資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Appliedの普通株式などのリスク資産の期待収益率または必要収益率を示します。
収益率
Applied Materials Inc.、月間収益率
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMAT,t1 | 配当AMAT,t1 | RAMAT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2016/11/30 | $32.20 | 2,198.81 | ||||
| 1. | 2016/12/31 | $32.27 | 0.22% | 2,238.83 | 1.82% | |
| 2. | 2017/01/31 | $34.25 | 6.14% | 2,278.87 | 1.79% | |
| 3. | 2017/02/28 | $36.22 | $0.10 | 6.04% | 2,363.64 | 3.72% |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022/09/30 | $81.93 | -12.91% | 3,585.62 | -9.34% | |
| 71. | 2022/10/31 | $88.29 | 7.76% | 3,871.98 | 7.99% | |
| 平均 (R): | 2.08% | 0.92% | ||||
| 標準偏差： | 10.62% | 4.88% | ||||
| Applied Materials Inc. (AMAT) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格AMAT,t1 | 配当AMAT,t1 | RAMAT,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2016/11/30 | $32.20 | 2,198.81 | ||||
| 1. | 2016/12/31 | $32.27 | 0.22% | 2,238.83 | 1.82% | |
| 2. | 2017/01/31 | $34.25 | 6.14% | 2,278.87 | 1.79% | |
| 3. | 2017/02/28 | $36.22 | $0.10 | 6.04% | 2,363.64 | 3.72% |
| 4. | 2017/03/31 | $38.90 | 7.40% | 2,362.72 | -0.04% | |
| 5. | 2017/04/30 | $40.61 | 4.40% | 2,384.20 | 0.91% | |
| 6. | 2017/05/31 | $45.88 | $0.10 | 13.22% | 2,411.80 | 1.16% |
| 7. | 2017/06/30 | $41.31 | -9.96% | 2,423.41 | 0.48% | |
| 8. | 2017/07/31 | $44.31 | 7.26% | 2,470.30 | 1.93% | |
| 9. | 2017/08/31 | $45.12 | $0.10 | 2.05% | 2,471.65 | 0.05% |
| 10. | 2017/09/30 | $52.09 | 15.45% | 2,519.36 | 1.93% | |
| 11. | 2017/10/31 | $56.43 | 8.33% | 2,575.26 | 2.22% | |
| 12. | 2017/11/30 | $52.77 | $0.10 | -6.31% | 2,647.58 | 2.81% |
| 13. | 2017/12/31 | $51.12 | -3.13% | 2,673.61 | 0.98% | |
| 14. | 2018/01/31 | $53.63 | 4.91% | 2,823.81 | 5.62% | |
| 15. | 2018/02/28 | $57.59 | $0.10 | 7.57% | 2,713.83 | -3.89% |
| 16. | 2018/03/31 | $55.61 | -3.44% | 2,640.87 | -2.69% | |
| 17. | 2018/04/30 | $49.67 | -10.68% | 2,648.05 | 0.27% | |
| 18. | 2018/05/31 | $50.78 | $0.20 | 2.64% | 2,705.27 | 2.16% |
| 19. | 2018/06/30 | $46.19 | -9.04% | 2,718.37 | 0.48% | |
| 20. | 2018/07/31 | $48.63 | 5.28% | 2,816.29 | 3.60% | |
| 21. | 2018/08/31 | $43.02 | $0.20 | -11.12% | 2,901.52 | 3.03% |
| 22. | 2018/09/30 | $38.65 | -10.16% | 2,913.98 | 0.43% | |
| 23. | 2018/10/31 | $32.88 | -14.93% | 2,711.74 | -6.94% | |
| 24. | 2018/11/30 | $37.28 | $0.20 | 13.99% | 2,760.17 | 1.79% |
| 25. | 2018/12/31 | $32.74 | -12.18% | 2,506.85 | -9.18% | |
| 26. | 2019/01/31 | $39.08 | 19.36% | 2,704.10 | 7.87% | |
| 27. | 2019/02/28 | $38.34 | $0.20 | -1.38% | 2,784.49 | 2.97% |
| 28. | 2019/03/31 | $39.66 | 3.44% | 2,834.40 | 1.79% | |
| 29. | 2019/04/30 | $44.07 | 11.12% | 2,945.83 | 3.93% | |
| 30. | 2019/05/31 | $38.69 | $0.21 | -11.73% | 2,752.06 | -6.58% |
| 31. | 2019/06/30 | $44.91 | 16.08% | 2,941.76 | 6.89% | |
| 32. | 2019/07/31 | $49.37 | 9.93% | 2,980.38 | 1.31% | |
| 33. | 2019/08/31 | $48.02 | $0.21 | -2.31% | 2,926.46 | -1.81% |
| 34. | 2019/09/30 | $49.90 | 3.92% | 2,976.74 | 1.72% | |
| 35. | 2019/10/31 | $54.26 | 8.74% | 3,037.56 | 2.04% | |
| 36. | 2019/11/30 | $57.90 | $0.21 | 7.10% | 3,140.98 | 3.40% |
| 37. | 2019/12/31 | $61.04 | 5.42% | 3,230.78 | 2.86% | |
| 38. | 2020/01/31 | $57.99 | -5.00% | 3,225.52 | -0.16% | |
| 39. | 2020/02/29 | $58.12 | $0.21 | 0.59% | 2,954.22 | -8.41% |
| 40. | 2020/03/31 | $45.82 | -21.16% | 2,584.59 | -12.51% | |
| 41. | 2020/04/30 | $49.68 | 8.42% | 2,912.43 | 12.68% | |
| 42. | 2020/05/31 | $56.18 | $0.22 | 13.53% | 3,044.31 | 4.53% |
| 43. | 2020/06/30 | $60.45 | 7.60% | 3,100.29 | 1.84% | |
| 44. | 2020/07/31 | $64.33 | 6.42% | 3,271.12 | 5.51% | |
| 45. | 2020/08/31 | $61.60 | $0.22 | -3.90% | 3,500.31 | 7.01% |
| 46. | 2020/09/30 | $59.45 | -3.49% | 3,363.00 | -3.92% | |
| 47. | 2020/10/31 | $59.23 | -0.37% | 3,269.96 | -2.77% | |
| 48. | 2020/11/30 | $82.48 | $0.22 | 39.63% | 3,621.63 | 10.75% |
| 49. | 2020/12/31 | $86.30 | 4.63% | 3,756.07 | 3.71% | |
| 50. | 2021/01/31 | $96.68 | 12.03% | 3,714.24 | -1.11% | |
| 51. | 2021/02/28 | $118.19 | $0.22 | 22.48% | 3,811.15 | 2.61% |
| 52. | 2021/03/31 | $133.60 | 13.04% | 3,972.89 | 4.24% | |
| 53. | 2021/04/30 | $132.71 | -0.67% | 4,181.17 | 5.24% | |
| 54. | 2021/05/31 | $138.13 | $0.24 | 4.26% | 4,204.11 | 0.55% |
| 55. | 2021/06/30 | $142.40 | 3.09% | 4,297.50 | 2.22% | |
| 56. | 2021/07/31 | $139.93 | -1.73% | 4,395.26 | 2.27% | |
| 57. | 2021/08/31 | $135.13 | $0.24 | -3.26% | 4,522.68 | 2.90% |
| 58. | 2021/09/30 | $128.73 | -4.74% | 4,307.54 | -4.76% | |
| 59. | 2021/10/31 | $136.65 | 6.15% | 4,605.38 | 6.91% | |
| 60. | 2021/11/30 | $147.19 | $0.24 | 7.89% | 4,567.00 | -0.83% |
| 61. | 2021/12/31 | $157.36 | 6.91% | 4,766.18 | 4.36% | |
| 62. | 2022/01/31 | $138.18 | -12.19% | 4,515.55 | -5.26% | |
| 63. | 2022/02/28 | $134.20 | $0.24 | -2.71% | 4,373.94 | -3.14% |
| 64. | 2022/03/31 | $131.80 | -1.79% | 4,530.41 | 3.58% | |
| 65. | 2022/04/30 | $110.35 | -16.27% | 4,131.93 | -8.80% | |
| 66. | 2022/05/31 | $117.29 | $0.26 | 6.52% | 4,132.15 | 0.01% |
| 67. | 2022/06/30 | $90.98 | -22.43% | 3,785.38 | -8.39% | |
| 68. | 2022/07/31 | $105.98 | 16.49% | 4,130.29 | 9.11% | |
| 69. | 2022/08/31 | $94.07 | $0.26 | -10.99% | 3,955.00 | -4.24% |
| 70. | 2022/09/30 | $81.93 | -12.91% | 3,585.62 | -9.34% | |
| 71. | 2022/10/31 | $88.29 | 7.76% | 3,871.98 | 7.99% | |
| 平均 (R): | 2.08% | 0.92% | ||||
| 標準偏差： | 10.62% | 4.88% | ||||
すべて表示
1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。
2 期間 t中のAMAT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プロキシ)の収益率。
分散と共分散
Applied Materials Inc.、リターンの差異と共分散の計算
| t | 日付 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016/12/31 | 0.22% | 1.82% | 3.46 | 0.81 | -1.68 |
| 2. | 2017/01/31 | 6.14% | 1.79% | 16.47 | 0.76 | 3.53 |
| 3. | 2017/02/28 | 6.04% | 3.72% | 15.73 | 7.85 | 11.11 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2022/09/30 | -12.91% | -9.34% | 224.47 | 105.24 | 153.70 |
| 71. | 2022/10/31 | 7.76% | 7.99% | 32.33 | 49.95 | 40.18 |
| トータル (Σ): | 7,898.58 | 1,669.64 | 2,516.35 | |||
| t | 日付 | RAMAT,t | RS&P 500,t | (RAMAT,t–RAMAT)2 | (RS&P 500,t–RS&P 500)2 | (RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016/12/31 | 0.22% | 1.82% | 3.46 | 0.81 | -1.68 |
| 2. | 2017/01/31 | 6.14% | 1.79% | 16.47 | 0.76 | 3.53 |
| 3. | 2017/02/28 | 6.04% | 3.72% | 15.73 | 7.85 | 11.11 |
| 4. | 2017/03/31 | 7.40% | -0.04% | 28.33 | 0.92 | -5.10 |
| 5. | 2017/04/30 | 4.40% | 0.91% | 5.38 | 0.00 | -0.02 |
| 6. | 2017/05/31 | 13.22% | 1.16% | 124.24 | 0.06 | 2.66 |
| 7. | 2017/06/30 | -9.96% | 0.48% | 144.91 | 0.19 | 5.27 |
| 8. | 2017/07/31 | 7.26% | 1.93% | 26.89 | 1.03 | 5.27 |
| 9. | 2017/08/31 | 2.05% | 0.05% | 0.00 | 0.75 | 0.02 |
| 10. | 2017/09/30 | 15.45% | 1.93% | 178.77 | 1.02 | 13.52 |
| 11. | 2017/10/31 | 8.33% | 2.22% | 39.12 | 1.69 | 8.13 |
| 12. | 2017/11/30 | -6.31% | 2.81% | 70.32 | 3.57 | -15.84 |
| 13. | 2017/12/31 | -3.13% | 0.98% | 27.08 | 0.00 | -0.33 |
| 14. | 2018/01/31 | 4.91% | 5.62% | 8.03 | 22.08 | 13.31 |
| 15. | 2018/02/28 | 7.57% | -3.89% | 30.18 | 23.17 | -26.44 |
| 16. | 2018/03/31 | -3.44% | -2.69% | 30.42 | 13.01 | 19.89 |
| 17. | 2018/04/30 | -10.68% | 0.27% | 162.78 | 0.42 | 8.25 |
| 18. | 2018/05/31 | 2.64% | 2.16% | 0.31 | 1.54 | 0.70 |
| 19. | 2018/06/30 | -9.04% | 0.48% | 123.57 | 0.19 | 4.83 |
| 20. | 2018/07/31 | 5.28% | 3.60% | 10.28 | 7.20 | 8.60 |
| 21. | 2018/08/31 | -11.12% | 3.03% | 174.29 | 4.44 | -27.82 |
| 22. | 2018/09/30 | -10.16% | 0.43% | 149.70 | 0.24 | 5.99 |
| 23. | 2018/10/31 | -14.93% | -6.94% | 289.20 | 61.77 | 133.65 |
| 24. | 2018/11/30 | 13.99% | 1.79% | 141.92 | 0.75 | 10.33 |
| 25. | 2018/12/31 | -12.18% | -9.18% | 203.21 | 101.94 | 143.93 |
| 26. | 2019/01/31 | 19.36% | 7.87% | 298.86 | 48.30 | 120.14 |
| 27. | 2019/02/28 | -1.38% | 2.97% | 11.96 | 4.22 | -7.10 |
| 28. | 2019/03/31 | 3.44% | 1.79% | 1.87 | 0.76 | 1.19 |
| 29. | 2019/04/30 | 11.12% | 3.93% | 81.77 | 9.08 | 27.24 |
| 30. | 2019/05/31 | -11.73% | -6.58% | 190.67 | 56.20 | 103.52 |
| 31. | 2019/06/30 | 16.08% | 6.89% | 195.98 | 35.69 | 83.63 |
| 32. | 2019/07/31 | 9.93% | 1.31% | 61.68 | 0.16 | 3.09 |
| 33. | 2019/08/31 | -2.31% | -1.81% | 19.24 | 7.44 | 11.97 |
| 34. | 2019/09/30 | 3.92% | 1.72% | 3.38 | 0.64 | 1.47 |
| 35. | 2019/10/31 | 8.74% | 2.04% | 44.36 | 1.26 | 7.49 |
| 36. | 2019/11/30 | 7.10% | 3.40% | 25.18 | 6.18 | 12.47 |
| 37. | 2019/12/31 | 5.42% | 2.86% | 11.20 | 3.76 | 6.49 |
| 38. | 2020/01/31 | -5.00% | -0.16% | 50.04 | 1.17 | 7.65 |
| 39. | 2020/02/29 | 0.59% | -8.41% | 2.22 | 87.05 | 13.91 |
| 40. | 2020/03/31 | -21.16% | -12.51% | 540.11 | 180.39 | 312.13 |
| 41. | 2020/04/30 | 8.42% | 12.68% | 40.29 | 138.43 | 74.68 |
| 42. | 2020/05/31 | 13.53% | 4.53% | 131.09 | 13.03 | 41.32 |
| 43. | 2020/06/30 | 7.60% | 1.84% | 30.51 | 0.85 | 5.08 |
| 44. | 2020/07/31 | 6.42% | 5.51% | 18.85 | 21.08 | 19.93 |
| 45. | 2020/08/31 | -3.90% | 7.01% | 35.75 | 37.06 | -36.40 |
| 46. | 2020/09/30 | -3.49% | -3.92% | 31.00 | 23.44 | 26.96 |
| 47. | 2020/10/31 | -0.37% | -2.77% | 5.99 | 13.58 | 9.02 |
| 48. | 2020/11/30 | 39.63% | 10.75% | 1,409.86 | 96.74 | 369.31 |
| 49. | 2020/12/31 | 4.63% | 3.71% | 6.52 | 7.80 | 7.14 |
| 50. | 2021/01/31 | 12.03% | -1.11% | 99.02 | 4.13 | -20.23 |
| 51. | 2021/02/28 | 22.48% | 2.61% | 416.13 | 2.86 | 34.48 |
| 52. | 2021/03/31 | 13.04% | 4.24% | 120.15 | 11.06 | 36.45 |
| 53. | 2021/04/30 | -0.67% | 5.24% | 7.53 | 18.69 | -11.86 |
| 54. | 2021/05/31 | 4.26% | 0.55% | 4.79 | 0.14 | -0.81 |
| 55. | 2021/06/30 | 3.09% | 2.22% | 1.03 | 1.70 | 1.32 |
| 56. | 2021/07/31 | -1.73% | 2.27% | 14.53 | 1.84 | -5.17 |
| 57. | 2021/08/31 | -3.26% | 2.90% | 28.47 | 3.92 | -10.57 |
| 58. | 2021/09/30 | -4.74% | -4.76% | 46.42 | 32.21 | 38.67 |
| 59. | 2021/10/31 | 6.15% | 6.91% | 16.61 | 35.95 | 24.43 |
| 60. | 2021/11/30 | 7.89% | -0.83% | 33.78 | 3.07 | -10.18 |
| 61. | 2021/12/31 | 6.91% | 4.36% | 23.35 | 11.85 | 16.64 |
| 62. | 2022/01/31 | -12.19% | -5.26% | 203.51 | 38.16 | 88.12 |
| 63. | 2022/02/28 | -2.71% | -3.14% | 22.88 | 16.44 | 19.40 |
| 64. | 2022/03/31 | -1.79% | 3.58% | 14.94 | 7.07 | -10.28 |
| 65. | 2022/04/30 | -16.27% | -8.80% | 336.79 | 94.37 | 178.28 |
| 66. | 2022/05/31 | 6.52% | 0.01% | 19.78 | 0.83 | -4.06 |
| 67. | 2022/06/30 | -22.43% | -8.39% | 600.67 | 86.69 | 228.20 |
| 68. | 2022/07/31 | 16.49% | 9.11% | 207.65 | 67.12 | 118.06 |
| 69. | 2022/08/31 | -10.99% | -4.24% | 170.82 | 26.66 | 67.48 |
| 70. | 2022/09/30 | -12.91% | -9.34% | 224.47 | 105.24 | 153.70 |
| 71. | 2022/10/31 | 7.76% | 7.99% | 32.33 | 49.95 | 40.18 |
| トータル (Σ): | 7,898.58 | 1,669.64 | 2,516.35 | |||
すべて表示
分散AMAT = Σ(RAMAT,t–RAMAT)2 ÷ (71 – 1)
= 7,898.58 ÷ (71 – 1)
= 112.84
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,669.64 ÷ (71 – 1)
= 23.85
共 分散AMAT, S&P 500 = Σ(RAMAT,t–RAMAT)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 2,516.35 ÷ (71 – 1)
= 35.95
システマティックリスク推定 (β)
| 分散AMAT | 112.84 |
| 分散S&P 500 | 23.85 |
| 共 分散AMAT, S&P 500 | 35.95 |
| 相関係数AMAT, S&P 5001 | 0.69 |
| βAMAT2 | 1.51 |
| αAMAT3 | 0.69% |
計算
1 相関係数AMAT, S&P 500
= 共 分散AMAT, S&P 500 ÷ (標準偏差AMAT × 標準偏差S&P 500)
= 35.95 ÷ (10.62% × 4.88%)
= 0.69
2 βAMAT
= 共 分散AMAT, S&P 500 ÷ 分散S&P 500
= 35.95 ÷ 23.85
= 1.51
3 αAMAT
= 平均AMAT – βAMAT × 平均S&P 500
= 2.08% – 1.51 × 0.92%
= 0.69%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.67% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.26% |
| 普通株式 Applied システマティックリスク | βAMAT | 1.51 |
| 適用普通株式の予想収益率3 | E(RAMAT) | 17.62% |
1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。
2 詳細を見る »
3 E(RAMAT) = RF + βAMAT [E(RM) – RF]
= 4.67% + 1.51 [13.26% – 4.67%]
= 17.62%