Stock Analysis on Net

Texas Pacific Land Corp. (NYSE:TPL)

자본 자산 가격 책정 모델 (CAPM) 

Microsoft Excel

자본 자산 가격 책정 모델(CAPM)은 TPL의 보통주와 같은 위험 자산에 대한 기대 또는 필요한 수익률을 나타냅니다.


수익률

Texas Pacific Land Corp., 월별 수익률

Microsoft Excel
Texas Pacific Land Corp. (TPL) Standard & Poor’s 500 (S&P 500)
t 날짜 TPL,t1 피제수TPL,t1 RTPL,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $231.80 2,704.10
1. 2019. 2. 28. $247.87 6.93% 2,784.49 2.97%
2. 2019. 3. 31. $257.88 $2.00 4.85% 2,834.40 1.79%
3. 2019. 4. 30. $267.45 3.71% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. $557.32 $1.0833 -9.25% 4,567.80 8.92%
59. 2023. 12. 31. $524.15 -5.95% 4,769.83 4.42%
평균의 (R): 2.78% 1.11%
표준 편차: 16.07% 5.31%
Texas Pacific Land Corp. (TPL) Standard & Poor’s 500 (S&P 500)
t 날짜 TPL,t1 피제수TPL,t1 RTPL,t2 S&P 500,t RS&P 500,t3
2019. 1. 31. $231.80 2,704.10
1. 2019. 2. 28. $247.87 6.93% 2,784.49 2.97%
2. 2019. 3. 31. $257.88 $2.00 4.85% 2,834.40 1.79%
3. 2019. 4. 30. $267.45 3.71% 2,945.83 3.93%
4. 2019. 5. 31. $245.67 -8.14% 2,752.06 -6.58%
5. 2019. 6. 30. $262.33 6.78% 2,941.76 6.89%
6. 2019. 7. 31. $265.73 1.30% 2,980.38 1.31%
7. 2019. 8. 31. $218.40 -17.81% 2,926.46 -1.81%
8. 2019. 9. 30. $216.52 -0.86% 2,976.74 1.72%
9. 2019. 10. 31. $189.68 -12.40% 3,037.56 2.04%
10. 2019. 11. 30. $224.99 18.62% 3,140.98 3.40%
11. 2019. 12. 31. $260.41 15.74% 3,230.78 2.86%
12. 2020. 1. 31. $251.90 -3.27% 3,225.52 -0.16%
13. 2020. 2. 29. $231.93 -7.93% 2,954.22 -8.41%
14. 2020. 3. 31. $126.67 $5.3333 -43.08% 2,584.59 -12.51%
15. 2020. 4. 30. $189.88 49.90% 2,912.43 12.68%
16. 2020. 5. 31. $195.46 2.94% 3,044.31 4.53%
17. 2020. 6. 30. $198.23 1.42% 3,100.29 1.84%
18. 2020. 7. 31. $177.66 -10.38% 3,271.12 5.51%
19. 2020. 8. 31. $175.57 -1.18% 3,500.31 7.01%
20. 2020. 9. 30. $150.52 -14.27% 3,363.00 -3.92%
21. 2020. 10. 31. $150.14 -0.25% 3,269.96 -2.77%
22. 2020. 11. 30. $203.31 35.41% 3,621.63 10.75%
23. 2020. 12. 31. $242.33 $3.3333 20.83% 3,756.07 3.71%
24. 2021. 1. 31. $277.41 14.48% 3,714.24 -1.11%
25. 2021. 2. 28. $368.01 32.66% 3,811.15 2.61%
26. 2021. 3. 31. $529.81 $0.9167 44.22% 3,972.89 4.24%
27. 2021. 4. 30. $513.38 -3.10% 4,181.17 5.24%
28. 2021. 5. 31. $484.37 -5.65% 4,204.11 0.55%
29. 2021. 6. 30. $533.25 $0.9167 10.28% 4,297.50 2.22%
30. 2021. 7. 31. $497.52 -6.70% 4,395.26 2.27%
31. 2021. 8. 31. $453.25 -8.90% 4,522.68 2.90%
32. 2021. 9. 30. $403.12 $0.9167 -10.86% 4,307.54 -4.76%
33. 2021. 10. 31. $424.56 5.32% 4,605.38 6.91%
34. 2021. 11. 30. $402.92 -5.10% 4,567.00 -0.83%
35. 2021. 12. 31. $416.29 $0.9167 3.55% 4,766.18 4.36%
36. 2022. 1. 31. $358.33 -13.92% 4,515.55 -5.26%
37. 2022. 2. 28. $396.24 10.58% 4,373.94 -3.14%
38. 2022. 3. 31. $450.70 $1.00 14.00% 4,530.41 3.58%
39. 2022. 4. 30. $455.53 1.07% 4,131.93 -8.80%
40. 2022. 5. 31. $522.00 14.59% 4,132.15 0.01%
41. 2022. 6. 30. $496.01 $7.6667 -3.51% 3,785.38 -8.39%
42. 2022. 7. 31. $611.28 23.24% 4,130.29 9.11%
43. 2022. 8. 31. $613.49 0.36% 3,955.00 -4.24%
44. 2022. 9. 30. $592.41 $1.00 -3.27% 3,585.62 -9.34%
45. 2022. 10. 31. $767.96 29.63% 3,871.98 7.99%
46. 2022. 11. 30. $864.18 12.53% 4,080.11 5.38%
47. 2022. 12. 31. $781.41 $1.00 -9.46% 3,839.50 -5.90%
48. 2023. 1. 31. $665.28 -14.86% 4,076.60 6.18%
49. 2023. 2. 28. $593.40 -10.80% 3,970.15 -2.61%
50. 2023. 3. 31. $567.01 $1.0833 -4.26% 4,109.31 3.51%
51. 2023. 4. 30. $492.55 -13.13% 4,169.48 1.46%
52. 2023. 5. 31. $434.57 -11.77% 4,179.83 0.25%
53. 2023. 6. 30. $438.83 $1.0833 1.23% 4,376.86 4.71%
54. 2023. 7. 31. $502.10 14.42% 4,588.96 4.85%
55. 2023. 8. 31. $628.25 $1.0833 25.34% 4,507.66 -1.77%
56. 2023. 9. 30. $607.85 -3.25% 4,288.05 -4.87%
57. 2023. 10. 31. $615.32 1.23% 4,193.80 -2.20%
58. 2023. 11. 30. $557.32 $1.0833 -9.25% 4,567.80 8.92%
59. 2023. 12. 31. $524.15 -5.95% 4,769.83 4.42%
평균의 (R): 2.78% 1.11%
표준 편차: 16.07% 5.31%

모두 보기

1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.

2 기간 t 동안 TPL의 보통주 수익률.

3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.


분산과 공분산

Texas Pacific Land Corp., 수익률의 분산 및 공분산 계산

Microsoft Excel
t 날짜 RTPL,t RS&P 500,t (RTPL,tRTPL)2 (RS&P 500,tRS&P 500)2 (RTPL,tRTPL)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 6.93% 2.97% 17.27 3.49 7.76
2. 2019. 3. 31. 4.85% 1.79% 4.28 0.47 1.42
3. 2019. 4. 30. 3.71% 3.93% 0.87 7.98 2.64
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023. 11. 30. -9.25% 8.92% 144.64 61.03 -93.95
59. 2023. 12. 31. -5.95% 4.42% 76.18 11.00 -28.95
합계 (Σ): 14,984.07 1,634.30 2,655.68
t 날짜 RTPL,t RS&P 500,t (RTPL,tRTPL)2 (RS&P 500,tRS&P 500)2 (RTPL,tRTPL)×(RS&P 500,tRS&P 500)
1. 2019. 2. 28. 6.93% 2.97% 17.27 3.49 7.76
2. 2019. 3. 31. 4.85% 1.79% 4.28 0.47 1.42
3. 2019. 4. 30. 3.71% 3.93% 0.87 7.98 2.64
4. 2019. 5. 31. -8.14% -6.58% 119.25 59.04 83.91
5. 2019. 6. 30. 6.78% 6.89% 16.04 33.49 23.18
6. 2019. 7. 31. 1.30% 1.31% 2.19 0.04 -0.31
7. 2019. 8. 31. -17.81% -1.81% 423.86 8.50 60.01
8. 2019. 9. 30. -0.86% 1.72% 13.23 0.37 -2.23
9. 2019. 10. 31. -12.40% 2.04% 230.21 0.88 -14.22
10. 2019. 11. 30. 18.62% 3.40% 250.87 5.28 36.41
11. 2019. 12. 31. 15.74% 2.86% 168.12 3.07 22.73
12. 2020. 1. 31. -3.27% -0.16% 36.54 1.61 7.67
13. 2020. 2. 29. -7.93% -8.41% 114.58 90.57 101.87
14. 2020. 3. 31. -43.08% -12.51% 2,103.27 185.44 624.53
15. 2020. 4. 30. 49.90% 12.68% 2,220.74 134.06 545.64
16. 2020. 5. 31. 2.94% 4.53% 0.03 11.71 0.55
17. 2020. 6. 30. 1.42% 1.84% 1.85 0.54 -1.00
18. 2020. 7. 31. -10.38% 5.51% 173.01 19.40 -57.93
19. 2020. 8. 31. -1.18% 7.01% 15.63 34.82 -23.33
20. 2020. 9. 30. -14.27% -3.92% 290.51 25.29 85.71
21. 2020. 10. 31. -0.25% -2.77% 9.18 15.00 11.73
22. 2020. 11. 30. 35.41% 10.75% 1,065.17 93.10 314.91
23. 2020. 12. 31. 20.83% 3.71% 325.99 6.79 47.06
24. 2021. 1. 31. 14.48% -1.11% 136.88 4.93 -25.97
25. 2021. 2. 28. 32.66% 2.61% 892.97 2.26 44.92
26. 2021. 3. 31. 44.22% 4.24% 1,717.16 9.85 130.04
27. 2021. 4. 30. -3.10% 5.24% 34.55 17.11 -24.31
28. 2021. 5. 31. -5.65% 0.55% 71.02 0.31 4.70
29. 2021. 6. 30. 10.28% 2.22% 56.31 1.24 8.37
30. 2021. 7. 31. -6.70% 2.27% 89.81 1.37 -11.08
31. 2021. 8. 31. -8.90% 2.90% 136.30 3.22 -20.93
32. 2021. 9. 30. -10.86% -4.76% 185.90 34.37 79.94
33. 2021. 10. 31. 5.32% 6.91% 6.46 33.74 14.76
34. 2021. 11. 30. -5.10% -0.83% 61.99 3.76 15.27
35. 2021. 12. 31. 3.55% 4.36% 0.59 10.60 2.50
36. 2022. 1. 31. -13.92% -5.26% 278.88 40.51 106.28
37. 2022. 2. 28. 10.58% -3.14% 60.89 17.99 -33.10
38. 2022. 3. 31. 14.00% 3.58% 125.89 6.11 27.73
39. 2022. 4. 30. 1.07% -8.80% 2.91 98.04 16.88
40. 2022. 5. 31. 14.59% 0.01% 139.60 1.21 -13.00
41. 2022. 6. 30. -3.51% -8.39% 39.52 90.21 59.71
42. 2022. 7. 31. 23.24% 9.11% 418.73 64.09 163.82
43. 2022. 8. 31. 0.36% -4.24% 5.83 28.62 12.92
44. 2022. 9. 30. -3.27% -9.34% 36.60 109.11 63.19
45. 2022. 10. 31. 29.63% 7.99% 721.28 47.34 184.79
46. 2022. 11. 30. 12.53% 5.38% 95.11 18.23 41.64
47. 2022. 12. 31. -9.46% -5.90% 149.79 49.04 85.71
48. 2023. 1. 31. -14.86% 6.18% 311.11 25.70 -89.42
49. 2023. 2. 28. -10.80% -2.61% 184.45 13.82 50.48
50. 2023. 3. 31. -4.26% 3.51% 49.58 5.76 -16.89
51. 2023. 4. 30. -13.13% 1.46% 253.09 0.13 -5.70
52. 2023. 5. 31. -11.77% 0.25% 211.64 0.74 12.48
53. 2023. 6. 30. 1.23% 4.71% 2.39 13.02 -5.58
54. 2023. 7. 31. 14.42% 4.85% 135.52 13.99 43.54
55. 2023. 8. 31. 25.34% -1.77% 509.12 8.28 -64.93
56. 2023. 9. 30. -3.25% -4.87% 36.29 35.73 36.01
57. 2023. 10. 31. 1.23% -2.20% 2.40 10.92 5.11
58. 2023. 11. 30. -9.25% 8.92% 144.64 61.03 -93.95
59. 2023. 12. 31. -5.95% 4.42% 76.18 11.00 -28.95
합계 (Σ): 14,984.07 1,634.30 2,655.68

모두 보기

분산TPL = Σ(RTPL,tRTPL)2 ÷ (59 – 1)
= 14,984.07 ÷ (59 – 1)
= 258.35

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

공분산TPL, S&P 500 = Σ(RTPL,tRTPL)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,655.68 ÷ (59 – 1)
= 45.79


체계적인 위험 추정 (β)

Microsoft Excel
분산TPL 258.35
분산S&P 500 28.18
공분산TPL, S&P 500 45.79
상관 계수TPL, S&P 5001 0.54
βTPL2 1.62
αTPL3 0.98%

계산

1 상관 계수TPL, S&P 500
= 공분산TPL, S&P 500 ÷ (표준 편차TPL × 표준 편차S&P 500)
= 45.79 ÷ (16.07% × 5.31%)
= 0.54

2 βTPL
= 공분산TPL, S&P 500 ÷ 분산S&P 500
= 45.79 ÷ 28.18
= 1.62

3 αTPL
= 평균의TPL – βTPL × 평균의S&P 500
= 2.78%1.62 × 1.11%
= 0.98%


기대 수익률

Microsoft Excel
가정
LT Treasury Composite의 수익률1 RF 4.67%
시장 포트폴리오에 대한 예상 수익률2 E(RM) 13.77%
보통주의 체계적 위험TPL βTPL 1.62
 
TPL 보통주에 대한 예상 수익률3 E(RTPL) 19.46%

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(RTPL) = RF + βTPL [E(RM) – RF]
= 4.67% + 1.62 [13.77%4.67%]
= 19.46%