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 |
| 2020. 1. 31. | $213.97 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $194.17 | $1.25 | -8.67% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $165.35 | -14.84% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $187.56 | 13.43% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $296.01 | 1.34% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $289.89 | $1.77 | -1.47% | 5,881.63 | -2.50% |
| 평균의 (R): | 0.86% | 1.16% | ||||
| 표준 편차: | 5.60% | 5.28% | ||||
| 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 |
| 2020. 1. 31. | $213.97 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $194.17 | $1.25 | -8.67% | 2,954.22 | -8.41% |
| 2. | 2020. 3. 31. | $165.35 | -14.84% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $187.56 | 13.43% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $186.32 | $1.25 | 0.01% | 3,044.31 | 4.53% |
| 5. | 2020. 6. 30. | $184.47 | -0.99% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $194.28 | 5.32% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $213.52 | $1.25 | 10.55% | 3,500.31 | 7.01% |
| 8. | 2020. 9. 30. | $219.49 | 2.80% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $213.00 | -2.96% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $217.44 | $1.29 | 2.69% | 3,621.63 | 10.75% |
| 11. | 2020. 12. 31. | $214.58 | -1.32% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $207.84 | -3.14% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $206.14 | $1.29 | -0.20% | 3,811.15 | 2.61% |
| 14. | 2021. 3. 31. | $224.14 | 8.73% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $236.08 | 5.33% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $233.89 | $1.29 | -0.38% | 4,204.11 | 0.55% |
| 17. | 2021. 6. 30. | $230.99 | -1.24% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $242.71 | 5.07% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $237.46 | $1.29 | -1.63% | 4,522.68 | 2.90% |
| 20. | 2021. 9. 30. | $241.11 | 1.54% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $245.55 | 1.84% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $244.60 | $1.38 | 0.18% | 4,567.00 | -0.83% |
| 23. | 2021. 12. 31. | $268.07 | 9.60% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $259.45 | -3.22% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $244.77 | $1.38 | -5.13% | 4,373.94 | -3.14% |
| 26. | 2022. 3. 31. | $247.28 | 1.03% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $249.16 | 0.76% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $252.21 | 1.22% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $246.88 | $1.38 | -1.57% | 3,785.38 | -8.39% |
| 30. | 2022. 7. 31. | $263.37 | 6.68% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $252.28 | $1.38 | -3.69% | 3,955.00 | -4.24% |
| 32. | 2022. 9. 30. | $230.74 | -8.54% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $272.66 | 18.17% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $272.79 | $1.52 | 0.61% | 4,080.11 | 5.38% |
| 35. | 2022. 12. 31. | $263.53 | -3.39% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $267.40 | 1.47% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $263.91 | $1.52 | -0.74% | 3,970.15 | -2.61% |
| 38. | 2023. 3. 31. | $279.61 | 5.95% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $295.75 | 5.77% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $285.11 | -3.60% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $298.41 | $1.52 | 5.20% | 4,376.86 | 4.71% |
| 42. | 2023. 7. 31. | $293.20 | -1.75% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $281.15 | $1.52 | -3.59% | 4,507.66 | -1.77% |
| 44. | 2023. 9. 30. | $263.44 | -6.30% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $262.17 | -0.48% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $281.84 | $1.67 | 8.14% | 4,567.80 | 8.92% |
| 47. | 2023. 12. 31. | $296.51 | 5.21% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $292.72 | -1.28% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $292.28 | $1.67 | 0.42% | 5,096.27 | 5.17% |
| 50. | 2024. 3. 31. | $281.95 | -3.53% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $273.04 | -3.16% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $258.89 | -5.18% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $254.84 | $1.67 | -0.92% | 5,460.48 | 3.47% |
| 54. | 2024. 7. 31. | $265.40 | 4.14% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $288.66 | 8.76% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $304.51 | $1.67 | 6.07% | 5,762.48 | 2.02% |
| 57. | 2024. 10. 31. | $292.11 | -4.07% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $296.01 | 1.34% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $289.89 | $1.77 | -1.47% | 5,881.63 | -2.50% |
| 평균의 (R): | 0.86% | 1.16% | ||||
| 표준 편차: | 5.60% | 5.28% | ||||
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. | 2020. 2. 29. | -8.67% | -8.41% | 90.90 | 91.63 | 91.27 |
| 2. | 2020. 3. 31. | -14.84% | -12.51% | 246.73 | 186.96 | 214.77 |
| 3. | 2020. 4. 30. | 13.43% | 12.68% | 157.93 | 132.78 | 144.81 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | 1.34% | 5.73% | 0.22 | 20.87 | 2.15 |
| 59. | 2024. 12. 31. | -1.47% | -2.50% | 5.45 | 13.40 | 8.54 |
| 합계 (Σ): | 1,819.41 | 1,618.62 | 1,194.81 | |||
| 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. | 2020. 2. 29. | -8.67% | -8.41% | 90.90 | 91.63 | 91.27 |
| 2. | 2020. 3. 31. | -14.84% | -12.51% | 246.73 | 186.96 | 214.77 |
| 3. | 2020. 4. 30. | 13.43% | 12.68% | 157.93 | 132.78 | 144.81 |
| 4. | 2020. 5. 31. | 0.01% | 4.53% | 0.74 | 11.34 | -2.89 |
| 5. | 2020. 6. 30. | -0.99% | 1.84% | 3.45 | 0.46 | -1.26 |
| 6. | 2020. 7. 31. | 5.32% | 5.51% | 19.83 | 18.91 | 19.37 |
| 7. | 2020. 8. 31. | 10.55% | 7.01% | 93.73 | 34.17 | 56.59 |
| 8. | 2020. 9. 30. | 2.80% | -3.92% | 3.73 | 25.85 | -9.82 |
| 9. | 2020. 10. 31. | -2.96% | -2.77% | 14.61 | 15.43 | 15.01 |
| 10. | 2020. 11. 30. | 2.69% | 10.75% | 3.33 | 92.03 | 17.51 |
| 11. | 2020. 12. 31. | -1.32% | 3.71% | 4.75 | 6.51 | -5.56 |
| 12. | 2021. 1. 31. | -3.14% | -1.11% | 16.05 | 5.18 | 9.11 |
| 13. | 2021. 2. 28. | -0.20% | 2.61% | 1.13 | 2.10 | -1.54 |
| 14. | 2021. 3. 31. | 8.73% | 4.24% | 61.89 | 9.50 | 24.25 |
| 15. | 2021. 4. 30. | 5.33% | 5.24% | 19.91 | 16.66 | 18.21 |
| 16. | 2021. 5. 31. | -0.38% | 0.55% | 1.55 | 0.38 | 0.76 |
| 17. | 2021. 6. 30. | -1.24% | 2.22% | 4.43 | 1.12 | -2.23 |
| 18. | 2021. 7. 31. | 5.07% | 2.27% | 17.71 | 1.24 | 4.69 |
| 19. | 2021. 8. 31. | -1.63% | 2.90% | 6.23 | 3.02 | -4.34 |
| 20. | 2021. 9. 30. | 1.54% | -4.76% | 0.45 | 35.02 | -3.98 |
| 21. | 2021. 10. 31. | 1.84% | 6.91% | 0.95 | 33.10 | 5.62 |
| 22. | 2021. 11. 30. | 0.18% | -0.83% | 0.48 | 3.98 | 1.38 |
| 23. | 2021. 12. 31. | 9.60% | 4.36% | 76.22 | 10.24 | 27.94 |
| 24. | 2022. 1. 31. | -3.22% | -5.26% | 16.65 | 41.21 | 26.20 |
| 25. | 2022. 2. 28. | -5.13% | -3.14% | 35.89 | 18.47 | 25.75 |
| 26. | 2022. 3. 31. | 1.03% | 3.58% | 0.03 | 5.84 | 0.39 |
| 27. | 2022. 4. 30. | 0.76% | -8.80% | 0.01 | 99.14 | 1.04 |
| 28. | 2022. 5. 31. | 1.22% | 0.01% | 0.13 | 1.34 | -0.42 |
| 29. | 2022. 6. 30. | -1.57% | -8.39% | 5.91 | 91.26 | 23.23 |
| 30. | 2022. 7. 31. | 6.68% | 9.11% | 33.81 | 63.21 | 46.23 |
| 31. | 2022. 8. 31. | -3.69% | -4.24% | 20.72 | 29.22 | 24.60 |
| 32. | 2022. 9. 30. | -8.54% | -9.34% | 88.42 | 110.27 | 98.74 |
| 33. | 2022. 10. 31. | 18.17% | 7.99% | 299.38 | 46.58 | 118.09 |
| 34. | 2022. 11. 30. | 0.61% | 5.38% | 0.07 | 17.76 | -1.09 |
| 35. | 2022. 12. 31. | -3.39% | -5.90% | 18.14 | 49.82 | 30.07 |
| 36. | 2023. 1. 31. | 1.47% | 6.18% | 0.36 | 25.14 | 3.03 |
| 37. | 2023. 2. 28. | -0.74% | -2.61% | 2.57 | 14.23 | 6.04 |
| 38. | 2023. 3. 31. | 5.95% | 3.51% | 25.85 | 5.49 | 11.92 |
| 39. | 2023. 4. 30. | 5.77% | 1.46% | 24.08 | 0.09 | 1.49 |
| 40. | 2023. 5. 31. | -3.60% | 0.25% | 19.91 | 0.83 | 4.07 |
| 41. | 2023. 6. 30. | 5.20% | 4.71% | 18.78 | 12.62 | 15.39 |
| 42. | 2023. 7. 31. | -1.75% | 4.85% | 6.82 | 13.58 | -9.62 |
| 43. | 2023. 8. 31. | -3.59% | -1.77% | 19.86 | 8.60 | 13.07 |
| 44. | 2023. 9. 30. | -6.30% | -4.87% | 51.32 | 36.40 | 43.22 |
| 45. | 2023. 10. 31. | -0.48% | -2.20% | 1.81 | 11.28 | 4.53 |
| 46. | 2023. 11. 30. | 8.14% | 8.92% | 52.92 | 60.17 | 56.43 |
| 47. | 2023. 12. 31. | 5.21% | 4.42% | 18.84 | 10.64 | 14.16 |
| 48. | 2024. 1. 31. | -1.28% | 1.59% | 4.59 | 0.18 | -0.92 |
| 49. | 2024. 2. 29. | 0.42% | 5.17% | 0.20 | 16.09 | -1.78 |
| 50. | 2024. 3. 31. | -3.53% | 3.10% | 19.35 | 3.77 | -8.54 |
| 51. | 2024. 4. 30. | -3.16% | -4.16% | 16.20 | 28.33 | 21.42 |
| 52. | 2024. 5. 31. | -5.18% | 4.80% | 36.57 | 13.26 | -22.02 |
| 53. | 2024. 6. 30. | -0.92% | 3.47% | 3.18 | 5.32 | -4.11 |
| 54. | 2024. 7. 31. | 4.14% | 1.13% | 10.75 | 0.00 | -0.10 |
| 55. | 2024. 8. 31. | 8.76% | 2.28% | 62.40 | 1.26 | 8.86 |
| 56. | 2024. 9. 30. | 6.07% | 2.02% | 27.09 | 0.74 | 4.47 |
| 57. | 2024. 10. 31. | -4.07% | -0.99% | 24.37 | 4.63 | 10.62 |
| 58. | 2024. 11. 30. | 1.34% | 5.73% | 0.22 | 20.87 | 2.15 |
| 59. | 2024. 12. 31. | -1.47% | -2.50% | 5.45 | 13.40 | 8.54 |
| 합계 (Σ): | 1,819.41 | 1,618.62 | 1,194.81 | |||
모두 보기
분산MCD = Σ(RMCD,t–RMCD)2 ÷ (59 – 1)
= 1,819.41 ÷ (59 – 1)
= 31.37
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산MCD, S&P 500 = Σ(RMCD,t–RMCD)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,194.81 ÷ (59 – 1)
= 20.60
체계적인 위험 추정 (β)
| 분산MCD | 31.37 |
| 분산S&P 500 | 27.91 |
| 공분산MCD, S&P 500 | 20.60 |
| 상관 계수MCD, S&P 5001 | 0.70 |
| βMCD2 | 0.74 |
| αMCD3 | 0.01% |
계산
1 상관 계수MCD, S&P 500
= 공분산MCD, S&P 500 ÷ (표준 편차MCD × 표준 편차S&P 500)
= 20.60 ÷ (5.60% × 5.28%)
= 0.70
2 βMCD
= 공분산MCD, S&P 500 ÷ 분산S&P 500
= 20.60 ÷ 27.91
= 0.74
3 αMCD
= 평균의MCD – βMCD × 평균의S&P 500
= 0.86% – 0.74 × 1.16%
= 0.01%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.81% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.72% |
| 보통주의 체계적 위험McDonald’s | βMCD | 0.74 |
| 맥도날드 보통주 예상 수익률3 | E(RMCD) | 12.12% |
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]
= 4.81% + 0.74 [14.72% – 4.81%]
= 12.12%