자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Nike보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Nike Inc., 월별 수익률
| Nike Inc. (NKE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NKE,t1 | 피제수NKE,t1 | RNKE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 6. 30. | $83.95 | 2,941.76 | ||||
| 1. | 2019. 7. 31. | $86.03 | 2.48% | 2,980.38 | 1.31% | |
| 2. | 2019. 8. 31. | $84.50 | $0.22 | -1.52% | 2,926.46 | -1.81% |
| 3. | 2019. 9. 30. | $93.92 | 11.15% | 2,976.74 | 1.72% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 4. 30. | $56.40 | -11.15% | 5,569.06 | -0.76% | |
| 71. | 2025. 5. 31. | $60.59 | 7.43% | 5,911.69 | 6.15% | |
| 평균의 (R): | 0.05% | 1.11% | ||||
| 표준 편차: | 8.95% | 4.96% | ||||
| Nike Inc. (NKE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값NKE,t1 | 피제수NKE,t1 | RNKE,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2019. 6. 30. | $83.95 | 2,941.76 | ||||
| 1. | 2019. 7. 31. | $86.03 | 2.48% | 2,980.38 | 1.31% | |
| 2. | 2019. 8. 31. | $84.50 | $0.22 | -1.52% | 2,926.46 | -1.81% |
| 3. | 2019. 9. 30. | $93.92 | 11.15% | 2,976.74 | 1.72% | |
| 4. | 2019. 10. 31. | $89.55 | -4.65% | 3,037.56 | 2.04% | |
| 5. | 2019. 11. 30. | $93.49 | $0.245 | 4.67% | 3,140.98 | 3.40% |
| 6. | 2019. 12. 31. | $101.31 | 8.36% | 3,230.78 | 2.86% | |
| 7. | 2020. 1. 31. | $96.30 | -4.95% | 3,225.52 | -0.16% | |
| 8. | 2020. 2. 29. | $89.38 | $0.245 | -6.93% | 2,954.22 | -8.41% |
| 9. | 2020. 3. 31. | $82.74 | -7.43% | 2,584.59 | -12.51% | |
| 10. | 2020. 4. 30. | $87.18 | 5.37% | 2,912.43 | 12.68% | |
| 11. | 2020. 5. 31. | $98.58 | $0.245 | 13.36% | 3,044.31 | 4.53% |
| 12. | 2020. 6. 30. | $98.05 | -0.54% | 3,100.29 | 1.84% | |
| 13. | 2020. 7. 31. | $97.61 | -0.45% | 3,271.12 | 5.51% | |
| 14. | 2020. 8. 31. | $111.89 | $0.245 | 14.88% | 3,500.31 | 7.01% |
| 15. | 2020. 9. 30. | $125.54 | 12.20% | 3,363.00 | -3.92% | |
| 16. | 2020. 10. 31. | $120.08 | -4.35% | 3,269.96 | -2.77% | |
| 17. | 2020. 11. 30. | $134.70 | 12.18% | 3,621.63 | 10.75% | |
| 18. | 2020. 12. 31. | $141.47 | $0.275 | 5.23% | 3,756.07 | 3.71% |
| 19. | 2021. 1. 31. | $133.59 | -5.57% | 3,714.24 | -1.11% | |
| 20. | 2021. 2. 28. | $134.78 | $0.275 | 1.10% | 3,811.15 | 2.61% |
| 21. | 2021. 3. 31. | $132.89 | -1.40% | 3,972.89 | 4.24% | |
| 22. | 2021. 4. 30. | $132.62 | -0.20% | 4,181.17 | 5.24% | |
| 23. | 2021. 5. 31. | $136.46 | $0.275 | 3.10% | 4,204.11 | 0.55% |
| 24. | 2021. 6. 30. | $154.49 | 13.21% | 4,297.50 | 2.22% | |
| 25. | 2021. 7. 31. | $167.51 | 8.43% | 4,395.26 | 2.27% | |
| 26. | 2021. 8. 31. | $164.74 | $0.275 | -1.49% | 4,522.68 | 2.90% |
| 27. | 2021. 9. 30. | $145.23 | -11.84% | 4,307.54 | -4.76% | |
| 28. | 2021. 10. 31. | $167.29 | 15.19% | 4,605.38 | 6.91% | |
| 29. | 2021. 11. 30. | $169.24 | 1.17% | 4,567.00 | -0.83% | |
| 30. | 2021. 12. 31. | $166.67 | $0.305 | -1.34% | 4,766.18 | 4.36% |
| 31. | 2022. 1. 31. | $148.07 | -11.16% | 4,515.55 | -5.26% | |
| 32. | 2022. 2. 28. | $136.55 | -7.78% | 4,373.94 | -3.14% | |
| 33. | 2022. 3. 31. | $134.56 | $0.305 | -1.23% | 4,530.41 | 3.58% |
| 34. | 2022. 4. 30. | $124.70 | -7.33% | 4,131.93 | -8.80% | |
| 35. | 2022. 5. 31. | $118.85 | -4.69% | 4,132.15 | 0.01% | |
| 36. | 2022. 6. 30. | $102.20 | $0.305 | -13.75% | 3,785.38 | -8.39% |
| 37. | 2022. 7. 31. | $114.92 | 12.45% | 4,130.29 | 9.11% | |
| 38. | 2022. 8. 31. | $106.45 | -7.37% | 3,955.00 | -4.24% | |
| 39. | 2022. 9. 30. | $83.12 | $0.305 | -21.63% | 3,585.62 | -9.34% |
| 40. | 2022. 10. 31. | $92.68 | 11.50% | 3,871.98 | 7.99% | |
| 41. | 2022. 11. 30. | $109.69 | 18.35% | 4,080.11 | 5.38% | |
| 42. | 2022. 12. 31. | $117.01 | $0.34 | 6.98% | 3,839.50 | -5.90% |
| 43. | 2023. 1. 31. | $127.33 | 8.82% | 4,076.60 | 6.18% | |
| 44. | 2023. 2. 28. | $118.79 | -6.71% | 3,970.15 | -2.61% | |
| 45. | 2023. 3. 31. | $122.64 | $0.34 | 3.53% | 4,109.31 | 3.51% |
| 46. | 2023. 4. 30. | $126.72 | 3.33% | 4,169.48 | 1.46% | |
| 47. | 2023. 5. 31. | $105.26 | -16.93% | 4,179.83 | 0.25% | |
| 48. | 2023. 6. 30. | $110.37 | $0.34 | 5.18% | 4,376.86 | 4.71% |
| 49. | 2023. 7. 31. | $110.39 | 0.02% | 4,588.96 | 4.85% | |
| 50. | 2023. 8. 31. | $101.71 | -7.86% | 4,507.66 | -1.77% | |
| 51. | 2023. 9. 30. | $95.62 | $0.34 | -5.65% | 4,288.05 | -4.87% |
| 52. | 2023. 10. 31. | $102.77 | 7.48% | 4,193.80 | -2.20% | |
| 53. | 2023. 11. 30. | $110.27 | 7.30% | 4,567.80 | 8.92% | |
| 54. | 2023. 12. 31. | $108.57 | $0.37 | -1.21% | 4,769.83 | 4.42% |
| 55. | 2024. 1. 31. | $101.53 | -6.48% | 4,845.65 | 1.59% | |
| 56. | 2024. 2. 29. | $103.93 | 2.36% | 5,096.27 | 5.17% | |
| 57. | 2024. 3. 31. | $93.98 | $0.37 | -9.22% | 5,254.35 | 3.10% |
| 58. | 2024. 4. 30. | $92.26 | -1.83% | 5,035.69 | -4.16% | |
| 59. | 2024. 5. 31. | $95.05 | 3.02% | 5,277.51 | 4.80% | |
| 60. | 2024. 6. 30. | $75.37 | $0.37 | -20.32% | 5,460.48 | 3.47% |
| 61. | 2024. 7. 31. | $74.86 | -0.68% | 5,522.30 | 1.13% | |
| 62. | 2024. 8. 31. | $83.32 | 11.30% | 5,648.40 | 2.28% | |
| 63. | 2024. 9. 30. | $88.40 | $0.37 | 6.54% | 5,762.48 | 2.02% |
| 64. | 2024. 10. 31. | $77.13 | -12.75% | 5,705.45 | -0.99% | |
| 65. | 2024. 11. 30. | $78.77 | 2.13% | 6,032.38 | 5.73% | |
| 66. | 2024. 12. 31. | $75.67 | $0.40 | -3.43% | 5,881.63 | -2.50% |
| 67. | 2025. 1. 31. | $76.90 | 1.63% | 6,040.53 | 2.70% | |
| 68. | 2025. 2. 28. | $79.43 | 3.29% | 5,954.50 | -1.42% | |
| 69. | 2025. 3. 31. | $63.48 | $0.40 | -19.58% | 5,611.85 | -5.75% |
| 70. | 2025. 4. 30. | $56.40 | -11.15% | 5,569.06 | -0.76% | |
| 71. | 2025. 5. 31. | $60.59 | 7.43% | 5,911.69 | 6.15% | |
| 평균의 (R): | 0.05% | 1.11% | ||||
| 표준 편차: | 8.95% | 4.96% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t기간 동안 NKE의 보통주 수익률
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Nike Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RNKE,t | RS&P 500,t | (RNKE,t–RNKE)2 | (RS&P 500,t–RS&P 500)2 | (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 7. 31. | 2.48% | 1.31% | 5.91 | 0.04 | 0.49 |
| 2. | 2019. 8. 31. | -1.52% | -1.81% | 2.46 | 8.52 | 4.58 |
| 3. | 2019. 9. 30. | 11.15% | 1.72% | 123.24 | 0.37 | 6.75 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025. 4. 30. | -11.15% | -0.76% | 125.43 | 3.51 | 20.97 |
| 71. | 2025. 5. 31. | 7.43% | 6.15% | 54.50 | 25.43 | 37.23 |
| 합계 (Σ): | 5,606.61 | 1,723.53 | 1,862.31 | |||
| t | 날짜 | RNKE,t | RS&P 500,t | (RNKE,t–RNKE)2 | (RS&P 500,t–RS&P 500)2 | (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019. 7. 31. | 2.48% | 1.31% | 5.91 | 0.04 | 0.49 |
| 2. | 2019. 8. 31. | -1.52% | -1.81% | 2.46 | 8.52 | 4.58 |
| 3. | 2019. 9. 30. | 11.15% | 1.72% | 123.24 | 0.37 | 6.75 |
| 4. | 2019. 10. 31. | -4.65% | 2.04% | 22.08 | 0.87 | -4.39 |
| 5. | 2019. 11. 30. | 4.67% | 3.40% | 21.41 | 5.27 | 10.62 |
| 6. | 2019. 12. 31. | 8.36% | 2.86% | 69.19 | 3.06 | 14.55 |
| 7. | 2020. 1. 31. | -4.95% | -0.16% | 24.92 | 1.62 | 6.35 |
| 8. | 2020. 2. 29. | -6.93% | -8.41% | 48.69 | 90.65 | 66.43 |
| 9. | 2020. 3. 31. | -7.43% | -12.51% | 55.88 | 185.55 | 101.83 |
| 10. | 2020. 4. 30. | 5.37% | 12.68% | 28.30 | 133.97 | 61.57 |
| 11. | 2020. 5. 31. | 13.36% | 4.53% | 177.18 | 11.69 | 45.50 |
| 12. | 2020. 6. 30. | -0.54% | 1.84% | 0.34 | 0.53 | -0.43 |
| 13. | 2020. 7. 31. | -0.45% | 5.51% | 0.25 | 19.36 | -2.18 |
| 14. | 2020. 8. 31. | 14.88% | 7.01% | 220.06 | 34.77 | 87.47 |
| 15. | 2020. 9. 30. | 12.20% | -3.92% | 147.70 | 25.33 | -61.16 |
| 16. | 2020. 10. 31. | -4.35% | -2.77% | 19.32 | 15.03 | 17.04 |
| 17. | 2020. 11. 30. | 12.18% | 10.75% | 147.11 | 93.02 | 116.98 |
| 18. | 2020. 12. 31. | 5.23% | 3.71% | 26.87 | 6.77 | 13.49 |
| 19. | 2021. 1. 31. | -5.57% | -1.11% | 31.54 | 4.94 | 12.49 |
| 20. | 2021. 2. 28. | 1.10% | 2.61% | 1.10 | 2.25 | 1.57 |
| 21. | 2021. 3. 31. | -1.40% | 4.24% | 2.10 | 9.82 | -4.54 |
| 22. | 2021. 4. 30. | -0.20% | 5.24% | 0.06 | 17.08 | -1.03 |
| 23. | 2021. 5. 31. | 3.10% | 0.55% | 9.34 | 0.31 | -1.72 |
| 24. | 2021. 6. 30. | 13.21% | 2.22% | 173.35 | 1.24 | 14.64 |
| 25. | 2021. 7. 31. | 8.43% | 2.27% | 70.25 | 1.36 | 9.76 |
| 26. | 2021. 8. 31. | -1.49% | 2.90% | 2.36 | 3.20 | -2.75 |
| 27. | 2021. 9. 30. | -11.84% | -4.76% | 141.36 | 34.42 | 69.75 |
| 28. | 2021. 10. 31. | 15.19% | 6.91% | 229.32 | 33.69 | 87.90 |
| 29. | 2021. 11. 30. | 1.17% | -0.83% | 1.25 | 3.78 | -2.17 |
| 30. | 2021. 12. 31. | -1.34% | 4.36% | 1.92 | 10.57 | -4.50 |
| 31. | 2022. 1. 31. | -11.16% | -5.26% | 125.58 | 40.55 | 71.36 |
| 32. | 2022. 2. 28. | -7.78% | -3.14% | 61.25 | 18.03 | 33.23 |
| 33. | 2022. 3. 31. | -1.23% | 3.58% | 1.64 | 6.09 | -3.16 |
| 34. | 2022. 4. 30. | -7.33% | -8.80% | 54.38 | 98.12 | 73.04 |
| 35. | 2022. 5. 31. | -4.69% | 0.01% | 22.45 | 1.22 | 5.23 |
| 36. | 2022. 6. 30. | -13.75% | -8.39% | 190.41 | 90.28 | 131.12 |
| 37. | 2022. 7. 31. | 12.45% | 9.11% | 153.75 | 64.03 | 99.22 |
| 38. | 2022. 8. 31. | -7.37% | -4.24% | 55.01 | 28.66 | 39.71 |
| 39. | 2022. 9. 30. | -21.63% | -9.34% | 469.86 | 109.19 | 226.50 |
| 40. | 2022. 10. 31. | 11.50% | 7.99% | 131.22 | 47.29 | 78.77 |
| 41. | 2022. 11. 30. | 18.35% | 5.38% | 335.15 | 18.19 | 78.09 |
| 42. | 2022. 12. 31. | 6.98% | -5.90% | 48.12 | 49.10 | -48.61 |
| 43. | 2023. 1. 31. | 8.82% | 6.18% | 76.97 | 25.66 | 44.44 |
| 44. | 2023. 2. 28. | -6.71% | -2.61% | 45.61 | 13.85 | 25.13 |
| 45. | 2023. 3. 31. | 3.53% | 3.51% | 12.12 | 5.74 | 8.34 |
| 46. | 2023. 4. 30. | 3.33% | 1.46% | 10.76 | 0.13 | 1.16 |
| 47. | 2023. 5. 31. | -16.93% | 0.25% | 288.37 | 0.74 | 14.63 |
| 48. | 2023. 6. 30. | 5.18% | 4.71% | 26.33 | 12.99 | 18.49 |
| 49. | 2023. 7. 31. | 0.02% | 4.85% | 0.00 | 13.96 | -0.11 |
| 50. | 2023. 8. 31. | -7.86% | -1.77% | 62.56 | 8.30 | 22.79 |
| 51. | 2023. 9. 30. | -5.65% | -4.87% | 32.49 | 35.78 | 34.09 |
| 52. | 2023. 10. 31. | 7.48% | -2.20% | 55.22 | 10.94 | -24.58 |
| 53. | 2023. 11. 30. | 7.30% | 8.92% | 52.58 | 60.97 | 56.62 |
| 54. | 2023. 12. 31. | -1.21% | 4.42% | 1.57 | 10.98 | -4.15 |
| 55. | 2024. 1. 31. | -6.48% | 1.59% | 42.65 | 0.23 | -3.13 |
| 56. | 2024. 2. 29. | 2.36% | 5.17% | 5.37 | 16.50 | 9.41 |
| 57. | 2024. 3. 31. | -9.22% | 3.10% | 85.82 | 3.97 | -18.46 |
| 58. | 2024. 4. 30. | -1.83% | -4.16% | 3.52 | 27.79 | 9.89 |
| 59. | 2024. 5. 31. | 3.02% | 4.80% | 8.87 | 13.63 | 10.99 |
| 60. | 2024. 6. 30. | -20.32% | 3.47% | 414.61 | 5.56 | -48.00 |
| 61. | 2024. 7. 31. | -0.68% | 1.13% | 0.52 | 0.00 | -0.02 |
| 62. | 2024. 8. 31. | 11.30% | 2.28% | 126.67 | 1.38 | 13.21 |
| 63. | 2024. 9. 30. | 6.54% | 2.02% | 42.18 | 0.83 | 5.91 |
| 64. | 2024. 10. 31. | -12.75% | -0.99% | 163.72 | 4.41 | 26.86 |
| 65. | 2024. 11. 30. | 2.13% | 5.73% | 4.33 | 21.35 | 9.61 |
| 66. | 2024. 12. 31. | -3.43% | -2.50% | 12.07 | 13.02 | 12.54 |
| 67. | 2025. 1. 31. | 1.63% | 2.70% | 2.49 | 2.53 | 2.51 |
| 68. | 2025. 2. 28. | 3.29% | -1.42% | 10.52 | 6.42 | -8.22 |
| 69. | 2025. 3. 31. | -19.58% | -5.75% | 385.08 | 47.12 | 134.70 |
| 70. | 2025. 4. 30. | -11.15% | -0.76% | 125.43 | 3.51 | 20.97 |
| 71. | 2025. 5. 31. | 7.43% | 6.15% | 54.50 | 25.43 | 37.23 |
| 합계 (Σ): | 5,606.61 | 1,723.53 | 1,862.31 | |||
모두 보기
분산NKE = Σ(RNKE,t–RNKE)2 ÷ (71 – 1)
= 5,606.61 ÷ (71 – 1)
= 80.09
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,723.53 ÷ (71 – 1)
= 24.62
공분산NKE, S&P 500 = Σ(RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,862.31 ÷ (71 – 1)
= 26.60
체계적인 위험 추정 (β)
| 분산NKE | 80.09 |
| 분산S&P 500 | 24.62 |
| 공분산NKE, S&P 500 | 26.60 |
| 상관 계수NKE, S&P 5001 | 0.60 |
| βNKE2 | 1.08 |
| αNKE3 | -1.15% |
계산
1 상관 계수NKE, S&P 500
= 공분산NKE, S&P 500 ÷ (표준 편차NKE × 표준 편차S&P 500)
= 26.60 ÷ (8.95% × 4.96%)
= 0.60
2 βNKE
= 공분산NKE, S&P 500 ÷ 분산S&P 500
= 26.60 ÷ 24.62
= 1.08
3 αNKE
= 평균의NKE – βNKE × 평균의S&P 500
= 0.05% – 1.08 × 1.11%
= -1.15%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.61% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.88% |
| 보통주의 체계적 위험Nike | βNKE | 1.08 |
| Nike 보통주에 대한 예상 수익률3 | E(RNKE) | 15.71% |
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(RNKE) = RF + βNKE [E(RM) – RF]
= 4.61% + 1.08 [14.88% – 4.61%]
= 15.71%