자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Uber보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Uber Technologies Inc., 월별 수익률
| Uber Technologies Inc. (UBER) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값UBER,t1 | 피제수UBER,t1 | RUBER,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $36.29 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $33.87 | -6.67% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $27.92 | -17.57% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $30.27 | 8.42% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | $71.96 | -0.12% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $60.32 | -16.18% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.72% | 1.16% | ||||
| 표준 편차: | 13.59% | 5.28% | ||||
| Uber Technologies Inc. (UBER) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값UBER,t1 | 피제수UBER,t1 | RUBER,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2020. 1. 31. | $36.29 | 3,225.52 | ||||
| 1. | 2020. 2. 29. | $33.87 | -6.67% | 2,954.22 | -8.41% | |
| 2. | 2020. 3. 31. | $27.92 | -17.57% | 2,584.59 | -12.51% | |
| 3. | 2020. 4. 30. | $30.27 | 8.42% | 2,912.43 | 12.68% | |
| 4. | 2020. 5. 31. | $36.32 | 19.99% | 3,044.31 | 4.53% | |
| 5. | 2020. 6. 30. | $31.08 | -14.43% | 3,100.29 | 1.84% | |
| 6. | 2020. 7. 31. | $30.26 | -2.64% | 3,271.12 | 5.51% | |
| 7. | 2020. 8. 31. | $33.63 | 11.14% | 3,500.31 | 7.01% | |
| 8. | 2020. 9. 30. | $36.48 | 8.47% | 3,363.00 | -3.92% | |
| 9. | 2020. 10. 31. | $33.41 | -8.42% | 3,269.96 | -2.77% | |
| 10. | 2020. 11. 30. | $49.66 | 48.64% | 3,621.63 | 10.75% | |
| 11. | 2020. 12. 31. | $51.00 | 2.70% | 3,756.07 | 3.71% | |
| 12. | 2021. 1. 31. | $50.93 | -0.14% | 3,714.24 | -1.11% | |
| 13. | 2021. 2. 28. | $51.75 | 1.61% | 3,811.15 | 2.61% | |
| 14. | 2021. 3. 31. | $54.51 | 5.33% | 3,972.89 | 4.24% | |
| 15. | 2021. 4. 30. | $54.77 | 0.48% | 4,181.17 | 5.24% | |
| 16. | 2021. 5. 31. | $50.83 | -7.19% | 4,204.11 | 0.55% | |
| 17. | 2021. 6. 30. | $50.12 | -1.40% | 4,297.50 | 2.22% | |
| 18. | 2021. 7. 31. | $43.46 | -13.29% | 4,395.26 | 2.27% | |
| 19. | 2021. 8. 31. | $39.14 | -9.94% | 4,522.68 | 2.90% | |
| 20. | 2021. 9. 30. | $44.80 | 14.46% | 4,307.54 | -4.76% | |
| 21. | 2021. 10. 31. | $43.82 | -2.19% | 4,605.38 | 6.91% | |
| 22. | 2021. 11. 30. | $38.00 | -13.28% | 4,567.00 | -0.83% | |
| 23. | 2021. 12. 31. | $41.93 | 10.34% | 4,766.18 | 4.36% | |
| 24. | 2022. 1. 31. | $37.40 | -10.80% | 4,515.55 | -5.26% | |
| 25. | 2022. 2. 28. | $36.03 | -3.66% | 4,373.94 | -3.14% | |
| 26. | 2022. 3. 31. | $35.68 | -0.97% | 4,530.41 | 3.58% | |
| 27. | 2022. 4. 30. | $31.48 | -11.77% | 4,131.93 | -8.80% | |
| 28. | 2022. 5. 31. | $23.20 | -26.30% | 4,132.15 | 0.01% | |
| 29. | 2022. 6. 30. | $20.46 | -11.81% | 3,785.38 | -8.39% | |
| 30. | 2022. 7. 31. | $23.45 | 14.61% | 4,130.29 | 9.11% | |
| 31. | 2022. 8. 31. | $28.76 | 22.64% | 3,955.00 | -4.24% | |
| 32. | 2022. 9. 30. | $26.50 | -7.86% | 3,585.62 | -9.34% | |
| 33. | 2022. 10. 31. | $26.57 | 0.26% | 3,871.98 | 7.99% | |
| 34. | 2022. 11. 30. | $29.14 | 9.67% | 4,080.11 | 5.38% | |
| 35. | 2022. 12. 31. | $24.73 | -15.13% | 3,839.50 | -5.90% | |
| 36. | 2023. 1. 31. | $30.93 | 25.07% | 4,076.60 | 6.18% | |
| 37. | 2023. 2. 28. | $33.26 | 7.53% | 3,970.15 | -2.61% | |
| 38. | 2023. 3. 31. | $31.70 | -4.69% | 4,109.31 | 3.51% | |
| 39. | 2023. 4. 30. | $31.05 | -2.05% | 4,169.48 | 1.46% | |
| 40. | 2023. 5. 31. | $37.93 | 22.16% | 4,179.83 | 0.25% | |
| 41. | 2023. 6. 30. | $43.17 | 13.81% | 4,376.86 | 4.71% | |
| 42. | 2023. 7. 31. | $49.46 | 14.57% | 4,588.96 | 4.85% | |
| 43. | 2023. 8. 31. | $47.23 | -4.51% | 4,507.66 | -1.77% | |
| 44. | 2023. 9. 30. | $45.99 | -2.63% | 4,288.05 | -4.87% | |
| 45. | 2023. 10. 31. | $43.28 | -5.89% | 4,193.80 | -2.20% | |
| 46. | 2023. 11. 30. | $56.38 | 30.27% | 4,567.80 | 8.92% | |
| 47. | 2023. 12. 31. | $61.57 | 9.21% | 4,769.83 | 4.42% | |
| 48. | 2024. 1. 31. | $65.27 | 6.01% | 4,845.65 | 1.59% | |
| 49. | 2024. 2. 29. | $79.50 | 21.80% | 5,096.27 | 5.17% | |
| 50. | 2024. 3. 31. | $76.99 | -3.16% | 5,254.35 | 3.10% | |
| 51. | 2024. 4. 30. | $66.27 | -13.92% | 5,035.69 | -4.16% | |
| 52. | 2024. 5. 31. | $64.56 | -2.58% | 5,277.51 | 4.80% | |
| 53. | 2024. 6. 30. | $72.68 | 12.58% | 5,460.48 | 3.47% | |
| 54. | 2024. 7. 31. | $64.47 | -11.30% | 5,522.30 | 1.13% | |
| 55. | 2024. 8. 31. | $73.13 | 13.43% | 5,648.40 | 2.28% | |
| 56. | 2024. 9. 30. | $75.16 | 2.78% | 5,762.48 | 2.02% | |
| 57. | 2024. 10. 31. | $72.05 | -4.14% | 5,705.45 | -0.99% | |
| 58. | 2024. 11. 30. | $71.96 | -0.12% | 6,032.38 | 5.73% | |
| 59. | 2024. 12. 31. | $60.32 | -16.18% | 5,881.63 | -2.50% | |
| 평균의 (R): | 1.72% | 1.16% | ||||
| 표준 편차: | 13.59% | 5.28% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 t 기간 동안 UBER의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Uber Technologies Inc., 수익률의 분산 및 공분산 계산
| t | 날짜 | RUBER,t | RS&P 500,t | (RUBER,t–RUBER)2 | (RS&P 500,t–RS&P 500)2 | (RUBER,t–RUBER)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -6.67% | -8.41% | 70.33 | 91.63 | 80.28 |
| 2. | 2020. 3. 31. | -17.57% | -12.51% | 371.92 | 186.96 | 263.69 |
| 3. | 2020. 4. 30. | 8.42% | 12.68% | 44.87 | 132.78 | 77.19 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024. 11. 30. | -0.12% | 5.73% | 3.40 | 20.87 | -8.42 |
| 59. | 2024. 12. 31. | -16.18% | -2.50% | 320.19 | 13.40 | 65.50 |
| 합계 (Σ): | 10,716.36 | 1,618.62 | 2,242.60 | |||
| t | 날짜 | RUBER,t | RS&P 500,t | (RUBER,t–RUBER)2 | (RS&P 500,t–RS&P 500)2 | (RUBER,t–RUBER)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2020. 2. 29. | -6.67% | -8.41% | 70.33 | 91.63 | 80.28 |
| 2. | 2020. 3. 31. | -17.57% | -12.51% | 371.92 | 186.96 | 263.69 |
| 3. | 2020. 4. 30. | 8.42% | 12.68% | 44.87 | 132.78 | 77.19 |
| 4. | 2020. 5. 31. | 19.99% | 4.53% | 333.75 | 11.34 | 61.51 |
| 5. | 2020. 6. 30. | -14.43% | 1.84% | 260.67 | 0.46 | -10.94 |
| 6. | 2020. 7. 31. | -2.64% | 5.51% | 18.98 | 18.91 | -18.95 |
| 7. | 2020. 8. 31. | 11.14% | 7.01% | 88.71 | 34.17 | 55.05 |
| 8. | 2020. 9. 30. | 8.47% | -3.92% | 45.65 | 25.85 | -34.35 |
| 9. | 2020. 10. 31. | -8.42% | -2.77% | 102.69 | 15.43 | 39.80 |
| 10. | 2020. 11. 30. | 48.64% | 10.75% | 2,201.49 | 92.03 | 450.12 |
| 11. | 2020. 12. 31. | 2.70% | 3.71% | 0.96 | 6.51 | 2.50 |
| 12. | 2021. 1. 31. | -0.14% | -1.11% | 3.44 | 5.18 | 4.22 |
| 13. | 2021. 2. 28. | 1.61% | 2.61% | 0.01 | 2.10 | -0.16 |
| 14. | 2021. 3. 31. | 5.33% | 4.24% | 13.07 | 9.50 | 11.14 |
| 15. | 2021. 4. 30. | 0.48% | 5.24% | 1.54 | 16.66 | -5.07 |
| 16. | 2021. 5. 31. | -7.19% | 0.55% | 79.42 | 0.38 | 5.46 |
| 17. | 2021. 6. 30. | -1.40% | 2.22% | 9.70 | 1.12 | -3.30 |
| 18. | 2021. 7. 31. | -13.29% | 2.27% | 225.19 | 1.24 | -16.71 |
| 19. | 2021. 8. 31. | -9.94% | 2.90% | 135.92 | 3.02 | -20.26 |
| 20. | 2021. 9. 30. | 14.46% | -4.76% | 162.38 | 35.02 | -75.41 |
| 21. | 2021. 10. 31. | -2.19% | 6.91% | 15.25 | 33.10 | -22.47 |
| 22. | 2021. 11. 30. | -13.28% | -0.83% | 224.99 | 3.98 | 29.92 |
| 23. | 2021. 12. 31. | 10.34% | 4.36% | 74.37 | 10.24 | 27.60 |
| 24. | 2022. 1. 31. | -10.80% | -5.26% | 156.80 | 41.21 | 80.39 |
| 25. | 2022. 2. 28. | -3.66% | -3.14% | 28.96 | 18.47 | 23.12 |
| 26. | 2022. 3. 31. | -0.97% | 3.58% | 7.23 | 5.84 | -6.50 |
| 27. | 2022. 4. 30. | -11.77% | -8.80% | 181.96 | 99.14 | 134.31 |
| 28. | 2022. 5. 31. | -26.30% | 0.01% | 785.15 | 1.34 | 32.39 |
| 29. | 2022. 6. 30. | -11.81% | -8.39% | 183.02 | 91.26 | 129.24 |
| 30. | 2022. 7. 31. | 14.61% | 9.11% | 166.30 | 63.21 | 102.53 |
| 31. | 2022. 8. 31. | 22.64% | -4.24% | 437.89 | 29.22 | -113.11 |
| 32. | 2022. 9. 30. | -7.86% | -9.34% | 91.70 | 110.27 | 100.56 |
| 33. | 2022. 10. 31. | 0.26% | 7.99% | 2.11 | 46.58 | -9.92 |
| 34. | 2022. 11. 30. | 9.67% | 5.38% | 63.27 | 17.76 | 33.52 |
| 35. | 2022. 12. 31. | -15.13% | -5.90% | 283.99 | 49.82 | 118.95 |
| 36. | 2023. 1. 31. | 25.07% | 6.18% | 545.35 | 25.14 | 117.09 |
| 37. | 2023. 2. 28. | 7.53% | -2.61% | 33.81 | 14.23 | -21.94 |
| 38. | 2023. 3. 31. | -4.69% | 3.51% | 41.07 | 5.49 | -15.02 |
| 39. | 2023. 4. 30. | -2.05% | 1.46% | 14.20 | 0.09 | -1.14 |
| 40. | 2023. 5. 31. | 22.16% | 0.25% | 417.78 | 0.83 | -18.66 |
| 41. | 2023. 6. 30. | 13.81% | 4.71% | 146.33 | 12.62 | 42.97 |
| 42. | 2023. 7. 31. | 14.57% | 4.85% | 165.18 | 13.58 | 47.36 |
| 43. | 2023. 8. 31. | -4.51% | -1.77% | 38.77 | 8.60 | 18.26 |
| 44. | 2023. 9. 30. | -2.63% | -4.87% | 18.87 | 36.40 | 26.21 |
| 45. | 2023. 10. 31. | -5.89% | -2.20% | 57.92 | 11.28 | 25.57 |
| 46. | 2023. 11. 30. | 30.27% | 8.92% | 815.10 | 60.17 | 221.45 |
| 47. | 2023. 12. 31. | 9.21% | 4.42% | 56.06 | 10.64 | 24.42 |
| 48. | 2024. 1. 31. | 6.01% | 1.59% | 18.42 | 0.18 | 1.84 |
| 49. | 2024. 2. 29. | 21.80% | 5.17% | 403.35 | 16.09 | 80.55 |
| 50. | 2024. 3. 31. | -3.16% | 3.10% | 23.77 | 3.77 | -9.46 |
| 51. | 2024. 4. 30. | -13.92% | -4.16% | 244.67 | 28.33 | 83.26 |
| 52. | 2024. 5. 31. | -2.58% | 4.80% | 18.48 | 13.26 | -15.65 |
| 53. | 2024. 6. 30. | 12.58% | 3.47% | 117.93 | 5.32 | 25.04 |
| 54. | 2024. 7. 31. | -11.30% | 1.13% | 169.37 | 0.00 | 0.38 |
| 55. | 2024. 8. 31. | 13.43% | 2.28% | 137.23 | 1.26 | 13.15 |
| 56. | 2024. 9. 30. | 2.78% | 2.02% | 1.12 | 0.74 | 0.91 |
| 57. | 2024. 10. 31. | -4.14% | -0.99% | 34.29 | 4.63 | 12.60 |
| 58. | 2024. 11. 30. | -0.12% | 5.73% | 3.40 | 20.87 | -8.42 |
| 59. | 2024. 12. 31. | -16.18% | -2.50% | 320.19 | 13.40 | 65.50 |
| 합계 (Σ): | 10,716.36 | 1,618.62 | 2,242.60 | |||
모두 보기
분산UBER = Σ(RUBER,t–RUBER)2 ÷ (59 – 1)
= 10,716.36 ÷ (59 – 1)
= 184.76
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
공분산UBER, S&P 500 = Σ(RUBER,t–RUBER)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 2,242.60 ÷ (59 – 1)
= 38.67
체계적인 위험 추정 (β)
| 분산UBER | 184.76 |
| 분산S&P 500 | 27.91 |
| 공분산UBER, S&P 500 | 38.67 |
| 상관 계수UBER, S&P 5001 | 0.54 |
| βUBER2 | 1.39 |
| αUBER3 | 0.11% |
계산
1 상관 계수UBER, S&P 500
= 공분산UBER, S&P 500 ÷ (표준 편차UBER × 표준 편차S&P 500)
= 38.67 ÷ (13.59% × 5.28%)
= 0.54
2 βUBER
= 공분산UBER, S&P 500 ÷ 분산S&P 500
= 38.67 ÷ 27.91
= 1.39
3 αUBER
= 평균의UBER – βUBER × 평균의S&P 500
= 1.72% – 1.39 × 1.16%
= 0.11%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.76% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.38% |
| 보통주의 체계적 위험Uber | βUBER | 1.39 |
| Uber 보통주의 예상 수익률3 | E(RUBER) | 22.25% |
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(RUBER) = RF + βUBER [E(RM) – RF]
= 4.76% + 1.39 [17.38% – 4.76%]
= 22.25%