자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Royal Caribbean의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.
수익률
Royal Caribbean Cruises Ltd., 월별 수익률
| Royal Caribbean Cruises Ltd. (RCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값RCL,t1 | 피제수RCL,t1 | RRCL,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $93.63 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $96.10 | 2.64% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $98.11 | $0.48 | 2.59% | 2,362.72 | -0.04% |
| 3. | 2017. 4. 30. | $106.60 | 8.65% | 2,384.20 | 0.91% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | $69.82 | -17.30% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $76.90 | 10.14% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.25% | 1.36% | ||||
| 표준 편차: | 16.31% | 4.48% | ||||
| Royal Caribbean Cruises Ltd. (RCL) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값RCL,t1 | 피제수RCL,t1 | RRCL,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2017. 1. 31. | $93.63 | 2,278.87 | ||||
| 1. | 2017. 2. 28. | $96.10 | 2.64% | 2,363.64 | 3.72% | |
| 2. | 2017. 3. 31. | $98.11 | $0.48 | 2.59% | 2,362.72 | -0.04% |
| 3. | 2017. 4. 30. | $106.60 | 8.65% | 2,384.20 | 0.91% | |
| 4. | 2017. 5. 31. | $110.18 | $0.48 | 3.81% | 2,411.80 | 1.16% |
| 5. | 2017. 6. 30. | $109.23 | -0.86% | 2,423.41 | 0.48% | |
| 6. | 2017. 7. 31. | $113.07 | 3.52% | 2,470.30 | 1.93% | |
| 7. | 2017. 8. 31. | $124.46 | 10.07% | 2,471.65 | 0.05% | |
| 8. | 2017. 9. 30. | $118.54 | $0.60 | -4.27% | 2,519.36 | 1.93% |
| 9. | 2017. 10. 31. | $123.77 | 4.41% | 2,575.26 | 2.22% | |
| 10. | 2017. 11. 30. | $123.88 | 0.09% | 2,647.58 | 2.81% | |
| 11. | 2017. 12. 31. | $119.28 | $0.60 | -3.23% | 2,673.61 | 0.98% |
| 12. | 2018. 1. 31. | $133.55 | 11.96% | 2,823.81 | 5.62% | |
| 13. | 2018. 2. 28. | $126.60 | -5.20% | 2,713.83 | -3.89% | |
| 14. | 2018. 3. 31. | $117.74 | $0.60 | -6.52% | 2,640.87 | -2.69% |
| 15. | 2018. 4. 30. | $108.19 | -8.11% | 2,648.05 | 0.27% | |
| 16. | 2018. 5. 31. | $104.98 | -2.97% | 2,705.27 | 2.16% | |
| 17. | 2018. 6. 30. | $103.60 | $0.60 | -0.74% | 2,718.37 | 0.48% |
| 18. | 2018. 7. 31. | $112.76 | 8.84% | 2,816.29 | 3.60% | |
| 19. | 2018. 8. 31. | $122.58 | 8.71% | 2,901.52 | 3.03% | |
| 20. | 2018. 9. 30. | $129.94 | $0.70 | 6.58% | 2,913.98 | 0.43% |
| 21. | 2018. 10. 31. | $104.73 | -19.40% | 2,711.74 | -6.94% | |
| 22. | 2018. 11. 30. | $113.07 | 7.96% | 2,760.17 | 1.79% | |
| 23. | 2018. 12. 31. | $97.79 | $0.70 | -12.89% | 2,506.85 | -9.18% |
| 24. | 2019. 1. 31. | $120.05 | 22.76% | 2,704.10 | 7.87% | |
| 25. | 2019. 2. 28. | $118.48 | -1.31% | 2,784.49 | 2.97% | |
| 26. | 2019. 3. 31. | $114.62 | $0.70 | -2.67% | 2,834.40 | 1.79% |
| 27. | 2019. 4. 30. | $120.94 | 5.51% | 2,945.83 | 3.93% | |
| 28. | 2019. 5. 31. | $121.76 | 0.68% | 2,752.06 | -6.58% | |
| 29. | 2019. 6. 30. | $121.21 | $0.70 | 0.12% | 2,941.76 | 6.89% |
| 30. | 2019. 7. 31. | $116.34 | -4.02% | 2,980.38 | 1.31% | |
| 31. | 2019. 8. 31. | $104.28 | -10.37% | 2,926.46 | -1.81% | |
| 32. | 2019. 9. 30. | $108.33 | $0.78 | 4.63% | 2,976.74 | 1.72% |
| 33. | 2019. 10. 31. | $108.83 | 0.46% | 3,037.56 | 2.04% | |
| 34. | 2019. 11. 30. | $120.02 | 10.28% | 3,140.98 | 3.40% | |
| 35. | 2019. 12. 31. | $133.51 | $0.78 | 11.89% | 3,230.78 | 2.86% |
| 36. | 2020. 1. 31. | $117.08 | -12.31% | 3,225.52 | -0.16% | |
| 37. | 2020. 2. 29. | $80.41 | -31.32% | 2,954.22 | -8.41% | |
| 38. | 2020. 3. 31. | $32.17 | $0.78 | -59.02% | 2,584.59 | -12.51% |
| 39. | 2020. 4. 30. | $46.77 | 45.38% | 2,912.43 | 12.68% | |
| 40. | 2020. 5. 31. | $51.87 | 10.90% | 3,044.31 | 4.53% | |
| 41. | 2020. 6. 30. | $50.30 | -3.03% | 3,100.29 | 1.84% | |
| 42. | 2020. 7. 31. | $48.71 | -3.16% | 3,271.12 | 5.51% | |
| 43. | 2020. 8. 31. | $68.84 | 41.33% | 3,500.31 | 7.01% | |
| 44. | 2020. 9. 30. | $64.73 | -5.97% | 3,363.00 | -3.92% | |
| 45. | 2020. 10. 31. | $56.42 | -12.84% | 3,269.96 | -2.77% | |
| 46. | 2020. 11. 30. | $78.81 | 39.68% | 3,621.63 | 10.75% | |
| 47. | 2020. 12. 31. | $74.69 | -5.23% | 3,756.07 | 3.71% | |
| 48. | 2021. 1. 31. | $65.00 | -12.97% | 3,714.24 | -1.11% | |
| 49. | 2021. 2. 28. | $93.27 | 43.49% | 3,811.15 | 2.61% | |
| 50. | 2021. 3. 31. | $85.61 | -8.21% | 3,972.89 | 4.24% | |
| 51. | 2021. 4. 30. | $86.95 | 1.57% | 4,181.17 | 5.24% | |
| 52. | 2021. 5. 31. | $93.27 | 7.27% | 4,204.11 | 0.55% | |
| 53. | 2021. 6. 30. | $85.28 | -8.57% | 4,297.50 | 2.22% | |
| 54. | 2021. 7. 31. | $76.87 | -9.86% | 4,395.26 | 2.27% | |
| 55. | 2021. 8. 31. | $82.73 | 7.62% | 4,522.68 | 2.90% | |
| 56. | 2021. 9. 30. | $88.95 | 7.52% | 4,307.54 | -4.76% | |
| 57. | 2021. 10. 31. | $84.43 | -5.08% | 4,605.38 | 6.91% | |
| 58. | 2021. 11. 30. | $69.82 | -17.30% | 4,567.00 | -0.83% | |
| 59. | 2021. 12. 31. | $76.90 | 10.14% | 4,766.18 | 4.36% | |
| 평균의 (R): | 1.25% | 1.36% | ||||
| 표준 편차: | 16.31% | 4.48% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 RCL의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Royal Caribbean Cruises Ltd., 수익률의 분산 및 공분산 계산
| t | 날짜 | RRCL,t | RS&P 500,t | (RRCL,t–RRCL)2 | (RS&P 500,t–RS&P 500)2 | (RRCL,t–RRCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | 2.64% | 3.72% | 1.93 | 5.58 | 3.28 |
| 2. | 2017. 3. 31. | 2.59% | -0.04% | 1.80 | 1.95 | -1.88 |
| 3. | 2017. 4. 30. | 8.65% | 0.91% | 54.84 | 0.20 | -3.32 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2021. 11. 30. | -17.30% | -0.83% | 344.19 | 4.80 | 40.65 |
| 59. | 2021. 12. 31. | 10.14% | 4.36% | 79.07 | 9.02 | 26.71 |
| 합계 (Σ): | 15,435.70 | 1,164.17 | 3,067.23 | |||
| t | 날짜 | RRCL,t | RS&P 500,t | (RRCL,t–RRCL)2 | (RS&P 500,t–RS&P 500)2 | (RRCL,t–RRCL)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2017. 2. 28. | 2.64% | 3.72% | 1.93 | 5.58 | 3.28 |
| 2. | 2017. 3. 31. | 2.59% | -0.04% | 1.80 | 1.95 | -1.88 |
| 3. | 2017. 4. 30. | 8.65% | 0.91% | 54.84 | 0.20 | -3.32 |
| 4. | 2017. 5. 31. | 3.81% | 1.16% | 6.56 | 0.04 | -0.51 |
| 5. | 2017. 6. 30. | -0.86% | 0.48% | 4.45 | 0.77 | 1.85 |
| 6. | 2017. 7. 31. | 3.52% | 1.93% | 5.14 | 0.33 | 1.31 |
| 7. | 2017. 8. 31. | 10.07% | 0.05% | 77.89 | 1.70 | -11.50 |
| 8. | 2017. 9. 30. | -4.27% | 1.93% | 30.50 | 0.33 | -3.16 |
| 9. | 2017. 10. 31. | 4.41% | 2.22% | 10.01 | 0.74 | 2.72 |
| 10. | 2017. 11. 30. | 0.09% | 2.81% | 1.34 | 2.10 | -1.68 |
| 11. | 2017. 12. 31. | -3.23% | 0.98% | 20.04 | 0.14 | 1.68 |
| 12. | 2018. 1. 31. | 11.96% | 5.62% | 114.82 | 18.15 | 45.65 |
| 13. | 2018. 2. 28. | -5.20% | -3.89% | 41.63 | 27.59 | 33.89 |
| 14. | 2018. 3. 31. | -6.52% | -2.69% | 60.41 | 16.37 | 31.45 |
| 15. | 2018. 4. 30. | -8.11% | 0.27% | 87.60 | 1.18 | 10.16 |
| 16. | 2018. 5. 31. | -2.97% | 2.16% | 17.77 | 0.64 | -3.38 |
| 17. | 2018. 6. 30. | -0.74% | 0.48% | 3.96 | 0.76 | 1.74 |
| 18. | 2018. 7. 31. | 8.84% | 3.60% | 57.66 | 5.04 | 17.04 |
| 19. | 2018. 8. 31. | 8.71% | 3.03% | 55.66 | 2.78 | 12.45 |
| 20. | 2018. 9. 30. | 6.58% | 0.43% | 28.38 | 0.86 | -4.95 |
| 21. | 2018. 10. 31. | -19.40% | -6.94% | 426.40 | 68.86 | 171.35 |
| 22. | 2018. 11. 30. | 7.96% | 1.79% | 45.09 | 0.18 | 2.87 |
| 23. | 2018. 12. 31. | -12.89% | -9.18% | 200.02 | 111.00 | 149.00 |
| 24. | 2019. 1. 31. | 22.76% | 7.87% | 462.89 | 42.39 | 140.07 |
| 25. | 2019. 2. 28. | -1.31% | 2.97% | 6.53 | 2.61 | -4.13 |
| 26. | 2019. 3. 31. | -2.67% | 1.79% | 15.33 | 0.19 | -1.70 |
| 27. | 2019. 4. 30. | 5.51% | 3.93% | 18.20 | 6.62 | 10.98 |
| 28. | 2019. 5. 31. | 0.68% | -6.58% | 0.33 | 62.97 | 4.52 |
| 29. | 2019. 6. 30. | 0.12% | 6.89% | 1.27 | 30.64 | -6.23 |
| 30. | 2019. 7. 31. | -4.02% | 1.31% | 27.73 | 0.00 | 0.24 |
| 31. | 2019. 8. 31. | -10.37% | -1.81% | 134.89 | 10.03 | 36.78 |
| 32. | 2019. 9. 30. | 4.63% | 1.72% | 11.45 | 0.13 | 1.22 |
| 33. | 2019. 10. 31. | 0.46% | 2.04% | 0.62 | 0.47 | -0.54 |
| 34. | 2019. 11. 30. | 10.28% | 3.40% | 81.61 | 4.19 | 18.49 |
| 35. | 2019. 12. 31. | 11.89% | 2.86% | 113.24 | 2.25 | 15.97 |
| 36. | 2020. 1. 31. | -12.31% | -0.16% | 183.72 | 2.31 | 20.61 |
| 37. | 2020. 2. 29. | -31.32% | -8.41% | 1,060.71 | 95.43 | 318.16 |
| 38. | 2020. 3. 31. | -59.02% | -12.51% | 3,632.55 | 192.37 | 835.94 |
| 39. | 2020. 4. 30. | 45.38% | 12.68% | 1,947.96 | 128.29 | 499.90 |
| 40. | 2020. 5. 31. | 10.90% | 4.53% | 93.24 | 10.05 | 30.61 |
| 41. | 2020. 6. 30. | -3.03% | 1.84% | 18.28 | 0.23 | -2.06 |
| 42. | 2020. 7. 31. | -3.16% | 5.51% | 19.44 | 17.24 | -18.31 |
| 43. | 2020. 8. 31. | 41.33% | 7.01% | 1,606.25 | 31.91 | 226.38 |
| 44. | 2020. 9. 30. | -5.97% | -3.92% | 52.11 | 27.89 | 38.12 |
| 45. | 2020. 10. 31. | -12.84% | -2.77% | 198.42 | 17.01 | 58.10 |
| 46. | 2020. 11. 30. | 39.68% | 10.75% | 1,477.35 | 88.30 | 361.17 |
| 47. | 2020. 12. 31. | -5.23% | 3.71% | 41.94 | 5.54 | -15.25 |
| 48. | 2021. 1. 31. | -12.97% | -1.11% | 202.26 | 6.11 | 35.15 |
| 49. | 2021. 2. 28. | 43.49% | 2.61% | 1,784.57 | 1.57 | 52.86 |
| 50. | 2021. 3. 31. | -8.21% | 4.24% | 89.51 | 8.33 | -27.30 |
| 51. | 2021. 4. 30. | 1.57% | 5.24% | 0.10 | 15.09 | 1.23 |
| 52. | 2021. 5. 31. | 7.27% | 0.55% | 36.25 | 0.65 | -4.87 |
| 53. | 2021. 6. 30. | -8.57% | 2.22% | 96.33 | 0.75 | -8.47 |
| 54. | 2021. 7. 31. | -9.86% | 2.27% | 123.43 | 0.84 | -10.19 |
| 55. | 2021. 8. 31. | 7.62% | 2.90% | 40.64 | 2.38 | 9.82 |
| 56. | 2021. 9. 30. | 7.52% | -4.76% | 39.32 | 37.39 | -38.34 |
| 57. | 2021. 10. 31. | -5.08% | 6.91% | 40.06 | 30.87 | -35.17 |
| 58. | 2021. 11. 30. | -17.30% | -0.83% | 344.19 | 4.80 | 40.65 |
| 59. | 2021. 12. 31. | 10.14% | 4.36% | 79.07 | 9.02 | 26.71 |
| 합계 (Σ): | 15,435.70 | 1,164.17 | 3,067.23 | |||
모두 보기
분산RCL = Σ(RRCL,t–RRCL)2 ÷ (59 – 1)
= 15,435.70 ÷ (59 – 1)
= 266.13
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07
공분산RCL, S&P 500 = Σ(RRCL,t–RRCL)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 3,067.23 ÷ (59 – 1)
= 52.88
체계적인 위험 추정 (β)
| 분산RCL | 266.13 |
| 분산S&P 500 | 20.07 |
| 공분산RCL, S&P 500 | 52.88 |
| 상관 계수RCL, S&P 5001 | 0.72 |
| βRCL2 | 2.63 |
| αRCL3 | -2.33% |
계산
1 상관 계수RCL, S&P 500
= 공분산RCL, S&P 500 ÷ (표준 편차RCL × 표준 편차S&P 500)
= 52.88 ÷ (16.31% × 4.48%)
= 0.72
2 βRCL
= 공분산RCL, S&P 500 ÷ 분산S&P 500
= 52.88 ÷ 20.07
= 2.63
3 αRCL
= 평균의RCL – βRCL × 평균의S&P 500
= 1.25% – 2.63 × 1.36%
= -2.33%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.60% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 14.89% |
| 보통주의 체계적 위험Royal Caribbean | βRCL | 2.63 |
| Royal Caribbean 보통주에 대한 예상 수익률3 | E(RRCL) | 31.71% |
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(RRCL) = RF + βRCL [E(RM) – RF]
= 4.60% + 2.63 [14.89% – 4.60%]
= 31.71%