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 |
| 2018. 6. 30. | $44.06 | 2,718.37 | ||||
| 1. | 2018. 7. 31. | $47.68 | $0.19 | 8.65% | 2,816.29 | 3.60% |
| 2. | 2018. 8. 31. | $48.58 | 1.89% | 2,901.52 | 3.03% | |
| 3. | 2018. 9. 30. | $51.56 | 6.13% | 2,913.98 | 0.43% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 4. 30. | $113.75 | $0.40 | -9.12% | 5,035.69 | -4.16% |
| 71. | 2024. 5. 31. | $117.19 | 3.02% | 5,277.51 | 4.80% | |
| 평균의 (R): | 1.81% | 1.08% | ||||
| 표준 편차: | 7.69% | 5.24% | ||||
| 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 |
| 2018. 6. 30. | $44.06 | 2,718.37 | ||||
| 1. | 2018. 7. 31. | $47.68 | $0.19 | 8.65% | 2,816.29 | 3.60% |
| 2. | 2018. 8. 31. | $48.58 | 1.89% | 2,901.52 | 3.03% | |
| 3. | 2018. 9. 30. | $51.56 | 6.13% | 2,913.98 | 0.43% | |
| 4. | 2018. 10. 31. | $48.84 | $0.19 | -4.91% | 2,711.74 | -6.94% |
| 5. | 2018. 11. 30. | $48.76 | -0.16% | 2,760.17 | 1.79% | |
| 6. | 2018. 12. 31. | $45.15 | -7.40% | 2,506.85 | -9.18% | |
| 7. | 2019. 1. 31. | $50.23 | $0.19 | 11.67% | 2,704.10 | 7.87% |
| 8. | 2019. 2. 28. | $52.13 | 3.78% | 2,784.49 | 2.97% | |
| 9. | 2019. 3. 31. | $53.71 | 3.03% | 2,834.40 | 1.79% | |
| 10. | 2019. 4. 30. | $55.33 | $0.24 | 3.46% | 2,945.83 | 3.93% |
| 11. | 2019. 5. 31. | $50.60 | -8.55% | 2,752.06 | -6.58% | |
| 12. | 2019. 6. 30. | $56.97 | 12.59% | 2,941.76 | 6.89% | |
| 13. | 2019. 7. 31. | $56.30 | $0.24 | -0.75% | 2,980.38 | 1.31% |
| 14. | 2019. 8. 31. | $52.06 | -7.53% | 2,926.46 | -1.81% | |
| 15. | 2019. 9. 30. | $55.03 | 5.70% | 2,976.74 | 1.72% | |
| 16. | 2019. 10. 31. | $54.49 | $0.24 | -0.55% | 3,037.56 | 2.04% |
| 17. | 2019. 11. 30. | $56.14 | 3.03% | 3,140.98 | 3.40% | |
| 18. | 2019. 12. 31. | $52.98 | -5.63% | 3,230.78 | 2.86% | |
| 19. | 2020. 1. 31. | $52.45 | $0.24 | -0.55% | 3,225.52 | -0.16% |
| 20. | 2020. 2. 29. | $49.46 | -5.70% | 2,954.22 | -8.41% | |
| 21. | 2020. 3. 31. | $48.33 | -2.28% | 2,584.59 | -12.51% | |
| 22. | 2020. 4. 30. | $52.97 | $0.24 | 10.10% | 2,912.43 | 12.68% |
| 23. | 2020. 5. 31. | $53.77 | 1.51% | 3,044.31 | 4.53% | |
| 24. | 2020. 6. 30. | $55.27 | 2.79% | 3,100.29 | 1.84% | |
| 25. | 2020. 7. 31. | $55.45 | $0.24 | 0.76% | 3,271.12 | 5.51% |
| 26. | 2020. 8. 31. | $57.22 | 3.19% | 3,500.31 | 7.01% | |
| 27. | 2020. 9. 30. | $59.70 | 4.33% | 3,363.00 | -3.92% | |
| 28. | 2020. 10. 31. | $56.11 | $0.24 | -5.61% | 3,269.96 | -2.77% |
| 29. | 2020. 11. 30. | $57.72 | 2.87% | 3,621.63 | 10.75% | |
| 30. | 2020. 12. 31. | $64.69 | 12.08% | 3,756.07 | 3.71% | |
| 31. | 2021. 1. 31. | $60.43 | $0.24 | -6.21% | 3,714.24 | -1.11% |
| 32. | 2021. 2. 28. | $64.51 | 6.75% | 3,811.15 | 2.61% | |
| 33. | 2021. 3. 31. | $70.17 | 8.77% | 3,972.89 | 4.24% | |
| 34. | 2021. 4. 30. | $75.79 | $0.32 | 8.47% | 4,181.17 | 5.24% |
| 35. | 2021. 5. 31. | $78.74 | 3.89% | 4,204.11 | 0.55% | |
| 36. | 2021. 6. 30. | $77.84 | -1.14% | 4,297.50 | 2.22% | |
| 37. | 2021. 7. 31. | $87.14 | $0.32 | 12.36% | 4,395.26 | 2.27% |
| 38. | 2021. 8. 31. | $89.13 | 2.28% | 4,522.68 | 2.90% | |
| 39. | 2021. 9. 30. | $87.13 | -2.24% | 4,307.54 | -4.76% | |
| 40. | 2021. 10. 31. | $95.94 | $0.32 | 10.48% | 4,605.38 | 6.91% |
| 41. | 2021. 11. 30. | $90.74 | -5.42% | 4,567.00 | -0.83% | |
| 42. | 2021. 12. 31. | $87.21 | -3.89% | 4,766.18 | 4.36% | |
| 43. | 2022. 1. 31. | $81.16 | $0.32 | -6.57% | 4,515.55 | -5.26% |
| 44. | 2022. 2. 28. | $75.97 | -6.39% | 4,373.94 | -3.14% | |
| 45. | 2022. 3. 31. | $82.73 | 8.90% | 4,530.41 | 3.58% | |
| 46. | 2022. 4. 30. | $73.40 | $0.32 | -10.89% | 4,131.93 | -8.80% |
| 47. | 2022. 5. 31. | $71.92 | -2.02% | 4,132.15 | 0.01% | |
| 48. | 2022. 6. 30. | $69.87 | -2.85% | 3,785.38 | -8.39% | |
| 49. | 2022. 7. 31. | $77.84 | $0.32 | 11.86% | 4,130.29 | 9.11% |
| 50. | 2022. 8. 31. | $74.15 | -4.74% | 3,955.00 | -4.24% | |
| 51. | 2022. 9. 30. | $61.07 | -17.64% | 3,585.62 | -9.34% | |
| 52. | 2022. 10. 31. | $78.07 | $0.32 | 28.36% | 3,871.98 | 7.99% |
| 53. | 2022. 11. 30. | $83.03 | 6.35% | 4,080.11 | 5.38% | |
| 54. | 2022. 12. 31. | $81.74 | -1.55% | 3,839.50 | -5.90% | |
| 55. | 2023. 1. 31. | $88.46 | $0.32 | 8.61% | 4,076.60 | 6.18% |
| 56. | 2023. 2. 28. | $87.40 | -1.20% | 3,970.15 | -2.61% | |
| 57. | 2023. 3. 31. | $92.92 | 6.32% | 4,109.31 | 3.51% | |
| 58. | 2023. 4. 30. | $94.72 | $0.40 | 2.37% | 4,169.48 | 1.46% |
| 59. | 2023. 5. 31. | $105.94 | 11.85% | 4,179.83 | 0.25% | |
| 60. | 2023. 6. 30. | $119.09 | 12.41% | 4,376.86 | 4.71% | |
| 61. | 2023. 7. 31. | $117.23 | $0.40 | -1.23% | 4,588.96 | 4.85% |
| 62. | 2023. 8. 31. | $120.39 | 2.70% | 4,507.66 | -1.77% | |
| 63. | 2023. 9. 30. | $105.92 | -12.02% | 4,288.05 | -4.87% | |
| 64. | 2023. 10. 31. | $103.40 | $0.40 | -2.00% | 4,193.80 | -2.20% |
| 65. | 2023. 11. 30. | $116.21 | 12.39% | 4,567.80 | 8.92% | |
| 66. | 2023. 12. 31. | $105.43 | -9.28% | 4,769.83 | 4.42% | |
| 67. | 2024. 1. 31. | $111.70 | $0.40 | 6.33% | 4,845.65 | 1.59% |
| 68. | 2024. 2. 29. | $111.68 | -0.02% | 5,096.27 | 5.17% | |
| 69. | 2024. 3. 31. | $125.61 | 12.47% | 5,254.35 | 3.10% | |
| 70. | 2024. 4. 30. | $113.75 | $0.40 | -9.12% | 5,035.69 | -4.16% |
| 71. | 2024. 5. 31. | $117.19 | 3.02% | 5,277.51 | 4.80% | |
| 평균의 (R): | 1.81% | 1.08% | ||||
| 표준 편차: | 7.69% | 5.24% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 ORCL의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 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. | 2018. 7. 31. | 8.65% | 3.60% | 46.76 | 6.39 | 17.28 |
| 2. | 2018. 8. 31. | 1.89% | 3.03% | 0.01 | 3.81 | 0.15 |
| 3. | 2018. 9. 30. | 6.13% | 0.43% | 18.71 | 0.42 | -2.79 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 4. 30. | -9.12% | -4.16% | 119.52 | 27.42 | 57.25 |
| 71. | 2024. 5. 31. | 3.02% | 4.80% | 1.48 | 13.89 | 4.53 |
| 합계 (Σ): | 4,144.31 | 1,923.46 | 1,947.49 | |||
| 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. | 2018. 7. 31. | 8.65% | 3.60% | 46.76 | 6.39 | 17.28 |
| 2. | 2018. 8. 31. | 1.89% | 3.03% | 0.01 | 3.81 | 0.15 |
| 3. | 2018. 9. 30. | 6.13% | 0.43% | 18.71 | 0.42 | -2.79 |
| 4. | 2018. 10. 31. | -4.91% | -6.94% | 45.11 | 64.25 | 53.83 |
| 5. | 2018. 11. 30. | -0.16% | 1.79% | 3.89 | 0.51 | -1.40 |
| 6. | 2018. 12. 31. | -7.40% | -9.18% | 84.88 | 105.12 | 94.46 |
| 7. | 2019. 1. 31. | 11.67% | 7.87% | 97.28 | 46.15 | 67.00 |
| 8. | 2019. 2. 28. | 3.78% | 2.97% | 3.89 | 3.60 | 3.74 |
| 9. | 2019. 3. 31. | 3.03% | 1.79% | 1.49 | 0.51 | 0.88 |
| 10. | 2019. 4. 30. | 3.46% | 3.93% | 2.74 | 8.16 | 4.72 |
| 11. | 2019. 5. 31. | -8.55% | -6.58% | 107.29 | 58.57 | 79.27 |
| 12. | 2019. 6. 30. | 12.59% | 6.89% | 116.20 | 33.85 | 62.71 |
| 13. | 2019. 7. 31. | -0.75% | 1.31% | 6.57 | 0.06 | -0.61 |
| 14. | 2019. 8. 31. | -7.53% | -1.81% | 87.24 | 8.32 | 26.94 |
| 15. | 2019. 9. 30. | 5.70% | 1.72% | 15.18 | 0.41 | 2.50 |
| 16. | 2019. 10. 31. | -0.55% | 2.04% | 5.54 | 0.94 | -2.28 |
| 17. | 2019. 11. 30. | 3.03% | 3.40% | 1.49 | 5.43 | 2.84 |
| 18. | 2019. 12. 31. | -5.63% | 2.86% | 55.32 | 3.18 | -13.27 |
| 19. | 2020. 1. 31. | -0.55% | -0.16% | 5.55 | 1.53 | 2.92 |
| 20. | 2020. 2. 29. | -5.70% | -8.41% | 56.40 | 89.99 | 71.24 |
| 21. | 2020. 3. 31. | -2.28% | -12.51% | 16.76 | 184.61 | 55.62 |
| 22. | 2020. 4. 30. | 10.10% | 12.68% | 68.69 | 134.77 | 96.22 |
| 23. | 2020. 5. 31. | 1.51% | 4.53% | 0.09 | 11.92 | -1.03 |
| 24. | 2020. 6. 30. | 2.79% | 1.84% | 0.96 | 0.58 | 0.75 |
| 25. | 2020. 7. 31. | 0.76% | 5.51% | 1.10 | 19.67 | -4.65 |
| 26. | 2020. 8. 31. | 3.19% | 7.01% | 1.91 | 35.18 | 8.20 |
| 27. | 2020. 9. 30. | 4.33% | -3.92% | 6.38 | 24.98 | -12.62 |
| 28. | 2020. 10. 31. | -5.61% | -2.77% | 55.07 | 14.76 | 28.51 |
| 29. | 2020. 11. 30. | 2.87% | 10.75% | 1.12 | 93.69 | 10.26 |
| 30. | 2020. 12. 31. | 12.08% | 3.71% | 105.40 | 6.95 | 27.07 |
| 31. | 2021. 1. 31. | -6.21% | -1.11% | 64.38 | 4.79 | 17.56 |
| 32. | 2021. 2. 28. | 6.75% | 2.61% | 24.43 | 2.35 | 7.58 |
| 33. | 2021. 3. 31. | 8.77% | 4.24% | 48.51 | 10.04 | 22.07 |
| 34. | 2021. 4. 30. | 8.47% | 5.24% | 44.30 | 17.37 | 27.74 |
| 35. | 2021. 5. 31. | 3.89% | 0.55% | 4.34 | 0.28 | -1.10 |
| 36. | 2021. 6. 30. | -1.14% | 2.22% | 8.72 | 1.31 | -3.38 |
| 37. | 2021. 7. 31. | 12.36% | 2.27% | 111.29 | 1.44 | 12.65 |
| 38. | 2021. 8. 31. | 2.28% | 2.90% | 0.23 | 3.33 | 0.87 |
| 39. | 2021. 9. 30. | -2.24% | -4.76% | 16.43 | 34.01 | 23.64 |
| 40. | 2021. 10. 31. | 10.48% | 6.91% | 75.16 | 34.10 | 50.62 |
| 41. | 2021. 11. 30. | -5.42% | -0.83% | 52.26 | 3.64 | 13.80 |
| 42. | 2021. 12. 31. | -3.89% | 4.36% | 32.48 | 10.80 | -18.73 |
| 43. | 2022. 1. 31. | -6.57% | -5.26% | 70.22 | 40.12 | 53.07 |
| 44. | 2022. 2. 28. | -6.39% | -3.14% | 67.31 | 17.74 | 34.55 |
| 45. | 2022. 3. 31. | 8.90% | 3.58% | 50.25 | 6.26 | 17.74 |
| 46. | 2022. 4. 30. | -10.89% | -8.80% | 161.29 | 97.44 | 125.36 |
| 47. | 2022. 5. 31. | -2.02% | 0.01% | 14.63 | 1.14 | 4.09 |
| 48. | 2022. 6. 30. | -2.85% | -8.39% | 21.71 | 89.63 | 44.11 |
| 49. | 2022. 7. 31. | 11.86% | 9.11% | 101.12 | 64.58 | 80.81 |
| 50. | 2022. 8. 31. | -4.74% | -4.24% | 42.90 | 28.29 | 34.84 |
| 51. | 2022. 9. 30. | -17.64% | -9.34% | 378.27 | 108.47 | 202.56 |
| 52. | 2022. 10. 31. | 28.36% | 7.99% | 704.99 | 47.76 | 183.50 |
| 53. | 2022. 11. 30. | 6.35% | 5.38% | 20.65 | 18.49 | 19.54 |
| 54. | 2022. 12. 31. | -1.55% | -5.90% | 11.31 | 48.61 | 23.45 |
| 55. | 2023. 1. 31. | 8.61% | 6.18% | 46.29 | 26.01 | 34.70 |
| 56. | 2023. 2. 28. | -1.20% | -2.61% | 9.04 | 13.59 | 11.09 |
| 57. | 2023. 3. 31. | 6.32% | 3.51% | 20.31 | 5.90 | 10.95 |
| 58. | 2023. 4. 30. | 2.37% | 1.46% | 0.31 | 0.15 | 0.22 |
| 59. | 2023. 5. 31. | 11.85% | 0.25% | 100.73 | 0.68 | -8.30 |
| 60. | 2023. 6. 30. | 12.41% | 4.71% | 112.43 | 13.24 | 38.58 |
| 61. | 2023. 7. 31. | -1.23% | 4.85% | 9.21 | 14.22 | -11.44 |
| 62. | 2023. 8. 31. | 2.70% | -1.77% | 0.79 | 8.10 | -2.52 |
| 63. | 2023. 9. 30. | -12.02% | -4.87% | 191.23 | 35.37 | 82.24 |
| 64. | 2023. 10. 31. | -2.00% | -2.20% | 14.52 | 10.71 | 12.47 |
| 65. | 2023. 11. 30. | 12.39% | 8.92% | 111.93 | 61.51 | 82.97 |
| 66. | 2023. 12. 31. | -9.28% | 4.42% | 122.89 | 11.21 | -37.11 |
| 67. | 2024. 1. 31. | 6.33% | 1.59% | 20.41 | 0.26 | 2.32 |
| 68. | 2024. 2. 29. | -0.02% | 5.17% | 3.34 | 16.78 | -7.49 |
| 69. | 2024. 3. 31. | 12.47% | 3.10% | 113.72 | 4.11 | 21.61 |
| 70. | 2024. 4. 30. | -9.12% | -4.16% | 119.52 | 27.42 | 57.25 |
| 71. | 2024. 5. 31. | 3.02% | 4.80% | 1.48 | 13.89 | 4.53 |
| 합계 (Σ): | 4,144.31 | 1,923.46 | 1,947.49 | |||
모두 보기
분산ORCL = Σ(RORCL,t–RORCL)2 ÷ (71 – 1)
= 4,144.31 ÷ (71 – 1)
= 59.20
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,923.46 ÷ (71 – 1)
= 27.48
공분산ORCL, S&P 500 = Σ(RORCL,t–RORCL)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,947.49 ÷ (71 – 1)
= 27.82
체계적인 위험 추정 (β)
| 분산ORCL | 59.20 |
| 분산S&P 500 | 27.48 |
| 공분산ORCL, S&P 500 | 27.82 |
| 상관 계수ORCL, S&P 5001 | 0.69 |
| βORCL2 | 1.01 |
| αORCL3 | 0.72% |
계산
1 상관 계수ORCL, S&P 500
= 공분산ORCL, S&P 500 ÷ (표준 편차ORCL × 표준 편차S&P 500)
= 27.82 ÷ (7.69% × 5.24%)
= 0.69
2 βORCL
= 공분산ORCL, S&P 500 ÷ 분산S&P 500
= 27.82 ÷ 27.48
= 1.01
3 αORCL
= 평균의ORCL – βORCL × 평균의S&P 500
= 1.81% – 1.01 × 1.08%
= 0.72%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.67% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.79% |
| 보통주의 체계적 위험Oracle | βORCL | 1.01 |
| Oracle 보통주에 대한 예상 수익률3 | E(RORCL) | 13.90% |
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(RORCL) = RF + βORCL [E(RM) – RF]
= 4.67% + 1.01 [13.79% – 4.67%]
= 13.90%