24. | 2020. 2. 29. | $217.84 | -4.50% | 2,954.22 | -8.41% | |
| 25. | 2020. 3. 31. | $186.71 | $1.50 | -13.60% | 2,584.59 | -12.51% |
| 26. | 2020. 4. 30. | $219.83 | 17.74% | 2,912.43 | 12.68% | |
| 27. | 2020. 5. 31. | $248.48 | 13.03% | 3,044.31 | 4.53% | |
| 28. | 2020. 6. 30. | $250.51 | $1.50 | 1.42% | 3,100.29 | 1.84% |
| 29. | 2020. 7. 31. | $265.49 | 5.98% | 3,271.12 | 5.51% | |
| 30. | 2020. 8. 31. | $285.04 | 7.36% | 3,500.31 | 7.01% | |
| 31. | 2020. 9. 30. | $277.71 | $1.50 | -2.05% | 3,363.00 | -3.92% |
| 32. | 2020. 10. 31. | $266.71 | -3.96% | 3,269.96 | -2.77% | |
| 33. | 2020. 11. 30. | $277.41 | 4.01% | 3,621.63 | 10.75% | |
| 34. | 2020. 12. 31. | $265.62 | $1.50 | -3.71% | 3,756.07 | 3.71% |
| 35. | 2021. 1. 31. | $270.82 | 1.96% | 3,714.24 | -1.11% | |
| 36. | 2021. 2. 28. | $258.34 | -4.61% | 3,811.15 | 2.61% | |
| 37. | 2021. 3. 31. | $305.25 | $1.65 | 18.80% | 3,972.89 | 4.24% |
| 38. | 2021. 4. 30. | $323.67 | 6.03% | 4,181.17 | 5.24% | |
| 39. | 2021. 5. 31. | $318.91 | -1.47% | 4,204.11 | 0.55% | |
| 40. | 2021. 6. 30. | $318.89 | $1.65 | 0.51% | 4,297.50 | 2.22% |
| 41. | 2021. 7. 31. | $328.19 | 2.92% | 4,395.26 | 2.27% | |
| 42. | 2021. 8. 31. | $326.18 | -0.61% | 4,522.68 | 2.90% | |
| 43. | 2021. 9. 30. | $328.26 | $1.65 | 1.14% | 4,307.54 | -4.76% |
| 44. | 2021. 10. 31. | $371.74 | 13.25% | 4,605.38 | 6.91% | |
| 45. | 2021. 11. 30. | $400.61 | 7.77% | 4,567.00 | -0.83% | |
| 46. | 2021. 12. 31. | $415.01 | $1.65 | 4.01% | 4,766.18 | 4.36% |
| 47. | 2022. 1. 31. | $366.98 | -11.57% | 4,515.55 | -5.26% | |
| 48. | 2022. 2. 28. | $315.83 | -13.94% | 4,373.94 | -3.14% | |
| 49. | 2022. 3. 31. | $299.33 | $1.90 | -4.62% | 4,530.41 | 3.58% |
| 50. | 2022. 4. 30. | $300.40 | 0.36% | 4,131.93 | -8.80% | |
| 51. | 2022. 5. 31. | $302.75 | 0.78% | 4,132.15 | 0.01% | |
| 52. | 2022. 6. 30. | $274.27 | $1.90 | -8.78% | 3,785.38 | -8.39% |
| 53. | 2022. 7. 31. | $300.94 | 9.72% | 4,130.29 | 9.11% | |
| 54. | 2022. 8. 31. | $288.42 | $1.90 | -3.53% | 3,955.00 | -4.24% |
| 55. | 2022. 9. 30. | $275.94 | -4.33% | 3,585.62 | -9.34% | |
| 56. | 2022. 10. 31. | $296.13 | 7.32% | 3,871.98 | 7.99% | |
| 57. | 2022. 11. 30. | $323.99 | $1.90 | 10.05% | 4,080.11 | 5.38% |
| 58. | 2022. 12. 31. | $315.86 | -2.51% | 3,839.50 | -5.90% | |
| 59. | 2023. 1. 31. | $324.17 | 2.63% | 4,076.60 | 6.18% | |
| 60. | 2023. 2. 28. | $296.54 | -8.52% | 3,970.15 | -2.61% | |
| 61. | 2023. 3. 31. | $295.12 | $2.09 | 0.23% | 4,109.31 | 3.51% |
| 62. | 2023. 4. 30. | $300.54 | 1.84% | 4,169.48 | 1.46% | |
| 63. | 2023. 5. 31. | $283.45 | $2.09 | -4.99% | 4,179.83 | 0.25% |
| 64. | 2023. 6. 30. | $310.64 | 9.59% | 4,376.86 | 4.71% | |
| 65. | 2023. 7. 31. | $333.84 | 7.47% | 4,588.96 | 4.85% | |
| 66. | 2023. 8. 31. | $330.30 | $2.09 | -0.43% | 4,507.66 | -1.77% |
| 67. | 2023. 9. 30. | $302.16 | -8.52% | 4,288.05 | -4.87% | |
| 68. | 2023. 10. 31. | $284.69 | -5.78% | 4,193.80 | -2.20% | |
| 69. | 2023. 11. 30. | $313.49 | $2.09 | 10.85% | 4,567.80 | 8.92% |
| 70. | 2023. 12. 31. | $346.55 | 10.55% | 4,769.83 | 4.42% | |
| 71. | 2024. 1. 31. | $352.96 | 1.85% | 4,845.65 | 1.59% | |
| 평균의 (R): | 1.38% | 0.95% | ||||
| 표준 편차: | 6.94% | 5.18% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 HD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Home Depot Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RHD,t | RS&P 500,t | (RHD,t–RHD)2 | (RS&P 500,t–RS&P 500)2 | (RHD,t–RHD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -1.65% | -2.69% | 9.14 | 13.26 | 11.01 |
| 2. | 2018. 4. 30. | 3.68% | 0.27% | 5.30 | 0.46 | -1.57 |
| 3. | 2018. 5. 31. | 1.50% | 2.16% | 0.02 | 1.46 | 0.15 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 12. 31. | 10.55% | 4.42% | 84.05 | 12.04 | 31.81 |
| 71. | 2024. 1. 31. | 1.85% | 1.59% | 0.22 | 0.41 | 0.30 |
| 합계 (Σ): | 3,370.28 | 1,876.53 | 1,843.57 | |||
| t | 날짜 | RHD,t | RS&P 500,t | (RHD,t–RHD)2 | (RS&P 500,t–RS&P 500)2 | (RHD,t–RHD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 3. 31. | -1.65% | -2.69% | 9.14 | 13.26 | 11.01 |
| 2. | 2018. 4. 30. | 3.68% | 0.27% | 5.30 | 0.46 | -1.57 |
| 3. | 2018. 5. 31. | 1.50% | 2.16% | 0.02 | 1.46 | 0.15 |
| 4. | 2018. 6. 30. | 4.58% | 0.48% | 10.27 | 0.22 | -1.50 |
| 5. | 2018. 7. 31. | 1.24% | 3.60% | 0.02 | 7.02 | -0.36 |
| 6. | 2018. 8. 31. | 2.17% | 3.03% | 0.62 | 4.30 | 1.64 |
| 7. | 2018. 9. 30. | 3.18% | 0.43% | 3.24 | 0.27 | -0.94 |
| 8. | 2018. 10. 31. | -15.10% | -6.94% | 271.37 | 62.30 | 130.03 |
| 9. | 2018. 11. 30. | 3.11% | 1.79% | 3.00 | 0.69 | 1.44 |
| 10. | 2018. 12. 31. | -4.71% | -9.18% | 37.11 | 102.63 | 61.71 |
| 11. | 2019. 1. 31. | 6.82% | 7.87% | 29.57 | 47.82 | 37.60 |
| 12. | 2019. 2. 28. | 0.88% | 2.97% | 0.25 | 4.08 | -1.01 |
| 13. | 2019. 3. 31. | 4.38% | 1.79% | 9.02 | 0.70 | 2.52 |
| 14. | 2019. 4. 30. | 6.15% | 3.93% | 22.82 | 8.87 | 14.23 |
| 15. | 2019. 5. 31. | -6.80% | -6.58% | 66.86 | 56.71 | 61.58 |
| 16. | 2019. 6. 30. | 10.26% | 6.89% | 78.90 | 35.28 | 52.76 |
| 17. | 2019. 7. 31. | 2.75% | 1.31% | 1.88 | 0.13 | 0.49 |
| 18. | 2019. 8. 31. | 6.65% | -1.81% | 27.84 | 7.63 | -14.57 |
| 19. | 2019. 9. 30. | 2.40% | 1.72% | 1.04 | 0.59 | 0.78 |
| 20. | 2019. 10. 31. | 1.10% | 2.04% | 0.08 | 1.19 | -0.30 |
| 21. | 2019. 11. 30. | -6.00% | 3.40% | 54.40 | 6.01 | -18.08 |
| 22. | 2019. 12. 31. | -0.35% | 2.86% | 2.98 | 3.63 | -3.29 |
| 23. | 2020. 1. 31. | 4.45% | -0.16% | 9.44 | 1.24 | -3.43 |
| 24. | 2020. 2. 29. | -4.50% | -8.41% | 34.53 | 87.68 | 55.02 |
| 25. | 2020. 3. 31. | -13.60% | -12.51% | 224.39 | 181.30 | 201.70 |
| 26. | 2020. 4. 30. | 17.74% | 12.68% | 267.68 | 137.63 | 191.94 |
| 27. | 2020. 5. 31. | 13.03% | 4.53% | 135.84 | 12.78 | 41.67 |
| 28. | 2020. 6. 30. | 1.42% | 1.84% | 0.00 | 0.78 | 0.04 |
| 29. | 2020. 7. 31. | 5.98% | 5.51% | 21.18 | 20.77 | 20.97 |
| 30. | 2020. 8. 31. | 7.36% | 7.01% | 35.83 | 36.65 | 36.24 |
| 31. | 2020. 9. 30. | -2.05% | -3.92% | 11.72 | 23.77 | 16.69 |
| 32. | 2020. 10. 31. | -3.96% | -2.77% | 28.50 | 13.83 | 19.86 |
| 33. | 2020. 11. 30. | 4.01% | 10.75% | 6.94 | 96.07 | 25.82 |
| 34. | 2020. 12. 31. | -3.71% | 3.71% | 25.88 | 7.61 | -14.04 |
| 35. | 2021. 1. 31. | 1.96% | -1.11% | 0.34 | 4.27 | -1.20 |
| 36. | 2021. 2. 28. | -4.61% | 2.61% | 35.83 | 2.74 | -9.91 |
| 37. | 2021. 3. 31. | 18.80% | 4.24% | 303.42 | 10.83 | 57.33 |
| 38. | 2021. 4. 30. | 6.03% | 5.24% | 21.68 | 18.40 | 19.97 |
| 39. | 2021. 5. 31. | -1.47% | 0.55% | 8.11 | 0.16 | 1.15 |
| 40. | 2021. 6. 30. | 0.51% | 2.22% | 0.75 | 1.61 | -1.10 |
| 41. | 2021. 7. 31. | 2.92% | 2.27% | 2.37 | 1.75 | 2.03 |
| 42. | 2021. 8. 31. | -0.61% | 2.90% | 3.96 | 3.79 | -3.87 |
| 43. | 2021. 9. 30. | 1.14% | -4.76% | 0.05 | 32.60 | 1.34 |
| 44. | 2021. 10. 31. | 13.25% | 6.91% | 140.84 | 35.54 | 70.75 |
| 45. | 2021. 11. 30. | 7.77% | -0.83% | 40.81 | 3.19 | -11.41 |
| 46. | 2021. 12. 31. | 4.01% | 4.36% | 6.91 | 11.62 | 8.96 |
| 47. | 2022. 1. 31. | -11.57% | -5.26% | 167.73 | 38.58 | 80.44 |
| 48. | 2022. 2. 28. | -13.94% | -3.14% | 234.58 | 16.72 | 62.63 |
| 49. | 2022. 3. 31. | -4.62% | 3.58% | 36.01 | 6.89 | -15.75 |
| 50. | 2022. 4. 30. | 0.36% | -8.80% | 1.04 | 95.04 | 9.95 |
| 51. | 2022. 5. 31. | 0.78% | 0.01% | 0.35 | 0.90 | 0.56 |
| 52. | 2022. 6. 30. | -8.78% | -8.39% | 103.17 | 87.33 | 94.92 |
| 53. | 2022. 7. 31. | 9.72% | 9.11% | 69.66 | 66.56 | 68.09 |
| 54. | 2022. 8. 31. | -3.53% | -4.24% | 24.08 | 27.01 | 25.50 |
| 55. | 2022. 9. 30. | -4.33% | -9.34% | 32.55 | 105.94 | 58.72 |
| 56. | 2022. 10. 31. | 7.32% | 7.99% | 35.27 | 49.47 | 41.77 |
| 57. | 2022. 11. 30. | 10.05% | 5.38% | 75.20 | 19.56 | 38.35 |
| 58. | 2022. 12. 31. | -2.51% | -5.90% | 15.11 | 46.92 | 26.63 |
| 59. | 2023. 1. 31. | 2.63% | 6.18% | 1.57 | 27.27 | 6.54 |
| 60. | 2023. 2. 28. | -8.52% | -2.61% | 98.03 | 12.70 | 35.29 |
| 61. | 2023. 3. 31. | 0.23% | 3.51% | 1.33 | 6.51 | -2.94 |
| 62. | 2023. 4. 30. | 1.84% | 1.46% | 0.21 | 0.26 | 0.23 |
| 63. | 2023. 5. 31. | -4.99% | 0.25% | 40.56 | 0.50 | 4.49 |
| 64. | 2023. 6. 30. | 9.59% | 4.71% | 67.48 | 14.14 | 30.89 |
| 65. | 2023. 7. 31. | 7.47% | 4.85% | 37.09 | 15.16 | 23.71 |
| 66. | 2023. 8. 31. | -0.43% | -1.77% | 3.28 | 7.42 | 4.94 |
| 67. | 2023. 9. 30. | -8.52% | -4.87% | 97.96 | 33.93 | 57.65 |
| 68. | 2023. 10. 31. | -5.78% | -2.20% | 51.26 | 9.93 | 22.56 |
| 69. | 2023. 11. 30. | 10.85% | 8.92% | 89.73 | 63.44 | 75.45 |
| 70. | 2023. 12. 31. | 10.55% | 4.42% | 84.05 | 12.04 | 31.81 |
| 71. | 2024. 1. 31. | 1.85% | 1.59% | 0.22 | 0.41 | 0.30 |
| 합계 (Σ): | 3,370.28 | 1,876.53 | 1,843.57 | |||
모두 보기
분산HD = Σ(RHD,t–RHD)2 ÷ (71 – 1)
= 3,370.28 ÷ (71 – 1)
= 48.15
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,876.53 ÷ (71 – 1)
= 26.81
공분산HD, S&P 500 = Σ(RHD,t–RHD)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,843.57 ÷ (71 – 1)
= 26.34
체계적인 위험 추정 (β)
| 분산HD | 48.15 |
| 분산S&P 500 | 26.81 |
| 공분산HD, S&P 500 | 26.34 |
| 상관 계수HD, S&P 5001 | 0.73 |
| βHD2 | 0.98 |
| αHD3 | 0.44% |
계산
1 상관 계수HD, S&P 500
= 공분산HD, S&P 500 ÷ (표준 편차HD × 표준 편차S&P 500)
= 26.34 ÷ (6.94% × 5.18%)
= 0.73
2 βHD
= 공분산HD, S&P 500 ÷ 분산S&P 500
= 26.34 ÷ 26.81
= 0.98
3 αHD
= 평균의HD – βHD × 평균의S&P 500
= 1.38% – 0.98 × 0.95%
= 0.44%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Home Depot | βHD | 0.98 |
| Home Depot 보통주 예상 수익률3 | E(RHD) | 13.63% |
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(RHD) = RF + βHD [E(RM) – RF]
= 4.67% + 0.98 [13.79% – 4.67%]
= 13.63%