자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델 (CAPM)은 Lowe’s의 보통주와 같은 위험 자산에 대한 예상 또는 요구 수익률을 나타냅니다.
수익률
Lowe’s Cos. Inc., 월별 수익률
| Lowe’s Cos. Inc. (LOW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값LOW,t1 | 피제수LOW,t1 | RLOW,t2 | 값S&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 | 값LOW,t1 | 피제수LOW,t1 | RLOW,t2 | 값S&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.
분산과 공분산
Lowe’s Cos. Inc., 수익의 분산 및 공분산 계산
| t | 날짜 | RLOW,t | RS&P 500,t | (RLOW,t–RLOW)2 | (RS&P 500,t–RS&P 500)2 | (RLOW,t–RLOW)×(RS&P 500,t–RS&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,t–RLOW)2 | (RS&P 500,t–RS&P 500)2 | (RLOW,t–RLOW)×(RS&P 500,t–RS&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,t–RLOW)2 ÷ (71 – 1)
= 4,790.64 ÷ (71 – 1)
= 68.44
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,262.70 ÷ (71 – 1)
= 18.04
공분산LOW, S&P 500 = Σ(RLOW,t–RLOW)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,713.24 ÷ (71 – 1)
= 24.47
체계적인 위험 추정 (β)
| 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
| 가정 | ||
| LT 재무부 복합재의 수익률1 | RF | 3.72% |
| 시장 포트폴리오의 예상 수익률2 | E(RM) | 13.71% |
| 보통주 Lowe’s 의 체계적인 위험 | βLOW | 1.36 |
| Lowe의 보통주에 대한 기대 수익률3 | E(RLOW) | 17.27% |
1 모든 미결 고정 쿠폰 미국 국채 채권에 대한 입찰 수익률의 무중 평균은 10 년 이내에 만기가되거나 호출 할 수 없습니다 (위험이없는 수익률 프록시).
3 E(RLOW) = RF + βLOW [E(RM) – RF]
= 3.72% + 1.36 [13.71% – 3.72%]
= 17.27%