자본 자산 가격 책정 모델 (CAPM)
자본 자산 가격 책정 모델(CAPM)은 Disney보통주와 같은 위험 자산에 대한 예상 또는 필요한 수익률을 나타냅니다.
수익률
Walt Disney Co., 월별 수익률
| Walt Disney Co. (DIS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DIS,t1 | 피제수DIS,t1 | RDIS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 10. 31. | $114.83 | 2,711.74 | ||||
| 1. | 2018. 11. 30. | $115.49 | 0.57% | 2,760.17 | 1.79% | |
| 2. | 2018. 12. 31. | $109.65 | $0.88 | -4.29% | 2,506.85 | -9.18% |
| 3. | 2019. 1. 31. | $111.52 | 1.71% | 2,704.10 | 7.87% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 8. 31. | $90.38 | -3.53% | 5,648.40 | 2.28% | |
| 71. | 2024. 9. 30. | $96.19 | 6.43% | 5,762.48 | 2.02% | |
| 평균의 (R): | 0.25% | 1.20% | ||||
| 표준 편차: | 9.82% | 5.15% | ||||
| Walt Disney Co. (DIS) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 날짜 | 값DIS,t1 | 피제수DIS,t1 | RDIS,t2 | 값S&P 500,t | RS&P 500,t3 |
| 2018. 10. 31. | $114.83 | 2,711.74 | ||||
| 1. | 2018. 11. 30. | $115.49 | 0.57% | 2,760.17 | 1.79% | |
| 2. | 2018. 12. 31. | $109.65 | $0.88 | -4.29% | 2,506.85 | -9.18% |
| 3. | 2019. 1. 31. | $111.52 | 1.71% | 2,704.10 | 7.87% | |
| 4. | 2019. 2. 28. | $112.84 | 1.18% | 2,784.49 | 2.97% | |
| 5. | 2019. 3. 31. | $111.03 | -1.60% | 2,834.40 | 1.79% | |
| 6. | 2019. 4. 30. | $136.97 | 23.36% | 2,945.83 | 3.93% | |
| 7. | 2019. 5. 31. | $132.04 | -3.60% | 2,752.06 | -6.58% | |
| 8. | 2019. 6. 30. | $139.64 | 5.76% | 2,941.76 | 6.89% | |
| 9. | 2019. 7. 31. | $143.01 | $0.88 | 3.04% | 2,980.38 | 1.31% |
| 10. | 2019. 8. 31. | $137.26 | -4.02% | 2,926.46 | -1.81% | |
| 11. | 2019. 9. 30. | $130.32 | -5.06% | 2,976.74 | 1.72% | |
| 12. | 2019. 10. 31. | $129.92 | -0.31% | 3,037.56 | 2.04% | |
| 13. | 2019. 11. 30. | $151.58 | 16.67% | 3,140.98 | 3.40% | |
| 14. | 2019. 12. 31. | $144.63 | $0.88 | -4.00% | 3,230.78 | 2.86% |
| 15. | 2020. 1. 31. | $138.31 | -4.37% | 3,225.52 | -0.16% | |
| 16. | 2020. 2. 29. | $117.65 | -14.94% | 2,954.22 | -8.41% | |
| 17. | 2020. 3. 31. | $96.60 | -17.89% | 2,584.59 | -12.51% | |
| 18. | 2020. 4. 30. | $108.15 | 11.96% | 2,912.43 | 12.68% | |
| 19. | 2020. 5. 31. | $117.30 | 8.46% | 3,044.31 | 4.53% | |
| 20. | 2020. 6. 30. | $111.51 | -4.94% | 3,100.29 | 1.84% | |
| 21. | 2020. 7. 31. | $116.94 | 4.87% | 3,271.12 | 5.51% | |
| 22. | 2020. 8. 31. | $131.87 | 12.77% | 3,500.31 | 7.01% | |
| 23. | 2020. 9. 30. | $124.08 | -5.91% | 3,363.00 | -3.92% | |
| 24. | 2020. 10. 31. | $121.25 | -2.28% | 3,269.96 | -2.77% | |
| 25. | 2020. 11. 30. | $148.01 | 22.07% | 3,621.63 | 10.75% | |
| 26. | 2020. 12. 31. | $181.18 | 22.41% | 3,756.07 | 3.71% | |
| 27. | 2021. 1. 31. | $168.17 | -7.18% | 3,714.24 | -1.11% | |
| 28. | 2021. 2. 28. | $189.04 | 12.41% | 3,811.15 | 2.61% | |
| 29. | 2021. 3. 31. | $184.52 | -2.39% | 3,972.89 | 4.24% | |
| 30. | 2021. 4. 30. | $186.02 | 0.81% | 4,181.17 | 5.24% | |
| 31. | 2021. 5. 31. | $178.65 | -3.96% | 4,204.11 | 0.55% | |
| 32. | 2021. 6. 30. | $175.77 | -1.61% | 4,297.50 | 2.22% | |
| 33. | 2021. 7. 31. | $176.02 | 0.14% | 4,395.26 | 2.27% | |
| 34. | 2021. 8. 31. | $181.30 | 3.00% | 4,522.68 | 2.90% | |
| 35. | 2021. 9. 30. | $169.17 | -6.69% | 4,307.54 | -4.76% | |
| 36. | 2021. 10. 31. | $169.07 | -0.06% | 4,605.38 | 6.91% | |
| 37. | 2021. 11. 30. | $144.90 | -14.30% | 4,567.00 | -0.83% | |
| 38. | 2021. 12. 31. | $154.89 | 6.89% | 4,766.18 | 4.36% | |
| 39. | 2022. 1. 31. | $142.97 | -7.70% | 4,515.55 | -5.26% | |
| 40. | 2022. 2. 28. | $148.46 | 3.84% | 4,373.94 | -3.14% | |
| 41. | 2022. 3. 31. | $137.16 | -7.61% | 4,530.41 | 3.58% | |
| 42. | 2022. 4. 30. | $111.63 | -18.61% | 4,131.93 | -8.80% | |
| 43. | 2022. 5. 31. | $110.44 | -1.07% | 4,132.15 | 0.01% | |
| 44. | 2022. 6. 30. | $94.40 | -14.52% | 3,785.38 | -8.39% | |
| 45. | 2022. 7. 31. | $106.10 | 12.39% | 4,130.29 | 9.11% | |
| 46. | 2022. 8. 31. | $112.08 | 5.64% | 3,955.00 | -4.24% | |
| 47. | 2022. 9. 30. | $94.33 | -15.84% | 3,585.62 | -9.34% | |
| 48. | 2022. 10. 31. | $106.54 | 12.94% | 3,871.98 | 7.99% | |
| 49. | 2022. 11. 30. | $97.87 | -8.14% | 4,080.11 | 5.38% | |
| 50. | 2022. 12. 31. | $86.88 | -11.23% | 3,839.50 | -5.90% | |
| 51. | 2023. 1. 31. | $108.49 | 24.87% | 4,076.60 | 6.18% | |
| 52. | 2023. 2. 28. | $99.61 | -8.19% | 3,970.15 | -2.61% | |
| 53. | 2023. 3. 31. | $100.13 | 0.52% | 4,109.31 | 3.51% | |
| 54. | 2023. 4. 30. | $102.50 | 2.37% | 4,169.48 | 1.46% | |
| 55. | 2023. 5. 31. | $87.96 | -14.19% | 4,179.83 | 0.25% | |
| 56. | 2023. 6. 30. | $89.28 | 1.50% | 4,376.86 | 4.71% | |
| 57. | 2023. 7. 31. | $88.89 | -0.44% | 4,588.96 | 4.85% | |
| 58. | 2023. 8. 31. | $83.68 | -5.86% | 4,507.66 | -1.77% | |
| 59. | 2023. 9. 30. | $81.05 | -3.14% | 4,288.05 | -4.87% | |
| 60. | 2023. 10. 31. | $81.59 | 0.67% | 4,193.80 | -2.20% | |
| 61. | 2023. 11. 30. | $92.69 | 13.60% | 4,567.80 | 8.92% | |
| 62. | 2023. 12. 31. | $90.29 | $0.30 | -2.27% | 4,769.83 | 4.42% |
| 63. | 2024. 1. 31. | $96.05 | 6.38% | 4,845.65 | 1.59% | |
| 64. | 2024. 2. 29. | $111.58 | 16.17% | 5,096.27 | 5.17% | |
| 65. | 2024. 3. 31. | $122.36 | 9.66% | 5,254.35 | 3.10% | |
| 66. | 2024. 4. 30. | $111.10 | -9.20% | 5,035.69 | -4.16% | |
| 67. | 2024. 5. 31. | $103.91 | -6.47% | 5,277.51 | 4.80% | |
| 68. | 2024. 6. 30. | $99.29 | -4.45% | 5,460.48 | 3.47% | |
| 69. | 2024. 7. 31. | $93.69 | $0.45 | -5.19% | 5,522.30 | 1.13% |
| 70. | 2024. 8. 31. | $90.38 | -3.53% | 5,648.40 | 2.28% | |
| 71. | 2024. 9. 30. | $96.19 | 6.43% | 5,762.48 | 2.02% | |
| 평균의 (R): | 0.25% | 1.20% | ||||
| 표준 편차: | 9.82% | 5.15% | ||||
모두 보기
1 보통주 주당 미화 달러(USD)로 표시되며, 분할 및 주식 배당금에 대해 조정되었습니다.
2 기간 t 동안 DIS의 보통주 수익률.
3 기간 t 동안 S&P 500(시장 포트폴리오 프록시)의 수익률.
분산과 공분산
Walt Disney Co., 수익률의 분산 및 공분산 계산
| t | 날짜 | RDIS,t | RS&P 500,t | (RDIS,t–RDIS)2 | (RS&P 500,t–RS&P 500)2 | (RDIS,t–RDIS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 11. 30. | 0.57% | 1.79% | 0.10 | 0.34 | 0.19 |
| 2. | 2018. 12. 31. | -4.29% | -9.18% | 20.69 | 107.68 | 47.20 |
| 3. | 2019. 1. 31. | 1.71% | 7.87% | 2.11 | 44.48 | 9.68 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2024. 8. 31. | -3.53% | 2.28% | 14.34 | 1.18 | -4.11 |
| 71. | 2024. 9. 30. | 6.43% | 2.02% | 38.12 | 0.67 | 5.07 |
| 합계 (Σ): | 6,750.49 | 1,855.59 | 2,425.30 | |||
| t | 날짜 | RDIS,t | RS&P 500,t | (RDIS,t–RDIS)2 | (RS&P 500,t–RS&P 500)2 | (RDIS,t–RDIS)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2018. 11. 30. | 0.57% | 1.79% | 0.10 | 0.34 | 0.19 |
| 2. | 2018. 12. 31. | -4.29% | -9.18% | 20.69 | 107.68 | 47.20 |
| 3. | 2019. 1. 31. | 1.71% | 7.87% | 2.11 | 44.48 | 9.68 |
| 4. | 2019. 2. 28. | 1.18% | 2.97% | 0.86 | 3.15 | 1.65 |
| 5. | 2019. 3. 31. | -1.60% | 1.79% | 3.45 | 0.35 | -1.10 |
| 6. | 2019. 4. 30. | 23.36% | 3.93% | 534.02 | 7.47 | 63.14 |
| 7. | 2019. 5. 31. | -3.60% | -6.58% | 14.85 | 60.48 | 29.97 |
| 8. | 2019. 6. 30. | 5.76% | 6.89% | 30.27 | 32.42 | 31.33 |
| 9. | 2019. 7. 31. | 3.04% | 1.31% | 7.78 | 0.01 | 0.32 |
| 10. | 2019. 8. 31. | -4.02% | -1.81% | 18.27 | 9.05 | 12.86 |
| 11. | 2019. 9. 30. | -5.06% | 1.72% | 28.20 | 0.27 | -2.76 |
| 12. | 2019. 10. 31. | -0.31% | 2.04% | 0.31 | 0.71 | -0.47 |
| 13. | 2019. 11. 30. | 16.67% | 3.40% | 269.54 | 4.87 | 36.21 |
| 14. | 2019. 12. 31. | -4.00% | 2.86% | 18.14 | 2.76 | -7.07 |
| 15. | 2020. 1. 31. | -4.37% | -0.16% | 21.38 | 1.85 | 6.30 |
| 16. | 2020. 2. 29. | -14.94% | -8.41% | 230.79 | 92.35 | 145.99 |
| 17. | 2020. 3. 31. | -17.89% | -12.51% | 329.29 | 187.99 | 248.80 |
| 18. | 2020. 4. 30. | 11.96% | 12.68% | 136.95 | 131.91 | 134.41 |
| 19. | 2020. 5. 31. | 8.46% | 4.53% | 67.34 | 11.08 | 27.32 |
| 20. | 2020. 6. 30. | -4.94% | 1.84% | 26.94 | 0.41 | -3.32 |
| 21. | 2020. 7. 31. | 4.87% | 5.51% | 21.30 | 18.59 | 19.90 |
| 22. | 2020. 8. 31. | 12.77% | 7.01% | 156.58 | 33.73 | 72.67 |
| 23. | 2020. 9. 30. | -5.91% | -3.92% | 37.96 | 26.23 | 31.56 |
| 24. | 2020. 10. 31. | -2.28% | -2.77% | 6.43 | 15.73 | 10.05 |
| 25. | 2020. 11. 30. | 22.07% | 10.75% | 475.94 | 91.31 | 208.46 |
| 26. | 2020. 12. 31. | 22.41% | 3.71% | 490.91 | 6.32 | 55.68 |
| 27. | 2021. 1. 31. | -7.18% | -1.11% | 55.28 | 5.35 | 17.19 |
| 28. | 2021. 2. 28. | 12.41% | 2.61% | 147.77 | 1.99 | 17.14 |
| 29. | 2021. 3. 31. | -2.39% | 4.24% | 7.00 | 9.27 | -8.05 |
| 30. | 2021. 4. 30. | 0.81% | 5.24% | 0.31 | 16.35 | 2.26 |
| 31. | 2021. 5. 31. | -3.96% | 0.55% | 17.78 | 0.42 | 2.74 |
| 32. | 2021. 6. 30. | -1.61% | 2.22% | 3.48 | 1.05 | -1.91 |
| 33. | 2021. 7. 31. | 0.14% | 2.27% | 0.01 | 1.16 | -0.12 |
| 34. | 2021. 8. 31. | 3.00% | 2.90% | 7.54 | 2.89 | 4.67 |
| 35. | 2021. 9. 30. | -6.69% | -4.76% | 48.23 | 35.47 | 41.36 |
| 36. | 2021. 10. 31. | -0.06% | 6.91% | 0.10 | 32.67 | -1.79 |
| 37. | 2021. 11. 30. | -14.30% | -0.83% | 211.70 | 4.13 | 29.57 |
| 38. | 2021. 12. 31. | 6.89% | 4.36% | 44.09 | 10.00 | 21.00 |
| 39. | 2022. 1. 31. | -7.70% | -5.26% | 63.20 | 41.70 | 51.34 |
| 40. | 2022. 2. 28. | 3.84% | -3.14% | 12.86 | 18.79 | -15.54 |
| 41. | 2022. 3. 31. | -7.61% | 3.58% | 61.87 | 5.66 | -18.71 |
| 42. | 2022. 4. 30. | -18.61% | -8.80% | 355.98 | 99.89 | 188.57 |
| 43. | 2022. 5. 31. | -1.07% | 0.01% | 1.74 | 1.42 | 1.58 |
| 44. | 2022. 6. 30. | -14.52% | -8.39% | 218.39 | 91.99 | 141.73 |
| 45. | 2022. 7. 31. | 12.39% | 9.11% | 147.38 | 62.61 | 96.06 |
| 46. | 2022. 8. 31. | 5.64% | -4.24% | 28.97 | 29.63 | -29.29 |
| 47. | 2022. 9. 30. | -15.84% | -9.34% | 258.92 | 111.06 | 169.58 |
| 48. | 2022. 10. 31. | 12.94% | 7.99% | 161.03 | 46.07 | 86.13 |
| 49. | 2022. 11. 30. | -8.14% | 5.38% | 70.42 | 17.44 | -35.05 |
| 50. | 2022. 12. 31. | -11.23% | -5.90% | 131.87 | 50.36 | 81.49 |
| 51. | 2023. 1. 31. | 24.87% | 6.18% | 606.11 | 24.76 | 122.51 |
| 52. | 2023. 2. 28. | -8.19% | -2.61% | 71.22 | 14.52 | 32.16 |
| 53. | 2023. 3. 31. | 0.52% | 3.51% | 0.07 | 5.32 | 0.62 |
| 54. | 2023. 4. 30. | 2.37% | 1.46% | 4.46 | 0.07 | 0.56 |
| 55. | 2023. 5. 31. | -14.19% | 0.25% | 208.50 | 0.90 | 13.73 |
| 56. | 2023. 6. 30. | 1.50% | 4.71% | 1.55 | 12.35 | 4.38 |
| 57. | 2023. 7. 31. | -0.44% | 4.85% | 0.48 | 13.30 | -2.52 |
| 58. | 2023. 8. 31. | -5.86% | -1.77% | 37.40 | 8.82 | 18.17 |
| 59. | 2023. 9. 30. | -3.14% | -4.87% | 11.54 | 36.86 | 20.62 |
| 60. | 2023. 10. 31. | 0.67% | -2.20% | 0.17 | 11.54 | -1.40 |
| 61. | 2023. 11. 30. | 13.60% | 8.92% | 178.23 | 59.58 | 103.05 |
| 62. | 2023. 12. 31. | -2.27% | 4.42% | 6.35 | 10.39 | -8.12 |
| 63. | 2024. 1. 31. | 6.38% | 1.59% | 37.52 | 0.15 | 2.39 |
| 64. | 2024. 2. 29. | 16.17% | 5.17% | 253.27 | 15.79 | 63.23 |
| 65. | 2024. 3. 31. | 9.66% | 3.10% | 88.49 | 3.62 | 17.90 |
| 66. | 2024. 4. 30. | -9.20% | -4.16% | 89.43 | 28.73 | 50.69 |
| 67. | 2024. 5. 31. | -6.47% | 4.80% | 45.24 | 12.98 | -24.23 |
| 68. | 2024. 6. 30. | -4.45% | 3.47% | 22.09 | 5.14 | -10.66 |
| 69. | 2024. 7. 31. | -5.19% | 1.13% | 29.60 | 0.00 | 0.36 |
| 70. | 2024. 8. 31. | -3.53% | 2.28% | 14.34 | 1.18 | -4.11 |
| 71. | 2024. 9. 30. | 6.43% | 2.02% | 38.12 | 0.67 | 5.07 |
| 합계 (Σ): | 6,750.49 | 1,855.59 | 2,425.30 | |||
모두 보기
분산DIS = Σ(RDIS,t–RDIS)2 ÷ (71 – 1)
= 6,750.49 ÷ (71 – 1)
= 96.44
분산S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,855.59 ÷ (71 – 1)
= 26.51
공분산DIS, S&P 500 = Σ(RDIS,t–RDIS)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,425.30 ÷ (71 – 1)
= 34.65
체계적인 위험 추정 (β)
| 분산DIS | 96.44 |
| 분산S&P 500 | 26.51 |
| 공분산DIS, S&P 500 | 34.65 |
| 상관 계수DIS, S&P 5001 | 0.69 |
| βDIS2 | 1.31 |
| αDIS3 | -1.31% |
계산
1 상관 계수DIS, S&P 500
= 공분산DIS, S&P 500 ÷ (표준 편차DIS × 표준 편차S&P 500)
= 34.65 ÷ (9.82% × 5.15%)
= 0.69
2 βDIS
= 공분산DIS, S&P 500 ÷ 분산S&P 500
= 34.65 ÷ 26.51
= 1.31
3 αDIS
= 평균의DIS – βDIS × 평균의S&P 500
= 0.25% – 1.31 × 1.20%
= -1.31%
기대 수익률
| 가정 | ||
| LT Treasury Composite의 수익률1 | RF | 5.05% |
| 시장 포트폴리오에 대한 예상 수익률2 | E(RM) | 13.96% |
| 보통주의 체계적 위험Disney | βDIS | 1.31 |
| 디즈니 보통주 예상 수익률3 | E(RDIS) | 16.69% |
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(RDIS) = RF + βDIS [E(RM) – RF]
= 5.05% + 1.31 [13.96% – 5.05%]
= 16.69%