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 |
| 2021. 1. 31. | $50.93 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $51.75 | 1.61% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $54.51 | 5.33% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $54.77 | 0.48% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | $87.54 | -9.28% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $81.71 | -6.66% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.46% | 1.14% | ||||
| 표준 편차: | 11.67% | 4.37% | ||||
| 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 |
| 2021. 1. 31. | $50.93 | 3,714.24 | ||||
| 1. | 2021. 2. 28. | $51.75 | 1.61% | 3,811.15 | 2.61% | |
| 2. | 2021. 3. 31. | $54.51 | 5.33% | 3,972.89 | 4.24% | |
| 3. | 2021. 4. 30. | $54.77 | 0.48% | 4,181.17 | 5.24% | |
| 4. | 2021. 5. 31. | $50.83 | -7.19% | 4,204.11 | 0.55% | |
| 5. | 2021. 6. 30. | $50.12 | -1.40% | 4,297.50 | 2.22% | |
| 6. | 2021. 7. 31. | $43.46 | -13.29% | 4,395.26 | 2.27% | |
| 7. | 2021. 8. 31. | $39.14 | -9.94% | 4,522.68 | 2.90% | |
| 8. | 2021. 9. 30. | $44.80 | 14.46% | 4,307.54 | -4.76% | |
| 9. | 2021. 10. 31. | $43.82 | -2.19% | 4,605.38 | 6.91% | |
| 10. | 2021. 11. 30. | $38.00 | -13.28% | 4,567.00 | -0.83% | |
| 11. | 2021. 12. 31. | $41.93 | 10.34% | 4,766.18 | 4.36% | |
| 12. | 2022. 1. 31. | $37.40 | -10.80% | 4,515.55 | -5.26% | |
| 13. | 2022. 2. 28. | $36.03 | -3.66% | 4,373.94 | -3.14% | |
| 14. | 2022. 3. 31. | $35.68 | -0.97% | 4,530.41 | 3.58% | |
| 15. | 2022. 4. 30. | $31.48 | -11.77% | 4,131.93 | -8.80% | |
| 16. | 2022. 5. 31. | $23.20 | -26.30% | 4,132.15 | 0.01% | |
| 17. | 2022. 6. 30. | $20.46 | -11.81% | 3,785.38 | -8.39% | |
| 18. | 2022. 7. 31. | $23.45 | 14.61% | 4,130.29 | 9.11% | |
| 19. | 2022. 8. 31. | $28.76 | 22.64% | 3,955.00 | -4.24% | |
| 20. | 2022. 9. 30. | $26.50 | -7.86% | 3,585.62 | -9.34% | |
| 21. | 2022. 10. 31. | $26.57 | 0.26% | 3,871.98 | 7.99% | |
| 22. | 2022. 11. 30. | $29.14 | 9.67% | 4,080.11 | 5.38% | |
| 23. | 2022. 12. 31. | $24.73 | -15.13% | 3,839.50 | -5.90% | |
| 24. | 2023. 1. 31. | $30.93 | 25.07% | 4,076.60 | 6.18% | |
| 25. | 2023. 2. 28. | $33.26 | 7.53% | 3,970.15 | -2.61% | |
| 26. | 2023. 3. 31. | $31.70 | -4.69% | 4,109.31 | 3.51% | |
| 27. | 2023. 4. 30. | $31.05 | -2.05% | 4,169.48 | 1.46% | |
| 28. | 2023. 5. 31. | $37.93 | 22.16% | 4,179.83 | 0.25% | |
| 29. | 2023. 6. 30. | $43.17 | 13.81% | 4,376.86 | 4.71% | |
| 30. | 2023. 7. 31. | $49.46 | 14.57% | 4,588.96 | 4.85% | |
| 31. | 2023. 8. 31. | $47.23 | -4.51% | 4,507.66 | -1.77% | |
| 32. | 2023. 9. 30. | $45.99 | -2.63% | 4,288.05 | -4.87% | |
| 33. | 2023. 10. 31. | $43.28 | -5.89% | 4,193.80 | -2.20% | |
| 34. | 2023. 11. 30. | $56.38 | 30.27% | 4,567.80 | 8.92% | |
| 35. | 2023. 12. 31. | $61.57 | 9.21% | 4,769.83 | 4.42% | |
| 36. | 2024. 1. 31. | $65.27 | 6.01% | 4,845.65 | 1.59% | |
| 37. | 2024. 2. 29. | $79.50 | 21.80% | 5,096.27 | 5.17% | |
| 38. | 2024. 3. 31. | $76.99 | -3.16% | 5,254.35 | 3.10% | |
| 39. | 2024. 4. 30. | $66.27 | -13.92% | 5,035.69 | -4.16% | |
| 40. | 2024. 5. 31. | $64.56 | -2.58% | 5,277.51 | 4.80% | |
| 41. | 2024. 6. 30. | $72.68 | 12.58% | 5,460.48 | 3.47% | |
| 42. | 2024. 7. 31. | $64.47 | -11.30% | 5,522.30 | 1.13% | |
| 43. | 2024. 8. 31. | $73.13 | 13.43% | 5,648.40 | 2.28% | |
| 44. | 2024. 9. 30. | $75.16 | 2.78% | 5,762.48 | 2.02% | |
| 45. | 2024. 10. 31. | $72.05 | -4.14% | 5,705.45 | -0.99% | |
| 46. | 2024. 11. 30. | $71.96 | -0.12% | 6,032.38 | 5.73% | |
| 47. | 2024. 12. 31. | $60.32 | -16.18% | 5,881.63 | -2.50% | |
| 48. | 2025. 1. 31. | $66.85 | 10.83% | 6,040.53 | 2.70% | |
| 49. | 2025. 2. 28. | $76.01 | 13.70% | 5,954.50 | -1.42% | |
| 50. | 2025. 3. 31. | $72.86 | -4.14% | 5,611.85 | -5.75% | |
| 51. | 2025. 4. 30. | $81.01 | 11.19% | 5,569.06 | -0.76% | |
| 52. | 2025. 5. 31. | $84.16 | 3.89% | 5,911.69 | 6.15% | |
| 53. | 2025. 6. 30. | $93.30 | 10.86% | 6,204.95 | 4.96% | |
| 54. | 2025. 7. 31. | $87.75 | -5.95% | 6,339.39 | 2.17% | |
| 55. | 2025. 8. 31. | $93.75 | 6.84% | 6,460.26 | 1.91% | |
| 56. | 2025. 9. 30. | $97.97 | 4.50% | 6,688.46 | 3.53% | |
| 57. | 2025. 10. 31. | $96.50 | -1.50% | 6,840.20 | 2.27% | |
| 58. | 2025. 11. 30. | $87.54 | -9.28% | 6,849.09 | 0.13% | |
| 59. | 2025. 12. 31. | $81.71 | -6.66% | 6,845.50 | -0.05% | |
| 평균의 (R): | 1.46% | 1.14% | ||||
| 표준 편차: | 11.67% | 4.37% | ||||
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. | 2021. 2. 28. | 1.61% | 2.61% | 0.02 | 2.17 | 0.22 |
| 2. | 2021. 3. 31. | 5.33% | 4.24% | 15.00 | 9.66 | 12.04 |
| 3. | 2021. 4. 30. | 0.48% | 5.24% | 0.97 | 16.86 | -4.04 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025. 11. 30. | -9.28% | 0.13% | 115.45 | 1.01 | 10.81 |
| 59. | 2025. 12. 31. | -6.66% | -0.05% | 65.93 | 1.41 | 9.65 |
| 합계 (Σ): | 7,902.16 | 1,108.23 | 1,343.68 | |||
| 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. | 2021. 2. 28. | 1.61% | 2.61% | 0.02 | 2.17 | 0.22 |
| 2. | 2021. 3. 31. | 5.33% | 4.24% | 15.00 | 9.66 | 12.04 |
| 3. | 2021. 4. 30. | 0.48% | 5.24% | 0.97 | 16.86 | -4.04 |
| 4. | 2021. 5. 31. | -7.19% | 0.55% | 74.88 | 0.35 | 5.08 |
| 5. | 2021. 6. 30. | -1.40% | 2.22% | 8.16 | 1.18 | -3.10 |
| 6. | 2021. 7. 31. | -13.29% | 2.27% | 217.50 | 1.30 | -16.79 |
| 7. | 2021. 8. 31. | -9.94% | 2.90% | 129.96 | 3.11 | -20.10 |
| 8. | 2021. 9. 30. | 14.46% | -4.76% | 169.03 | 34.73 | -76.62 |
| 9. | 2021. 10. 31. | -2.19% | 6.91% | 13.30 | 33.39 | -21.08 |
| 10. | 2021. 11. 30. | -13.28% | -0.83% | 217.31 | 3.88 | 29.03 |
| 11. | 2021. 12. 31. | 10.34% | 4.36% | 78.89 | 10.40 | 28.65 |
| 12. | 2022. 1. 31. | -10.80% | -5.26% | 150.40 | 40.89 | 78.42 |
| 13. | 2022. 2. 28. | -3.66% | -3.14% | 26.24 | 18.25 | 21.89 |
| 14. | 2022. 3. 31. | -0.97% | 3.58% | 5.91 | 5.96 | -5.94 |
| 15. | 2022. 4. 30. | -11.77% | -8.80% | 175.06 | 98.64 | 131.41 |
| 16. | 2022. 5. 31. | -26.30% | 0.01% | 770.75 | 1.28 | 31.39 |
| 17. | 2022. 6. 30. | -11.81% | -8.39% | 176.10 | 90.79 | 126.44 |
| 18. | 2022. 7. 31. | 14.61% | 9.11% | 173.03 | 63.61 | 104.91 |
| 19. | 2022. 8. 31. | 22.64% | -4.24% | 448.76 | 28.95 | -113.97 |
| 20. | 2022. 9. 30. | -7.86% | -9.34% | 86.83 | 109.74 | 97.61 |
| 21. | 2022. 10. 31. | 0.26% | 7.99% | 1.43 | 46.93 | -8.19 |
| 22. | 2022. 11. 30. | 9.67% | 5.38% | 67.45 | 17.97 | 34.81 |
| 23. | 2022. 12. 31. | -15.13% | -5.90% | 275.35 | 49.47 | 116.71 |
| 24. | 2023. 1. 31. | 25.07% | 6.18% | 557.47 | 25.39 | 118.98 |
| 25. | 2023. 2. 28. | 7.53% | -2.61% | 36.88 | 14.04 | -22.76 |
| 26. | 2023. 3. 31. | -4.69% | 3.51% | 37.82 | 5.61 | -14.57 |
| 27. | 2023. 4. 30. | -2.05% | 1.46% | 12.32 | 0.11 | -1.15 |
| 28. | 2023. 5. 31. | 22.16% | 0.25% | 428.40 | 0.79 | -18.38 |
| 29. | 2023. 6. 30. | 13.81% | 4.71% | 152.65 | 12.80 | 44.20 |
| 30. | 2023. 7. 31. | 14.57% | 4.85% | 171.88 | 13.76 | 48.64 |
| 31. | 2023. 8. 31. | -4.51% | -1.77% | 35.62 | 8.46 | 17.36 |
| 32. | 2023. 9. 30. | -2.63% | -4.87% | 16.69 | 36.10 | 24.54 |
| 33. | 2023. 10. 31. | -5.89% | -2.20% | 54.06 | 11.12 | 24.51 |
| 34. | 2023. 11. 30. | 30.27% | 8.92% | 829.91 | 60.56 | 224.18 |
| 35. | 2023. 12. 31. | 9.21% | 4.42% | 59.99 | 10.80 | 25.46 |
| 36. | 2024. 1. 31. | 6.01% | 1.59% | 20.70 | 0.21 | 2.06 |
| 37. | 2024. 2. 29. | 21.80% | 5.17% | 413.79 | 16.29 | 82.10 |
| 38. | 2024. 3. 31. | -3.16% | 3.10% | 21.32 | 3.86 | -9.08 |
| 39. | 2024. 4. 30. | -13.92% | -4.16% | 236.66 | 28.06 | 81.50 |
| 40. | 2024. 5. 31. | -2.58% | 4.80% | 16.32 | 13.44 | -14.81 |
| 41. | 2024. 6. 30. | 12.58% | 3.47% | 123.60 | 5.43 | 25.91 |
| 42. | 2024. 7. 31. | -11.30% | 1.13% | 162.71 | 0.00 | 0.05 |
| 43. | 2024. 8. 31. | 13.43% | 2.28% | 143.35 | 1.32 | 13.74 |
| 44. | 2024. 9. 30. | 2.78% | 2.02% | 1.73 | 0.78 | 1.16 |
| 45. | 2024. 10. 31. | -4.14% | -0.99% | 31.33 | 4.52 | 11.90 |
| 46. | 2024. 11. 30. | -0.12% | 5.73% | 2.51 | 21.10 | -7.28 |
| 47. | 2024. 12. 31. | -16.18% | -2.50% | 311.01 | 13.21 | 64.11 |
| 48. | 2025. 1. 31. | 10.83% | 2.70% | 87.72 | 2.45 | 14.66 |
| 49. | 2025. 2. 28. | 13.70% | -1.42% | 149.88 | 6.56 | -31.34 |
| 50. | 2025. 3. 31. | -4.14% | -5.75% | 31.41 | 47.48 | 38.62 |
| 51. | 2025. 4. 30. | 11.19% | -0.76% | 94.59 | 3.60 | -18.47 |
| 52. | 2025. 5. 31. | 3.89% | 6.15% | 5.90 | 25.16 | 12.18 |
| 53. | 2025. 6. 30. | 10.86% | 4.96% | 88.37 | 14.63 | 35.95 |
| 54. | 2025. 7. 31. | -5.95% | 2.17% | 54.88 | 1.06 | -7.63 |
| 55. | 2025. 8. 31. | 6.84% | 1.91% | 28.92 | 0.59 | 4.14 |
| 56. | 2025. 9. 30. | 4.50% | 3.53% | 9.25 | 5.74 | 7.29 |
| 57. | 2025. 10. 31. | -1.50% | 2.27% | 8.76 | 1.28 | -3.35 |
| 58. | 2025. 11. 30. | -9.28% | 0.13% | 115.45 | 1.01 | 10.81 |
| 59. | 2025. 12. 31. | -6.66% | -0.05% | 65.93 | 1.41 | 9.65 |
| 합계 (Σ): | 7,902.16 | 1,108.23 | 1,343.68 | |||
모두 보기
분산UBER = Σ(RUBER,t–RUBER)2 ÷ (59 – 1)
= 7,902.16 ÷ (59 – 1)
= 136.24
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
공분산UBER, S&P 500 = Σ(RUBER,t–RUBER)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,343.68 ÷ (59 – 1)
= 23.17
체계적인 위험 추정 (β)
| 분산UBER | 136.24 |
| 분산S&P 500 | 19.11 |
| 공분산UBER, S&P 500 | 23.17 |
| 상관 계수UBER, S&P 5001 | 0.45 |
| βUBER2 | 1.21 |
| αUBER3 | 0.08% |
계산
1 상관 계수UBER, S&P 500
= 공분산UBER, S&P 500 ÷ (표준 편차UBER × 표준 편차S&P 500)
= 23.17 ÷ (11.67% × 4.37%)
= 0.45
2 βUBER
= 공분산UBER, S&P 500 ÷ 분산S&P 500
= 23.17 ÷ 19.11
= 1.21
3 αUBER
= 평균의UBER – βUBER × 평균의S&P 500
= 1.46% – 1.21 × 1.14%
= 0.08%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 4.88% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 17.36% |
| 보통주의 체계적 위험Uber | βUBER | 1.21 |
| Uber 보통주의 예상 수익률3 | E(RUBER) | 20.01% |
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]
= 4.88% + 1.21 [17.36% – 4.88%]
= 20.01%