資本資産価格モデル(CAPM)は、 Starbucks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
Starbucks Corp. (SBUX) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格SBUX,t1 | 配当SBUX,t1 | RSBUX,t2 | 価格S&P 500,t | RS&P 500,t3 |
2017/10/31 | $54.84 | 2,575.26 | ||||
1. | 2017/11/30 | $57.82 | $0.30 | 5.98% | 2,647.58 | 2.81% |
2. | 2017/12/31 | $57.43 | -0.67% | 2,673.61 | 0.98% | |
3. | 2018/01/31 | $56.81 | -1.08% | 2,823.81 | 5.62% | |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | 2023/08/31 | $97.44 | $0.53 | -3.54% | 4,507.66 | -1.77% |
71. | 2023/09/30 | $91.27 | -6.33% | 4,288.05 | -4.87% | |
平均 (R): | 1.18% | 0.85% | ||||
標準偏差: | 7.65% | 5.13% |
Starbucks Corp. (SBUX) | Standard & Poor’s 500 (S&P 500) | |||||
---|---|---|---|---|---|---|
t | 日付 | 価格SBUX,t1 | 配当SBUX,t1 | RSBUX,t2 | 価格S&P 500,t | RS&P 500,t3 |
2017/10/31 | $54.84 | 2,575.26 | ||||
1. | 2017/11/30 | $57.82 | $0.30 | 5.98% | 2,647.58 | 2.81% |
2. | 2017/12/31 | $57.43 | -0.67% | 2,673.61 | 0.98% | |
3. | 2018/01/31 | $56.81 | -1.08% | 2,823.81 | 5.62% | |
4. | 2018/02/28 | $57.10 | $0.30 | 1.04% | 2,713.83 | -3.89% |
5. | 2018/03/31 | $57.89 | 1.38% | 2,640.87 | -2.69% | |
6. | 2018/04/30 | $57.57 | -0.55% | 2,648.05 | 0.27% | |
7. | 2018/05/31 | $56.67 | $0.30 | -1.04% | 2,705.27 | 2.16% |
8. | 2018/06/30 | $48.85 | -13.80% | 2,718.37 | 0.48% | |
9. | 2018/07/31 | $52.39 | 7.25% | 2,816.29 | 3.60% | |
10. | 2018/08/31 | $53.45 | $0.36 | 2.71% | 2,901.52 | 3.03% |
11. | 2018/09/30 | $56.84 | 6.34% | 2,913.98 | 0.43% | |
12. | 2018/10/31 | $58.27 | 2.52% | 2,711.74 | -6.94% | |
13. | 2018/11/30 | $66.72 | $0.36 | 15.12% | 2,760.17 | 1.79% |
14. | 2018/12/31 | $64.40 | -3.48% | 2,506.85 | -9.18% | |
15. | 2019/01/31 | $68.14 | 5.81% | 2,704.10 | 7.87% | |
16. | 2019/02/28 | $70.26 | $0.36 | 3.64% | 2,784.49 | 2.97% |
17. | 2019/03/31 | $74.34 | 5.81% | 2,834.40 | 1.79% | |
18. | 2019/04/30 | $77.68 | 4.49% | 2,945.83 | 3.93% | |
19. | 2019/05/31 | $76.06 | $0.36 | -1.62% | 2,752.06 | -6.58% |
20. | 2019/06/30 | $83.83 | 10.22% | 2,941.76 | 6.89% | |
21. | 2019/07/31 | $94.69 | 12.95% | 2,980.38 | 1.31% | |
22. | 2019/08/31 | $96.56 | $0.36 | 2.36% | 2,926.46 | -1.81% |
23. | 2019/09/30 | $88.42 | -8.43% | 2,976.74 | 1.72% | |
24. | 2019/10/31 | $84.56 | -4.37% | 3,037.56 | 2.04% | |
25. | 2019/11/30 | $85.43 | $0.41 | 1.51% | 3,140.98 | 3.40% |
26. | 2019/12/31 | $87.92 | 2.91% | 3,230.78 | 2.86% | |
27. | 2020/01/31 | $84.83 | -3.51% | 3,225.52 | -0.16% | |
28. | 2020/02/29 | $78.43 | $0.41 | -7.06% | 2,954.22 | -8.41% |
29. | 2020/03/31 | $65.74 | -16.18% | 2,584.59 | -12.51% | |
30. | 2020/04/30 | $76.73 | 16.72% | 2,912.43 | 12.68% | |
31. | 2020/05/31 | $77.99 | $0.41 | 2.18% | 3,044.31 | 4.53% |
32. | 2020/06/30 | $73.59 | -5.64% | 3,100.29 | 1.84% | |
33. | 2020/07/31 | $76.53 | 4.00% | 3,271.12 | 5.51% | |
34. | 2020/08/31 | $84.47 | $0.41 | 10.91% | 3,500.31 | 7.01% |
35. | 2020/09/30 | $85.92 | 1.72% | 3,363.00 | -3.92% | |
36. | 2020/10/31 | $86.96 | 1.21% | 3,269.96 | -2.77% | |
37. | 2020/11/30 | $98.02 | $0.45 | 13.24% | 3,621.63 | 10.75% |
38. | 2020/12/31 | $106.98 | 9.14% | 3,756.07 | 3.71% | |
39. | 2021/01/31 | $96.81 | -9.51% | 3,714.24 | -1.11% | |
40. | 2021/02/28 | $108.03 | $0.45 | 12.05% | 3,811.15 | 2.61% |
41. | 2021/03/31 | $109.27 | 1.15% | 3,972.89 | 4.24% | |
42. | 2021/04/30 | $114.49 | 4.78% | 4,181.17 | 5.24% | |
43. | 2021/05/31 | $113.88 | $0.45 | -0.14% | 4,204.11 | 0.55% |
44. | 2021/06/30 | $111.81 | -1.82% | 4,297.50 | 2.22% | |
45. | 2021/07/31 | $121.43 | 8.60% | 4,395.26 | 2.27% | |
46. | 2021/08/31 | $117.49 | $0.45 | -2.87% | 4,522.68 | 2.90% |
47. | 2021/09/30 | $110.31 | -6.11% | 4,307.54 | -4.76% | |
48. | 2021/10/31 | $106.07 | -3.84% | 4,605.38 | 6.91% | |
49. | 2021/11/30 | $109.64 | $0.49 | 3.83% | 4,567.00 | -0.83% |
50. | 2021/12/31 | $116.97 | 6.69% | 4,766.18 | 4.36% | |
51. | 2022/01/31 | $98.32 | -15.94% | 4,515.55 | -5.26% | |
52. | 2022/02/28 | $91.79 | $0.49 | -6.14% | 4,373.94 | -3.14% |
53. | 2022/03/31 | $90.97 | -0.89% | 4,530.41 | 3.58% | |
54. | 2022/04/30 | $74.64 | -17.95% | 4,131.93 | -8.80% | |
55. | 2022/05/31 | $78.50 | $0.49 | 5.83% | 4,132.15 | 0.01% |
56. | 2022/06/30 | $76.39 | -2.69% | 3,785.38 | -8.39% | |
57. | 2022/07/31 | $84.78 | 10.98% | 4,130.29 | 9.11% | |
58. | 2022/08/31 | $84.07 | $0.49 | -0.26% | 3,955.00 | -4.24% |
59. | 2022/09/30 | $84.26 | 0.23% | 3,585.62 | -9.34% | |
60. | 2022/10/31 | $86.59 | 2.77% | 3,871.98 | 7.99% | |
61. | 2022/11/30 | $102.20 | $0.53 | 18.64% | 4,080.11 | 5.38% |
62. | 2022/12/31 | $99.20 | -2.94% | 3,839.50 | -5.90% | |
63. | 2023/01/31 | $109.14 | 10.02% | 4,076.60 | 6.18% | |
64. | 2023/02/28 | $102.09 | $0.53 | -5.97% | 3,970.15 | -2.61% |
65. | 2023/03/31 | $104.13 | 2.00% | 4,109.31 | 3.51% | |
66. | 2023/04/30 | $114.29 | 9.76% | 4,169.48 | 1.46% | |
67. | 2023/05/31 | $97.64 | $0.53 | -14.10% | 4,179.83 | 0.25% |
68. | 2023/06/30 | $99.06 | 1.45% | 4,376.86 | 4.71% | |
69. | 2023/07/31 | $101.57 | 2.53% | 4,588.96 | 4.85% | |
70. | 2023/08/31 | $97.44 | $0.53 | -3.54% | 4,507.66 | -1.77% |
71. | 2023/09/30 | $91.27 | -6.33% | 4,288.05 | -4.87% | |
平均 (R): | 1.18% | 0.85% | ||||
標準偏差: | 7.65% | 5.13% |
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におけるSBUX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
t | 日付 | RSBUX,t | RS&P 500,t | (RSBUX,t–RSBUX)2 | (RS&P 500,t–RS&P 500)2 | (RSBUX,t–RSBUX)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2017/11/30 | 5.98% | 2.81% | 23.03 | 3.83 | 9.39 |
2. | 2017/12/31 | -0.67% | 0.98% | 3.45 | 0.02 | -0.24 |
3. | 2018/01/31 | -1.08% | 5.62% | 5.12 | 22.72 | -10.78 |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
. | . | . | . | . | . | . |
70. | 2023/08/31 | -3.54% | -1.77% | 22.34 | 6.88 | 12.40 |
71. | 2023/09/30 | -6.33% | -4.87% | 56.47 | 32.75 | 43.01 |
トータル (Σ): | 4,093.36 | 1,838.69 | 1,685.46 |
t | 日付 | RSBUX,t | RS&P 500,t | (RSBUX,t–RSBUX)2 | (RS&P 500,t–RS&P 500)2 | (RSBUX,t–RSBUX)×(RS&P 500,t–RS&P 500) |
---|---|---|---|---|---|---|
1. | 2017/11/30 | 5.98% | 2.81% | 23.03 | 3.83 | 9.39 |
2. | 2017/12/31 | -0.67% | 0.98% | 3.45 | 0.02 | -0.24 |
3. | 2018/01/31 | -1.08% | 5.62% | 5.12 | 22.72 | -10.78 |
4. | 2018/02/28 | 1.04% | -3.89% | 0.02 | 22.52 | 0.68 |
5. | 2018/03/31 | 1.38% | -2.69% | 0.04 | 12.53 | -0.71 |
6. | 2018/04/30 | -0.55% | 0.27% | 3.01 | 0.34 | 1.01 |
7. | 2018/05/31 | -1.04% | 2.16% | 4.95 | 1.71 | -2.91 |
8. | 2018/06/30 | -13.80% | 0.48% | 224.44 | 0.13 | 5.50 |
9. | 2018/07/31 | 7.25% | 3.60% | 36.78 | 7.57 | 16.68 |
10. | 2018/08/31 | 2.71% | 3.03% | 2.34 | 4.73 | 3.32 |
11. | 2018/09/30 | 6.34% | 0.43% | 26.63 | 0.18 | -2.18 |
12. | 2018/10/31 | 2.52% | -6.94% | 1.78 | 60.71 | -10.39 |
13. | 2018/11/30 | 15.12% | 1.79% | 194.24 | 0.87 | 13.03 |
14. | 2018/12/31 | -3.48% | -9.18% | 21.71 | 100.58 | 46.73 |
15. | 2019/01/31 | 5.81% | 7.87% | 21.39 | 49.24 | 32.46 |
16. | 2019/02/28 | 3.64% | 2.97% | 6.04 | 4.50 | 5.21 |
17. | 2019/03/31 | 5.81% | 1.79% | 21.39 | 0.89 | 4.35 |
18. | 2019/04/30 | 4.49% | 3.93% | 10.96 | 9.49 | 10.20 |
19. | 2019/05/31 | -1.62% | -6.58% | 7.86 | 55.19 | 20.83 |
20. | 2019/06/30 | 10.22% | 6.89% | 81.60 | 36.50 | 54.58 |
21. | 2019/07/31 | 12.95% | 1.31% | 138.59 | 0.21 | 5.43 |
22. | 2019/08/31 | 2.36% | -1.81% | 1.38 | 7.08 | -3.12 |
23. | 2019/09/30 | -8.43% | 1.72% | 92.40 | 0.75 | -8.33 |
24. | 2019/10/31 | -4.37% | 2.04% | 30.78 | 1.42 | -6.61 |
25. | 2019/11/30 | 1.51% | 3.40% | 0.11 | 6.52 | 0.85 |
26. | 2019/12/31 | 2.91% | 2.86% | 3.00 | 4.03 | 3.48 |
27. | 2020/01/31 | -3.51% | -0.16% | 22.06 | 1.03 | 4.76 |
28. | 2020/02/29 | -7.06% | -8.41% | 67.95 | 85.79 | 76.35 |
29. | 2020/03/31 | -16.18% | -12.51% | 301.45 | 178.57 | 232.02 |
30. | 2020/04/30 | 16.72% | 12.68% | 241.34 | 140.02 | 183.83 |
31. | 2020/05/31 | 2.18% | 4.53% | 0.99 | 13.52 | 3.66 |
32. | 2020/06/30 | -5.64% | 1.84% | 46.57 | 0.98 | -6.74 |
33. | 2020/07/31 | 4.00% | 5.51% | 7.91 | 21.71 | 13.10 |
34. | 2020/08/31 | 10.91% | 7.01% | 94.64 | 37.89 | 59.88 |
35. | 2020/09/30 | 1.72% | -3.92% | 0.29 | 22.79 | -2.55 |
36. | 2020/10/31 | 1.21% | -2.77% | 0.00 | 13.09 | -0.10 |
37. | 2020/11/30 | 13.24% | 10.75% | 145.29 | 98.08 | 119.37 |
38. | 2020/12/31 | 9.14% | 3.71% | 63.34 | 8.18 | 22.77 |
39. | 2021/01/31 | -9.51% | -1.11% | 114.25 | 3.86 | 21.00 |
40. | 2021/02/28 | 12.05% | 2.61% | 118.21 | 3.09 | 19.11 |
41. | 2021/03/31 | 1.15% | 4.24% | 0.00 | 11.51 | -0.12 |
42. | 2021/04/30 | 4.78% | 5.24% | 12.92 | 19.28 | 15.79 |
43. | 2021/05/31 | -0.14% | 0.55% | 1.75 | 0.09 | 0.40 |
44. | 2021/06/30 | -1.82% | 2.22% | 9.00 | 1.88 | -4.11 |
45. | 2021/07/31 | 8.60% | 2.27% | 55.08 | 2.03 | 10.57 |
46. | 2021/08/31 | -2.87% | 2.90% | 16.45 | 4.19 | -8.31 |
47. | 2021/09/30 | -6.11% | -4.76% | 53.19 | 31.45 | 40.90 |
48. | 2021/10/31 | -3.84% | 6.91% | 25.26 | 36.76 | -30.47 |
49. | 2021/11/30 | 3.83% | -0.83% | 7.00 | 2.84 | -4.46 |
50. | 2021/12/31 | 6.69% | 4.36% | 30.29 | 12.32 | 19.32 |
51. | 2022/01/31 | -15.94% | -5.26% | 293.32 | 37.33 | 104.64 |
52. | 2022/02/28 | -6.14% | -3.14% | 53.66 | 15.90 | 29.21 |
53. | 2022/03/31 | -0.89% | 3.58% | 4.31 | 7.43 | -5.66 |
54. | 2022/04/30 | -17.95% | -8.80% | 366.08 | 93.06 | 184.58 |
55. | 2022/05/31 | 5.83% | 0.01% | 21.58 | 0.72 | -3.93 |
56. | 2022/06/30 | -2.69% | -8.39% | 14.98 | 85.44 | 35.77 |
57. | 2022/07/31 | 10.98% | 9.11% | 96.06 | 68.23 | 80.96 |
58. | 2022/08/31 | -0.26% | -4.24% | 2.08 | 25.96 | 7.35 |
59. | 2022/09/30 | 0.23% | -9.34% | 0.91 | 103.85 | 9.75 |
60. | 2022/10/31 | 2.77% | 7.99% | 2.51 | 50.91 | 11.29 |
61. | 2022/11/30 | 18.64% | 5.38% | 304.76 | 20.47 | 78.98 |
62. | 2022/12/31 | -2.94% | -5.90% | 16.96 | 45.54 | 27.79 |
63. | 2023/01/31 | 10.02% | 6.18% | 78.11 | 28.35 | 47.05 |
64. | 2023/02/28 | -5.97% | -2.61% | 51.21 | 11.99 | 24.78 |
65. | 2023/03/31 | 2.00% | 3.51% | 0.67 | 7.04 | 2.17 |
66. | 2023/04/30 | 9.76% | 1.46% | 73.53 | 0.38 | 5.26 |
67. | 2023/05/31 | -14.10% | 0.25% | 233.68 | 0.36 | 9.22 |
68. | 2023/06/30 | 1.45% | 4.71% | 0.07 | 14.92 | 1.05 |
69. | 2023/07/31 | 2.53% | 4.85% | 1.83 | 15.96 | 5.40 |
70. | 2023/08/31 | -3.54% | -1.77% | 22.34 | 6.88 | 12.40 |
71. | 2023/09/30 | -6.33% | -4.87% | 56.47 | 32.75 | 43.01 |
トータル (Σ): | 4,093.36 | 1,838.69 | 1,685.46 |
すべて表示
分散SBUX = Σ(RSBUX,t–RSBUX)2 ÷ (71 – 1)
= 4,093.36 ÷ (71 – 1)
= 58.48
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,838.69 ÷ (71 – 1)
= 26.27
共 分散SBUX, S&P 500 = Σ(RSBUX,t–RSBUX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,685.46 ÷ (71 – 1)
= 24.08
システマティックリスク推定 (β)
分散SBUX | 58.48 |
分散S&P 500 | 26.27 |
共 分散SBUX, S&P 500 | 24.08 |
相関係数SBUX, S&P 5001 | 0.61 |
βSBUX2 | 0.92 |
αSBUX3 | 0.40% |
計算
1 相関係数SBUX, S&P 500
= 共 分散SBUX, S&P 500 ÷ (標準偏差SBUX × 標準偏差S&P 500)
= 24.08 ÷ (7.65% × 5.13%)
= 0.61
2 βSBUX
= 共 分散SBUX, S&P 500 ÷ 分散S&P 500
= 24.08 ÷ 26.27
= 0.92
3 αSBUX
= 平均SBUX – βSBUX × 平均S&P 500
= 1.18% – 0.92 × 0.85%
= 0.40%
期待収益率
仮定 | ||
LT財務省総合の収益率1 | RF | 4.90% |
市場ポートフォリオの期待収益率2 | E(RM) | 13.54% |
普通株式 Starbucks システマティックリスク | βSBUX | 0.92 |
スターバックス普通株の期待収益率3 | E(RSBUX) | 12.82% |
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(RSBUX) = RF + βSBUX [E(RM) – RF]
= 4.90% + 0.92 [13.54% – 4.90%]
= 12.82%