Stock Analysis on Net

Merck & Co. Inc. (NYSE:MRK)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

수익률

Merck & Co. Inc., 월별 수익률

Microsoft Excel
Merck & Co. Inc. (MRK) Standard & Poor’s 500 (S&P 500)
t 날짜 MRK,t1 피제수MRK,t1 RMRK,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $74.43 2,704.10
1. 2019. 2. 28. $81.29 9.22% 2,784.49 2.97%
2. 2019. 3. 31. $83.17 $0.55 2.99% 2,834.40 1.79%
3. 2019. 4. 30. $78.71 -5.36% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $102.48 -0.21% 4,567.80 8.92%
59. 2023. 12. 31. $109.02 $0.77 7.13% 4,769.83 4.42%
평균의 (R): 1.15% 1.11%
표준 편차: 6.07% 5.31%
Merck & Co. Inc. (MRK) Standard & Poor’s 500 (S&P 500)
t 날짜 MRK,t1 피제수MRK,t1 RMRK,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $74.43 2,704.10
1. 2019. 2. 28. $81.29 9.22% 2,784.49 2.97%
2. 2019. 3. 31. $83.17 $0.55 2.99% 2,834.40 1.79%
3. 2019. 4. 30. $78.71 -5.36% 2,945.83 3.93%
4. 2019. 5. 31. $79.21 0.64% 2,752.06 -6.58%
5. 2019. 6. 30. $83.85 $0.55 6.55% 2,941.76 6.89%
6. 2019. 7. 31. $82.99 -1.03% 2,980.38 1.31%
7. 2019. 8. 31. $86.47 4.19% 2,926.46 -1.81%
8. 2019. 9. 30. $84.18 $0.55 -2.01% 2,976.74 1.72%
9. 2019. 10. 31. $86.66 2.95% 3,037.56 2.04%
10. 2019. 11. 30. $87.18 0.60% 3,140.98 3.40%
11. 2019. 12. 31. $90.95 $0.61 5.02% 3,230.78 2.86%
12. 2020. 1. 31. $85.44 -6.06% 3,225.52 -0.16%
13. 2020. 2. 29. $76.56 -10.39% 2,954.22 -8.41%
14. 2020. 3. 31. $76.94 $0.61 1.29% 2,584.59 -12.51%
15. 2020. 4. 30. $79.34 3.12% 2,912.43 12.68%
16. 2020. 5. 31. $80.72 1.74% 3,044.31 4.53%
17. 2020. 6. 30. $77.33 $0.61 -3.44% 3,100.29 1.84%
18. 2020. 7. 31. $80.24 3.76% 3,271.12 5.51%
19. 2020. 8. 31. $85.27 6.27% 3,500.31 7.01%
20. 2020. 9. 30. $82.95 $0.61 -2.01% 3,363.00 -3.92%
21. 2020. 10. 31. $75.21 -9.33% 3,269.96 -2.77%
22. 2020. 11. 30. $80.39 6.89% 3,621.63 10.75%
23. 2020. 12. 31. $81.80 $0.65 2.56% 3,756.07 3.71%
24. 2021. 1. 31. $77.07 -5.78% 3,714.24 -1.11%
25. 2021. 2. 28. $72.62 -5.77% 3,811.15 2.61%
26. 2021. 3. 31. $77.09 $0.65 7.05% 3,972.89 4.24%
27. 2021. 4. 30. $74.50 -3.36% 4,181.17 5.24%
28. 2021. 5. 31. $75.89 1.87% 4,204.11 0.55%
29. 2021. 6. 30. $77.77 $3.75 7.42% 4,297.50 2.22%
30. 2021. 7. 31. $76.87 -1.16% 4,395.26 2.27%
31. 2021. 8. 31. $76.29 -0.75% 4,522.68 2.90%
32. 2021. 9. 30. $75.11 $0.65 -0.69% 4,307.54 -4.76%
33. 2021. 10. 31. $88.05 17.23% 4,605.38 6.91%
34. 2021. 11. 30. $74.91 -14.92% 4,567.00 -0.83%
35. 2021. 12. 31. $76.64 $0.69 3.23% 4,766.18 4.36%
36. 2022. 1. 31. $81.48 6.32% 4,515.55 -5.26%
37. 2022. 2. 28. $76.58 -6.01% 4,373.94 -3.14%
38. 2022. 3. 31. $82.05 $0.69 8.04% 4,530.41 3.58%
39. 2022. 4. 30. $88.69 8.09% 4,131.93 -8.80%
40. 2022. 5. 31. $92.03 3.77% 4,132.15 0.01%
41. 2022. 6. 30. $91.17 $0.69 -0.18% 3,785.38 -8.39%
42. 2022. 7. 31. $89.34 -2.01% 4,130.29 9.11%
43. 2022. 8. 31. $85.36 -4.45% 3,955.00 -4.24%
44. 2022. 9. 30. $86.12 $0.69 1.70% 3,585.62 -9.34%
45. 2022. 10. 31. $101.20 17.51% 3,871.98 7.99%
46. 2022. 11. 30. $110.12 8.81% 4,080.11 5.38%
47. 2022. 12. 31. $110.95 $0.73 1.42% 3,839.50 -5.90%
48. 2023. 1. 31. $107.41 -3.19% 4,076.60 6.18%
49. 2023. 2. 28. $106.24 -1.09% 3,970.15 -2.61%
50. 2023. 3. 31. $106.39 $0.73 0.83% 4,109.31 3.51%
51. 2023. 4. 30. $115.47 8.53% 4,169.48 1.46%
52. 2023. 5. 31. $110.41 -4.38% 4,179.83 0.25%
53. 2023. 6. 30. $115.39 $0.73 5.17% 4,376.86 4.71%
54. 2023. 7. 31. $106.65 -7.57% 4,588.96 4.85%
55. 2023. 8. 31. $108.98 2.18% 4,507.66 -1.77%
56. 2023. 9. 30. $102.95 $0.73 -4.86% 4,288.05 -4.87%
57. 2023. 10. 31. $102.70 -0.24% 4,193.80 -2.20%
58. 2023. 11. 30. $102.48 -0.21% 4,567.80 8.92%
59. 2023. 12. 31. $109.02 $0.77 7.13% 4,769.83 4.42%
평균의 (R): 1.15% 1.11%
표준 편차: 6.07% 5.31%

모두 표시

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

2 기간 t 동안 MRK의 보통주에 대한 수익률.

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


분산과 공분산

Merck & Co. Inc., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RMRK,t RS&P 500,t (RMRK,tRMRK)2 (RS&P 500,tRS&P 500)2 (RMRK,tRMRK)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 9.22% 2.97% 65.09 3.49 15.06
2. 2019. 3. 31. 2.99% 1.79% 3.39 0.47 1.26
3. 2019. 4. 30. -5.36% 3.93% 42.40 7.98 -18.40
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. -0.21% 8.92% 1.86 61.03 -10.65
59. 2023. 12. 31. 7.13% 4.42% 35.81 11.00 19.85
합계 (Σ): 2,134.37 1,634.30 591.86
t 날짜 RMRK,t RS&P 500,t (RMRK,tRMRK)2 (RS&P 500,tRS&P 500)2 (RMRK,tRMRK)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 9.22% 2.97% 65.09 3.49 15.06
2. 2019. 3. 31. 2.99% 1.79% 3.39 0.47 1.26
3. 2019. 4. 30. -5.36% 3.93% 42.40 7.98 -18.40
4. 2019. 5. 31. 0.64% -6.58% 0.26 59.04 3.95
5. 2019. 6. 30. 6.55% 6.89% 29.19 33.49 31.27
6. 2019. 7. 31. -1.03% 1.31% 4.73 0.04 -0.45
7. 2019. 8. 31. 4.19% -1.81% 9.27 8.50 -8.87
8. 2019. 9. 30. -2.01% 1.72% 9.99 0.37 -1.94
9. 2019. 10. 31. 2.95% 2.04% 3.23 0.88 1.68
10. 2019. 11. 30. 0.60% 3.40% 0.30 5.28 -1.26
11. 2019. 12. 31. 5.02% 2.86% 15.02 3.07 6.79
12. 2020. 1. 31. -6.06% -0.16% 51.95 1.61 9.14
13. 2020. 2. 29. -10.39% -8.41% 133.23 90.57 109.85
14. 2020. 3. 31. 1.29% -12.51% 0.02 185.44 -1.96
15. 2020. 4. 30. 3.12% 12.68% 3.88 134.06 22.81
16. 2020. 5. 31. 1.74% 4.53% 0.35 11.71 2.02
17. 2020. 6. 30. -3.44% 1.84% 21.10 0.54 -3.37
18. 2020. 7. 31. 3.76% 5.51% 6.83 19.40 11.51
19. 2020. 8. 31. 6.27% 7.01% 26.21 34.82 30.21
20. 2020. 9. 30. -2.01% -3.92% 9.95 25.29 15.86
21. 2020. 10. 31. -9.33% -2.77% 109.83 15.00 40.58
22. 2020. 11. 30. 6.89% 10.75% 32.93 93.10 55.37
23. 2020. 12. 31. 2.56% 3.71% 2.00 6.79 3.68
24. 2021. 1. 31. -5.78% -1.11% 48.05 4.93 15.38
25. 2021. 2. 28. -5.77% 2.61% 47.93 2.26 -10.41
26. 2021. 3. 31. 7.05% 4.24% 34.83 9.85 18.52
27. 2021. 4. 30. -3.36% 5.24% 20.33 17.11 -18.65
28. 2021. 5. 31. 1.87% 0.55% 0.51 0.31 -0.40
29. 2021. 6. 30. 7.42% 2.22% 39.31 1.24 6.99
30. 2021. 7. 31. -1.16% 2.27% 5.32 1.37 -2.70
31. 2021. 8. 31. -0.75% 2.90% 3.62 3.22 -3.41
32. 2021. 9. 30. -0.69% -4.76% 3.40 34.37 10.81
33. 2021. 10. 31. 17.23% 6.91% 258.53 33.74 93.40
34. 2021. 11. 30. -14.92% -0.83% 258.32 3.76 31.17
35. 2021. 12. 31. 3.23% 4.36% 4.33 10.60 6.78
36. 2022. 1. 31. 6.32% -5.26% 26.69 40.51 -32.88
37. 2022. 2. 28. -6.01% -3.14% 51.31 17.99 30.38
38. 2022. 3. 31. 8.04% 3.58% 47.54 6.11 17.04
39. 2022. 4. 30. 8.09% -8.80% 48.21 98.04 -68.75
40. 2022. 5. 31. 3.77% 0.01% 6.85 1.21 -2.88
41. 2022. 6. 30. -0.18% -8.39% 1.78 90.21 12.67
42. 2022. 7. 31. -2.01% 9.11% 9.96 64.09 -25.27
43. 2022. 8. 31. -4.45% -4.24% 31.41 28.62 29.98
44. 2022. 9. 30. 1.70% -9.34% 0.30 109.11 -5.74
45. 2022. 10. 31. 17.51% 7.99% 267.69 47.34 112.57
46. 2022. 11. 30. 8.81% 5.38% 58.75 18.23 32.73
47. 2022. 12. 31. 1.42% -5.90% 0.07 49.04 -1.87
48. 2023. 1. 31. -3.19% 6.18% 18.83 25.70 -22.00
49. 2023. 2. 28. -1.09% -2.61% 5.01 13.82 8.32
50. 2023. 3. 31. 0.83% 3.51% 0.10 5.76 -0.77
51. 2023. 4. 30. 8.53% 1.46% 54.55 0.13 2.65
52. 2023. 5. 31. -4.38% 0.25% 30.59 0.74 4.74
53. 2023. 6. 30. 5.17% 4.71% 16.18 13.02 14.51
54. 2023. 7. 31. -7.57% 4.85% 76.10 13.99 -32.63
55. 2023. 8. 31. 2.18% -1.77% 1.07 8.28 -2.98
56. 2023. 9. 30. -4.86% -4.87% 36.15 35.73 35.94
57. 2023. 10. 31. -0.24% -2.20% 1.94 10.92 4.60
58. 2023. 11. 30. -0.21% 8.92% 1.86 61.03 -10.65
59. 2023. 12. 31. 7.13% 4.42% 35.81 11.00 19.85
합계 (Σ): 2,134.37 1,634.30 591.86

모두 표시

분산MRK = Σ(RMRK,tRMRK)2 ÷ (59 – 1)
= 2,134.37 ÷ (59 – 1)
= 36.80

분산S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

공분산MRK, S&P 500 = Σ(RMRK,tRMRK)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 591.86 ÷ (59 – 1)
= 10.20


체계적인 위험 추정 (β)

Microsoft Excel
분산MRK 36.80
분산S&P 500 28.18
공분산MRK, S&P 500 10.20
상관 계수MRK, S&P 5001 0.32
βMRK2 0.36
αMRK3 0.75%

계산

1 상관 계수MRK, S&P 500
= 공분산MRK, S&P 500 ÷ (표준 편차MRK × 표준 편차S&P 500)
= 10.20 ÷ (6.07% × 5.31%)
= 0.32

2 βMRK
= 공분산MRK, S&P 500 ÷ 분산S&P 500
= 10.20 ÷ 28.18
= 0.36

3 αMRK
= 평균의MRK – βMRK × 평균의S&P 500
= 1.15%0.36 × 1.11%
= 0.75%


예상 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.81%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.54%
보통주의 체계적 위험Merck βMRK 0.36
 
Merck 보통주에 대한 예상 수익률3 E(RMRK) 7.97%

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(RMRK) = RF + βMRK [E(RM) – RF]
= 4.81% + 0.36 [13.54%4.81%]
= 7.97%