資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Twenty-First Century Fox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
Twenty-First Century Fox Inc.、月間収益率
| Twenty-First Century Fox Inc. (FOX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格FOX,t1 | 配当FOX,t1 | RFOX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2012/07/31 | $23.02 | 1,379.32 | ||||
| 1. | 2012/08/31 | $23.39 | 1.61% | 1,406.58 | 1.98% | |
| 2. | 2012/09/30 | $24.51 | $0.085 | 5.15% | 1,440.67 | 2.42% |
| 3. | 2012/10/31 | $23.93 | -2.37% | 1,412.16 | -1.98% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2018/05/31 | $38.55 | 5.44% | 2,705.27 | 2.16% | |
| 71. | 2018/06/30 | $49.69 | 28.90% | 2,718.37 | 0.48% | |
| 平均 (R): | 1.45% | 1.00% | ||||
| 標準偏差： | 7.59% | 2.71% | ||||
| Twenty-First Century Fox Inc. (FOX) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格FOX,t1 | 配当FOX,t1 | RFOX,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2012/07/31 | $23.02 | 1,379.32 | ||||
| 1. | 2012/08/31 | $23.39 | 1.61% | 1,406.58 | 1.98% | |
| 2. | 2012/09/30 | $24.51 | $0.085 | 5.15% | 1,440.67 | 2.42% |
| 3. | 2012/10/31 | $23.93 | -2.37% | 1,412.16 | -1.98% | |
| 4. | 2012/11/30 | $24.64 | 2.97% | 1,416.18 | 0.28% | |
| 5. | 2012/12/31 | $25.51 | 3.53% | 1,426.19 | 0.71% | |
| 6. | 2013/01/31 | $27.74 | 8.74% | 1,498.11 | 5.04% | |
| 7. | 2013/02/28 | $28.81 | 3.86% | 1,514.68 | 1.11% | |
| 8. | 2013/03/31 | $30.51 | $0.085 | 6.20% | 1,569.19 | 3.60% |
| 9. | 2013/04/30 | $30.97 | 1.51% | 1,597.57 | 1.81% | |
| 10. | 2013/05/31 | $32.11 | 3.68% | 1,630.74 | 2.08% | |
| 11. | 2013/06/30 | $32.58 | 1.46% | 1,606.28 | -1.50% | |
| 12. | 2013/07/31 | $29.88 | -8.29% | 1,685.73 | 4.95% | |
| 13. | 2013/08/31 | $31.33 | 4.85% | 1,632.97 | -3.13% | |
| 14. | 2013/09/30 | $33.51 | $0.125 | 7.36% | 1,681.55 | 2.97% |
| 15. | 2013/10/31 | $34.08 | 1.70% | 1,756.54 | 4.46% | |
| 16. | 2013/11/30 | $33.49 | -1.73% | 1,805.81 | 2.80% | |
| 17. | 2013/12/31 | $35.17 | 5.02% | 1,848.36 | 2.36% | |
| 18. | 2014/01/31 | $31.82 | -9.53% | 1,782.59 | -3.56% | |
| 19. | 2014/02/28 | $33.54 | 5.41% | 1,859.45 | 4.31% | |
| 20. | 2014/03/31 | $31.97 | $0.125 | -4.31% | 1,872.34 | 0.69% |
| 21. | 2014/04/30 | $32.02 | 0.16% | 1,883.95 | 0.62% | |
| 22. | 2014/05/31 | $35.41 | 10.59% | 1,923.57 | 2.10% | |
| 23. | 2014/06/30 | $35.15 | -0.73% | 1,960.23 | 1.91% | |
| 24. | 2014/07/31 | $31.67 | -9.90% | 1,930.67 | -1.51% | |
| 25. | 2014/08/31 | $35.42 | 11.84% | 2,003.37 | 3.77% | |
| 26. | 2014/09/30 | $34.29 | $0.125 | -2.84% | 1,972.29 | -1.55% |
| 27. | 2014/10/31 | $34.48 | 0.55% | 2,018.05 | 2.32% | |
| 28. | 2014/11/30 | $36.80 | 6.73% | 2,067.56 | 2.45% | |
| 29. | 2014/12/31 | $38.41 | 4.38% | 2,058.90 | -0.42% | |
| 30. | 2015/01/31 | $33.16 | -13.67% | 1,994.99 | -3.10% | |
| 31. | 2015/02/28 | $35.00 | 5.55% | 2,104.50 | 5.49% | |
| 32. | 2015/03/31 | $33.84 | $0.15 | -2.89% | 2,067.89 | -1.74% |
| 33. | 2015/04/30 | $34.08 | 0.71% | 2,085.51 | 0.85% | |
| 34. | 2015/05/31 | $33.60 | -1.41% | 2,107.39 | 1.05% | |
| 35. | 2015/06/30 | $32.55 | -3.13% | 2,063.11 | -2.10% | |
| 36. | 2015/07/31 | $34.49 | 5.96% | 2,103.84 | 1.97% | |
| 37. | 2015/08/31 | $27.39 | -20.59% | 1,972.18 | -6.26% | |
| 38. | 2015/09/30 | $26.98 | $0.15 | -0.95% | 1,920.03 | -2.64% |
| 39. | 2015/10/31 | $30.69 | 13.75% | 2,079.36 | 8.30% | |
| 40. | 2015/11/30 | $29.51 | -3.84% | 2,080.41 | 0.05% | |
| 41. | 2015/12/31 | $27.16 | -7.96% | 2,043.94 | -1.75% | |
| 42. | 2016/01/31 | $26.97 | -0.70% | 1,940.24 | -5.07% | |
| 43. | 2016/02/29 | $27.02 | 0.19% | 1,932.23 | -0.41% | |
| 44. | 2016/03/31 | $27.88 | $0.15 | 3.74% | 2,059.74 | 6.60% |
| 45. | 2016/04/30 | $30.26 | 8.54% | 2,065.30 | 0.27% | |
| 46. | 2016/05/31 | $28.88 | -4.56% | 2,096.95 | 1.53% | |
| 47. | 2016/06/30 | $27.05 | -6.34% | 2,098.86 | 0.09% | |
| 48. | 2016/07/31 | $26.64 | -1.52% | 2,173.60 | 3.56% | |
| 49. | 2016/08/31 | $24.54 | -7.88% | 2,170.95 | -0.12% | |
| 50. | 2016/09/30 | $24.22 | $0.18 | -0.57% | 2,168.27 | -0.12% |
| 51. | 2016/10/31 | $26.27 | 8.46% | 2,126.15 | -1.94% | |
| 52. | 2016/11/30 | $28.11 | 7.00% | 2,198.81 | 3.42% | |
| 53. | 2016/12/31 | $28.04 | -0.25% | 2,238.83 | 1.82% | |
| 54. | 2017/01/31 | $31.38 | 11.91% | 2,278.87 | 1.79% | |
| 55. | 2017/02/28 | $29.92 | -4.65% | 2,363.64 | 3.72% | |
| 56. | 2017/03/31 | $32.39 | $0.18 | 8.86% | 2,362.72 | -0.04% |
| 57. | 2017/04/30 | $30.54 | -5.71% | 2,384.20 | 0.91% | |
| 58. | 2017/05/31 | $27.12 | -11.20% | 2,411.80 | 1.16% | |
| 59. | 2017/06/30 | $28.34 | 4.50% | 2,423.41 | 0.48% | |
| 60. | 2017/07/31 | $29.10 | 2.68% | 2,470.30 | 1.93% | |
| 61. | 2017/08/31 | $27.59 | -5.19% | 2,471.65 | 0.05% | |
| 62. | 2017/09/30 | $26.38 | $0.18 | -3.73% | 2,519.36 | 1.93% |
| 63. | 2017/10/31 | $26.15 | -0.87% | 2,575.26 | 2.22% | |
| 64. | 2017/11/30 | $31.94 | 22.14% | 2,647.58 | 2.81% | |
| 65. | 2017/12/31 | $34.53 | 8.11% | 2,673.61 | 0.98% | |
| 66. | 2018/01/31 | $36.90 | 6.86% | 2,823.81 | 5.62% | |
| 67. | 2018/02/28 | $36.82 | -0.22% | 2,713.83 | -3.89% | |
| 68. | 2018/03/31 | $36.69 | $0.18 | 0.14% | 2,640.87 | -2.69% |
| 69. | 2018/04/30 | $36.56 | -0.35% | 2,648.05 | 0.27% | |
| 70. | 2018/05/31 | $38.55 | 5.44% | 2,705.27 | 2.16% | |
| 71. | 2018/06/30 | $49.69 | 28.90% | 2,718.37 | 0.48% | |
| 平均 (R): | 1.45% | 1.00% | ||||
| 標準偏差： | 7.59% | 2.71% | ||||
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FOX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
Twenty-First Century Fox Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RFOX,t | RS&P 500,t | (RFOX,t–RFOX)2 | (RS&P 500,t–RS&P 500)2 | (RFOX,t–RFOX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2012/08/31 | 1.61% | 1.98% | 0.03 | 0.96 | 0.16 |
| 2. | 2012/09/30 | 5.15% | 2.42% | 13.71 | 2.04 | 5.29 |
| 3. | 2012/10/31 | -2.37% | -1.98% | 14.55 | 8.85 | 11.35 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2018/05/31 | 5.44% | 2.16% | 15.96 | 1.36 | 4.65 |
| 71. | 2018/06/30 | 28.90% | 0.48% | 753.44 | 0.26 | -14.05 |
| トータル (Σ): | 4,030.79 | 514.30 | 633.77 | |||
| t | 日付 | RFOX,t | RS&P 500,t | (RFOX,t–RFOX)2 | (RS&P 500,t–RS&P 500)2 | (RFOX,t–RFOX)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2012/08/31 | 1.61% | 1.98% | 0.03 | 0.96 | 0.16 |
| 2. | 2012/09/30 | 5.15% | 2.42% | 13.71 | 2.04 | 5.29 |
| 3. | 2012/10/31 | -2.37% | -1.98% | 14.55 | 8.85 | 11.35 |
| 4. | 2012/11/30 | 2.97% | 0.28% | 2.31 | 0.51 | -1.08 |
| 5. | 2012/12/31 | 3.53% | 0.71% | 4.34 | 0.08 | -0.60 |
| 6. | 2013/01/31 | 8.74% | 5.04% | 53.19 | 16.38 | 29.51 |
| 7. | 2013/02/28 | 3.86% | 1.11% | 5.80 | 0.01 | 0.26 |
| 8. | 2013/03/31 | 6.20% | 3.60% | 22.54 | 6.77 | 12.36 |
| 9. | 2013/04/30 | 1.51% | 1.81% | 0.00 | 0.66 | 0.05 |
| 10. | 2013/05/31 | 3.68% | 2.08% | 4.98 | 1.17 | 2.41 |
| 11. | 2013/06/30 | 1.46% | -1.50% | 0.00 | 6.23 | -0.04 |
| 12. | 2013/07/31 | -8.29% | 4.95% | 94.79 | 15.60 | -38.46 |
| 13. | 2013/08/31 | 4.85% | -3.13% | 11.59 | 17.02 | -14.05 |
| 14. | 2013/09/30 | 7.36% | 2.97% | 34.91 | 3.92 | 11.69 |
| 15. | 2013/10/31 | 1.70% | 4.46% | 0.06 | 12.00 | 0.87 |
| 16. | 2013/11/30 | -1.73% | 2.80% | 10.11 | 3.27 | -5.75 |
| 17. | 2013/12/31 | 5.02% | 2.36% | 12.73 | 1.85 | 4.85 |
| 18. | 2014/01/31 | -9.53% | -3.56% | 120.42 | 20.74 | 49.98 |
| 19. | 2014/02/28 | 5.41% | 4.31% | 15.66 | 10.99 | 13.12 |
| 20. | 2014/03/31 | -4.31% | 0.69% | 33.14 | 0.09 | 1.74 |
| 21. | 2014/04/30 | 0.16% | 0.62% | 1.67 | 0.14 | 0.49 |
| 22. | 2014/05/31 | 10.59% | 2.10% | 83.51 | 1.23 | 10.12 |
| 23. | 2014/06/30 | -0.73% | 1.91% | 4.76 | 0.83 | -1.99 |
| 24. | 2014/07/31 | -9.90% | -1.51% | 128.80 | 6.27 | 28.42 |
| 25. | 2014/08/31 | 11.84% | 3.77% | 108.00 | 7.67 | 28.78 |
| 26. | 2014/09/30 | -2.84% | -1.55% | 18.37 | 6.49 | 10.92 |
| 27. | 2014/10/31 | 0.55% | 2.32% | 0.80 | 1.75 | -1.18 |
| 28. | 2014/11/30 | 6.73% | 2.45% | 27.88 | 2.12 | 7.69 |
| 29. | 2014/12/31 | 4.38% | -0.42% | 8.56 | 2.00 | -4.14 |
| 30. | 2015/01/31 | -13.67% | -3.10% | 228.52 | 16.81 | 61.98 |
| 31. | 2015/02/28 | 5.55% | 5.49% | 16.81 | 20.19 | 18.42 |
| 32. | 2015/03/31 | -2.89% | -1.74% | 18.79 | 7.48 | 11.86 |
| 33. | 2015/04/30 | 0.71% | 0.85% | 0.55 | 0.02 | 0.11 |
| 34. | 2015/05/31 | -1.41% | 1.05% | 8.16 | 0.00 | -0.15 |
| 35. | 2015/06/30 | -3.13% | -2.10% | 20.92 | 9.59 | 14.17 |
| 36. | 2015/07/31 | 5.96% | 1.97% | 20.35 | 0.96 | 4.41 |
| 37. | 2015/08/31 | -20.59% | -6.26% | 485.51 | 52.62 | 159.84 |
| 38. | 2015/09/30 | -0.95% | -2.64% | 5.75 | 13.25 | 8.73 |
| 39. | 2015/10/31 | 13.75% | 8.30% | 151.35 | 53.32 | 89.83 |
| 40. | 2015/11/30 | -3.84% | 0.05% | 28.02 | 0.89 | 5.01 |
| 41. | 2015/12/31 | -7.96% | -1.75% | 88.59 | 7.56 | 25.87 |
| 42. | 2016/01/31 | -0.70% | -5.07% | 4.61 | 36.84 | 13.04 |
| 43. | 2016/02/29 | 0.19% | -0.41% | 1.60 | 1.99 | 1.78 |
| 44. | 2016/03/31 | 3.74% | 6.60% | 5.24 | 31.39 | 12.83 |
| 45. | 2016/04/30 | 8.54% | 0.27% | 50.24 | 0.53 | -5.15 |
| 46. | 2016/05/31 | -4.56% | 1.53% | 36.11 | 0.29 | -3.22 |
| 47. | 2016/06/30 | -6.34% | 0.09% | 60.61 | 0.82 | 7.05 |
| 48. | 2016/07/31 | -1.52% | 3.56% | 8.79 | 6.58 | -7.60 |
| 49. | 2016/08/31 | -7.88% | -0.12% | 87.08 | 1.25 | 10.43 |
| 50. | 2016/09/30 | -0.57% | -0.12% | 4.08 | 1.25 | 2.26 |
| 51. | 2016/10/31 | 8.46% | -1.94% | 49.22 | 8.64 | -20.62 |
| 52. | 2016/11/30 | 7.00% | 3.42% | 30.86 | 5.86 | 13.45 |
| 53. | 2016/12/31 | -0.25% | 1.82% | 2.88 | 0.68 | -1.40 |
| 54. | 2017/01/31 | 11.91% | 1.79% | 109.47 | 0.63 | 8.29 |
| 55. | 2017/02/28 | -4.65% | 3.72% | 37.23 | 7.42 | -16.62 |
| 56. | 2017/03/31 | 8.86% | -0.04% | 54.88 | 1.07 | -7.67 |
| 57. | 2017/04/30 | -5.71% | 0.91% | 51.27 | 0.01 | 0.62 |
| 58. | 2017/05/31 | -11.20% | 1.16% | 159.95 | 0.03 | -2.04 |
| 59. | 2017/06/30 | 4.50% | 0.48% | 9.30 | 0.26 | -1.57 |
| 60. | 2017/07/31 | 2.68% | 1.93% | 1.52 | 0.88 | 1.16 |
| 61. | 2017/08/31 | -5.19% | 0.05% | 44.06 | 0.89 | 6.25 |
| 62. | 2017/09/30 | -3.73% | 1.93% | 26.85 | 0.87 | -4.84 |
| 63. | 2017/10/31 | -0.87% | 2.22% | 5.38 | 1.50 | -2.84 |
| 64. | 2017/11/30 | 22.14% | 2.81% | 428.20 | 3.28 | 37.50 |
| 65. | 2017/12/31 | 8.11% | 0.98% | 44.36 | 0.00 | -0.09 |
| 66. | 2018/01/31 | 6.86% | 5.62% | 29.32 | 21.36 | 25.03 |
| 67. | 2018/02/28 | -0.22% | -3.89% | 2.77 | 23.92 | 8.15 |
| 68. | 2018/03/31 | 0.14% | -2.69% | 1.72 | 13.58 | 4.84 |
| 69. | 2018/04/30 | -0.35% | 0.27% | 3.25 | 0.52 | 1.31 |
| 70. | 2018/05/31 | 5.44% | 2.16% | 15.96 | 1.36 | 4.65 |
| 71. | 2018/06/30 | 28.90% | 0.48% | 753.44 | 0.26 | -14.05 |
| トータル (Σ): | 4,030.79 | 514.30 | 633.77 | |||
すべて表示
分散FOX = Σ(RFOX,t–RFOX)2 ÷ (71 – 1)
= 4,030.79 ÷ (71 – 1)
= 57.58
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 514.30 ÷ (71 – 1)
= 7.35
共 分散FOX, S&P 500 = Σ(RFOX,t–RFOX)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 633.77 ÷ (71 – 1)
= 9.05
システマティックなリスク推定 (β)
| 分散FOX | 57.58 |
| 分散S&P 500 | 7.35 |
| 共 分散FOX, S&P 500 | 9.05 |
| 相関係数FOX, S&P 5001 | 0.44 |
| βFOX2 | 1.23 |
| αFOX3 | 0.22% |
計算
1 相関係数FOX, S&P 500
= 共 分散FOX, S&P 500 ÷ (標準偏差FOX × 標準偏差S&P 500)
= 9.05 ÷ (7.59% × 2.71%)
= 0.44
2 βFOX
= 共 分散FOX, S&P 500 ÷ 分散S&P 500
= 9.05 ÷ 7.35
= 1.23
3 αFOX
= 平均FOX – βFOX × 平均S&P 500
= 1.45% – 1.23 × 1.00%
= 0.22%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.91% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.84% |
| 普通株式 Twenty-First Century Fox システマティックリスク | βFOX | 1.23 |
| 21世紀フォックス普通株式の期待収益率3 | E(RFOX) | 17.14% |
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(RFOX) = RF + βFOX [E(RM) – RF]
= 4.91% + 1.23 [14.84% – 4.91%]
= 17.14%