자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Oracle보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Oracle Corp., 월별 수익률
| Oracle Corp. (ORCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ORCL,t1 | 피제수ORCL,t1 | RORCL,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 6. 30. | $50.14 | 2,423.41 | ||||
| 1. | 2017. 7. 31. | $49.93 | $0.19 | -0.04% | 2,470.30 | 1.93% |
| 2. | 2017. 8. 31. | $50.33 | 0.80% | 2,471.65 | 0.05% | |
| 3. | 2017. 9. 30. | $48.35 | -3.93% | 2,519.36 | 1.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 4. 30. | $94.72 | $0.40 | 2.37% | 4,169.48 | 1.46% |
| 71. | 2023. 5. 31. | $105.94 | 11.85% | 4,179.83 | 0.25% | |
| 평균의 (R): | 1.45% | 0.90% | ||||
| 표준 편차: | 7.26% | 5.03% | ||||
| Oracle Corp. (ORCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값ORCL,t1 | 피제수ORCL,t1 | RORCL,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 6. 30. | $50.14 | 2,423.41 | ||||
| 1. | 2017. 7. 31. | $49.93 | $0.19 | -0.04% | 2,470.30 | 1.93% |
| 2. | 2017. 8. 31. | $50.33 | 0.80% | 2,471.65 | 0.05% | |
| 3. | 2017. 9. 30. | $48.35 | -3.93% | 2,519.36 | 1.93% | |
| 4. | 2017. 10. 31. | $50.90 | $0.19 | 5.67% | 2,575.26 | 2.22% |
| 5. | 2017. 11. 30. | $49.06 | -3.61% | 2,647.58 | 2.81% | |
| 6. | 2017. 12. 31. | $47.28 | -3.63% | 2,673.61 | 0.98% | |
| 7. | 2018. 1. 31. | $51.59 | $0.19 | 9.52% | 2,823.81 | 5.62% |
| 8. | 2018. 2. 28. | $50.67 | -1.78% | 2,713.83 | -3.89% | |
| 9. | 2018. 3. 31. | $45.75 | -9.71% | 2,640.87 | -2.69% | |
| 10. | 2018. 4. 30. | $45.67 | $0.19 | 0.24% | 2,648.05 | 0.27% |
| 11. | 2018. 5. 31. | $46.72 | 2.30% | 2,705.27 | 2.16% | |
| 12. | 2018. 6. 30. | $44.06 | -5.69% | 2,718.37 | 0.48% | |
| 13. | 2018. 7. 31. | $47.68 | $0.19 | 8.65% | 2,816.29 | 3.60% |
| 14. | 2018. 8. 31. | $48.58 | 1.89% | 2,901.52 | 3.03% | |
| 15. | 2018. 9. 30. | $51.56 | 6.13% | 2,913.98 | 0.43% | |
| 16. | 2018. 10. 31. | $48.84 | $0.19 | -4.91% | 2,711.74 | -6.94% |
| 17. | 2018. 11. 30. | $48.76 | -0.16% | 2,760.17 | 1.79% | |
| 18. | 2018. 12. 31. | $45.15 | -7.40% | 2,506.85 | -9.18% | |
| 19. | 2019. 1. 31. | $50.23 | $0.19 | 11.67% | 2,704.10 | 7.87% |
| 20. | 2019. 2. 28. | $52.13 | 3.78% | 2,784.49 | 2.97% | |
| 21. | 2019. 3. 31. | $53.71 | 3.03% | 2,834.40 | 1.79% | |
| 22. | 2019. 4. 30. | $55.33 | $0.24 | 3.46% | 2,945.83 | 3.93% |
| 23. | 2019. 5. 31. | $50.60 | -8.55% | 2,752.06 | -6.58% | |
| 24. | 2019. 6. 30. | $56.97 | 12.59% | 2,941.76 | 6.89% | |
| 25. | 2019. 7. 31. | $56.30 | $0.24 | -0.75% | 2,980.38 | 1.31% |
| 26. | 2019. 8. 31. | $52.06 | -7.53% | 2,926.46 | -1.81% | |
| 27. | 2019. 9. 30. | $55.03 | 5.70% | 2,976.74 | 1.72% | |
| 28. | 2019. 10. 31. | $54.49 | $0.24 | -0.55% | 3,037.56 | 2.04% |
| 29. | 2019. 11. 30. | $56.14 | 3.03% | 3,140.98 | 3.40% | |
| 30. | 2019. 12. 31. | $52.98 | -5.63% | 3,230.78 | 2.86% | |
| 31. | 2020. 1. 31. | $52.45 | $0.24 | -0.55% | 3,225.52 | -0.16% |
| 32. | 2020. 2. 29. | $49.46 | -5.70% | 2,954.22 | -8.41% | |
| 33. | 2020. 3. 31. | $48.33 | -2.28% | 2,584.59 | -12.51% | |
| 34. | 2020. 4. 30. | $52.97 | $0.24 | 10.10% | 2,912.43 | 12.68% |
| 35. | 2020. 5. 31. | $53.77 | 1.51% | 3,044.31 | 4.53% | |
| 36. | 2020. 6. 30. | $55.27 | 2.79% | 3,100.29 | 1.84% | |
| 37. | 2020. 7. 31. | $55.45 | $0.24 | 0.76% | 3,271.12 | 5.51% |
| 38. | 2020. 8. 31. | $57.22 | 3.19% | 3,500.31 | 7.01% | |
| 39. | 2020. 9. 30. | $59.70 | 4.33% | 3,363.00 | -3.92% | |
| 40. | 2020. 10. 31. | $56.11 | $0.24 | -5.61% | 3,269.96 | -2.77% |
| 41. | 2020. 11. 30. | $57.72 | 2.87% | 3,621.63 | 10.75% | |
| 42. | 2020. 12. 31. | $64.69 | 12.08% | 3,756.07 | 3.71% | |
| 43. | 2021. 1. 31. | $60.43 | $0.24 | -6.21% | 3,714.24 | -1.11% |
| 44. | 2021. 2. 28. | $64.51 | 6.75% | 3,811.15 | 2.61% | |
| 45. | 2021. 3. 31. | $70.17 | 8.77% | 3,972.89 | 4.24% | |
| 46. | 2021. 4. 30. | $75.79 | $0.32 | 8.47% | 4,181.17 | 5.24% |
| 47. | 2021. 5. 31. | $78.74 | 3.89% | 4,204.11 | 0.55% | |
| 48. | 2021. 6. 30. | $77.84 | -1.14% | 4,297.50 | 2.22% | |
| 49. | 2021. 7. 31. | $87.14 | $0.32 | 12.36% | 4,395.26 | 2.27% |
| 50. | 2021. 8. 31. | $89.13 | 2.28% | 4,522.68 | 2.90% | |
| 51. | 2021. 9. 30. | $87.13 | -2.24% | 4,307.54 | -4.76% | |
| 52. | 2021. 10. 31. | $95.94 | $0.32 | 10.48% | 4,605.38 | 6.91% |
| 53. | 2021. 11. 30. | $90.74 | -5.42% | 4,567.00 | -0.83% | |
| 54. | 2021. 12. 31. | $87.21 | -3.89% | 4,766.18 | 4.36% | |
| 55. | 2022. 1. 31. | $81.16 | $0.32 | -6.57% | 4,515.55 | -5.26% |
| 56. | 2022. 2. 28. | $75.97 | -6.39% | 4,373.94 | -3.14% | |
| 57. | 2022. 3. 31. | $82.73 | 8.90% | 4,530.41 | 3.58% | |
| 58. | 2022. 4. 30. | $73.40 | $0.32 | -10.89% | 4,131.93 | -8.80% |
| 59. | 2022. 5. 31. | $71.92 | -2.02% | 4,132.15 | 0.01% | |
| 60. | 2022. 6. 30. | $69.87 | -2.85% | 3,785.38 | -8.39% | |
| 61. | 2022. 7. 31. | $77.84 | $0.32 | 11.86% | 4,130.29 | 9.11% |
| 62. | 2022. 8. 31. | $74.15 | -4.74% | 3,955.00 | -4.24% | |
| 63. | 2022. 9. 30. | $61.07 | -17.64% | 3,585.62 | -9.34% | |
| 64. | 2022. 10. 31. | $78.07 | $0.32 | 28.36% | 3,871.98 | 7.99% |
| 65. | 2022. 11. 30. | $83.03 | 6.35% | 4,080.11 | 5.38% | |
| 66. | 2022. 12. 31. | $81.74 | -1.55% | 3,839.50 | -5.90% | |
| 67. | 2023. 1. 31. | $88.46 | $0.32 | 8.61% | 4,076.60 | 6.18% |
| 68. | 2023. 2. 28. | $87.40 | -1.20% | 3,970.15 | -2.61% | |
| 69. | 2023. 3. 31. | $92.92 | 6.32% | 4,109.31 | 3.51% | |
| 70. | 2023. 4. 30. | $94.72 | $0.40 | 2.37% | 4,169.48 | 1.46% |
| 71. | 2023. 5. 31. | $105.94 | 11.85% | 4,179.83 | 0.25% | |
| 평균의 (R): | 1.45% | 0.90% | ||||
| 표준 편차: | 7.26% | 5.03% | ||||
모두 표시
1 보통주 주당 US$ 단위의 데이터로, 분할 및 주식 배당금에 맞게 조정됩니다.
2 기간 t 동안 ORCL의 보통주에 대한 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)에 대한 수익률.
분산과 공분산
Oracle Corp., 수익률의 분산 및 공분산 계산
| t | 날짜 | RORCL,t | RS&P 500,t | (RORCL,t–RORCL)2 | (RS&P 500,t–RS&P 500)2 | (RORCL,t–RORCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 7. 31. | -0.04% | 1.93% | 2.22 | 1.08 | -1.55 |
| 2. | 2017. 8. 31. | 0.80% | 0.05% | 0.42 | 0.71 | 0.55 |
| 3. | 2017. 9. 30. | -3.93% | 1.93% | 28.98 | 1.07 | -5.56 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2023. 4. 30. | 2.37% | 1.46% | 0.84 | 0.32 | 0.52 |
| 71. | 2023. 5. 31. | 11.85% | 0.25% | 108.07 | 0.42 | -6.74 |
| 합계 (Σ): | 3,688.97 | 1,772.87 | 1,792.00 | |||
| t | 날짜 | RORCL,t | RS&P 500,t | (RORCL,t–RORCL)2 | (RS&P 500,t–RS&P 500)2 | (RORCL,t–RORCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 7. 31. | -0.04% | 1.93% | 2.22 | 1.08 | -1.55 |
| 2. | 2017. 8. 31. | 0.80% | 0.05% | 0.42 | 0.71 | 0.55 |
| 3. | 2017. 9. 30. | -3.93% | 1.93% | 28.98 | 1.07 | -5.56 |
| 4. | 2017. 10. 31. | 5.67% | 2.22% | 17.79 | 1.75 | 5.58 |
| 5. | 2017. 11. 30. | -3.61% | 2.81% | 25.65 | 3.65 | -9.68 |
| 6. | 2017. 12. 31. | -3.63% | 0.98% | 25.78 | 0.01 | -0.44 |
| 7. | 2018. 1. 31. | 9.52% | 5.62% | 65.10 | 22.29 | 38.09 |
| 8. | 2018. 2. 28. | -1.78% | -3.89% | 10.45 | 22.96 | 15.49 |
| 9. | 2018. 3. 31. | -9.71% | -2.69% | 124.53 | 12.85 | 40.01 |
| 10. | 2018. 4. 30. | 0.24% | 0.27% | 1.46 | 0.39 | 0.76 |
| 11. | 2018. 5. 31. | 2.30% | 2.16% | 0.72 | 1.60 | 1.07 |
| 12. | 2018. 6. 30. | -5.69% | 0.48% | 51.02 | 0.17 | 2.95 |
| 13. | 2018. 7. 31. | 8.65% | 3.60% | 51.81 | 7.32 | 19.47 |
| 14. | 2018. 8. 31. | 1.89% | 3.03% | 0.19 | 4.54 | 0.93 |
| 15. | 2018. 9. 30. | 6.13% | 0.43% | 21.95 | 0.22 | -2.19 |
| 16. | 2018. 10. 31. | -4.91% | -6.94% | 40.40 | 61.42 | 49.82 |
| 17. | 2018. 11. 30. | -0.16% | 1.79% | 2.60 | 0.79 | -1.43 |
| 18. | 2018. 12. 31. | -7.40% | -9.18% | 78.38 | 101.49 | 89.19 |
| 19. | 2019. 1. 31. | 11.67% | 7.87% | 104.50 | 48.61 | 71.27 |
| 20. | 2019. 2. 28. | 3.78% | 2.97% | 5.44 | 4.31 | 4.84 |
| 21. | 2019. 3. 31. | 3.03% | 1.79% | 2.50 | 0.80 | 1.42 |
| 22. | 2019. 4. 30. | 3.46% | 3.93% | 4.05 | 9.21 | 6.11 |
| 23. | 2019. 5. 31. | -8.55% | -6.58% | 99.97 | 55.87 | 74.73 |
| 24. | 2019. 6. 30. | 12.59% | 6.89% | 124.09 | 35.96 | 66.80 |
| 25. | 2019. 7. 31. | -0.75% | 1.31% | 4.86 | 0.17 | -0.92 |
| 26. | 2019. 8. 31. | -7.53% | -1.81% | 80.65 | 7.32 | 24.30 |
| 27. | 2019. 9. 30. | 5.70% | 1.72% | 18.11 | 0.67 | 3.50 |
| 28. | 2019. 10. 31. | -0.55% | 2.04% | 3.98 | 1.31 | -2.29 |
| 29. | 2019. 11. 30. | 3.03% | 3.40% | 2.49 | 6.29 | 3.96 |
| 30. | 2019. 12. 31. | -5.63% | 2.86% | 50.10 | 3.85 | -13.89 |
| 31. | 2020. 1. 31. | -0.55% | -0.16% | 3.99 | 1.12 | 2.12 |
| 32. | 2020. 2. 29. | -5.70% | -8.41% | 51.13 | 86.63 | 66.55 |
| 33. | 2020. 3. 31. | -2.28% | -12.51% | 13.94 | 179.79 | 50.07 |
| 34. | 2020. 4. 30. | 10.10% | 12.68% | 74.78 | 138.95 | 101.94 |
| 35. | 2020. 5. 31. | 1.51% | 4.53% | 0.00 | 13.19 | 0.22 |
| 36. | 2020. 6. 30. | 2.79% | 1.84% | 1.80 | 0.89 | 1.26 |
| 37. | 2020. 7. 31. | 0.76% | 5.51% | 0.48 | 21.28 | -3.18 |
| 38. | 2020. 8. 31. | 3.19% | 7.01% | 3.04 | 37.33 | 10.65 |
| 39. | 2020. 9. 30. | 4.33% | -3.92% | 8.32 | 23.23 | -13.90 |
| 40. | 2020. 10. 31. | -5.61% | -2.77% | 49.86 | 13.42 | 25.87 |
| 41. | 2020. 11. 30. | 2.87% | 10.75% | 2.02 | 97.18 | 14.00 |
| 42. | 2020. 12. 31. | 12.08% | 3.71% | 112.91 | 7.93 | 29.92 |
| 43. | 2021. 1. 31. | -6.21% | -1.11% | 58.73 | 4.04 | 15.41 |
| 44. | 2021. 2. 28. | 6.75% | 2.61% | 28.11 | 2.93 | 9.08 |
| 45. | 2021. 3. 31. | 8.77% | 4.24% | 53.64 | 11.20 | 24.52 |
| 46. | 2021. 4. 30. | 8.47% | 5.24% | 49.22 | 18.89 | 30.49 |
| 47. | 2021. 5. 31. | 3.89% | 0.55% | 5.97 | 0.12 | -0.85 |
| 48. | 2021. 6. 30. | -1.14% | 2.22% | 6.72 | 1.75 | -3.43 |
| 49. | 2021. 7. 31. | 12.36% | 2.27% | 119.01 | 1.90 | 15.03 |
| 50. | 2021. 8. 31. | 2.28% | 2.90% | 0.70 | 4.01 | 1.67 |
| 51. | 2021. 9. 30. | -2.24% | -4.76% | 13.64 | 31.96 | 20.88 |
| 52. | 2021. 10. 31. | 10.48% | 6.91% | 81.52 | 36.21 | 54.33 |
| 53. | 2021. 11. 30. | -5.42% | -0.83% | 47.19 | 2.99 | 11.88 |
| 54. | 2021. 12. 31. | -3.89% | 4.36% | 28.51 | 12.00 | -18.50 |
| 55. | 2022. 1. 31. | -6.57% | -5.26% | 64.32 | 37.89 | 49.36 |
| 56. | 2022. 2. 28. | -6.39% | -3.14% | 61.53 | 16.26 | 31.63 |
| 57. | 2022. 3. 31. | 8.90% | 3.58% | 55.48 | 7.19 | 19.97 |
| 58. | 2022. 4. 30. | -10.89% | -8.80% | 152.29 | 93.94 | 119.61 |
| 59. | 2022. 5. 31. | -2.02% | 0.01% | 12.01 | 0.79 | 3.09 |
| 60. | 2022. 6. 30. | -2.85% | -8.39% | 18.49 | 86.28 | 39.94 |
| 61. | 2022. 7. 31. | 11.86% | 9.11% | 108.48 | 67.49 | 85.56 |
| 62. | 2022. 8. 31. | -4.74% | -4.24% | 38.32 | 26.43 | 31.82 |
| 63. | 2022. 9. 30. | -17.64% | -9.34% | 364.41 | 104.78 | 195.40 |
| 64. | 2022. 10. 31. | 28.36% | 7.99% | 724.22 | 50.26 | 190.79 |
| 65. | 2022. 11. 30. | 6.35% | 5.38% | 24.05 | 20.06 | 21.96 |
| 66. | 2022. 12. 31. | -1.55% | -5.90% | 9.02 | 46.16 | 20.40 |
| 67. | 2023. 1. 31. | 8.61% | 6.18% | 51.31 | 27.86 | 37.81 |
| 68. | 2023. 2. 28. | -1.20% | -2.61% | 7.01 | 12.31 | 9.29 |
| 69. | 2023. 3. 31. | 6.32% | 3.51% | 23.68 | 6.80 | 12.69 |
| 70. | 2023. 4. 30. | 2.37% | 1.46% | 0.84 | 0.32 | 0.52 |
| 71. | 2023. 5. 31. | 11.85% | 0.25% | 108.07 | 0.42 | -6.74 |
| 합계 (Σ): | 3,688.97 | 1,772.87 | 1,792.00 | |||
모두 표시
분산ORCL = Σ(RORCL,t–RORCL)2 ÷ (71 – 1)
= 3,688.97 ÷ (71 – 1)
= 52.70
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,772.87 ÷ (71 – 1)
= 25.33
공분산ORCL, S&P 500 = Σ(RORCL,t–RORCL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,792.00 ÷ (71 – 1)
= 25.60
체계적인 위험 추정 (β)
| 분산ORCL | 52.70 |
| 분산S&P 500 | 25.33 |
| 공분산ORCL, S&P 500 | 25.60 |
| 상관 계수ORCL, S&P 5001 | 0.70 |
| βORCL2 | 1.01 |
| αORCL3 | 0.54% |
계산
1 상관 계수ORCL, S&P 500
= 공분산ORCL, S&P 500 ÷ (표준 편차ORCL × 표준 편차S&P 500)
= 25.60 ÷ (7.26% × 5.03%)
= 0.70
2 βORCL
= 공분산ORCL, S&P 500 ÷ 분산S&P 500
= 25.60 ÷ 25.33
= 1.01
3 αORCL
= 평균의ORCL – βORCL × 평균의S&P 500
= 1.45% – 1.01 × 0.90%
= 0.54%
예상 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.83% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.48% |
| 보통주의 체계적 위험Oracle | βORCL | 1.01 |
| Oracle 보통주에 대한 예상 수익률3 | E(RORCL) | 13.57% |
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(RORCL) = RF + βORCL [E(RM) – RF]
= 4.83% + 1.01 [13.48% – 4.83%]
= 13.57%