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 Take-Two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
Take-Two Interactive Software Inc.、月間収益率
| Take-Two Interactive Software Inc. (TTWO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TTWO,t1 | 配当TTWO,t1 | RTTWO,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/04/30 | $96.83 | 2,945.83 | ||||
| 1. | 2019/05/31 | $108.15 | 11.69% | 2,752.06 | -6.58% | |
| 2. | 2019/06/30 | $113.53 | 4.97% | 2,941.76 | 6.89% | |
| 3. | 2019/07/31 | $122.52 | 7.92% | 2,980.38 | 1.31% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/02/28 | $211.98 | 14.27% | 5,954.50 | -1.42% | |
| 71. | 2025/03/31 | $207.25 | -2.23% | 5,611.85 | -5.75% | |
| 平均 (R): | 1.42% | 1.04% | ||||
| 標準偏差： | 8.37% | 5.05% | ||||
| Take-Two Interactive Software Inc. (TTWO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格TTWO,t1 | 配当TTWO,t1 | RTTWO,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/04/30 | $96.83 | 2,945.83 | ||||
| 1. | 2019/05/31 | $108.15 | 11.69% | 2,752.06 | -6.58% | |
| 2. | 2019/06/30 | $113.53 | 4.97% | 2,941.76 | 6.89% | |
| 3. | 2019/07/31 | $122.52 | 7.92% | 2,980.38 | 1.31% | |
| 4. | 2019/08/31 | $131.97 | 7.71% | 2,926.46 | -1.81% | |
| 5. | 2019/09/30 | $125.34 | -5.02% | 2,976.74 | 1.72% | |
| 6. | 2019/10/31 | $120.35 | -3.98% | 3,037.56 | 2.04% | |
| 7. | 2019/11/30 | $121.35 | 0.83% | 3,140.98 | 3.40% | |
| 8. | 2019/12/31 | $122.43 | 0.89% | 3,230.78 | 2.86% | |
| 9. | 2020/01/31 | $124.64 | 1.81% | 3,225.52 | -0.16% | |
| 10. | 2020/02/29 | $107.48 | -13.77% | 2,954.22 | -8.41% | |
| 11. | 2020/03/31 | $118.61 | 10.36% | 2,584.59 | -12.51% | |
| 12. | 2020/04/30 | $121.05 | 2.06% | 2,912.43 | 12.68% | |
| 13. | 2020/05/31 | $136.17 | 12.49% | 3,044.31 | 4.53% | |
| 14. | 2020/06/30 | $139.57 | 2.50% | 3,100.29 | 1.84% | |
| 15. | 2020/07/31 | $164.02 | 17.52% | 3,271.12 | 5.51% | |
| 16. | 2020/08/31 | $171.19 | 4.37% | 3,500.31 | 7.01% | |
| 17. | 2020/09/30 | $165.22 | -3.49% | 3,363.00 | -3.92% | |
| 18. | 2020/10/31 | $154.92 | -6.23% | 3,269.96 | -2.77% | |
| 19. | 2020/11/30 | $180.51 | 16.52% | 3,621.63 | 10.75% | |
| 20. | 2020/12/31 | $207.79 | 15.11% | 3,756.07 | 3.71% | |
| 21. | 2021/01/31 | $200.45 | -3.53% | 3,714.24 | -1.11% | |
| 22. | 2021/02/28 | $184.46 | -7.98% | 3,811.15 | 2.61% | |
| 23. | 2021/03/31 | $176.70 | -4.21% | 3,972.89 | 4.24% | |
| 24. | 2021/04/30 | $175.38 | -0.75% | 4,181.17 | 5.24% | |
| 25. | 2021/05/31 | $185.56 | 5.80% | 4,204.11 | 0.55% | |
| 26. | 2021/06/30 | $177.02 | -4.60% | 4,297.50 | 2.22% | |
| 27. | 2021/07/31 | $173.42 | -2.03% | 4,395.26 | 2.27% | |
| 28. | 2021/08/31 | $161.22 | -7.03% | 4,522.68 | 2.90% | |
| 29. | 2021/09/30 | $154.07 | -4.43% | 4,307.54 | -4.76% | |
| 30. | 2021/10/31 | $181.00 | 17.48% | 4,605.38 | 6.91% | |
| 31. | 2021/11/30 | $165.88 | -8.35% | 4,567.00 | -0.83% | |
| 32. | 2021/12/31 | $177.72 | 7.14% | 4,766.18 | 4.36% | |
| 33. | 2022/01/31 | $163.34 | -8.09% | 4,515.55 | -5.26% | |
| 34. | 2022/02/28 | $162.00 | -0.82% | 4,373.94 | -3.14% | |
| 35. | 2022/03/31 | $153.74 | -5.10% | 4,530.41 | 3.58% | |
| 36. | 2022/04/30 | $119.51 | -22.26% | 4,131.93 | -8.80% | |
| 37. | 2022/05/31 | $124.53 | 4.20% | 4,132.15 | 0.01% | |
| 38. | 2022/06/30 | $122.53 | -1.61% | 3,785.38 | -8.39% | |
| 39. | 2022/07/31 | $132.73 | 8.32% | 4,130.29 | 9.11% | |
| 40. | 2022/08/31 | $122.56 | -7.66% | 3,955.00 | -4.24% | |
| 41. | 2022/09/30 | $109.00 | -11.06% | 3,585.62 | -9.34% | |
| 42. | 2022/10/31 | $118.48 | 8.70% | 3,871.98 | 7.99% | |
| 43. | 2022/11/30 | $105.69 | -10.80% | 4,080.11 | 5.38% | |
| 44. | 2022/12/31 | $104.13 | -1.48% | 3,839.50 | -5.90% | |
| 45. | 2023/01/31 | $113.23 | 8.74% | 4,076.60 | 6.18% | |
| 46. | 2023/02/28 | $109.55 | -3.25% | 3,970.15 | -2.61% | |
| 47. | 2023/03/31 | $119.30 | 8.90% | 4,109.31 | 3.51% | |
| 48. | 2023/04/30 | $124.29 | 4.18% | 4,169.48 | 1.46% | |
| 49. | 2023/05/31 | $137.73 | 10.81% | 4,179.83 | 0.25% | |
| 50. | 2023/06/30 | $147.16 | 6.85% | 4,376.86 | 4.71% | |
| 51. | 2023/07/31 | $152.94 | 3.93% | 4,588.96 | 4.85% | |
| 52. | 2023/08/31 | $142.20 | -7.02% | 4,507.66 | -1.77% | |
| 53. | 2023/09/30 | $140.39 | -1.27% | 4,288.05 | -4.87% | |
| 54. | 2023/10/31 | $133.75 | -4.73% | 4,193.80 | -2.20% | |
| 55. | 2023/11/30 | $158.20 | 18.28% | 4,567.80 | 8.92% | |
| 56. | 2023/12/31 | $160.95 | 1.74% | 4,769.83 | 4.42% | |
| 57. | 2024/01/31 | $164.93 | 2.47% | 4,845.65 | 1.59% | |
| 58. | 2024/02/29 | $146.93 | -10.91% | 5,096.27 | 5.17% | |
| 59. | 2024/03/31 | $148.49 | 1.06% | 5,254.35 | 3.10% | |
| 60. | 2024/04/30 | $142.81 | -3.83% | 5,035.69 | -4.16% | |
| 61. | 2024/05/31 | $160.36 | 12.29% | 5,277.51 | 4.80% | |
| 62. | 2024/06/30 | $155.49 | -3.04% | 5,460.48 | 3.47% | |
| 63. | 2024/07/31 | $150.53 | -3.19% | 5,522.30 | 1.13% | |
| 64. | 2024/08/31 | $161.71 | 7.43% | 5,648.40 | 2.28% | |
| 65. | 2024/09/30 | $153.71 | -4.95% | 5,762.48 | 2.02% | |
| 66. | 2024/10/31 | $161.72 | 5.21% | 5,705.45 | -0.99% | |
| 67. | 2024/11/30 | $188.38 | 16.49% | 6,032.38 | 5.73% | |
| 68. | 2024/12/31 | $184.08 | -2.28% | 5,881.63 | -2.50% | |
| 69. | 2025/01/31 | $185.51 | 0.78% | 6,040.53 | 2.70% | |
| 70. | 2025/02/28 | $211.98 | 14.27% | 5,954.50 | -1.42% | |
| 71. | 2025/03/31 | $207.25 | -2.23% | 5,611.85 | -5.75% | |
| 平均 (R): | 1.42% | 1.04% | ||||
| 標準偏差： | 8.37% | 5.05% | ||||
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TTWO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
Take-Two Interactive Software Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RTTWO,t | RS&P 500,t | (RTTWO,t–RTTWO)2 | (RS&P 500,t–RS&P 500)2 | (RTTWO,t–RTTWO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/05/31 | 11.69% | -6.58% | 105.49 | 58.00 | -78.22 |
| 2. | 2019/06/30 | 4.97% | 6.89% | 12.64 | 34.28 | 20.81 |
| 3. | 2019/07/31 | 7.92% | 1.31% | 42.23 | 0.08 | 1.78 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2025/02/28 | 14.27% | -1.42% | 165.09 | 6.06 | -31.64 |
| 71. | 2025/03/31 | -2.23% | -5.75% | 13.33 | 46.14 | 24.80 |
| トータル (Σ): | 4,907.20 | 1,786.78 | 1,341.85 | |||
| t | 日付 | RTTWO,t | RS&P 500,t | (RTTWO,t–RTTWO)2 | (RS&P 500,t–RS&P 500)2 | (RTTWO,t–RTTWO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/05/31 | 11.69% | -6.58% | 105.49 | 58.00 | -78.22 |
| 2. | 2019/06/30 | 4.97% | 6.89% | 12.64 | 34.28 | 20.81 |
| 3. | 2019/07/31 | 7.92% | 1.31% | 42.23 | 0.08 | 1.78 |
| 4. | 2019/08/31 | 7.71% | -1.81% | 39.60 | 8.11 | -17.92 |
| 5. | 2019/09/30 | -5.02% | 1.72% | 41.52 | 0.46 | -4.38 |
| 6. | 2019/10/31 | -3.98% | 2.04% | 29.17 | 1.01 | -5.43 |
| 7. | 2019/11/30 | 0.83% | 3.40% | 0.35 | 5.60 | -1.39 |
| 8. | 2019/12/31 | 0.89% | 2.86% | 0.28 | 3.31 | -0.96 |
| 9. | 2020/01/31 | 1.81% | -0.16% | 0.15 | 1.44 | -0.46 |
| 10. | 2020/02/29 | -13.77% | -8.41% | 230.66 | 89.29 | 143.51 |
| 11. | 2020/03/31 | 10.36% | -12.51% | 79.84 | 183.61 | -121.08 |
| 12. | 2020/04/30 | 2.06% | 12.68% | 0.41 | 135.63 | 7.42 |
| 13. | 2020/05/31 | 12.49% | 4.53% | 122.56 | 12.18 | 38.64 |
| 14. | 2020/06/30 | 2.50% | 1.84% | 1.16 | 0.64 | 0.86 |
| 15. | 2020/07/31 | 17.52% | 5.51% | 259.15 | 20.00 | 71.99 |
| 16. | 2020/08/31 | 4.37% | 7.01% | 8.71 | 35.62 | 17.62 |
| 17. | 2020/09/30 | -3.49% | -3.92% | 24.08 | 24.61 | 24.35 |
| 18. | 2020/10/31 | -6.23% | -2.77% | 58.58 | 14.48 | 29.12 |
| 19. | 2020/11/30 | 16.52% | 10.75% | 227.96 | 94.41 | 146.70 |
| 20. | 2020/12/31 | 15.11% | 3.71% | 187.49 | 7.15 | 36.61 |
| 21. | 2021/01/31 | -3.53% | -1.11% | 24.53 | 4.63 | 10.66 |
| 22. | 2021/02/28 | -7.98% | 2.61% | 88.30 | 2.47 | -14.76 |
| 23. | 2021/03/31 | -4.21% | 4.24% | 31.66 | 10.28 | -18.04 |
| 24. | 2021/04/30 | -0.75% | 5.24% | 4.70 | 17.68 | -9.11 |
| 25. | 2021/05/31 | 5.80% | 0.55% | 19.23 | 0.24 | -2.15 |
| 26. | 2021/06/30 | -4.60% | 2.22% | 36.27 | 1.40 | -7.12 |
| 27. | 2021/07/31 | -2.03% | 2.27% | 11.93 | 1.53 | -4.27 |
| 28. | 2021/08/31 | -7.03% | 2.90% | 71.48 | 3.46 | -15.73 |
| 29. | 2021/09/30 | -4.43% | -4.76% | 34.28 | 33.58 | 33.93 |
| 30. | 2021/10/31 | 17.48% | 6.91% | 257.90 | 34.53 | 94.37 |
| 31. | 2021/11/30 | -8.35% | -0.83% | 95.52 | 3.50 | 18.29 |
| 32. | 2021/12/31 | 7.14% | 4.36% | 32.69 | 11.04 | 19.00 |
| 33. | 2022/01/31 | -8.09% | -5.26% | 90.46 | 39.65 | 59.89 |
| 34. | 2022/02/28 | -0.82% | -3.14% | 5.02 | 17.43 | 9.35 |
| 35. | 2022/03/31 | -5.10% | 3.58% | 42.49 | 6.45 | -16.55 |
| 36. | 2022/04/30 | -22.26% | -8.80% | 560.97 | 96.71 | 232.91 |
| 37. | 2022/05/31 | 4.20% | 0.01% | 7.73 | 1.07 | -2.87 |
| 38. | 2022/06/30 | -1.61% | -8.39% | 9.16 | 88.93 | 28.54 |
| 39. | 2022/07/31 | 8.32% | 9.11% | 47.67 | 65.18 | 55.74 |
| 40. | 2022/08/31 | -7.66% | -4.24% | 82.48 | 27.90 | 47.97 |
| 41. | 2022/09/30 | -11.06% | -9.34% | 155.85 | 107.70 | 129.56 |
| 42. | 2022/10/31 | 8.70% | 7.99% | 52.96 | 48.28 | 50.56 |
| 43. | 2022/11/30 | -10.80% | 5.38% | 149.20 | 18.81 | -52.98 |
| 44. | 2022/12/31 | -1.48% | -5.90% | 8.39 | 48.10 | 20.08 |
| 45. | 2023/01/31 | 8.74% | 6.18% | 53.57 | 26.39 | 37.60 |
| 46. | 2023/02/28 | -3.25% | -2.61% | 21.81 | 13.32 | 17.04 |
| 47. | 2023/03/31 | 8.90% | 3.51% | 55.95 | 6.09 | 18.45 |
| 48. | 2023/04/30 | 4.18% | 1.46% | 7.63 | 0.18 | 1.18 |
| 49. | 2023/05/31 | 10.81% | 0.25% | 88.24 | 0.62 | -7.42 |
| 50. | 2023/06/30 | 6.85% | 4.71% | 29.45 | 13.51 | 19.95 |
| 51. | 2023/07/31 | 3.93% | 4.85% | 6.29 | 14.50 | 9.55 |
| 52. | 2023/08/31 | -7.02% | -1.77% | 71.27 | 7.90 | 23.72 |
| 53. | 2023/09/30 | -1.27% | -4.87% | 7.25 | 34.93 | 15.91 |
| 54. | 2023/10/31 | -4.73% | -2.20% | 37.82 | 10.47 | 19.90 |
| 55. | 2023/11/30 | 18.28% | 8.92% | 284.28 | 62.09 | 132.85 |
| 56. | 2023/12/31 | 1.74% | 4.42% | 0.10 | 11.46 | 1.08 |
| 57. | 2024/01/31 | 2.47% | 1.59% | 1.11 | 0.30 | 0.58 |
| 58. | 2024/02/29 | -10.91% | 5.17% | 152.12 | 17.09 | -50.98 |
| 59. | 2024/03/31 | 1.06% | 3.10% | 0.13 | 4.26 | -0.74 |
| 60. | 2024/04/30 | -3.83% | -4.16% | 27.51 | 27.04 | 27.27 |
| 61. | 2024/05/31 | 12.29% | 4.80% | 118.14 | 14.17 | 40.91 |
| 62. | 2024/06/30 | -3.04% | 3.47% | 19.86 | 5.90 | -10.82 |
| 63. | 2024/07/31 | -3.19% | 1.13% | 21.25 | 0.01 | -0.43 |
| 64. | 2024/08/31 | 7.43% | 2.28% | 36.09 | 1.55 | 7.48 |
| 65. | 2024/09/30 | -4.95% | 2.02% | 40.54 | 0.96 | -6.25 |
| 66. | 2024/10/31 | 5.21% | -0.99% | 14.37 | 4.11 | -7.69 |
| 67. | 2024/11/30 | 16.49% | 5.73% | 226.97 | 22.01 | 70.68 |
| 68. | 2024/12/31 | -2.28% | -2.50% | 13.71 | 12.51 | 13.10 |
| 69. | 2025/01/31 | 0.78% | 2.70% | 0.41 | 2.77 | -1.07 |
| 70. | 2025/02/28 | 14.27% | -1.42% | 165.09 | 6.06 | -31.64 |
| 71. | 2025/03/31 | -2.23% | -5.75% | 13.33 | 46.14 | 24.80 |
| トータル (Σ): | 4,907.20 | 1,786.78 | 1,341.85 | |||
すべて表示
分散TTWO = Σ(RTTWO,t–RTTWO)2 ÷ (71 – 1)
= 4,907.20 ÷ (71 – 1)
= 70.10
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,786.78 ÷ (71 – 1)
= 25.53
共 分散TTWO, S&P 500 = Σ(RTTWO,t–RTTWO)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,341.85 ÷ (71 – 1)
= 19.17
システマティックなリスク推定 (β)
| 分散TTWO | 70.10 |
| 分散S&P 500 | 25.53 |
| 共 分散TTWO, S&P 500 | 19.17 |
| 相関係数TTWO, S&P 5001 | 0.45 |
| βTTWO2 | 0.75 |
| αTTWO3 | 0.64% |
計算
1 相関係数TTWO, S&P 500
= 共 分散TTWO, S&P 500 ÷ (標準偏差TTWO × 標準偏差S&P 500)
= 19.17 ÷ (8.37% × 5.05%)
= 0.45
2 βTTWO
= 共 分散TTWO, S&P 500 ÷ 分散S&P 500
= 19.17 ÷ 25.53
= 0.75
3 αTTWO
= 平均TTWO – βTTWO × 平均S&P 500
= 1.42% – 0.75 × 1.04%
= 0.64%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.84% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.75% |
| 普通株式のシステマティックリスクTake-Two | βTTWO | 0.75 |
| Take-Two普通株式の期待収益率3 | E(RTTWO) | 12.28% |
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(RTTWO) = RF + βTTWO [E(RM) – RF]
= 4.84% + 0.75 [14.75% – 4.84%]
= 12.28%