Stock Analysis on Net

Mastercard Inc. (NYSE:MA)

이 회사는 아카이브로 이동되었습니다! 이 재무 데이터는 2023년 4월 27일에 업데이트되지 않았습니다.

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Mastercard Inc., 월별 수익률

Microsoft Excel
Mastercard Inc. (MA) Standard & Poor’s 500 (S&P 500)
t 날짜 MA,t1 피제수MA,t1 RMA,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $169.00 2,823.81
1. 2018. 2. 28. $175.76 4.00% 2,713.83 -3.89%
2. 2018. 3. 31. $175.16 -0.34% 2,640.87 -2.69%
3. 2018. 4. 30. $178.27 $0.25 1.92% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. $356.40 8.60% 4,080.11 5.38%
59. 2022. 12. 31. $347.73 -2.43% 3,839.50 -5.90%
평균의 (R): 1.59% 0.67%
표준 편차: 8.04% 5.40%
Mastercard Inc. (MA) Standard & Poor’s 500 (S&P 500)
t 날짜 MA,t1 피제수MA,t1 RMA,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $169.00 2,823.81
1. 2018. 2. 28. $175.76 4.00% 2,713.83 -3.89%
2. 2018. 3. 31. $175.16 -0.34% 2,640.87 -2.69%
3. 2018. 4. 30. $178.27 $0.25 1.92% 2,648.05 0.27%
4. 2018. 5. 31. $190.12 6.65% 2,705.27 2.16%
5. 2018. 6. 30. $196.52 3.37% 2,718.37 0.48%
6. 2018. 7. 31. $198.00 $0.25 0.88% 2,816.29 3.60%
7. 2018. 8. 31. $215.56 8.87% 2,901.52 3.03%
8. 2018. 9. 30. $222.61 3.27% 2,913.98 0.43%
9. 2018. 10. 31. $197.67 $0.25 -11.09% 2,711.74 -6.94%
10. 2018. 11. 30. $201.07 1.72% 2,760.17 1.79%
11. 2018. 12. 31. $188.65 -6.18% 2,506.85 -9.18%
12. 2019. 1. 31. $211.13 $0.33 12.09% 2,704.10 7.87%
13. 2019. 2. 28. $224.77 6.46% 2,784.49 2.97%
14. 2019. 3. 31. $235.45 4.75% 2,834.40 1.79%
15. 2019. 4. 30. $254.24 $0.33 8.12% 2,945.83 3.93%
16. 2019. 5. 31. $251.49 -1.08% 2,752.06 -6.58%
17. 2019. 6. 30. $264.53 5.19% 2,941.76 6.89%
18. 2019. 7. 31. $272.27 $0.33 3.05% 2,980.38 1.31%
19. 2019. 8. 31. $281.37 3.34% 2,926.46 -1.81%
20. 2019. 9. 30. $271.57 -3.48% 2,976.74 1.72%
21. 2019. 10. 31. $276.81 $0.33 2.05% 3,037.56 2.04%
22. 2019. 11. 30. $292.23 5.57% 3,140.98 3.40%
23. 2019. 12. 31. $298.59 2.18% 3,230.78 2.86%
24. 2020. 1. 31. $315.94 $0.40 5.94% 3,225.52 -0.16%
25. 2020. 2. 29. $290.25 -8.13% 2,954.22 -8.41%
26. 2020. 3. 31. $241.56 -16.78% 2,584.59 -12.51%
27. 2020. 4. 30. $274.97 $0.40 14.00% 2,912.43 12.68%
28. 2020. 5. 31. $300.89 9.43% 3,044.31 4.53%
29. 2020. 6. 30. $295.70 -1.72% 3,100.29 1.84%
30. 2020. 7. 31. $308.53 $0.40 4.47% 3,271.12 5.51%
31. 2020. 8. 31. $358.19 16.10% 3,500.31 7.01%
32. 2020. 9. 30. $338.17 -5.59% 3,363.00 -3.92%
33. 2020. 10. 31. $288.64 $0.40 -14.53% 3,269.96 -2.77%
34. 2020. 11. 30. $336.51 16.58% 3,621.63 10.75%
35. 2020. 12. 31. $356.94 6.07% 3,756.07 3.71%
36. 2021. 1. 31. $316.29 $0.44 -11.27% 3,714.24 -1.11%
37. 2021. 2. 28. $353.85 11.88% 3,811.15 2.61%
38. 2021. 3. 31. $356.05 0.62% 3,972.89 4.24%
39. 2021. 4. 30. $382.06 $0.44 7.43% 4,181.17 5.24%
40. 2021. 5. 31. $360.58 -5.62% 4,204.11 0.55%
41. 2021. 6. 30. $365.09 1.25% 4,297.50 2.22%
42. 2021. 7. 31. $385.94 $0.44 5.83% 4,395.26 2.27%
43. 2021. 8. 31. $346.23 -10.29% 4,522.68 2.90%
44. 2021. 9. 30. $347.68 0.42% 4,307.54 -4.76%
45. 2021. 10. 31. $335.52 $0.44 -3.37% 4,605.38 6.91%
46. 2021. 11. 30. $314.92 -6.14% 4,567.00 -0.83%
47. 2021. 12. 31. $359.32 14.10% 4,766.18 4.36%
48. 2022. 1. 31. $386.38 $0.49 7.67% 4,515.55 -5.26%
49. 2022. 2. 28. $360.82 -6.62% 4,373.94 -3.14%
50. 2022. 3. 31. $357.38 -0.95% 4,530.41 3.58%
51. 2022. 4. 30. $363.38 $0.49 1.82% 4,131.93 -8.80%
52. 2022. 5. 31. $357.87 -1.52% 4,132.15 0.01%
53. 2022. 6. 30. $315.48 -11.85% 3,785.38 -8.39%
54. 2022. 7. 31. $353.79 $0.49 12.30% 4,130.29 9.11%
55. 2022. 8. 31. $324.37 -8.32% 3,955.00 -4.24%
56. 2022. 9. 30. $284.34 -12.34% 3,585.62 -9.34%
57. 2022. 10. 31. $328.18 $0.49 15.59% 3,871.98 7.99%
58. 2022. 11. 30. $356.40 8.60% 4,080.11 5.38%
59. 2022. 12. 31. $347.73 -2.43% 3,839.50 -5.90%
평균의 (R): 1.59% 0.67%
표준 편차: 8.04% 5.40%

모두 보기

1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.

2 기간 t 동안 MA의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.


분산과 공분산

Mastercard Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RMA,t RS&P 500,t (RMA,tRMA)2 (RS&P 500,tRS&P 500)2 (RMA,tRMA)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. 4.00% -3.89% 5.80 20.81 -10.98
2. 2018. 3. 31. -0.34% -2.69% 3.74 11.26 6.49
3. 2018. 4. 30. 1.92% 0.27% 0.11 0.16 -0.13
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. 8.60% 5.38% 49.10 22.17 32.99
59. 2022. 12. 31. -2.43% -5.90% 16.20 43.08 26.42
합계 (Σ): 3,750.56 1,691.48 1,838.87
t 날짜 RMA,t RS&P 500,t (RMA,tRMA)2 (RS&P 500,tRS&P 500)2 (RMA,tRMA)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. 4.00% -3.89% 5.80 20.81 -10.98
2. 2018. 3. 31. -0.34% -2.69% 3.74 11.26 6.49
3. 2018. 4. 30. 1.92% 0.27% 0.11 0.16 -0.13
4. 2018. 5. 31. 6.65% 2.16% 25.55 2.23 7.55
5. 2018. 6. 30. 3.37% 0.48% 3.15 0.03 -0.32
6. 2018. 7. 31. 0.88% 3.60% 0.51 8.62 -2.09
7. 2018. 8. 31. 8.87% 3.03% 52.95 5.57 17.17
8. 2018. 9. 30. 3.27% 0.43% 2.82 0.06 -0.40
9. 2018. 10. 31. -11.09% -6.94% 160.86 57.87 96.48
10. 2018. 11. 30. 1.72% 1.79% 0.02 1.25 0.14
11. 2018. 12. 31. -6.18% -9.18% 60.36 96.91 76.48
12. 2019. 1. 31. 12.09% 7.87% 110.23 51.87 75.61
13. 2019. 2. 28. 6.46% 2.97% 23.70 5.32 11.23
14. 2019. 3. 31. 4.75% 1.79% 9.98 1.27 3.56
15. 2019. 4. 30. 8.12% 3.93% 42.62 10.66 21.31
16. 2019. 5. 31. -1.08% -6.58% 7.15 52.48 19.37
17. 2019. 6. 30. 5.19% 6.89% 12.91 38.77 22.37
18. 2019. 7. 31. 3.05% 1.31% 2.13 0.42 0.94
19. 2019. 8. 31. 3.34% -1.81% 3.06 6.13 -4.33
20. 2019. 9. 30. -3.48% 1.72% 25.76 1.11 -5.34
21. 2019. 10. 31. 2.05% 2.04% 0.21 1.89 0.63
22. 2019. 11. 30. 5.57% 3.40% 15.83 7.50 10.89
23. 2019. 12. 31. 2.18% 2.86% 0.34 4.81 1.28
24. 2020. 1. 31. 5.94% -0.16% 18.94 0.69 -3.61
25. 2020. 2. 29. -8.13% -8.41% 94.54 82.40 88.27
26. 2020. 3. 31. -16.78% -12.51% 337.36 173.67 242.05
27. 2020. 4. 30. 14.00% 12.68% 153.87 144.43 149.07
28. 2020. 5. 31. 9.43% 4.53% 61.38 14.91 30.25
29. 2020. 6. 30. -1.72% 1.84% 11.00 1.37 -3.89
30. 2020. 7. 31. 4.47% 5.51% 8.31 23.46 13.96
31. 2020. 8. 31. 16.10% 7.01% 210.35 40.19 91.95
32. 2020. 9. 30. -5.59% -3.92% 51.57 21.06 32.96
33. 2020. 10. 31. -14.53% -2.77% 259.86 11.79 55.34
34. 2020. 11. 30. 16.58% 10.75% 224.78 101.77 151.24
35. 2020. 12. 31. 6.07% 3.71% 20.06 9.28 13.64
36. 2021. 1. 31. -11.27% -1.11% 165.31 3.17 22.89
37. 2021. 2. 28. 11.88% 2.61% 105.74 3.77 19.97
38. 2021. 3. 31. 0.62% 4.24% 0.94 12.80 -3.47
39. 2021. 4. 30. 7.43% 5.24% 34.07 20.94 26.71
40. 2021. 5. 31. -5.62% 0.55% 52.05 0.01 0.85
41. 2021. 6. 30. 1.25% 2.22% 0.12 2.42 -0.53
42. 2021. 7. 31. 5.83% 2.27% 17.97 2.59 6.82
43. 2021. 8. 31. -10.29% 2.90% 141.16 4.98 -26.52
44. 2021. 9. 30. 0.42% -4.76% 1.38 29.42 6.36
45. 2021. 10. 31. -3.37% 6.91% 24.63 39.03 -31.01
46. 2021. 11. 30. -6.14% -0.83% 59.78 2.25 11.60
47. 2021. 12. 31. 14.10% 4.36% 156.42 13.65 46.21
48. 2022. 1. 31. 7.67% -5.26% 36.91 35.11 -36.00
49. 2022. 2. 28. -6.62% -3.14% 67.36 14.46 31.21
50. 2022. 3. 31. -0.95% 3.58% 6.48 8.47 -7.41
51. 2022. 4. 30. 1.82% -8.80% 0.05 89.54 -2.12
52. 2022. 5. 31. -1.52% 0.01% 9.66 0.44 2.06
53. 2022. 6. 30. -11.85% -8.39% 180.56 82.06 121.72
54. 2022. 7. 31. 12.30% 9.11% 114.63 71.32 90.42
55. 2022. 8. 31. -8.32% -4.24% 98.16 24.11 48.65
56. 2022. 9. 30. -12.34% -9.34% 194.13 100.12 139.42
57. 2022. 10. 31. 15.59% 7.99% 195.96 53.58 102.46
58. 2022. 11. 30. 8.60% 5.38% 49.10 22.17 32.99
59. 2022. 12. 31. -2.43% -5.90% 16.20 43.08 26.42
합계 (Σ): 3,750.56 1,691.48 1,838.87

모두 보기

분산MA = Σ(RMA,tRMA)2 ÷ (59 – 1)
= 3,750.56 ÷ (59 – 1)
= 64.66

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

공분산MA, S&P 500 = Σ(RMA,tRMA)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,838.87 ÷ (59 – 1)
= 31.70


체계적인 위험 추정 (β)

Microsoft Excel
분산MA 64.66
분산S&P 500 29.16
공분산MA, S&P 500 31.70
상관 계수MA, S&P 5001 0.73
βMA2 1.09
αMA3 0.87%

계산

1 상관 계수MA, S&P 500
= 공분산MA, S&P 500 ÷ (표준 편차MA × 표준 편차S&P 500)
= 31.70 ÷ (8.04% × 5.40%)
= 0.73

2 βMA
= 공분산MA, S&P 500 ÷ 분산S&P 500
= 31.70 ÷ 29.16
= 1.09

3 αMA
= 평균의MA – βMA × 평균의S&P 500
= 1.59%1.09 × 0.67%
= 0.87%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.85%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 14.71%
보통주의 체계적 위험Mastercard βMA 1.09
 
마스터카드 보통주의 예상 수익률3 E(RMA) 15.57%

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(RMA) = RF + βMA [E(RM) – RF]
= 4.85% + 1.09 [14.71%4.85%]
= 15.57%