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 |
| 2021/01/31 | $183.63 | 3,714.24 | ||||
| 1. | 2021/02/28 | $206.35 | 12.37% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $187.94 | -8.92% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $172.71 | -8.10% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $116.99 | -7.55% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $135.72 | 16.01% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.08% | 1.14% | ||||
| 標準偏差： | 10.93% | 4.37% | ||||
| 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 |
| 2021/01/31 | $183.63 | 3,714.24 | ||||
| 1. | 2021/02/28 | $206.35 | 12.37% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $187.94 | -8.92% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $172.71 | -8.10% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $140.40 | -18.71% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $153.14 | 9.07% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $144.01 | -5.96% | 4,395.26 | 2.27% | |
| 7. | 2021/08/31 | $154.99 | 7.62% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $167.75 | 8.23% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $170.66 | 1.73% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $172.54 | 1.10% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $166.49 | -3.51% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $153.97 | -7.52% | 4,515.55 | -5.26% | |
| 13. | 2022/02/28 | $151.49 | -1.61% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $171.76 | 13.38% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $153.21 | -10.80% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $120.87 | -21.11% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $89.08 | -26.30% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $110.98 | 24.58% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $113.12 | 1.93% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $105.04 | -7.14% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $106.91 | 1.78% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $102.14 | -4.46% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $85.50 | -16.29% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $111.11 | 29.95% | 4,076.60 | 6.18% | |
| 25. | 2023/02/28 | $123.28 | 10.95% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $124.40 | 0.91% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $119.67 | -3.80% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $109.77 | -8.27% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $128.16 | 16.75% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $152.19 | 18.75% | 4,588.96 | 4.85% | |
| 31. | 2023/08/31 | $131.55 | -13.56% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $137.21 | 4.30% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $118.29 | -13.79% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $126.34 | 6.81% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $136.14 | 7.76% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $144.14 | 5.88% | 4,845.65 | 1.59% | |
| 37. | 2024/02/29 | $157.47 | 9.25% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $164.96 | 4.76% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $158.57 | -3.87% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $144.93 | -8.60% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $151.63 | 4.62% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $139.56 | -7.96% | 5,522.30 | 1.13% | |
| 43. | 2024/08/31 | $117.31 | -15.94% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $126.81 | 8.10% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $134.79 | 6.29% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $136.11 | 0.98% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $131.41 | -3.45% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $131.17 | -0.18% | 6,040.53 | 2.70% | |
| 49. | 2025/02/28 | $138.87 | 5.87% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $119.46 | -13.98% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $121.92 | 2.06% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $129.00 | 5.81% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $132.34 | 2.59% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $132.41 | 0.05% | 6,339.39 | 2.17% | |
| 55. | 2025/08/31 | $130.53 | -1.42% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $121.42 | -6.98% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $126.54 | 4.22% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $116.99 | -7.55% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $135.72 | 16.01% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.08% | 1.14% | ||||
| 標準偏差： | 10.93% | 4.37% | ||||
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. | 2021/02/28 | 12.37% | 2.61% | 151.13 | 2.17 | 18.11 |
| 2. | 2021/03/31 | -8.92% | 4.24% | 81.02 | 9.66 | -27.97 |
| 3. | 2021/04/30 | -8.10% | 5.24% | 66.96 | 16.86 | -33.60 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | -7.55% | 0.13% | 58.16 | 1.01 | 7.67 |
| 59. | 2025/12/31 | 16.01% | -0.05% | 253.79 | 1.41 | -18.93 |
| トータル (Σ): | 6,925.15 | 1,108.23 | 1,289.51 | |||
| 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. | 2021/02/28 | 12.37% | 2.61% | 151.13 | 2.17 | 18.11 |
| 2. | 2021/03/31 | -8.92% | 4.24% | 81.02 | 9.66 | -27.97 |
| 3. | 2021/04/30 | -8.10% | 5.24% | 66.96 | 16.86 | -33.60 |
| 4. | 2021/05/31 | -18.71% | 0.55% | 352.95 | 0.35 | 11.04 |
| 5. | 2021/06/30 | 9.07% | 2.22% | 80.91 | 1.18 | 9.76 |
| 6. | 2021/07/31 | -5.96% | 2.27% | 36.49 | 1.30 | -6.88 |
| 7. | 2021/08/31 | 7.62% | 2.90% | 56.93 | 3.11 | 13.30 |
| 8. | 2021/09/30 | 8.23% | -4.76% | 66.48 | 34.73 | -48.05 |
| 9. | 2021/10/31 | 1.73% | 6.91% | 2.74 | 33.39 | 9.57 |
| 10. | 2021/11/30 | 1.10% | -0.83% | 1.05 | 3.88 | -2.01 |
| 11. | 2021/12/31 | -3.51% | 4.36% | 12.86 | 10.40 | -11.56 |
| 12. | 2022/01/31 | -7.52% | -5.26% | 57.75 | 40.89 | 48.59 |
| 13. | 2022/02/28 | -1.61% | -3.14% | 2.86 | 18.25 | 7.22 |
| 14. | 2022/03/31 | 13.38% | 3.58% | 176.92 | 5.96 | 32.47 |
| 15. | 2022/04/30 | -10.80% | -8.80% | 118.36 | 98.64 | 108.05 |
| 16. | 2022/05/31 | -21.11% | 0.01% | 448.91 | 1.28 | 23.96 |
| 17. | 2022/06/30 | -26.30% | -8.39% | 695.92 | 90.79 | 251.35 |
| 18. | 2022/07/31 | 24.58% | 9.11% | 600.51 | 63.61 | 195.44 |
| 19. | 2022/08/31 | 1.93% | -4.24% | 3.42 | 28.95 | -9.95 |
| 20. | 2022/09/30 | -7.14% | -9.34% | 52.16 | 109.74 | 75.66 |
| 21. | 2022/10/31 | 1.78% | 7.99% | 2.89 | 46.93 | 11.65 |
| 22. | 2022/11/30 | -4.46% | 5.38% | 20.62 | 17.97 | -19.25 |
| 23. | 2022/12/31 | -16.29% | -5.90% | 268.00 | 49.47 | 115.14 |
| 24. | 2023/01/31 | 29.95% | 6.18% | 892.45 | 25.39 | 150.54 |
| 25. | 2023/02/28 | 10.95% | -2.61% | 118.24 | 14.04 | -40.75 |
| 26. | 2023/03/31 | 0.91% | 3.51% | 0.69 | 5.61 | 1.96 |
| 27. | 2023/04/30 | -3.80% | 1.46% | 15.07 | 0.11 | -1.27 |
| 28. | 2023/05/31 | -8.27% | 0.25% | 69.76 | 0.79 | 7.42 |
| 29. | 2023/06/30 | 16.75% | 4.71% | 278.02 | 12.80 | 59.65 |
| 30. | 2023/07/31 | 18.75% | 4.85% | 348.60 | 13.76 | 69.26 |
| 31. | 2023/08/31 | -13.56% | -1.77% | 186.08 | 8.46 | 39.67 |
| 32. | 2023/09/30 | 4.30% | -4.87% | 17.84 | 36.10 | -25.37 |
| 33. | 2023/10/31 | -13.79% | -2.20% | 192.33 | 11.12 | 46.24 |
| 34. | 2023/11/30 | 6.81% | 8.92% | 45.24 | 60.56 | 52.34 |
| 35. | 2023/12/31 | 7.76% | 4.42% | 58.95 | 10.80 | 25.23 |
| 36. | 2024/01/31 | 5.88% | 1.59% | 33.61 | 0.21 | 2.63 |
| 37. | 2024/02/29 | 9.25% | 5.17% | 84.07 | 16.29 | 37.00 |
| 38. | 2024/03/31 | 4.76% | 3.10% | 21.88 | 3.86 | 9.19 |
| 39. | 2024/04/30 | -3.87% | -4.16% | 15.63 | 28.06 | 20.94 |
| 40. | 2024/05/31 | -8.60% | 4.80% | 75.36 | 13.44 | -31.82 |
| 41. | 2024/06/30 | 4.62% | 3.47% | 20.65 | 5.43 | 10.59 |
| 42. | 2024/07/31 | -7.96% | 1.13% | 64.63 | 0.00 | 0.03 |
| 43. | 2024/08/31 | -15.94% | 2.28% | 256.71 | 1.32 | -18.38 |
| 44. | 2024/09/30 | 8.10% | 2.02% | 64.30 | 0.78 | 7.09 |
| 45. | 2024/10/31 | 6.29% | -0.99% | 38.61 | 4.52 | -13.21 |
| 46. | 2024/11/30 | 0.98% | 5.73% | 0.81 | 21.10 | 4.13 |
| 47. | 2024/12/31 | -3.45% | -2.50% | 12.48 | 13.21 | 12.84 |
| 48. | 2025/01/31 | -0.18% | 2.70% | 0.07 | 2.45 | -0.41 |
| 49. | 2025/02/28 | 5.87% | -1.42% | 33.54 | 6.56 | -14.83 |
| 50. | 2025/03/31 | -13.98% | -5.75% | 197.58 | 47.48 | 96.86 |
| 51. | 2025/04/30 | 2.06% | -0.76% | 3.92 | 3.60 | -3.76 |
| 52. | 2025/05/31 | 5.81% | 6.15% | 32.81 | 25.16 | 28.73 |
| 53. | 2025/06/30 | 2.59% | 4.96% | 6.30 | 14.63 | 9.60 |
| 54. | 2025/07/31 | 0.05% | 2.17% | 0.00 | 1.06 | -0.03 |
| 55. | 2025/08/31 | -1.42% | 1.91% | 2.25 | 0.59 | -1.16 |
| 56. | 2025/09/30 | -6.98% | 3.53% | 49.82 | 5.74 | -16.91 |
| 57. | 2025/10/31 | 4.22% | 2.27% | 17.12 | 1.28 | 4.69 |
| 58. | 2025/11/30 | -7.55% | 0.13% | 58.16 | 1.01 | 7.67 |
| 59. | 2025/12/31 | 16.01% | -0.05% | 253.79 | 1.41 | -18.93 |
| トータル (Σ): | 6,925.15 | 1,108.23 | 1,289.51 | |||
すべて表示
分散ABNB = Σ(RABNB,t–RABNB)2 ÷ (59 – 1)
= 6,925.15 ÷ (59 – 1)
= 119.40
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散ABNB, S&P 500 = Σ(RABNB,t–RABNB)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,289.51 ÷ (59 – 1)
= 22.23
システマティックなリスク推定 (β)
| 分散ABNB | 119.40 |
| 分散S&P 500 | 19.11 |
| 共 分散ABNB, S&P 500 | 22.23 |
| 相関係数ABNB, S&P 5001 | 0.47 |
| βABNB2 | 1.16 |
| αABNB3 | -1.24% |
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)
= 22.23 ÷ (10.93% × 4.37%)
= 0.47
2 βABNB
= 共 分散ABNB, S&P 500 ÷ 分散S&P 500
= 22.23 ÷ 19.11
= 1.16
3 αABNB
= 平均ABNB – βABNB × 平均S&P 500
= 0.08% – 1.16 × 1.14%
= -1.24%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.54% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.37% |
| 普通株式のシステマティックリスクAirbnb | βABNB | 1.16 |
| Airbnb普通株式の予想収益率3 | E(RABNB) | 19.46% |
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]
= 4.54% + 1.16 [17.37% – 4.54%]
= 19.46%