資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Regeneron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
Regeneron Pharmaceuticals Inc.、月間収益率
| Regeneron Pharmaceuticals Inc. (REGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格REGN,t1 | 配当REGN,t1 | RREGN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $429.27 | 2,704.10 | ||||
| 1. | 2019/02/28 | $430.74 | 0.34% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $410.62 | -4.67% | 2,834.40 | 1.79% | |
| 3. | 2019/04/30 | $343.14 | -16.43% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | $823.81 | 5.63% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $878.29 | 6.61% | 4,769.83 | 4.42% | |
| 平均 (R): | 1.59% | 1.11% | ||||
| 標準偏差： | 8.83% | 5.31% | ||||
| Regeneron Pharmaceuticals Inc. (REGN) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格REGN,t1 | 配当REGN,t1 | RREGN,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $429.27 | 2,704.10 | ||||
| 1. | 2019/02/28 | $430.74 | 0.34% | 2,784.49 | 2.97% | |
| 2. | 2019/03/31 | $410.62 | -4.67% | 2,834.40 | 1.79% | |
| 3. | 2019/04/30 | $343.14 | -16.43% | 2,945.83 | 3.93% | |
| 4. | 2019/05/31 | $301.72 | -12.07% | 2,752.06 | -6.58% | |
| 5. | 2019/06/30 | $313.00 | 3.74% | 2,941.76 | 6.89% | |
| 6. | 2019/07/31 | $304.76 | -2.63% | 2,980.38 | 1.31% | |
| 7. | 2019/08/31 | $290.05 | -4.83% | 2,926.46 | -1.81% | |
| 8. | 2019/09/30 | $277.40 | -4.36% | 2,976.74 | 1.72% | |
| 9. | 2019/10/31 | $306.28 | 10.41% | 3,037.56 | 2.04% | |
| 10. | 2019/11/30 | $369.00 | 20.48% | 3,140.98 | 3.40% | |
| 11. | 2019/12/31 | $375.48 | 1.76% | 3,230.78 | 2.86% | |
| 12. | 2020/01/31 | $337.94 | -10.00% | 3,225.52 | -0.16% | |
| 13. | 2020/02/29 | $444.57 | 31.55% | 2,954.22 | -8.41% | |
| 14. | 2020/03/31 | $488.29 | 9.83% | 2,584.59 | -12.51% | |
| 15. | 2020/04/30 | $525.88 | 7.70% | 2,912.43 | 12.68% | |
| 16. | 2020/05/31 | $612.81 | 16.53% | 3,044.31 | 4.53% | |
| 17. | 2020/06/30 | $623.65 | 1.77% | 3,100.29 | 1.84% | |
| 18. | 2020/07/31 | $632.07 | 1.35% | 3,271.12 | 5.51% | |
| 19. | 2020/08/31 | $619.93 | -1.92% | 3,500.31 | 7.01% | |
| 20. | 2020/09/30 | $559.78 | -9.70% | 3,363.00 | -3.92% | |
| 21. | 2020/10/31 | $543.56 | -2.90% | 3,269.96 | -2.77% | |
| 22. | 2020/11/30 | $516.03 | -5.06% | 3,621.63 | 10.75% | |
| 23. | 2020/12/31 | $483.11 | -6.38% | 3,756.07 | 3.71% | |
| 24. | 2021/01/31 | $503.84 | 4.29% | 3,714.24 | -1.11% | |
| 25. | 2021/02/28 | $450.57 | -10.57% | 3,811.15 | 2.61% | |
| 26. | 2021/03/31 | $473.14 | 5.01% | 3,972.89 | 4.24% | |
| 27. | 2021/04/30 | $481.30 | 1.72% | 4,181.17 | 5.24% | |
| 28. | 2021/05/31 | $502.43 | 4.39% | 4,204.11 | 0.55% | |
| 29. | 2021/06/30 | $558.54 | 11.17% | 4,297.50 | 2.22% | |
| 30. | 2021/07/31 | $574.61 | 2.88% | 4,395.26 | 2.27% | |
| 31. | 2021/08/31 | $673.40 | 17.19% | 4,522.68 | 2.90% | |
| 32. | 2021/09/30 | $605.18 | -10.13% | 4,307.54 | -4.76% | |
| 33. | 2021/10/31 | $639.94 | 5.74% | 4,605.38 | 6.91% | |
| 34. | 2021/11/30 | $636.53 | -0.53% | 4,567.00 | -0.83% | |
| 35. | 2021/12/31 | $631.52 | -0.79% | 4,766.18 | 4.36% | |
| 36. | 2022/01/31 | $608.59 | -3.63% | 4,515.55 | -5.26% | |
| 37. | 2022/02/28 | $618.36 | 1.61% | 4,373.94 | -3.14% | |
| 38. | 2022/03/31 | $698.42 | 12.95% | 4,530.41 | 3.58% | |
| 39. | 2022/04/30 | $659.11 | -5.63% | 4,131.93 | -8.80% | |
| 40. | 2022/05/31 | $664.74 | 0.85% | 4,132.15 | 0.01% | |
| 41. | 2022/06/30 | $591.13 | -11.07% | 3,785.38 | -8.39% | |
| 42. | 2022/07/31 | $581.69 | -1.60% | 4,130.29 | 9.11% | |
| 43. | 2022/08/31 | $581.06 | -0.11% | 3,955.00 | -4.24% | |
| 44. | 2022/09/30 | $688.87 | 18.55% | 3,585.62 | -9.34% | |
| 45. | 2022/10/31 | $748.75 | 8.69% | 3,871.98 | 7.99% | |
| 46. | 2022/11/30 | $751.70 | 0.39% | 4,080.11 | 5.38% | |
| 47. | 2022/12/31 | $721.49 | -4.02% | 3,839.50 | -5.90% | |
| 48. | 2023/01/31 | $758.47 | 5.13% | 4,076.60 | 6.18% | |
| 49. | 2023/02/28 | $760.42 | 0.26% | 3,970.15 | -2.61% | |
| 50. | 2023/03/31 | $821.67 | 8.05% | 4,109.31 | 3.51% | |
| 51. | 2023/04/30 | $801.79 | -2.42% | 4,169.48 | 1.46% | |
| 52. | 2023/05/31 | $735.56 | -8.26% | 4,179.83 | 0.25% | |
| 53. | 2023/06/30 | $718.54 | -2.31% | 4,376.86 | 4.71% | |
| 54. | 2023/07/31 | $741.91 | 3.25% | 4,588.96 | 4.85% | |
| 55. | 2023/08/31 | $826.49 | 11.40% | 4,507.66 | -1.77% | |
| 56. | 2023/09/30 | $822.96 | -0.43% | 4,288.05 | -4.87% | |
| 57. | 2023/10/31 | $779.89 | -5.23% | 4,193.80 | -2.20% | |
| 58. | 2023/11/30 | $823.81 | 5.63% | 4,567.80 | 8.92% | |
| 59. | 2023/12/31 | $878.29 | 6.61% | 4,769.83 | 4.42% | |
| 平均 (R): | 1.59% | 1.11% | ||||
| 標準偏差： | 8.83% | 5.31% | ||||
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REGN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
Regeneron Pharmaceuticals Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RREGN,t | RS&P 500,t | (RREGN,t–RREGN)2 | (RS&P 500,t–RS&P 500)2 | (RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 0.34% | 2.97% | 1.55 | 3.49 | -2.32 |
| 2. | 2019/03/31 | -4.67% | 1.79% | 39.14 | 0.47 | -4.30 |
| 3. | 2019/04/30 | -16.43% | 3.93% | 324.69 | 7.98 | -50.91 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | 5.63% | 8.92% | 16.37 | 61.03 | 31.61 |
| 59. | 2023/12/31 | 6.61% | 4.42% | 25.28 | 11.00 | 16.68 |
| トータル (Σ): | 4,519.70 | 1,634.30 | 182.87 | |||
| t | 日付 | RREGN,t | RS&P 500,t | (RREGN,t–RREGN)2 | (RS&P 500,t–RS&P 500)2 | (RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 0.34% | 2.97% | 1.55 | 3.49 | -2.32 |
| 2. | 2019/03/31 | -4.67% | 1.79% | 39.14 | 0.47 | -4.30 |
| 3. | 2019/04/30 | -16.43% | 3.93% | 324.69 | 7.98 | -50.91 |
| 4. | 2019/05/31 | -12.07% | -6.58% | 186.50 | 59.04 | 104.93 |
| 5. | 2019/06/30 | 3.74% | 6.89% | 4.64 | 33.49 | 12.46 |
| 6. | 2019/07/31 | -2.63% | 1.31% | 17.79 | 0.04 | -0.87 |
| 7. | 2019/08/31 | -4.83% | -1.81% | 41.12 | 8.50 | 18.69 |
| 8. | 2019/09/30 | -4.36% | 1.72% | 35.36 | 0.37 | -3.64 |
| 9. | 2019/10/31 | 10.41% | 2.04% | 77.89 | 0.88 | 8.27 |
| 10. | 2019/11/30 | 20.48% | 3.40% | 356.93 | 5.28 | 43.43 |
| 11. | 2019/12/31 | 1.76% | 2.86% | 0.03 | 3.07 | 0.30 |
| 12. | 2020/01/31 | -10.00% | -0.16% | 134.17 | 1.61 | 14.70 |
| 13. | 2020/02/29 | 31.55% | -8.41% | 898.05 | 90.57 | -285.20 |
| 14. | 2020/03/31 | 9.83% | -12.51% | 68.04 | 185.44 | -112.33 |
| 15. | 2020/04/30 | 7.70% | 12.68% | 37.37 | 134.06 | 70.78 |
| 16. | 2020/05/31 | 16.53% | 4.53% | 223.35 | 11.71 | 51.15 |
| 17. | 2020/06/30 | 1.77% | 1.84% | 0.03 | 0.54 | 0.13 |
| 18. | 2020/07/31 | 1.35% | 5.51% | 0.06 | 19.40 | -1.04 |
| 19. | 2020/08/31 | -1.92% | 7.01% | 12.29 | 34.82 | -20.69 |
| 20. | 2020/09/30 | -9.70% | -3.92% | 127.42 | 25.29 | 56.76 |
| 21. | 2020/10/31 | -2.90% | -2.77% | 20.10 | 15.00 | 17.36 |
| 22. | 2020/11/30 | -5.06% | 10.75% | 44.23 | 93.10 | -64.17 |
| 23. | 2020/12/31 | -6.38% | 3.71% | 63.44 | 6.79 | -20.76 |
| 24. | 2021/01/31 | 4.29% | -1.11% | 7.32 | 4.93 | -6.00 |
| 25. | 2021/02/28 | -10.57% | 2.61% | 147.82 | 2.26 | -18.28 |
| 26. | 2021/03/31 | 5.01% | 4.24% | 11.72 | 9.85 | 10.74 |
| 27. | 2021/04/30 | 1.72% | 5.24% | 0.02 | 17.11 | 0.58 |
| 28. | 2021/05/31 | 4.39% | 0.55% | 7.87 | 0.31 | -1.56 |
| 29. | 2021/06/30 | 11.17% | 2.22% | 91.82 | 1.24 | 10.69 |
| 30. | 2021/07/31 | 2.88% | 2.27% | 1.67 | 1.37 | 1.51 |
| 31. | 2021/08/31 | 17.19% | 2.90% | 243.58 | 3.22 | 27.99 |
| 32. | 2021/09/30 | -10.13% | -4.76% | 137.27 | 34.37 | 68.69 |
| 33. | 2021/10/31 | 5.74% | 6.91% | 17.29 | 33.74 | 24.15 |
| 34. | 2021/11/30 | -0.53% | -0.83% | 4.49 | 3.76 | 4.11 |
| 35. | 2021/12/31 | -0.79% | 4.36% | 5.63 | 10.60 | -7.72 |
| 36. | 2022/01/31 | -3.63% | -5.26% | 27.21 | 40.51 | 33.20 |
| 37. | 2022/02/28 | 1.61% | -3.14% | 0.00 | 17.99 | -0.08 |
| 38. | 2022/03/31 | 12.95% | 3.58% | 129.09 | 6.11 | 28.08 |
| 39. | 2022/04/30 | -5.63% | -8.80% | 52.04 | 98.04 | 71.43 |
| 40. | 2022/05/31 | 0.85% | 0.01% | 0.53 | 1.21 | 0.80 |
| 41. | 2022/06/30 | -11.07% | -8.39% | 160.25 | 90.21 | 120.23 |
| 42. | 2022/07/31 | -1.60% | 9.11% | 10.13 | 64.09 | -25.48 |
| 43. | 2022/08/31 | -0.11% | -4.24% | 2.87 | 28.62 | 9.06 |
| 44. | 2022/09/30 | 18.55% | -9.34% | 287.93 | 109.11 | -177.24 |
| 45. | 2022/10/31 | 8.69% | 7.99% | 50.51 | 47.34 | 48.90 |
| 46. | 2022/11/30 | 0.39% | 5.38% | 1.42 | 18.23 | -5.09 |
| 47. | 2022/12/31 | -4.02% | -5.90% | 31.41 | 49.04 | 39.25 |
| 48. | 2023/01/31 | 5.13% | 6.18% | 12.53 | 25.70 | 17.95 |
| 49. | 2023/02/28 | 0.26% | -2.61% | 1.76 | 13.82 | 4.94 |
| 50. | 2023/03/31 | 8.05% | 3.51% | 41.85 | 5.76 | 15.52 |
| 51. | 2023/04/30 | -2.42% | 1.46% | 16.04 | 0.13 | -1.44 |
| 52. | 2023/05/31 | -8.26% | 0.25% | 96.94 | 0.74 | 8.44 |
| 53. | 2023/06/30 | -2.31% | 4.71% | 15.21 | 13.02 | -14.07 |
| 54. | 2023/07/31 | 3.25% | 4.85% | 2.78 | 13.99 | 6.23 |
| 55. | 2023/08/31 | 11.40% | -1.77% | 96.33 | 8.28 | -28.24 |
| 56. | 2023/09/30 | -0.43% | -4.87% | 4.05 | 35.73 | 12.03 |
| 57. | 2023/10/31 | -5.23% | -2.20% | 46.50 | 10.92 | 22.53 |
| 58. | 2023/11/30 | 5.63% | 8.92% | 16.37 | 61.03 | 31.61 |
| 59. | 2023/12/31 | 6.61% | 4.42% | 25.28 | 11.00 | 16.68 |
| トータル (Σ): | 4,519.70 | 1,634.30 | 182.87 | |||
すべて表示
分散REGN = Σ(RREGN,t–RREGN)2 ÷ (59 – 1)
= 4,519.70 ÷ (59 – 1)
= 77.93
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散REGN, S&P 500 = Σ(RREGN,t–RREGN)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 182.87 ÷ (59 – 1)
= 3.15
システマティックリスク推定 (β)
| 分散REGN | 77.93 |
| 分散S&P 500 | 28.18 |
| 共 分散REGN, S&P 500 | 3.15 |
| 相関係数REGN, S&P 5001 | 0.07 |
| βREGN2 | 0.11 |
| αREGN3 | 1.46% |
計算
1 相関係数REGN, S&P 500
= 共 分散REGN, S&P 500 ÷ (標準偏差REGN × 標準偏差S&P 500)
= 3.15 ÷ (8.83% × 5.31%)
= 0.07
2 βREGN
= 共 分散REGN, S&P 500 ÷ 分散S&P 500
= 3.15 ÷ 28.18
= 0.11
3 αREGN
= 平均REGN – βREGN × 平均S&P 500
= 1.59% – 0.11 × 1.11%
= 1.46%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.79% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.48% |
| 普通株式 Regeneron システマティックリスク | βREGN | 0.11 |
| リジェネロン普通株式の期待収益率3 | E(RREGN) | 5.76% |
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(RREGN) = RF + βREGN [E(RM) – RF]
= 4.79% + 0.11 [13.48% – 4.79%]
= 5.76%