Stock Analysis on Net

Lowe’s Cos. Inc. (NYSE:LOW)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Lowe’s Cos. Inc., 월별 수익률

Microsoft Excel
Lowe’s Cos. Inc. (LOW) Standard & Poor’s 500 (S&P 500)
t 날짜 LOW,t1 피제수LOW,t1 RLOW,t2 S&P 500,t RS&P 500,t3
2016. 2. 29. $67.53 1,932.23
1. 2016. 3. 31. $75.75 12.17% 2,059.74 6.60%
2. 2016. 4. 30. $76.02 $0.28 0.73% 2,065.30 0.27%
3. 2016. 5. 31. $80.13 5.41% 2,096.95 1.53%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2021. 12. 31. $258.48 5.68% 4,766.18 4.36%
71. 2022. 1. 31. $237.35 $0.80 -7.87% 4,515.55 -5.26%
평균의 (R): 2.27% 1.29%
표준 편차: 8.27% 4.25%
Lowe’s Cos. Inc. (LOW) Standard & Poor’s 500 (S&P 500)
t 날짜 LOW,t1 피제수LOW,t1 RLOW,t2 S&P 500,t RS&P 500,t3
2016. 2. 29. $67.53 1,932.23
1. 2016. 3. 31. $75.75 12.17% 2,059.74 6.60%
2. 2016. 4. 30. $76.02 $0.28 0.73% 2,065.30 0.27%
3. 2016. 5. 31. $80.13 5.41% 2,096.95 1.53%
4. 2016. 6. 30. $79.17 -1.20% 2,098.86 0.09%
5. 2016. 7. 31. $82.28 $0.35 4.37% 2,173.60 3.56%
6. 2016. 8. 31. $76.56 -6.95% 2,170.95 -0.12%
7. 2016. 9. 30. $72.21 -5.68% 2,168.27 -0.12%
8. 2016. 10. 31. $66.65 $0.35 -7.22% 2,126.15 -1.94%
9. 2016. 11. 30. $70.55 5.85% 2,198.81 3.42%
10. 2016. 12. 31. $71.12 0.81% 2,238.83 1.82%
11. 2017. 1. 31. $73.08 $0.35 3.25% 2,278.87 1.79%
12. 2017. 2. 28. $74.37 1.77% 2,363.64 3.72%
13. 2017. 3. 31. $82.21 10.54% 2,362.72 -0.04%
14. 2017. 4. 30. $84.88 $0.35 3.67% 2,384.20 0.91%
15. 2017. 5. 31. $78.77 -7.20% 2,411.80 1.16%
16. 2017. 6. 30. $77.53 -1.57% 2,423.41 0.48%
17. 2017. 7. 31. $77.40 $0.41 0.36% 2,470.30 1.93%
18. 2017. 8. 31. $73.89 -4.53% 2,471.65 0.05%
19. 2017. 9. 30. $79.94 8.19% 2,519.36 1.93%
20. 2017. 10. 31. $79.95 $0.41 0.53% 2,575.26 2.22%
21. 2017. 11. 30. $83.37 4.28% 2,647.58 2.81%
22. 2017. 12. 31. $92.94 11.48% 2,673.61 0.98%
23. 2018. 1. 31. $104.73 $0.41 13.13% 2,823.81 5.62%
24. 2018. 2. 28. $89.59 -14.46% 2,713.83 -3.89%
25. 2018. 3. 31. $87.75 -2.05% 2,640.87 -2.69%
26. 2018. 4. 30. $82.43 $0.41 -5.60% 2,648.05 0.27%
27. 2018. 5. 31. $95.01 15.26% 2,705.27 2.16%
28. 2018. 6. 30. $95.57 0.59% 2,718.37 0.48%
29. 2018. 7. 31. $99.34 $0.48 4.45% 2,816.29 3.60%
30. 2018. 8. 31. $108.75 9.47% 2,901.52 3.03%
31. 2018. 9. 30. $114.82 5.58% 2,913.98 0.43%
32. 2018. 10. 31. $95.22 $0.48 -16.65% 2,711.74 -6.94%
33. 2018. 11. 30. $94.37 -0.89% 2,760.17 1.79%
34. 2018. 12. 31. $92.36 -2.13% 2,506.85 -9.18%
35. 2019. 1. 31. $96.16 $0.48 4.63% 2,704.10 7.87%
36. 2019. 2. 28. $105.09 9.29% 2,784.49 2.97%
37. 2019. 3. 31. $109.47 4.17% 2,834.40 1.79%
38. 2019. 4. 30. $113.14 $0.48 3.79% 2,945.83 3.93%
39. 2019. 5. 31. $93.28 -17.55% 2,752.06 -6.58%
40. 2019. 6. 30. $100.91 8.18% 2,941.76 6.89%
41. 2019. 7. 31. $101.40 $0.55 1.03% 2,980.38 1.31%
42. 2019. 8. 31. $112.20 10.65% 2,926.46 -1.81%
43. 2019. 9. 30. $109.96 -2.00% 2,976.74 1.72%
44. 2019. 10. 31. $111.61 $0.55 2.00% 3,037.56 2.04%
45. 2019. 11. 30. $117.31 5.11% 3,140.98 3.40%
46. 2019. 12. 31. $119.76 2.09% 3,230.78 2.86%
47. 2020. 1. 31. $116.24 $0.55 -2.48% 3,225.52 -0.16%
48. 2020. 2. 29. $106.57 -8.32% 2,954.22 -8.41%
49. 2020. 3. 31. $86.05 -19.25% 2,584.59 -12.51%
50. 2020. 4. 30. $104.75 $0.55 22.37% 2,912.43 12.68%
51. 2020. 5. 31. $130.35 24.44% 3,044.31 4.53%
52. 2020. 6. 30. $135.12 3.66% 3,100.29 1.84%
53. 2020. 7. 31. $148.91 $0.55 10.61% 3,271.12 5.51%
54. 2020. 8. 31. $164.69 10.60% 3,500.31 7.01%
55. 2020. 9. 30. $165.86 0.71% 3,363.00 -3.92%
56. 2020. 10. 31. $158.10 $0.60 -4.32% 3,269.96 -2.77%
57. 2020. 11. 30. $155.82 -1.44% 3,621.63 10.75%
58. 2020. 12. 31. $160.51 3.01% 3,756.07 3.71%
59. 2021. 1. 31. $166.85 $0.60 4.32% 3,714.24 -1.11%
60. 2021. 2. 28. $159.75 -4.26% 3,811.15 2.61%
61. 2021. 3. 31. $190.18 19.05% 3,972.89 4.24%
62. 2021. 4. 30. $196.25 $0.60 3.51% 4,181.17 5.24%
63. 2021. 5. 31. $194.83 -0.72% 4,204.11 0.55%
64. 2021. 6. 30. $193.97 -0.44% 4,297.50 2.22%
65. 2021. 7. 31. $192.69 $0.80 -0.25% 4,395.26 2.27%
66. 2021. 8. 31. $203.89 5.81% 4,522.68 2.90%
67. 2021. 9. 30. $202.86 -0.51% 4,307.54 -4.76%
68. 2021. 10. 31. $233.82 $0.80 15.66% 4,605.38 6.91%
69. 2021. 11. 30. $244.59 4.61% 4,567.00 -0.83%
70. 2021. 12. 31. $258.48 5.68% 4,766.18 4.36%
71. 2022. 1. 31. $237.35 $0.80 -7.87% 4,515.55 -5.26%
평균의 (R): 2.27% 1.29%
표준 편차: 8.27% 4.25%

모두 보기

1 보통주의 주당 US $ 단위의 데이터, 분할 및 주식 배당을 위해 조정.

2 기간 t의 기간 동안 LOW의 보통주에 대한 수익률.

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


분산 및 공분산

Lowe’s Cos. Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RLOW,t RS&P 500,t (RLOW,tRLOW)2 (RS&P 500,tRS&P 500)2 (RLOW,tRLOW)×(RS&P 500,tRS&P 500)
1. 2016. 3. 31. 12.17% 6.60% 98.02 28.16 52.54
2. 2016. 4. 30. 0.73% 0.27% 2.39 1.05 1.58
3. 2016. 5. 31. 5.41% 1.53% 9.83 0.06 0.75
. . . . . . .
. . . . . . .
. . . . . . .
70. 2021. 12. 31. 5.68% 4.36% 11.61 9.42 10.46
71. 2022. 1. 31. -7.87% -5.26% 102.76 42.91 66.41
합계 (Σ): 4,790.64 1,262.70 1,713.24
t 날짜 RLOW,t RS&P 500,t (RLOW,tRLOW)2 (RS&P 500,tRS&P 500)2 (RLOW,tRLOW)×(RS&P 500,tRS&P 500)
1. 2016. 3. 31. 12.17% 6.60% 98.02 28.16 52.54
2. 2016. 4. 30. 0.73% 0.27% 2.39 1.05 1.58
3. 2016. 5. 31. 5.41% 1.53% 9.83 0.06 0.75
4. 2016. 6. 30. -1.20% 0.09% 12.04 1.44 4.17
5. 2016. 7. 31. 4.37% 3.56% 4.40 5.15 4.76
6. 2016. 8. 31. -6.95% -0.12% 85.08 2.00 13.04
7. 2016. 9. 30. -5.68% -0.12% 63.26 2.00 11.26
8. 2016. 10. 31. -7.22% -1.94% 90.00 10.46 30.69
9. 2016. 11. 30. 5.85% 3.42% 12.81 4.52 7.61
10. 2016. 12. 31. 0.81% 1.82% 2.14 0.28 -0.77
11. 2017. 1. 31. 3.25% 1.79% 0.95 0.25 0.48
12. 2017. 2. 28. 1.77% 3.72% 0.26 5.89 -1.23
13. 2017. 3. 31. 10.54% -0.04% 68.39 1.77 -11.01
14. 2017. 4. 30. 3.67% 0.91% 1.96 0.15 -0.54
15. 2017. 5. 31. -7.20% 1.16% 89.69 0.02 1.27
16. 2017. 6. 30. -1.57% 0.48% 14.79 0.66 3.12
17. 2017. 7. 31. 0.36% 1.93% 3.65 0.41 -1.23
18. 2017. 8. 31. -4.53% 0.05% 46.33 1.53 8.42
19. 2017. 9. 30. 8.19% 1.93% 35.00 0.41 3.77
20. 2017. 10. 31. 0.53% 2.22% 3.05 0.86 -1.62
21. 2017. 11. 30. 4.28% 2.81% 4.02 2.30 3.04
22. 2017. 12. 31. 11.48% 0.98% 84.77 0.10 -2.85
23. 2018. 1. 31. 13.13% 5.62% 117.83 18.71 46.95
24. 2018. 2. 28. -14.46% -3.89% 279.83 26.90 86.77
25. 2018. 3. 31. -2.05% -2.69% 18.71 15.85 17.22
26. 2018. 4. 30. -5.60% 0.27% 61.90 1.04 8.03
27. 2018. 5. 31. 15.26% 2.16% 168.73 0.75 11.28
28. 2018. 6. 30. 0.59% 0.48% 2.83 0.65 1.36
29. 2018. 7. 31. 4.45% 3.60% 4.73 5.34 5.02
30. 2018. 8. 31. 9.47% 3.03% 51.85 3.01 12.49
31. 2018. 9. 30. 5.58% 0.43% 10.95 0.74 -2.86
32. 2018. 10. 31. -16.65% -6.94% 358.12 67.78 155.79
33. 2018. 11. 30. -0.89% 1.79% 10.01 0.24 -1.56
34. 2018. 12. 31. -2.13% -9.18% 19.38 109.62 46.09
35. 2019. 1. 31. 4.63% 7.87% 5.58 43.25 15.53
36. 2019. 2. 28. 9.29% 2.97% 49.21 2.82 11.79
37. 2019. 3. 31. 4.17% 1.79% 3.59 0.25 0.95
38. 2019. 4. 30. 3.79% 3.93% 2.31 6.96 4.01
39. 2019. 5. 31. -17.55% -6.58% 393.05 61.94 156.03
40. 2019. 6. 30. 8.18% 6.89% 34.90 31.37 33.09
41. 2019. 7. 31. 1.03% 1.31% 1.54 0.00 -0.03
42. 2019. 8. 31. 10.65% -1.81% 70.21 9.62 -25.99
43. 2019. 9. 30. -2.00% 1.72% 18.22 0.18 -1.82
44. 2019. 10. 31. 2.00% 2.04% 0.07 0.56 -0.20
45. 2019. 11. 30. 5.11% 3.40% 8.04 4.46 5.99
46. 2019. 12. 31. 2.09% 2.86% 0.03 2.45 -0.29
47. 2020. 1. 31. -2.48% -0.16% 22.58 2.12 6.91
48. 2020. 2. 29. -8.32% -8.41% 112.17 94.15 102.77
49. 2020. 3. 31. -19.25% -12.51% 463.41 190.56 297.16
50. 2020. 4. 30. 22.37% 12.68% 403.96 129.78 228.97
51. 2020. 5. 31. 24.44% 4.53% 491.39 10.47 71.73
52. 2020. 6. 30. 3.66% 1.84% 1.93 0.30 0.76
53. 2020. 7. 31. 10.61% 5.51% 69.57 17.79 35.18
54. 2020. 8. 31. 10.60% 7.01% 69.31 32.65 47.57
55. 2020. 9. 30. 0.71% -3.92% 2.44 27.20 8.14
56. 2020. 10. 31. -4.32% -2.77% 43.41 16.47 26.74
57. 2020. 11. 30. -1.44% 10.75% 13.79 89.54 -35.14
58. 2020. 12. 31. 3.01% 3.71% 0.54 5.86 1.79
59. 2021. 1. 31. 4.32% -1.11% 4.21 5.79 -4.94
60. 2021. 2. 28. -4.26% 2.61% 42.60 1.73 -8.60
61. 2021. 3. 31. 19.05% 4.24% 281.45 8.71 49.52
62. 2021. 4. 30. 3.51% 5.24% 1.53 15.60 4.88
63. 2021. 5. 31. -0.72% 0.55% 8.97 0.55 2.23
64. 2021. 6. 30. -0.44% 2.22% 7.36 0.86 -2.52
65. 2021. 7. 31. -0.25% 2.27% 6.35 0.97 -2.48
66. 2021. 8. 31. 5.81% 2.90% 12.54 2.58 5.69
67. 2021. 9. 30. -0.51% -4.76% 7.71 36.59 16.80
68. 2021. 10. 31. 15.66% 6.91% 179.14 31.61 75.25
69. 2021. 11. 30. 4.61% -0.83% 5.45 4.52 -4.96
70. 2021. 12. 31. 5.68% 4.36% 11.61 9.42 10.46
71. 2022. 1. 31. -7.87% -5.26% 102.76 42.91 66.41
합계 (Σ): 4,790.64 1,262.70 1,713.24

모두 보기

분산LOW = Σ(RLOW,tRLOW)2 ÷ (71 – 1)
= 4,790.64 ÷ (71 – 1)
= 68.44

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,262.70 ÷ (71 – 1)
= 18.04

공분산LOW, S&P 500 = Σ(RLOW,tRLOW)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,713.24 ÷ (71 – 1)
= 24.47


체계적인 위험 추정 (β)

Microsoft Excel
분산LOW 68.44
분산S&P 500 18.04
공분산LOW, S&P 500 24.47
상관 계수LOW, S&P 5001 0.70
βLOW2 1.36
αLOW3 0.52%

계산

1 상관 계수LOW, S&P 500
= 공분산LOW, S&P 500 ÷ (표준 편차LOW × 표준 편차S&P 500)
= 24.47 ÷ (8.27% × 4.25%)
= 0.70

2 βLOW
= 공분산LOW, S&P 500 ÷ 분산S&P 500
= 24.47 ÷ 18.04
= 1.36

3 αLOW
= 평균의LOW – βLOW × 평균의S&P 500
= 2.27%1.36 × 1.29%
= 0.52%


예상 수익률

Microsoft Excel
가정
LT 재무부 복합재의 수익률1 RF 4.02%
시장 포트폴리오의 예상 수익률2 E(RM) 12.83%
일반주식 Lowe’s 의 체계적인 리스크 βLOW 1.36
 
Low의 보통주의 기대수익률3 E(RLOW) 15.98%

1 모든 미결 고정 쿠폰 미국 국채 채권에 대한 입찰 수익률의 무중 평균은 10 년 이내에 만기가되거나 호출 할 수 없습니다 (위험이없는 수익률 프록시).

2 세부 정보 보기 »

3 E(RLOW) = RF + βLOW [E(RM) – RF]
= 4.02% + 1.36 [12.83%4.02%]
= 15.98%