Stock Analysis on Net

McDonald’s Corp. (NYSE:MCD)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 McDonald’s보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.


수익률

McDonald’s Corp., 월별 수익률

Microsoft Excel
McDonald’s Corp. (MCD) Standard & Poor’s 500 (S&P 500)
t 날짜 MCD,t1 피제수MCD,t1 RMCD,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $171.14 2,823.81
1. 2018. 2. 28. $157.74 $1.01 -7.24% 2,713.83 -3.89%
2. 2018. 3. 31. $156.38 -0.86% 2,640.87 -2.69%
3. 2018. 4. 30. $167.44 7.07% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. $272.79 $1.52 0.61% 4,080.11 5.38%
59. 2022. 12. 31. $263.53 -3.39% 3,839.50 -5.90%
평균의 (R): 1.09% 0.67%
표준 편차: 5.60% 5.40%
McDonald’s Corp. (MCD) Standard & Poor’s 500 (S&P 500)
t 날짜 MCD,t1 피제수MCD,t1 RMCD,t2 S&P 500,t RS&P 500,t3
2018. 1. 31. $171.14 2,823.81
1. 2018. 2. 28. $157.74 $1.01 -7.24% 2,713.83 -3.89%
2. 2018. 3. 31. $156.38 -0.86% 2,640.87 -2.69%
3. 2018. 4. 30. $167.44 7.07% 2,648.05 0.27%
4. 2018. 5. 31. $160.01 -4.44% 2,705.27 2.16%
5. 2018. 6. 30. $156.69 $1.01 -1.44% 2,718.37 0.48%
6. 2018. 7. 31. $157.54 0.54% 2,816.29 3.60%
7. 2018. 8. 31. $162.23 $1.01 3.62% 2,901.52 3.03%
8. 2018. 9. 30. $167.29 3.12% 2,913.98 0.43%
9. 2018. 10. 31. $176.90 5.74% 2,711.74 -6.94%
10. 2018. 11. 30. $188.51 $1.16 7.22% 2,760.17 1.79%
11. 2018. 12. 31. $177.57 -5.80% 2,506.85 -9.18%
12. 2019. 1. 31. $178.78 0.68% 2,704.10 7.87%
13. 2019. 2. 28. $183.84 $1.16 3.48% 2,784.49 2.97%
14. 2019. 3. 31. $189.90 3.30% 2,834.40 1.79%
15. 2019. 4. 30. $197.57 4.04% 2,945.83 3.93%
16. 2019. 5. 31. $198.27 $1.16 0.94% 2,752.06 -6.58%
17. 2019. 6. 30. $207.66 4.74% 2,941.76 6.89%
18. 2019. 7. 31. $210.72 1.47% 2,980.38 1.31%
19. 2019. 8. 31. $217.97 $1.16 3.99% 2,926.46 -1.81%
20. 2019. 9. 30. $214.71 -1.50% 2,976.74 1.72%
21. 2019. 10. 31. $196.70 -8.39% 3,037.56 2.04%
22. 2019. 11. 30. $194.48 $1.25 -0.49% 3,140.98 3.40%
23. 2019. 12. 31. $197.61 1.61% 3,230.78 2.86%
24. 2020. 1. 31. $213.97 8.28% 3,225.52 -0.16%
25. 2020. 2. 29. $194.17 $1.25 -8.67% 2,954.22 -8.41%
26. 2020. 3. 31. $165.35 -14.84% 2,584.59 -12.51%
27. 2020. 4. 30. $187.56 13.43% 2,912.43 12.68%
28. 2020. 5. 31. $186.32 $1.25 0.01% 3,044.31 4.53%
29. 2020. 6. 30. $184.47 -0.99% 3,100.29 1.84%
30. 2020. 7. 31. $194.28 5.32% 3,271.12 5.51%
31. 2020. 8. 31. $213.52 $1.25 10.55% 3,500.31 7.01%
32. 2020. 9. 30. $219.49 2.80% 3,363.00 -3.92%
33. 2020. 10. 31. $213.00 -2.96% 3,269.96 -2.77%
34. 2020. 11. 30. $217.44 $1.29 2.69% 3,621.63 10.75%
35. 2020. 12. 31. $214.58 -1.32% 3,756.07 3.71%
36. 2021. 1. 31. $207.84 -3.14% 3,714.24 -1.11%
37. 2021. 2. 28. $206.14 $1.29 -0.20% 3,811.15 2.61%
38. 2021. 3. 31. $224.14 8.73% 3,972.89 4.24%
39. 2021. 4. 30. $236.08 5.33% 4,181.17 5.24%
40. 2021. 5. 31. $233.89 $1.29 -0.38% 4,204.11 0.55%
41. 2021. 6. 30. $230.99 -1.24% 4,297.50 2.22%
42. 2021. 7. 31. $242.71 5.07% 4,395.26 2.27%
43. 2021. 8. 31. $237.46 $1.29 -1.63% 4,522.68 2.90%
44. 2021. 9. 30. $241.11 1.54% 4,307.54 -4.76%
45. 2021. 10. 31. $245.55 1.84% 4,605.38 6.91%
46. 2021. 11. 30. $244.60 $1.38 0.18% 4,567.00 -0.83%
47. 2021. 12. 31. $268.07 9.60% 4,766.18 4.36%
48. 2022. 1. 31. $259.45 -3.22% 4,515.55 -5.26%
49. 2022. 2. 28. $244.77 $1.38 -5.13% 4,373.94 -3.14%
50. 2022. 3. 31. $247.28 1.03% 4,530.41 3.58%
51. 2022. 4. 30. $249.16 0.76% 4,131.93 -8.80%
52. 2022. 5. 31. $252.21 1.22% 4,132.15 0.01%
53. 2022. 6. 30. $246.88 $1.38 -1.57% 3,785.38 -8.39%
54. 2022. 7. 31. $263.37 6.68% 4,130.29 9.11%
55. 2022. 8. 31. $252.28 $1.38 -3.69% 3,955.00 -4.24%
56. 2022. 9. 30. $230.74 -8.54% 3,585.62 -9.34%
57. 2022. 10. 31. $272.66 18.17% 3,871.98 7.99%
58. 2022. 11. 30. $272.79 $1.52 0.61% 4,080.11 5.38%
59. 2022. 12. 31. $263.53 -3.39% 3,839.50 -5.90%
평균의 (R): 1.09% 0.67%
표준 편차: 5.60% 5.40%

모두 표시

1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.

2 기간 t 동안 MCD의 보통주에 대한 수익률.

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


분산과 공분산

McDonald’s Corp., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RMCD,t RS&P 500,t (RMCD,tRMCD)2 (RS&P 500,tRS&P 500)2 (RMCD,tRMCD)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -7.24% -3.89% 69.39 20.81 38.00
2. 2018. 3. 31. -0.86% -2.69% 3.81 11.26 6.55
3. 2018. 4. 30. 7.07% 0.27% 35.79 0.16 -2.36
. . . . . . .
. . . . . . .
. . . . . . .
58. 2022. 11. 30. 0.61% 5.38% 0.24 22.17 -2.28
59. 2022. 12. 31. -3.39% -5.90% 20.11 43.08 29.44
합계 (Σ): 1,821.52 1,691.48 1,098.66
t 날짜 RMCD,t RS&P 500,t (RMCD,tRMCD)2 (RS&P 500,tRS&P 500)2 (RMCD,tRMCD)×(RS&P 500,tRS&P 500)
1. 2018. 2. 28. -7.24% -3.89% 69.39 20.81 38.00
2. 2018. 3. 31. -0.86% -2.69% 3.81 11.26 6.55
3. 2018. 4. 30. 7.07% 0.27% 35.79 0.16 -2.36
4. 2018. 5. 31. -4.44% 2.16% 30.55 2.23 -8.26
5. 2018. 6. 30. -1.44% 0.48% 6.42 0.03 0.46
6. 2018. 7. 31. 0.54% 3.60% 0.30 8.62 -1.61
7. 2018. 8. 31. 3.62% 3.03% 6.39 5.57 5.97
8. 2018. 9. 30. 3.12% 0.43% 4.12 0.06 -0.48
9. 2018. 10. 31. 5.74% -6.94% 21.66 57.87 -35.41
10. 2018. 11. 30. 7.22% 1.79% 37.56 1.25 6.86
11. 2018. 12. 31. -5.80% -9.18% 47.52 96.91 67.86
12. 2019. 1. 31. 0.68% 7.87% 0.17 51.87 -2.94
13. 2019. 2. 28. 3.48% 2.97% 5.71 5.32 5.51
14. 2019. 3. 31. 3.30% 1.79% 4.87 1.27 2.48
15. 2019. 4. 30. 4.04% 3.93% 8.70 10.66 9.63
16. 2019. 5. 31. 0.94% -6.58% 0.02 52.48 1.08
17. 2019. 6. 30. 4.74% 6.89% 13.29 38.77 22.70
18. 2019. 7. 31. 1.47% 1.31% 0.15 0.42 0.25
19. 2019. 8. 31. 3.99% -1.81% 8.42 6.13 -7.18
20. 2019. 9. 30. -1.50% 1.72% 6.69 1.11 -2.72
21. 2019. 10. 31. -8.39% 2.04% 89.84 1.89 -13.05
22. 2019. 11. 30. -0.49% 3.40% 2.51 7.50 -4.33
23. 2019. 12. 31. 1.61% 2.86% 0.27 4.81 1.14
24. 2020. 1. 31. 8.28% -0.16% 51.68 0.69 -5.96
25. 2020. 2. 29. -8.67% -8.41% 95.25 82.40 88.59
26. 2020. 3. 31. -14.84% -12.51% 253.85 173.67 209.97
27. 2020. 4. 30. 13.43% 12.68% 152.33 144.43 148.32
28. 2020. 5. 31. 0.01% 4.53% 1.18 14.91 -4.19
29. 2020. 6. 30. -0.99% 1.84% 4.34 1.37 -2.44
30. 2020. 7. 31. 5.32% 5.51% 17.87 23.46 20.48
31. 2020. 8. 31. 10.55% 7.01% 89.43 40.19 59.95
32. 2020. 9. 30. 2.80% -3.92% 2.91 21.06 -7.83
33. 2020. 10. 31. -2.96% -2.77% 16.38 11.79 13.89
34. 2020. 11. 30. 2.69% 10.75% 2.56 101.77 16.14
35. 2020. 12. 31. -1.32% 3.71% 5.79 9.28 -7.33
36. 2021. 1. 31. -3.14% -1.11% 17.90 3.17 7.53
37. 2021. 2. 28. -0.20% 2.61% 1.66 3.77 -2.50
38. 2021. 3. 31. 8.73% 4.24% 58.40 12.80 27.34
39. 2021. 4. 30. 5.33% 5.24% 17.95 20.94 19.39
40. 2021. 5. 31. -0.38% 0.55% 2.16 0.01 0.17
41. 2021. 6. 30. -1.24% 2.22% 5.43 2.42 -3.62
42. 2021. 7. 31. 5.07% 2.27% 15.87 2.59 6.41
43. 2021. 8. 31. -1.63% 2.90% 7.41 4.98 -6.08
44. 2021. 9. 30. 1.54% -4.76% 0.20 29.42 -2.42
45. 2021. 10. 31. 1.84% 6.91% 0.56 39.03 4.69
46. 2021. 11. 30. 0.18% -0.83% 0.84 2.25 1.37
47. 2021. 12. 31. 9.60% 4.36% 72.34 13.65 31.42
48. 2022. 1. 31. -3.22% -5.26% 18.54 35.11 25.51
49. 2022. 2. 28. -5.13% -3.14% 38.64 14.46 23.64
50. 2022. 3. 31. 1.03% 3.58% 0.00 8.47 -0.19
51. 2022. 4. 30. 0.76% -8.80% 0.11 89.54 3.12
52. 2022. 5. 31. 1.22% 0.01% 0.02 0.44 -0.09
53. 2022. 6. 30. -1.57% -8.39% 7.06 82.06 24.06
54. 2022. 7. 31. 6.68% 9.11% 31.24 71.32 47.20
55. 2022. 8. 31. -3.69% -4.24% 22.82 24.11 23.46
56. 2022. 9. 30. -8.54% -9.34% 92.70 100.12 96.34
57. 2022. 10. 31. 18.17% 7.99% 291.64 53.58 125.00
58. 2022. 11. 30. 0.61% 5.38% 0.24 22.17 -2.28
59. 2022. 12. 31. -3.39% -5.90% 20.11 43.08 29.44
합계 (Σ): 1,821.52 1,691.48 1,098.66

모두 표시

분산MCD = Σ(RMCD,tRMCD)2 ÷ (59 – 1)
= 1,821.52 ÷ (59 – 1)
= 31.41

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

공분산MCD, S&P 500 = Σ(RMCD,tRMCD)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,098.66 ÷ (59 – 1)
= 18.94


체계적인 위험 추정 (β)

Microsoft Excel
분산MCD 31.41
분산S&P 500 29.16
공분산MCD, S&P 500 18.94
상관 계수MCD, S&P 5001 0.63
βMCD2 0.65
αMCD3 0.66%

계산

1 상관 계수MCD, S&P 500
= 공분산MCD, S&P 500 ÷ (표준 편차MCD × 표준 편차S&P 500)
= 18.94 ÷ (5.60% × 5.40%)
= 0.63

2 βMCD
= 공분산MCD, S&P 500 ÷ 분산S&P 500
= 18.94 ÷ 29.16
= 0.65

3 αMCD
= 평균의MCD – βMCD × 평균의S&P 500
= 1.09%0.65 × 0.67%
= 0.66%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.57%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 12.80%
보통주의 체계적 위험McDonald’s βMCD 0.65
 
맥도날드 보통주 예상 수익률3 E(RMCD) 9.92%

1 10년 이내에 만기가 되지 않거나 콜 가능하지 않은 모든 미결제 고정 쿠폰 미국 재무부 채권에 대한 입찰 수익률의 가중 평균(무위험 수익률 프록시).

2 자세히 보기 »

3 E(RMCD) = RF + βMCD [E(RM) – RF]
= 4.57% + 0.65 [12.80%4.57%]
= 9.92%