자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 LVSC보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Las Vegas Sands Corp., 월별 수익률
| Las Vegas Sands Corp. (LVS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LVS,t1 | 피제수LVS,t1 | RLVS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $77.52 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $72.81 | -6.08% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $71.90 | $0.75 | -0.22% | 2,640.87 | -2.69% |
| 3. | 2018. 4. 30. | $73.33 | 1.99% | 2,648.05 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | $46.84 | 23.23% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $48.07 | 2.63% | 3,839.50 | -5.90% | |
| 평균의 (R): | -0.05% | 0.67% | ||||
| 표준 편차: | 10.72% | 5.40% | ||||
| Las Vegas Sands Corp. (LVS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LVS,t1 | 피제수LVS,t1 | RLVS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 1. 31. | $77.52 | 2,823.81 | ||||
| 1. | 2018. 2. 28. | $72.81 | -6.08% | 2,713.83 | -3.89% | |
| 2. | 2018. 3. 31. | $71.90 | $0.75 | -0.22% | 2,640.87 | -2.69% |
| 3. | 2018. 4. 30. | $73.33 | 1.99% | 2,648.05 | 0.27% | |
| 4. | 2018. 5. 31. | $80.61 | 9.93% | 2,705.27 | 2.16% | |
| 5. | 2018. 6. 30. | $76.36 | $0.75 | -4.34% | 2,718.37 | 0.48% |
| 6. | 2018. 7. 31. | $71.90 | -5.84% | 2,816.29 | 3.60% | |
| 7. | 2018. 8. 31. | $65.42 | -9.01% | 2,901.52 | 3.03% | |
| 8. | 2018. 9. 30. | $59.33 | $0.75 | -8.16% | 2,913.98 | 0.43% |
| 9. | 2018. 10. 31. | $51.03 | -13.99% | 2,711.74 | -6.94% | |
| 10. | 2018. 11. 30. | $54.94 | 7.66% | 2,760.17 | 1.79% | |
| 11. | 2018. 12. 31. | $52.05 | $0.75 | -3.90% | 2,506.85 | -9.18% |
| 12. | 2019. 1. 31. | $58.36 | 12.12% | 2,704.10 | 7.87% | |
| 13. | 2019. 2. 28. | $61.43 | 5.26% | 2,784.49 | 2.97% | |
| 14. | 2019. 3. 31. | $60.96 | $0.77 | 0.49% | 2,834.40 | 1.79% |
| 15. | 2019. 4. 30. | $67.05 | 9.99% | 2,945.83 | 3.93% | |
| 16. | 2019. 5. 31. | $55.00 | -17.97% | 2,752.06 | -6.58% | |
| 17. | 2019. 6. 30. | $59.09 | $0.77 | 8.84% | 2,941.76 | 6.89% |
| 18. | 2019. 7. 31. | $60.44 | 2.28% | 2,980.38 | 1.31% | |
| 19. | 2019. 8. 31. | $55.47 | -8.22% | 2,926.46 | -1.81% | |
| 20. | 2019. 9. 30. | $57.76 | $0.77 | 5.52% | 2,976.74 | 1.72% |
| 21. | 2019. 10. 31. | $61.84 | 7.06% | 3,037.56 | 2.04% | |
| 22. | 2019. 11. 30. | $62.75 | 1.47% | 3,140.98 | 3.40% | |
| 23. | 2019. 12. 31. | $69.04 | $0.77 | 11.25% | 3,230.78 | 2.86% |
| 24. | 2020. 1. 31. | $65.31 | -5.40% | 3,225.52 | -0.16% | |
| 25. | 2020. 2. 29. | $58.31 | -10.72% | 2,954.22 | -8.41% | |
| 26. | 2020. 3. 31. | $42.47 | $0.79 | -25.81% | 2,584.59 | -12.51% |
| 27. | 2020. 4. 30. | $48.02 | 13.07% | 2,912.43 | 12.68% | |
| 28. | 2020. 5. 31. | $47.94 | -0.17% | 3,044.31 | 4.53% | |
| 29. | 2020. 6. 30. | $45.54 | -5.01% | 3,100.29 | 1.84% | |
| 30. | 2020. 7. 31. | $43.64 | -4.17% | 3,271.12 | 5.51% | |
| 31. | 2020. 8. 31. | $50.71 | 16.20% | 3,500.31 | 7.01% | |
| 32. | 2020. 9. 30. | $46.66 | -7.99% | 3,363.00 | -3.92% | |
| 33. | 2020. 10. 31. | $48.06 | 3.00% | 3,269.96 | -2.77% | |
| 34. | 2020. 11. 30. | $55.71 | 15.92% | 3,621.63 | 10.75% | |
| 35. | 2020. 12. 31. | $59.60 | 6.98% | 3,756.07 | 3.71% | |
| 36. | 2021. 1. 31. | $48.09 | -19.31% | 3,714.24 | -1.11% | |
| 37. | 2021. 2. 28. | $62.60 | 30.17% | 3,811.15 | 2.61% | |
| 38. | 2021. 3. 31. | $60.76 | -2.94% | 3,972.89 | 4.24% | |
| 39. | 2021. 4. 30. | $61.26 | 0.82% | 4,181.17 | 5.24% | |
| 40. | 2021. 5. 31. | $57.75 | -5.73% | 4,204.11 | 0.55% | |
| 41. | 2021. 6. 30. | $52.69 | -8.76% | 4,297.50 | 2.22% | |
| 42. | 2021. 7. 31. | $42.35 | -19.62% | 4,395.26 | 2.27% | |
| 43. | 2021. 8. 31. | $44.61 | 5.34% | 4,522.68 | 2.90% | |
| 44. | 2021. 9. 30. | $36.60 | -17.96% | 4,307.54 | -4.76% | |
| 45. | 2021. 10. 31. | $38.81 | 6.04% | 4,605.38 | 6.91% | |
| 46. | 2021. 11. 30. | $35.62 | -8.22% | 4,567.00 | -0.83% | |
| 47. | 2021. 12. 31. | $37.64 | 5.67% | 4,766.18 | 4.36% | |
| 48. | 2022. 1. 31. | $43.80 | 16.37% | 4,515.55 | -5.26% | |
| 49. | 2022. 2. 28. | $42.86 | -2.15% | 4,373.94 | -3.14% | |
| 50. | 2022. 3. 31. | $38.87 | -9.31% | 4,530.41 | 3.58% | |
| 51. | 2022. 4. 30. | $35.43 | -8.85% | 4,131.93 | -8.80% | |
| 52. | 2022. 5. 31. | $35.46 | 0.08% | 4,132.15 | 0.01% | |
| 53. | 2022. 6. 30. | $33.59 | -5.27% | 3,785.38 | -8.39% | |
| 54. | 2022. 7. 31. | $37.69 | 12.21% | 4,130.29 | 9.11% | |
| 55. | 2022. 8. 31. | $37.63 | -0.16% | 3,955.00 | -4.24% | |
| 56. | 2022. 9. 30. | $37.52 | -0.29% | 3,585.62 | -9.34% | |
| 57. | 2022. 10. 31. | $38.01 | 1.31% | 3,871.98 | 7.99% | |
| 58. | 2022. 11. 30. | $46.84 | 23.23% | 4,080.11 | 5.38% | |
| 59. | 2022. 12. 31. | $48.07 | 2.63% | 3,839.50 | -5.90% | |
| 평균의 (R): | -0.05% | 0.67% | ||||
| 표준 편차: | 10.72% | 5.40% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 LVS의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Las Vegas Sands Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RLVS,t | RS&P 500,t | (RLVS,t–RLVS)2 | (RS&P 500,t–RS&P 500)2 | (RLVS,t–RLVS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -6.08% | -3.89% | 36.37 | 20.81 | 27.51 |
| 2. | 2018. 3. 31. | -0.22% | -2.69% | 0.03 | 11.26 | 0.59 |
| 3. | 2018. 4. 30. | 1.99% | 0.27% | 4.14 | 0.16 | -0.80 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2022. 11. 30. | 23.23% | 5.38% | 541.77 | 22.17 | 109.60 |
| 59. | 2022. 12. 31. | 2.63% | -5.90% | 7.14 | 43.08 | -17.53 |
| 합계 (Σ): | 6,665.35 | 1,691.48 | 1,873.27 | |||
| t | 날짜 | RLVS,t | RS&P 500,t | (RLVS,t–RLVS)2 | (RS&P 500,t–RS&P 500)2 | (RLVS,t–RLVS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 2. 28. | -6.08% | -3.89% | 36.37 | 20.81 | 27.51 |
| 2. | 2018. 3. 31. | -0.22% | -2.69% | 0.03 | 11.26 | 0.59 |
| 3. | 2018. 4. 30. | 1.99% | 0.27% | 4.14 | 0.16 | -0.80 |
| 4. | 2018. 5. 31. | 9.93% | 2.16% | 99.46 | 2.23 | 14.90 |
| 5. | 2018. 6. 30. | -4.34% | 0.48% | 18.46 | 0.03 | 0.78 |
| 6. | 2018. 7. 31. | -5.84% | 3.60% | 33.59 | 8.62 | -17.01 |
| 7. | 2018. 8. 31. | -9.01% | 3.03% | 80.41 | 5.57 | -21.16 |
| 8. | 2018. 9. 30. | -8.16% | 0.43% | 65.89 | 0.06 | 1.93 |
| 9. | 2018. 10. 31. | -13.99% | -6.94% | 194.44 | 57.87 | 106.07 |
| 10. | 2018. 11. 30. | 7.66% | 1.79% | 59.41 | 1.25 | 8.63 |
| 11. | 2018. 12. 31. | -3.90% | -9.18% | 14.82 | 96.91 | 37.90 |
| 12. | 2019. 1. 31. | 12.12% | 7.87% | 148.07 | 51.87 | 87.63 |
| 13. | 2019. 2. 28. | 5.26% | 2.97% | 28.15 | 5.32 | 12.24 |
| 14. | 2019. 3. 31. | 0.49% | 1.79% | 0.28 | 1.27 | 0.60 |
| 15. | 2019. 4. 30. | 9.99% | 3.93% | 100.71 | 10.66 | 32.76 |
| 16. | 2019. 5. 31. | -17.97% | -6.58% | 321.35 | 52.48 | 129.87 |
| 17. | 2019. 6. 30. | 8.84% | 6.89% | 78.88 | 38.77 | 55.30 |
| 18. | 2019. 7. 31. | 2.28% | 1.31% | 5.43 | 0.42 | 1.51 |
| 19. | 2019. 8. 31. | -8.22% | -1.81% | 66.87 | 6.13 | 20.25 |
| 20. | 2019. 9. 30. | 5.52% | 1.72% | 30.93 | 1.11 | 5.85 |
| 21. | 2019. 10. 31. | 7.06% | 2.04% | 50.54 | 1.89 | 9.79 |
| 22. | 2019. 11. 30. | 1.47% | 3.40% | 2.30 | 7.50 | 4.15 |
| 23. | 2019. 12. 31. | 11.25% | 2.86% | 127.61 | 4.81 | 24.77 |
| 24. | 2020. 1. 31. | -5.40% | -0.16% | 28.70 | 0.69 | 4.44 |
| 25. | 2020. 2. 29. | -10.72% | -8.41% | 113.91 | 82.40 | 96.88 |
| 26. | 2020. 3. 31. | -25.81% | -12.51% | 663.83 | 173.67 | 339.55 |
| 27. | 2020. 4. 30. | 13.07% | 12.68% | 171.96 | 144.43 | 157.59 |
| 28. | 2020. 5. 31. | -0.17% | 4.53% | 0.01 | 14.91 | -0.47 |
| 29. | 2020. 6. 30. | -5.01% | 1.84% | 24.61 | 1.37 | -5.82 |
| 30. | 2020. 7. 31. | -4.17% | 5.51% | 17.03 | 23.46 | -19.99 |
| 31. | 2020. 8. 31. | 16.20% | 7.01% | 263.93 | 40.19 | 103.00 |
| 32. | 2020. 9. 30. | -7.99% | -3.92% | 63.06 | 21.06 | 36.45 |
| 33. | 2020. 10. 31. | 3.00% | -2.77% | 9.28 | 11.79 | -10.46 |
| 34. | 2020. 11. 30. | 15.92% | 10.75% | 254.82 | 101.77 | 161.03 |
| 35. | 2020. 12. 31. | 6.98% | 3.71% | 49.39 | 9.28 | 21.40 |
| 36. | 2021. 1. 31. | -19.31% | -1.11% | 371.21 | 3.17 | 34.30 |
| 37. | 2021. 2. 28. | 30.17% | 2.61% | 913.12 | 3.77 | 58.70 |
| 38. | 2021. 3. 31. | -2.94% | 4.24% | 8.38 | 12.80 | -10.35 |
| 39. | 2021. 4. 30. | 0.82% | 5.24% | 0.75 | 20.94 | 3.97 |
| 40. | 2021. 5. 31. | -5.73% | 0.55% | 32.31 | 0.01 | 0.67 |
| 41. | 2021. 6. 30. | -8.76% | 2.22% | 75.98 | 2.42 | -13.55 |
| 42. | 2021. 7. 31. | -19.62% | 2.27% | 383.33 | 2.59 | -31.49 |
| 43. | 2021. 8. 31. | 5.34% | 2.90% | 28.96 | 4.98 | 12.01 |
| 44. | 2021. 9. 30. | -17.96% | -4.76% | 320.78 | 29.42 | 97.14 |
| 45. | 2021. 10. 31. | 6.04% | 6.91% | 37.01 | 39.03 | 38.01 |
| 46. | 2021. 11. 30. | -8.22% | -0.83% | 66.82 | 2.25 | 12.26 |
| 47. | 2021. 12. 31. | 5.67% | 4.36% | 32.68 | 13.65 | 21.12 |
| 48. | 2022. 1. 31. | 16.37% | -5.26% | 269.32 | 35.11 | -97.24 |
| 49. | 2022. 2. 28. | -2.15% | -3.14% | 4.41 | 14.46 | 7.99 |
| 50. | 2022. 3. 31. | -9.31% | 3.58% | 85.82 | 8.47 | -26.96 |
| 51. | 2022. 4. 30. | -8.85% | -8.80% | 77.52 | 89.54 | 83.31 |
| 52. | 2022. 5. 31. | 0.08% | 0.01% | 0.02 | 0.44 | -0.09 |
| 53. | 2022. 6. 30. | -5.27% | -8.39% | 27.33 | 82.06 | 47.36 |
| 54. | 2022. 7. 31. | 12.21% | 9.11% | 150.10 | 71.32 | 103.46 |
| 55. | 2022. 8. 31. | -0.16% | -4.24% | 0.01 | 24.11 | 0.56 |
| 56. | 2022. 9. 30. | -0.29% | -9.34% | 0.06 | 100.12 | 2.47 |
| 57. | 2022. 10. 31. | 1.31% | 7.99% | 1.83 | 53.58 | 9.89 |
| 58. | 2022. 11. 30. | 23.23% | 5.38% | 541.77 | 22.17 | 109.60 |
| 59. | 2022. 12. 31. | 2.63% | -5.90% | 7.14 | 43.08 | -17.53 |
| 합계 (Σ): | 6,665.35 | 1,691.48 | 1,873.27 | |||
모두 보기
분산LVS = Σ(RLVS,t–RLVS)2 ÷ (59 – 1)
= 6,665.35 ÷ (59 – 1)
= 114.92
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16
공분산LVS, S&P 500 = Σ(RLVS,t–RLVS)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,873.27 ÷ (59 – 1)
= 32.30
체계적인 위험 추정 (β)
| 분산LVS | 114.92 |
| 분산S&P 500 | 29.16 |
| 공분산LVS, S&P 500 | 32.30 |
| 상관 계수LVS, S&P 5001 | 0.56 |
| βLVS2 | 1.11 |
| αLVS3 | -0.78% |
계산
1 상관 계수LVS, S&P 500
= 공분산LVS, S&P 500 ÷ (표준 편차LVS × 표준 편차S&P 500)
= 32.30 ÷ (10.72% × 5.40%)
= 0.56
2 βLVS
= 공분산LVS, S&P 500 ÷ 분산S&P 500
= 32.30 ÷ 29.16
= 1.11
3 αLVS
= 평균의LVS – βLVS × 평균의S&P 500
= -0.05% – 1.11 × 0.67%
= -0.78%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험 LVSC | βLVS | 1.11 |
| LVSC 보통주의 예상 수익률3 | E(RLVS) | 14.77% |
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(RLVS) = RF + βLVS [E(RM) – RF]
= 4.67% + 1.11 [13.79% – 4.67%]
= 14.77%