자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 McDonald’s보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
McDonald’s Corp., 월별 수익률
| McDonald’s Corp. (MCD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MCD,t1 | 피제수MCD,t1 | RMCD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $207.84 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $206.14 | $1.29 | -0.20% | 3,811.15 | 2.61% |
| 2. | 2021. 3. 31. | $224.14 | 8.73% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $236.08 | 5.33% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $311.82 | 4.49% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $305.63 | $1.86 | -1.39% | 6,845.50 | -0.05% |
| 평균의 (R): | 0.96% | 1.14% | ||||
| 표준 편차: | 4.76% | 4.37% | ||||
| McDonald’s Corp. (MCD) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값MCD,t1 | 피제수MCD,t1 | RMCD,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2021. 1. 31. | $207.84 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $206.14 | $1.29 | -0.20% | 3,811.15 | 2.61% |
| 2. | 2021. 3. 31. | $224.14 | 8.73% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $236.08 | 5.33% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $233.89 | $1.29 | -0.38% | 4,204.11 | 0.55% |
| 5. | 2021. 6. 30. | $230.99 | -1.24% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $242.71 | 5.07% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $237.46 | $1.29 | -1.63% | 4,522.68 | 2.90% |
| 8. | 2021. 9. 30. | $241.11 | 1.54% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $245.55 | 1.84% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $244.60 | $1.38 | 0.18% | 4,567.00 | -0.83% |
| 11. | 2021. 12. 31. | $268.07 | 9.60% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $259.45 | -3.22% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $244.77 | $1.38 | -5.13% | 4,373.94 | -3.14% |
| 14. | 2022. 3. 31. | $247.28 | 1.03% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $249.16 | 0.76% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $252.21 | 1.22% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $246.88 | $1.38 | -1.57% | 3,785.38 | -8.39% |
| 18. | 2022. 7. 31. | $263.37 | 6.68% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $252.28 | $1.38 | -3.69% | 3,955.00 | -4.24% |
| 20. | 2022. 9. 30. | $230.74 | -8.54% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $272.66 | 18.17% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $272.79 | $1.52 | 0.61% | 4,080.11 | 5.38% |
| 23. | 2022. 12. 31. | $263.53 | -3.39% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $267.40 | 1.47% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $263.91 | $1.52 | -0.74% | 3,970.15 | -2.61% |
| 26. | 2023. 3. 31. | $279.61 | 5.95% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $295.75 | 5.77% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $285.11 | -3.60% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $298.41 | $1.52 | 5.20% | 4,376.86 | 4.71% |
| 30. | 2023. 7. 31. | $293.20 | -1.75% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $281.15 | $1.52 | -3.59% | 4,507.66 | -1.77% |
| 32. | 2023. 9. 30. | $263.44 | -6.30% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $262.17 | -0.48% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $281.84 | $1.67 | 8.14% | 4,567.80 | 8.92% |
| 35. | 2023. 12. 31. | $296.51 | 5.21% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $292.72 | -1.28% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $292.28 | $1.67 | 0.42% | 5,096.27 | 5.17% |
| 38. | 2024. 3. 31. | $281.95 | -3.53% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $273.04 | -3.16% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $258.89 | -5.18% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $254.84 | $1.67 | -0.92% | 5,460.48 | 3.47% |
| 42. | 2024. 7. 31. | $265.40 | 4.14% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $288.66 | 8.76% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $304.51 | $1.67 | 6.07% | 5,762.48 | 2.02% |
| 45. | 2024. 10. 31. | $292.11 | -4.07% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $296.01 | 1.34% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $289.89 | $1.77 | -1.47% | 5,881.63 | -2.50% |
| 48. | 2025. 1. 31. | $288.70 | -0.41% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $308.33 | 6.80% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $312.37 | $1.77 | 1.88% | 5,611.85 | -5.75% |
| 51. | 2025. 4. 30. | $319.65 | 2.33% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $313.85 | -1.81% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $292.17 | $1.77 | -6.34% | 6,204.95 | 4.96% |
| 54. | 2025. 7. 31. | $300.07 | 2.70% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $313.54 | 4.49% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $303.89 | $1.77 | -2.51% | 6,688.46 | 3.53% |
| 57. | 2025. 10. 31. | $298.43 | -1.80% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $311.82 | 4.49% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $305.63 | $1.86 | -1.39% | 6,845.50 | -0.05% |
| 평균의 (R): | 0.96% | 1.14% | ||||
| 표준 편차: | 4.76% | 4.37% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 MCD의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
McDonald’s Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RMCD,t | RS&P 500,t | (RMCD,t–RMCD)2 | (RS&P 500,t–RS&P 500)2 | (RMCD,t–RMCD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -0.20% | 2.61% | 1.34 | 2.17 | -1.70 |
| 2. | 2021. 3. 31. | 8.73% | 4.24% | 60.42 | 9.66 | 24.16 |
| 3. | 2021. 4. 30. | 5.33% | 5.24% | 19.08 | 16.86 | 17.94 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | 4.49% | 0.13% | 12.44 | 1.01 | -3.55 |
| 59. | 2025. 12. 31. | -1.39% | -0.05% | 5.51 | 1.41 | 2.79 |
| 합계 (Σ): | 1,315.48 | 1,108.23 | 570.69 | |||
| t | 날짜 | RMCD,t | RS&P 500,t | (RMCD,t–RMCD)2 | (RS&P 500,t–RS&P 500)2 | (RMCD,t–RMCD)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021. 2. 28. | -0.20% | 2.61% | 1.34 | 2.17 | -1.70 |
| 2. | 2021. 3. 31. | 8.73% | 4.24% | 60.42 | 9.66 | 24.16 |
| 3. | 2021. 4. 30. | 5.33% | 5.24% | 19.08 | 16.86 | 17.94 |
| 4. | 2021. 5. 31. | -0.38% | 0.55% | 1.80 | 0.35 | 0.79 |
| 5. | 2021. 6. 30. | -1.24% | 2.22% | 4.84 | 1.18 | -2.39 |
| 6. | 2021. 7. 31. | 5.07% | 2.27% | 16.93 | 1.30 | 4.69 |
| 7. | 2021. 8. 31. | -1.63% | 2.90% | 6.71 | 3.11 | -4.57 |
| 8. | 2021. 9. 30. | 1.54% | -4.76% | 0.33 | 34.73 | -3.41 |
| 9. | 2021. 10. 31. | 1.84% | 6.91% | 0.78 | 33.39 | 5.10 |
| 10. | 2021. 11. 30. | 0.18% | -0.83% | 0.61 | 3.88 | 1.54 |
| 11. | 2021. 12. 31. | 9.60% | 4.36% | 74.58 | 10.40 | 27.85 |
| 12. | 2022. 1. 31. | -3.22% | -5.26% | 17.43 | 40.89 | 26.70 |
| 13. | 2022. 2. 28. | -5.13% | -3.14% | 37.03 | 18.25 | 26.00 |
| 14. | 2022. 3. 31. | 1.03% | 3.58% | 0.00 | 5.96 | 0.16 |
| 15. | 2022. 4. 30. | 0.76% | -8.80% | 0.04 | 98.64 | 1.98 |
| 16. | 2022. 5. 31. | 1.22% | 0.01% | 0.07 | 1.28 | -0.30 |
| 17. | 2022. 6. 30. | -1.57% | -8.39% | 6.38 | 90.79 | 24.06 |
| 18. | 2022. 7. 31. | 6.68% | 9.11% | 32.72 | 63.61 | 45.62 |
| 19. | 2022. 8. 31. | -3.69% | -4.24% | 21.59 | 28.95 | 25.00 |
| 20. | 2022. 9. 30. | -8.54% | -9.34% | 90.20 | 109.74 | 99.49 |
| 21. | 2022. 10. 31. | 18.17% | 7.99% | 296.13 | 46.93 | 117.88 |
| 22. | 2022. 11. 30. | 0.61% | 5.38% | 0.13 | 17.97 | -1.50 |
| 23. | 2022. 12. 31. | -3.39% | -5.90% | 18.95 | 49.47 | 30.62 |
| 24. | 2023. 1. 31. | 1.47% | 6.18% | 0.26 | 25.39 | 2.57 |
| 25. | 2023. 2. 28. | -0.74% | -2.61% | 2.88 | 14.04 | 6.36 |
| 26. | 2023. 3. 31. | 5.95% | 3.51% | 24.90 | 5.61 | 11.82 |
| 27. | 2023. 4. 30. | 5.77% | 1.46% | 23.17 | 0.11 | 1.58 |
| 28. | 2023. 5. 31. | -3.60% | 0.25% | 20.76 | 0.79 | 4.05 |
| 29. | 2023. 6. 30. | 5.20% | 4.71% | 17.97 | 12.80 | 15.17 |
| 30. | 2023. 7. 31. | -1.75% | 4.85% | 7.32 | 13.76 | -10.04 |
| 31. | 2023. 8. 31. | -3.59% | -1.77% | 20.71 | 8.46 | 13.23 |
| 32. | 2023. 9. 30. | -6.30% | -4.87% | 52.68 | 36.10 | 43.61 |
| 33. | 2023. 10. 31. | -0.48% | -2.20% | 2.08 | 11.12 | 4.81 |
| 34. | 2023. 11. 30. | 8.14% | 8.92% | 51.56 | 60.56 | 55.88 |
| 35. | 2023. 12. 31. | 5.21% | 4.42% | 18.03 | 10.80 | 13.96 |
| 36. | 2024. 1. 31. | -1.28% | 1.59% | 5.01 | 0.21 | -1.01 |
| 37. | 2024. 2. 29. | 0.42% | 5.17% | 0.29 | 16.29 | -2.18 |
| 38. | 2024. 3. 31. | -3.53% | 3.10% | 20.19 | 3.86 | -8.83 |
| 39. | 2024. 4. 30. | -3.16% | -4.16% | 16.97 | 28.06 | 21.82 |
| 40. | 2024. 5. 31. | -5.18% | 4.80% | 37.72 | 13.44 | -22.51 |
| 41. | 2024. 6. 30. | -0.92% | 3.47% | 3.53 | 5.43 | -4.38 |
| 42. | 2024. 7. 31. | 4.14% | 1.13% | 10.14 | 0.00 | -0.01 |
| 43. | 2024. 8. 31. | 8.76% | 2.28% | 60.92 | 1.32 | 8.95 |
| 44. | 2024. 9. 30. | 6.07% | 2.02% | 26.11 | 0.78 | 4.52 |
| 45. | 2024. 10. 31. | -4.07% | -0.99% | 25.31 | 4.52 | 10.70 |
| 46. | 2024. 11. 30. | 1.34% | 5.73% | 0.14 | 21.10 | 1.73 |
| 47. | 2024. 12. 31. | -1.47% | -2.50% | 5.90 | 13.21 | 8.83 |
| 48. | 2025. 1. 31. | -0.41% | 2.70% | 1.88 | 2.45 | -2.14 |
| 49. | 2025. 2. 28. | 6.80% | -1.42% | 34.11 | 6.56 | -14.95 |
| 50. | 2025. 3. 31. | 1.88% | -5.75% | 0.86 | 47.48 | -6.38 |
| 51. | 2025. 4. 30. | 2.33% | -0.76% | 1.88 | 3.60 | -2.60 |
| 52. | 2025. 5. 31. | -1.81% | 6.15% | 7.69 | 25.16 | -13.91 |
| 53. | 2025. 6. 30. | -6.34% | 4.96% | 53.33 | 14.63 | -27.93 |
| 54. | 2025. 7. 31. | 2.70% | 2.17% | 3.04 | 1.06 | 1.80 |
| 55. | 2025. 8. 31. | 4.49% | 1.91% | 12.46 | 0.59 | 2.72 |
| 56. | 2025. 9. 30. | -2.51% | 3.53% | 12.06 | 5.74 | -8.32 |
| 57. | 2025. 10. 31. | -1.80% | 2.27% | 7.59 | 1.28 | -3.12 |
| 58. | 2025. 11. 30. | 4.49% | 0.13% | 12.44 | 1.01 | -3.55 |
| 59. | 2025. 12. 31. | -1.39% | -0.05% | 5.51 | 1.41 | 2.79 |
| 합계 (Σ): | 1,315.48 | 1,108.23 | 570.69 | |||
모두 보기
분산MCD = Σ(RMCD,t–RMCD)2 ÷ (59 – 1)
= 1,315.48 ÷ (59 – 1)
= 22.68
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산MCD, S&P 500 = Σ(RMCD,t–RMCD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 570.69 ÷ (59 – 1)
= 9.84
체계적인 위험 추정 (β)
| 분산MCD | 22.68 |
| 분산S&P 500 | 19.11 |
| 공분산MCD, S&P 500 | 9.84 |
| 상관 계수MCD, S&P 5001 | 0.47 |
| βMCD2 | 0.51 |
| αMCD3 | 0.37% |
계산
1 상관 계수MCD, S&P 500
= 공분산MCD, S&P 500 ÷ (표준 편차MCD × 표준 편차S&P 500)
= 9.84 ÷ (4.76% × 4.37%)
= 0.47
2 βMCD
= 공분산MCD, S&P 500 ÷ 분산S&P 500
= 9.84 ÷ 19.11
= 0.51
3 αMCD
= 평균의MCD – βMCD × 평균의S&P 500
= 0.96% – 0.51 × 1.14%
= 0.37%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.94% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험McDonald’s | βMCD | 0.51 |
| 맥도날드 보통주 예상 수익률3 | E(RMCD) | 11.34% |
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(RMCD) = RF + βMCD [E(RM) – RF]
= 4.94% + 0.51 [17.36% – 4.94%]
= 11.34%