Stock Analysis on Net

Expedia Group Inc. (NASDAQ:EXPE)

この会社は アーカイブに移動しました! 財務データは2022年5月3日以降更新されていません。

資本資産価格設定モデル (CAPM) 

Microsoft Excel

資本資産価格モデル(CAPM)は、 Expedia Group普通株式などのリスク資産の期待収益率または必要な収益率を示します。


収益率

Expedia Group Inc.、月間収益率

Microsoft Excel
Expedia Group Inc. (EXPE) Standard & Poor’s 500 (S&P 500)
t 日付 価格EXPE,t1 配当EXPE,t1 REXPE,t2 価格S&P 500,t RS&P 500,t3
2017/01/31 $121.59 2,278.87
1. 2017/02/28 $119.04 -2.10% 2,363.64 3.72%
2. 2017/03/31 $126.17 $0.28 6.22% 2,362.72 -0.04%
3. 2017/04/30 $133.72 5.98% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2021/11/30 $161.09 -2.02% 4,567.00 -0.83%
59. 2021/12/31 $180.72 12.19% 4,766.18 4.36%
平均 (R): 1.45% 1.36%
標準偏差: 11.68% 4.48%
Expedia Group Inc. (EXPE) Standard & Poor’s 500 (S&P 500)
t 日付 価格EXPE,t1 配当EXPE,t1 REXPE,t2 価格S&P 500,t RS&P 500,t3
2017/01/31 $121.59 2,278.87
1. 2017/02/28 $119.04 -2.10% 2,363.64 3.72%
2. 2017/03/31 $126.17 $0.28 6.22% 2,362.72 -0.04%
3. 2017/04/30 $133.72 5.98% 2,384.20 0.91%
4. 2017/05/31 $143.78 $0.28 7.73% 2,411.80 1.16%
5. 2017/06/30 $148.95 3.60% 2,423.41 0.48%
6. 2017/07/31 $156.47 5.05% 2,470.30 1.93%
7. 2017/08/31 $148.36 $0.30 -4.99% 2,471.65 0.05%
8. 2017/09/30 $143.94 -2.98% 2,519.36 1.93%
9. 2017/10/31 $124.66 -13.39% 2,575.26 2.22%
10. 2017/11/30 $122.50 $0.30 -1.49% 2,647.58 2.81%
11. 2017/12/31 $119.77 -2.23% 2,673.61 0.98%
12. 2018/01/31 $128.01 6.88% 2,823.81 5.62%
13. 2018/02/28 $105.17 -17.84% 2,713.83 -3.89%
14. 2018/03/31 $110.41 $0.30 5.27% 2,640.87 -2.69%
15. 2018/04/30 $115.14 4.28% 2,648.05 0.27%
16. 2018/05/31 $121.03 $0.30 5.38% 2,705.27 2.16%
17. 2018/06/30 $120.19 -0.69% 2,718.37 0.48%
18. 2018/07/31 $133.84 11.36% 2,816.29 3.60%
19. 2018/08/31 $130.50 $0.32 -2.26% 2,901.52 3.03%
20. 2018/09/30 $130.48 -0.02% 2,913.98 0.43%
21. 2018/10/31 $125.43 -3.87% 2,711.74 -6.94%
22. 2018/11/30 $120.79 $0.32 -3.44% 2,760.17 1.79%
23. 2018/12/31 $112.65 -6.74% 2,506.85 -9.18%
24. 2019/01/31 $119.25 5.86% 2,704.10 7.87%
25. 2019/02/28 $123.31 3.40% 2,784.49 2.97%
26. 2019/03/31 $119.00 $0.32 -3.24% 2,834.40 1.79%
27. 2019/04/30 $129.84 9.11% 2,945.83 3.93%
28. 2019/05/31 $115.00 $0.32 -11.18% 2,752.06 -6.58%
29. 2019/06/30 $133.03 15.68% 2,941.76 6.89%
30. 2019/07/31 $132.74 -0.22% 2,980.38 1.31%
31. 2019/08/31 $130.10 $0.34 -1.73% 2,926.46 -1.81%
32. 2019/09/30 $134.41 3.31% 2,976.74 1.72%
33. 2019/10/31 $136.66 1.67% 3,037.56 2.04%
34. 2019/11/30 $101.66 $0.34 -25.36% 3,140.98 3.40%
35. 2019/12/31 $108.14 6.37% 3,230.78 2.86%
36. 2020/01/31 $108.45 0.29% 3,225.52 -0.16%
37. 2020/02/29 $98.62 -9.06% 2,954.22 -8.41%
38. 2020/03/31 $56.27 $0.34 -42.60% 2,584.59 -12.51%
39. 2020/04/30 $70.98 26.14% 2,912.43 12.68%
40. 2020/05/31 $79.48 11.98% 3,044.31 4.53%
41. 2020/06/30 $82.20 3.42% 3,100.29 1.84%
42. 2020/07/31 $81.01 -1.45% 3,271.12 5.51%
43. 2020/08/31 $98.15 21.16% 3,500.31 7.01%
44. 2020/09/30 $91.69 -6.58% 3,363.00 -3.92%
45. 2020/10/31 $94.15 2.68% 3,269.96 -2.77%
46. 2020/11/30 $124.49 32.23% 3,621.63 10.75%
47. 2020/12/31 $132.40 6.35% 3,756.07 3.71%
48. 2021/01/31 $124.10 -6.27% 3,714.24 -1.11%
49. 2021/02/28 $161.00 29.73% 3,811.15 2.61%
50. 2021/03/31 $172.12 6.91% 3,972.89 4.24%
51. 2021/04/30 $176.23 2.39% 4,181.17 5.24%
52. 2021/05/31 $176.95 0.41% 4,204.11 0.55%
53. 2021/06/30 $163.71 -7.48% 4,297.50 2.22%
54. 2021/07/31 $160.87 -1.73% 4,395.26 2.27%
55. 2021/08/31 $144.50 -10.18% 4,522.68 2.90%
56. 2021/09/30 $163.90 13.43% 4,307.54 -4.76%
57. 2021/10/31 $164.41 0.31% 4,605.38 6.91%
58. 2021/11/30 $161.09 -2.02% 4,567.00 -0.83%
59. 2021/12/31 $180.72 12.19% 4,766.18 4.36%
平均 (R): 1.45% 1.36%
標準偏差: 11.68% 4.48%

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中のEXPE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

Expedia Group Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 REXPE,t RS&P 500,t (REXPE,tREXPE)2 (RS&P 500,tRS&P 500)2 (REXPE,tREXPE)×(RS&P 500,tRS&P 500)
1. 2017/02/28 -2.10% 3.72% 12.59 5.58 -8.38
2. 2017/03/31 6.22% -0.04% 22.79 1.95 -6.67
3. 2017/04/30 5.98% 0.91% 20.55 0.20 -2.03
. . . . . . .
. . . . . . .
. . . . . . .
58. 2021/11/30 -2.02% -0.83% 12.04 4.80 7.60
59. 2021/12/31 12.19% 4.36% 115.23 9.02 32.24
トータル (Σ): 7,918.62 1,164.17 1,893.98
t 日付 REXPE,t RS&P 500,t (REXPE,tREXPE)2 (RS&P 500,tRS&P 500)2 (REXPE,tREXPE)×(RS&P 500,tRS&P 500)
1. 2017/02/28 -2.10% 3.72% 12.59 5.58 -8.38
2. 2017/03/31 6.22% -0.04% 22.79 1.95 -6.67
3. 2017/04/30 5.98% 0.91% 20.55 0.20 -2.03
4. 2017/05/31 7.73% 1.16% 39.46 0.04 -1.26
5. 2017/06/30 3.60% 0.48% 4.60 0.77 -1.88
6. 2017/07/31 5.05% 1.93% 12.94 0.33 2.08
7. 2017/08/31 -4.99% 0.05% 41.51 1.70 8.40
8. 2017/09/30 -2.98% 1.93% 19.63 0.33 -2.54
9. 2017/10/31 -13.39% 2.22% 220.39 0.74 -12.78
10. 2017/11/30 -1.49% 2.81% 8.66 2.10 -4.27
11. 2017/12/31 -2.23% 0.98% 13.54 0.14 1.38
12. 2018/01/31 6.88% 5.62% 29.47 18.15 23.13
13. 2018/02/28 -17.84% -3.89% 372.24 27.59 101.34
14. 2018/03/31 5.27% -2.69% 14.57 16.37 -15.44
15. 2018/04/30 4.28% 0.27% 8.03 1.18 -3.08
16. 2018/05/31 5.38% 2.16% 15.40 0.64 3.15
17. 2018/06/30 -0.69% 0.48% 4.60 0.76 1.87
18. 2018/07/31 11.36% 3.60% 98.13 5.04 22.23
19. 2018/08/31 -2.26% 3.03% 13.75 2.78 -6.19
20. 2018/09/30 -0.02% 0.43% 2.15 0.86 1.36
21. 2018/10/31 -3.87% -6.94% 28.32 68.86 44.16
22. 2018/11/30 -3.44% 1.79% 23.96 0.18 -2.10
23. 2018/12/31 -6.74% -9.18% 67.08 111.00 86.29
24. 2019/01/31 5.86% 7.87% 19.43 42.39 28.70
25. 2019/02/28 3.40% 2.97% 3.82 2.61 3.15
26. 2019/03/31 -3.24% 1.79% 21.97 0.19 -2.04
27. 2019/04/30 9.11% 3.93% 58.65 6.62 19.71
28. 2019/05/31 -11.18% -6.58% 159.62 62.97 100.26
29. 2019/06/30 15.68% 6.89% 202.41 30.64 78.75
30. 2019/07/31 -0.22% 1.31% 2.79 0.00 0.08
31. 2019/08/31 -1.73% -1.81% 10.14 10.03 10.08
32. 2019/09/30 3.31% 1.72% 3.47 0.13 0.67
33. 2019/10/31 1.67% 2.04% 0.05 0.47 0.15
34. 2019/11/30 -25.36% 3.40% 718.96 4.19 -54.88
35. 2019/12/31 6.37% 2.86% 24.24 2.25 7.39
36. 2020/01/31 0.29% -0.16% 1.36 2.31 1.77
37. 2020/02/29 -9.06% -8.41% 110.57 95.43 102.72
38. 2020/03/31 -42.60% -12.51% 1,940.32 192.37 610.95
39. 2020/04/30 26.14% 12.68% 609.63 128.29 279.66
40. 2020/05/31 11.98% 4.53% 110.76 10.05 33.36
41. 2020/06/30 3.42% 1.84% 3.89 0.23 0.95
42. 2020/07/31 -1.45% 5.51% 8.40 17.24 -12.04
43. 2020/08/31 21.16% 7.01% 388.35 31.91 111.31
44. 2020/09/30 -6.58% -3.92% 64.53 27.89 42.42
45. 2020/10/31 2.68% -2.77% 1.52 17.01 -5.08
46. 2020/11/30 32.23% 10.75% 947.04 88.30 289.17
47. 2020/12/31 6.35% 3.71% 24.04 5.54 11.54
48. 2021/01/31 -6.27% -1.11% 59.60 6.11 19.08
49. 2021/02/28 29.73% 2.61% 799.92 1.57 35.39
50. 2021/03/31 6.91% 4.24% 29.76 8.33 15.74
51. 2021/04/30 2.39% 5.24% 0.88 15.09 3.64
52. 2021/05/31 0.41% 0.55% 1.09 0.65 0.84
53. 2021/06/30 -7.48% 2.22% 79.81 0.75 -7.71
54. 2021/07/31 -1.73% 2.27% 10.15 0.84 -2.92
55. 2021/08/31 -10.18% 2.90% 135.19 2.38 -17.92
56. 2021/09/30 13.43% -4.76% 143.39 37.39 -73.22
57. 2021/10/31 0.31% 6.91% 1.30 30.87 -6.33
58. 2021/11/30 -2.02% -0.83% 12.04 4.80 7.60
59. 2021/12/31 12.19% 4.36% 115.23 9.02 32.24
トータル (Σ): 7,918.62 1,164.17 1,893.98

すべて表示

分散EXPE = Σ(REXPE,tREXPE)2 ÷ (59 – 1)
= 7,918.62 ÷ (59 – 1)
= 136.53

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

共 分散EXPE, S&P 500 = Σ(REXPE,tREXPE)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 1,893.98 ÷ (59 – 1)
= 32.65


システマティックなリスク推定 (β)

Microsoft Excel
分散EXPE 136.53
分散S&P 500 20.07
共 分散EXPE, S&P 500 32.65
相関係数EXPE, S&P 5001 0.62
βEXPE2 1.63
αEXPE3 -0.76%

計算

1 相関係数EXPE, S&P 500
= 共 分散EXPE, S&P 500 ÷ (標準偏差EXPE × 標準偏差S&P 500)
= 32.65 ÷ (11.68% × 4.48%)
= 0.62

2 βEXPE
= 共 分散EXPE, S&P 500 ÷ 分散S&P 500
= 32.65 ÷ 20.07
= 1.63

3 αEXPE
= 平均EXPE – βEXPE × 平均S&P 500
= 1.45%1.63 × 1.36%
= -0.76%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.68%
市場ポートフォリオの期待収益率2 E(RM) 13.78%
普通株式 Expedia Group システマティックリスク βEXPE 1.63
 
エクスペディア グループの普通株式の期待収益率3 E(REXPE) 19.49%

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(REXPE) = RF + βEXPE [E(RM) – RF]
= 4.68% + 1.63 [13.78%4.68%]
= 19.49%