資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 Airbnbのようなリスク資産の予想または必要な収益率を示します。
収益率
Airbnb Inc.、月間収益率
| Airbnb Inc. (ABNB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ABNB,t1 | 配当ABNB,t1 | RABNB,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/12/31 | $146.80 | 3,756.07 | ||||
| 1. | 2021/01/31 | $183.63 | 25.09% | 3,714.24 | -1.11% | |
| 2. | 2021/02/28 | $206.35 | 12.37% | 3,811.15 | 2.61% | |
| 3. | 2021/03/31 | $187.94 | -8.92% | 3,972.89 | 4.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 35. | 2023/11/30 | $126.34 | 6.81% | 4,567.80 | 8.92% | |
| 36. | 2023/12/31 | $136.14 | 7.76% | 4,769.83 | 4.42% | |
| 平均 (R): | 0.65% | 0.79% | ||||
| 標準偏差： | 13.30% | 5.04% | ||||
| Airbnb Inc. (ABNB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格ABNB,t1 | 配当ABNB,t1 | RABNB,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2020/12/31 | $146.80 | 3,756.07 | ||||
| 1. | 2021/01/31 | $183.63 | 25.09% | 3,714.24 | -1.11% | |
| 2. | 2021/02/28 | $206.35 | 12.37% | 3,811.15 | 2.61% | |
| 3. | 2021/03/31 | $187.94 | -8.92% | 3,972.89 | 4.24% | |
| 4. | 2021/04/30 | $172.71 | -8.10% | 4,181.17 | 5.24% | |
| 5. | 2021/05/31 | $140.40 | -18.71% | 4,204.11 | 0.55% | |
| 6. | 2021/06/30 | $153.14 | 9.07% | 4,297.50 | 2.22% | |
| 7. | 2021/07/31 | $144.01 | -5.96% | 4,395.26 | 2.27% | |
| 8. | 2021/08/31 | $154.99 | 7.62% | 4,522.68 | 2.90% | |
| 9. | 2021/09/30 | $167.75 | 8.23% | 4,307.54 | -4.76% | |
| 10. | 2021/10/31 | $170.66 | 1.73% | 4,605.38 | 6.91% | |
| 11. | 2021/11/30 | $172.54 | 1.10% | 4,567.00 | -0.83% | |
| 12. | 2021/12/31 | $166.49 | -3.51% | 4,766.18 | 4.36% | |
| 13. | 2022/01/31 | $153.97 | -7.52% | 4,515.55 | -5.26% | |
| 14. | 2022/02/28 | $151.49 | -1.61% | 4,373.94 | -3.14% | |
| 15. | 2022/03/31 | $171.76 | 13.38% | 4,530.41 | 3.58% | |
| 16. | 2022/04/30 | $153.21 | -10.80% | 4,131.93 | -8.80% | |
| 17. | 2022/05/31 | $120.87 | -21.11% | 4,132.15 | 0.01% | |
| 18. | 2022/06/30 | $89.08 | -26.30% | 3,785.38 | -8.39% | |
| 19. | 2022/07/31 | $110.98 | 24.58% | 4,130.29 | 9.11% | |
| 20. | 2022/08/31 | $113.12 | 1.93% | 3,955.00 | -4.24% | |
| 21. | 2022/09/30 | $105.04 | -7.14% | 3,585.62 | -9.34% | |
| 22. | 2022/10/31 | $106.91 | 1.78% | 3,871.98 | 7.99% | |
| 23. | 2022/11/30 | $102.14 | -4.46% | 4,080.11 | 5.38% | |
| 24. | 2022/12/31 | $85.50 | -16.29% | 3,839.50 | -5.90% | |
| 25. | 2023/01/31 | $111.11 | 29.95% | 4,076.60 | 6.18% | |
| 26. | 2023/02/28 | $123.28 | 10.95% | 3,970.15 | -2.61% | |
| 27. | 2023/03/31 | $124.40 | 0.91% | 4,109.31 | 3.51% | |
| 28. | 2023/04/30 | $119.67 | -3.80% | 4,169.48 | 1.46% | |
| 29. | 2023/05/31 | $109.77 | -8.27% | 4,179.83 | 0.25% | |
| 30. | 2023/06/30 | $128.16 | 16.75% | 4,376.86 | 4.71% | |
| 31. | 2023/07/31 | $152.19 | 18.75% | 4,588.96 | 4.85% | |
| 32. | 2023/08/31 | $131.55 | -13.56% | 4,507.66 | -1.77% | |
| 33. | 2023/09/30 | $137.21 | 4.30% | 4,288.05 | -4.87% | |
| 34. | 2023/10/31 | $118.29 | -13.79% | 4,193.80 | -2.20% | |
| 35. | 2023/11/30 | $126.34 | 6.81% | 4,567.80 | 8.92% | |
| 36. | 2023/12/31 | $136.14 | 7.76% | 4,769.83 | 4.42% | |
| 平均 (R): | 0.65% | 0.79% | ||||
| 標準偏差： | 13.30% | 5.04% | ||||
すべて表示
1 普通株式1株当たり米ドルのデータで、分割と株式配当を調整したものです。
2 期間tにおけるABNBの普通株式の収益率。
3 期間 tにおけるS&P 500(市場ポートフォリオの代理)の収益率。
分散と共分散
Airbnb Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RABNB,t | RS&P 500,t | (RABNB,t–RABNB)2 | (RS&P 500,t–RS&P 500)2 | (RABNB,t–RABNB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/01/31 | 25.09% | -1.11% | 597.48 | 3.62 | -46.54 |
| 2. | 2021/02/28 | 12.37% | 2.61% | 137.54 | 3.31 | 21.33 |
| 3. | 2021/03/31 | -8.92% | 4.24% | 91.52 | 11.93 | -33.04 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 35. | 2023/11/30 | 6.81% | 8.92% | 37.95 | 66.06 | 50.07 |
| 36. | 2023/12/31 | 7.76% | 4.42% | 50.58 | 13.20 | 25.84 |
| トータル (Σ): | 6,195.02 | 889.77 | 1,107.74 | |||
| t | 日付 | RABNB,t | RS&P 500,t | (RABNB,t–RABNB)2 | (RS&P 500,t–RS&P 500)2 | (RABNB,t–RABNB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/01/31 | 25.09% | -1.11% | 597.48 | 3.62 | -46.54 |
| 2. | 2021/02/28 | 12.37% | 2.61% | 137.54 | 3.31 | 21.33 |
| 3. | 2021/03/31 | -8.92% | 4.24% | 91.52 | 11.93 | -33.04 |
| 4. | 2021/04/30 | -8.10% | 5.24% | 76.54 | 19.82 | -38.95 |
| 5. | 2021/05/31 | -18.71% | 0.55% | 374.53 | 0.06 | 4.67 |
| 6. | 2021/06/30 | 9.07% | 2.22% | 71.05 | 2.05 | 12.06 |
| 7. | 2021/07/31 | -5.96% | 2.27% | 43.65 | 2.20 | -9.81 |
| 8. | 2021/08/31 | 7.62% | 2.90% | 48.71 | 4.45 | 14.72 |
| 9. | 2021/09/30 | 8.23% | -4.76% | 57.57 | 30.77 | -42.09 |
| 10. | 2021/10/31 | 1.73% | 6.91% | 1.19 | 37.51 | 6.67 |
| 11. | 2021/11/30 | 1.10% | -0.83% | 0.21 | 2.64 | -0.74 |
| 12. | 2021/12/31 | -3.51% | 4.36% | 17.23 | 12.75 | -14.83 |
| 13. | 2022/01/31 | -7.52% | -5.26% | 66.67 | 36.59 | 49.39 |
| 14. | 2022/02/28 | -1.61% | -3.14% | 5.09 | 15.41 | 8.86 |
| 15. | 2022/03/31 | 13.38% | 3.58% | 162.19 | 7.77 | 35.50 |
| 16. | 2022/04/30 | -10.80% | -8.80% | 130.99 | 91.89 | 109.71 |
| 17. | 2022/05/31 | -21.11% | 0.01% | 473.21 | 0.62 | 17.07 |
| 18. | 2022/06/30 | -26.30% | -8.39% | 726.09 | 84.31 | 247.42 |
| 19. | 2022/07/31 | 24.58% | 9.11% | 573.10 | 69.25 | 199.21 |
| 20. | 2022/08/31 | 1.93% | -4.24% | 1.65 | 25.34 | -6.46 |
| 21. | 2022/09/30 | -7.14% | -9.34% | 60.65 | 102.61 | 78.89 |
| 22. | 2022/10/31 | 1.78% | 7.99% | 1.29 | 51.79 | 8.17 |
| 23. | 2022/11/30 | -4.46% | 5.38% | 26.08 | 21.02 | -23.42 |
| 24. | 2022/12/31 | -16.29% | -5.90% | 286.84 | 44.72 | 113.26 |
| 25. | 2023/01/31 | 29.95% | 6.18% | 858.97 | 29.00 | 157.83 |
| 26. | 2023/02/28 | 10.95% | -2.61% | 106.26 | 11.57 | -35.06 |
| 27. | 2023/03/31 | 0.91% | 3.51% | 0.07 | 7.37 | 0.72 |
| 28. | 2023/04/30 | -3.80% | 1.46% | 19.78 | 0.45 | -3.00 |
| 29. | 2023/05/31 | -8.27% | 0.25% | 79.53 | 0.29 | 4.83 |
| 30. | 2023/06/30 | 16.75% | 4.71% | 259.47 | 15.40 | 63.20 |
| 31. | 2023/07/31 | 18.75% | 4.85% | 327.79 | 16.45 | 73.43 |
| 32. | 2023/08/31 | -13.56% | -1.77% | 201.84 | 6.56 | 36.40 |
| 33. | 2023/09/30 | 4.30% | -4.87% | 13.38 | 32.06 | -20.71 |
| 34. | 2023/10/31 | -13.79% | -2.20% | 208.34 | 8.93 | 43.13 |
| 35. | 2023/11/30 | 6.81% | 8.92% | 37.95 | 66.06 | 50.07 |
| 36. | 2023/12/31 | 7.76% | 4.42% | 50.58 | 13.20 | 25.84 |
| トータル (Σ): | 6,195.02 | 889.77 | 1,107.74 | |||
すべて表示
分散ABNB = Σ(RABNB,t–RABNB)2 ÷ (36 – 1)
= 6,195.02 ÷ (36 – 1)
= 177.00
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (36 – 1)
= 889.77 ÷ (36 – 1)
= 25.42
共 分散ABNB, S&P 500 = Σ(RABNB,t–RABNB)×(RS&P 500,t–RS&P 500) ÷ (36 – 1)
= 1,107.74 ÷ (36 – 1)
= 31.65
システマティックなリスク推定 (β)
| 分散ABNB | 177.00 |
| 分散S&P 500 | 25.42 |
| 共 分散ABNB, S&P 500 | 31.65 |
| 相関係数ABNB, S&P 5001 | 0.47 |
| βABNB2 | 1.24 |
| αABNB3 | -0.34% |
計算
1 相関係数ABNB, S&P 500
= 共 分散ABNB, S&P 500 ÷ (標準偏差ABNB × 標準偏差S&P 500)
= 31.65 ÷ (13.30% × 5.04%)
= 0.47
2 βABNB
= 共 分散ABNB, S&P 500 ÷ 分散S&P 500
= 31.65 ÷ 25.42
= 1.24
3 αABNB
= 平均ABNB – βABNB × 平均S&P 500
= 0.65% – 1.24 × 0.79%
= -0.34%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.65% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.79% |
| 普通株式のシステマティックリスクAirbnb | βABNB | 1.24 |
| Airbnb普通株式の予想収益率3 | E(RABNB) | 16.02% |
1 10年以内に期限が到来しない、または償還不能となるすべての発行済み固定利回り米国債の入札利回りの加重平均(リスクフリー・リターン・プロキシ)。
2 詳しく見る »
3 E(RABNB) = RF + βABNB [E(RM) – RF]
= 4.65% + 1.24 [13.79% – 4.65%]
= 16.02%