Stock Analysis on Net
Stock Analysis on Net

Yahoo! Inc. (NASDAQ:YHOO)

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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、 Yahoo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

Yahoo! Inc.、月間収益率

Microsoft Excel
Yahoo! Inc. (YHOO) Standard & Poor’s 500 (S&P 500)
t 日付 価格YHOO,t1 配当YHOO,t1 RYHOO,t2 価格S&P 500,t RS&P 500,t3
2012/01/31 $15.47 1,312.41
1. 2012/02/29 $14.83 -4.14% 1,365.68 4.06%
2. 2012/03/31 $15.22 2.63% 1,408.47 3.13%
3. 2012/04/30 $15.54 2.10% 1,397.91 -0.75%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2016/11/30 $41.02 -1.28% 2,198.81 3.42%
59. 2016/12/31 $38.67 -5.73% 2,238.83 1.82%
平均 (R): 1.87% 0.95%
標準偏差： 8.05% 2.98%
Yahoo! Inc. (YHOO) Standard & Poor’s 500 (S&P 500)
t 日付 価格YHOO,t1 配当YHOO,t1 RYHOO,t2 価格S&P 500,t RS&P 500,t3
2012/01/31 $15.47 1,312.41
1. 2012/02/29 $14.83 -4.14% 1,365.68 4.06%
2. 2012/03/31 $15.22 2.63% 1,408.47 3.13%
3. 2012/04/30 $15.54 2.10% 1,397.91 -0.75%
4. 2012/05/31 $15.24 -1.93% 1,310.33 -6.27%
5. 2012/06/30 $15.83 3.87% 1,362.16 3.96%
6. 2012/07/31 $15.84 0.06% 1,379.32 1.26%
7. 2012/08/31 $14.65 -7.51% 1,406.58 1.98%
8. 2012/09/30 $15.98 9.08% 1,440.67 2.42%
9. 2012/10/31 $16.84 5.38% 1,412.16 -1.98%
10. 2012/11/30 $18.77 11.46% 1,416.18 0.28%
11. 2012/12/31 $19.90 6.02% 1,426.19 0.71%
12. 2013/01/31 $19.63 -1.36% 1,498.11 5.04%
13. 2013/02/28 $21.31 8.56% 1,514.68 1.11%
14. 2013/03/31 $23.53 10.42% 1,569.19 3.60%
15. 2013/04/30 $24.73 5.10% 1,597.57 1.81%
16. 2013/05/31 $26.30 6.35% 1,630.74 2.08%
17. 2013/06/30 $25.13 -4.45% 1,606.28 -1.50%
18. 2013/07/31 $28.09 11.78% 1,685.73 4.95%
19. 2013/08/31 $27.12 -3.45% 1,632.97 -3.13%
20. 2013/09/30 $33.17 22.31% 1,681.55 2.97%
21. 2013/10/31 $32.94 -0.69% 1,756.54 4.46%
22. 2013/11/30 $36.98 12.26% 1,805.81 2.80%
23. 2013/12/31 $40.44 9.36% 1,848.36 2.36%
24. 2014/01/31 $36.01 -10.95% 1,782.59 -3.56%
25. 2014/02/28 $38.67 7.39% 1,859.45 4.31%
26. 2014/03/31 $35.90 -7.16% 1,872.34 0.69%
27. 2014/04/30 $35.95 0.14% 1,883.95 0.62%
28. 2014/05/31 $34.65 -3.62% 1,923.57 2.10%
29. 2014/06/30 $35.13 1.39% 1,960.23 1.91%
30. 2014/07/31 $35.81 1.94% 1,930.67 -1.51%
31. 2014/08/31 $38.51 7.54% 2,003.37 3.77%
32. 2014/09/30 $40.75 5.82% 1,972.29 -1.55%
33. 2014/10/31 $46.05 13.01% 2,018.05 2.32%
34. 2014/11/30 $51.74 12.36% 2,067.56 2.45%
35. 2014/12/31 $50.51 -2.38% 2,058.90 -0.42%
36. 2015/01/31 $43.99 -12.91% 1,994.99 -3.10%
37. 2015/02/28 $44.28 0.66% 2,104.50 5.49%
38. 2015/03/31 $44.44 0.36% 2,067.89 -1.74%
39. 2015/04/30 $42.57 -4.21% 2,085.51 0.85%
40. 2015/05/31 $42.94 0.87% 2,107.39 1.05%
41. 2015/06/30 $39.29 -8.50% 2,063.11 -2.10%
42. 2015/07/31 $36.67 -6.67% 2,103.84 1.97%
43. 2015/08/31 $32.24 -12.08% 1,972.18 -6.26%
44. 2015/09/30 $28.91 -10.33% 1,920.03 -2.64%
45. 2015/10/31 $35.62 23.21% 2,079.36 8.30%
46. 2015/11/30 $33.81 -5.08% 2,080.41 0.05%
47. 2015/12/31 $33.26 -1.63% 2,043.94 -1.75%
48. 2016/01/31 $29.51 -11.27% 1,940.24 -5.07%
49. 2016/02/29 $31.79 7.73% 1,932.23 -0.41%
50. 2016/03/31 $36.81 15.79% 2,059.74 6.60%
51. 2016/04/30 $36.60 -0.57% 2,065.30 0.27%
52. 2016/05/31 $37.94 3.66% 2,096.95 1.53%
53. 2016/06/30 $37.56 -1.00% 2,098.86 0.09%
54. 2016/07/31 $38.19 1.68% 2,173.60 3.56%
55. 2016/08/31 $42.75 11.94% 2,170.95 -0.12%
56. 2016/09/30 $43.10 0.82% 2,168.27 -0.12%
57. 2016/10/31 $41.55 -3.60% 2,126.15 -1.94%
58. 2016/11/30 $41.02 -1.28% 2,198.81 3.42%
59. 2016/12/31 $38.67 -5.73% 2,238.83 1.82%
平均 (R): 1.87% 0.95%
標準偏差： 8.05% 2.98%

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YHOO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

Yahoo! Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RYHOO,t RS&P 500,t (RYHOO,t–RYHOO)2 (RS&P 500,t–RS&P 500)2 (RYHOO,t–RYHOO)×(RS&P 500,t–RS&P 500)
1. 2012/02/29 -4.14% 4.06% 36.12 9.65 -18.67
2. 2012/03/31 2.63% 3.13% 0.57 4.75 1.65
3. 2012/04/30 2.10% -0.75% 0.05 2.90 -0.39
. . . . . . .
. . . . . . .
. . . . . . .
58. 2016/11/30 -1.28% 3.42% 9.92 6.07 -7.76
59. 2016/12/31 -5.73% 1.82% 57.79 0.75 -6.59
トータル (Σ): 3,761.33 514.91 816.37
t 日付 RYHOO,t RS&P 500,t (RYHOO,t–RYHOO)2 (RS&P 500,t–RS&P 500)2 (RYHOO,t–RYHOO)×(RS&P 500,t–RS&P 500)
1. 2012/02/29 -4.14% 4.06% 36.12 9.65 -18.67
2. 2012/03/31 2.63% 3.13% 0.57 4.75 1.65
3. 2012/04/30 2.10% -0.75% 0.05 2.90 -0.39
4. 2012/05/31 -1.93% -6.27% 14.47 52.10 27.46
5. 2012/06/30 3.87% 3.96% 3.99 9.02 6.00
6. 2012/07/31 0.06% 1.26% 3.28 0.09 -0.56
7. 2012/08/31 -7.51% 1.98% 88.10 1.05 -9.61
8. 2012/09/30 9.08% 2.42% 51.91 2.16 10.60
9. 2012/10/31 5.38% -1.98% 12.31 8.60 -10.29
10. 2012/11/30 11.46% 0.28% 91.92 0.45 -6.41
11. 2012/12/31 6.02% 0.71% 17.20 0.06 -1.02
12. 2013/01/31 -1.36% 5.04% 10.43 16.73 -13.21
13. 2013/02/28 8.56% 1.11% 44.69 0.02 1.02
14. 2013/03/31 10.42% 3.60% 73.00 7.00 22.61
15. 2013/04/30 5.10% 1.81% 10.41 0.73 2.76
16. 2013/05/31 6.35% 2.08% 20.03 1.26 5.03
17. 2013/06/30 -4.45% -1.50% 39.97 6.02 15.51
18. 2013/07/31 11.78% 4.95% 98.12 15.95 39.56
19. 2013/08/31 -3.45% -3.13% 28.37 16.67 21.75
20. 2013/09/30 22.31% 2.97% 417.59 4.09 41.32
21. 2013/10/31 -0.69% 4.46% 6.59 12.30 -9.00
22. 2013/11/30 12.26% 2.80% 107.98 3.43 19.25
23. 2013/12/31 9.36% 2.36% 56.00 1.97 10.50
24. 2014/01/31 -10.95% -3.56% 164.55 20.35 57.87
25. 2014/02/28 7.39% 4.31% 30.40 11.28 18.52
26. 2014/03/31 -7.16% 0.69% 81.66 0.07 2.35
27. 2014/04/30 0.14% 0.62% 3.01 0.11 0.58
28. 2014/05/31 -3.62% 2.10% 30.13 1.32 -6.31
29. 2014/06/30 1.39% 1.91% 0.24 0.91 -0.47
30. 2014/07/31 1.94% -1.51% 0.00 6.06 -0.15
31. 2014/08/31 7.54% 3.77% 32.11 7.91 15.94
32. 2014/09/30 5.82% -1.55% 15.55 6.27 -9.87
33. 2014/10/31 13.01% 2.32% 123.94 1.87 15.22
34. 2014/11/30 12.36% 2.45% 109.89 2.25 15.73
35. 2014/12/31 -2.38% -0.42% 18.07 1.88 5.83
36. 2015/01/31 -12.91% -3.10% 218.50 16.46 59.97
37. 2015/02/28 0.66% 5.49% 1.47 20.58 -5.51
38. 2015/03/31 0.36% -1.74% 2.29 7.25 4.07
39. 2015/04/30 -4.21% 0.85% 36.98 0.01 0.61
40. 2015/05/31 0.87% 1.05% 1.01 0.01 -0.10
41. 2015/06/30 -8.50% -2.10% 107.61 9.33 31.68
42. 2015/07/31 -6.67% 1.97% 72.96 1.04 -8.72
43. 2015/08/31 -12.08% -6.26% 194.72 52.00 100.62
44. 2015/09/30 -10.33% -2.64% 148.89 12.94 43.89
45. 2015/10/31 23.21% 8.30% 455.25 53.96 156.73
46. 2015/11/30 -5.08% 0.05% 48.37 0.81 6.28
47. 2015/12/31 -1.63% -1.75% 12.25 7.32 9.47
48. 2016/01/31 -11.27% -5.07% 172.87 36.32 79.24
49. 2016/02/29 7.73% -0.41% 34.26 1.87 -7.99
50. 2016/03/31 15.79% 6.60% 193.70 31.88 78.58
51. 2016/04/30 -0.57% 0.27% 5.97 0.47 1.67
52. 2016/05/31 3.66% 1.53% 3.20 0.34 1.04
53. 2016/06/30 -1.00% 0.09% 8.27 0.74 2.48
54. 2016/07/31 1.68% 3.56% 0.04 6.80 -0.51
55. 2016/08/31 11.94% -0.12% 101.34 1.16 -10.82
56. 2016/09/30 0.82% -0.12% 1.11 1.16 1.14
57. 2016/10/31 -3.60% -1.94% 29.92 8.38 15.84
58. 2016/11/30 -1.28% 3.42% 9.92 6.07 -7.76
59. 2016/12/31 -5.73% 1.82% 57.79 0.75 -6.59
トータル (Σ): 3,761.33 514.91 816.37

すべて表示

分散YHOO = Σ(RYHOO,t–RYHOO)2 ÷ (59 – 1)
= 3,761.33 ÷ (59 – 1)
= 64.85

分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 514.91 ÷ (59 – 1)
= 8.88

共 分散YHOO, S&P 500 = Σ(RYHOO,t–RYHOO)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 816.37 ÷ (59 – 1)
= 14.08

システマティックなリスク推定 (β)

Microsoft Excel
分散YHOO 64.85
分散S&P 500 8.88
共 分散YHOO, S&P 500 14.08
相関係数YHOO, S&P 5001 0.59
βYHOO2 1.59
αYHOO3 0.36%

計算

1 相関係数YHOO, S&P 500
= 共 分散YHOO, S&P 500 ÷ (標準偏差YHOO × 標準偏差S&P 500)
= 14.08 ÷ (8.05% × 2.98%)
= 0.59

2 βYHOO
= 共 分散YHOO, S&P 500 ÷ 分散S&P 500
= 14.08 ÷ 8.88
= 1.59

3 αYHOO
= 平均YHOO – βYHOO × 平均S&P 500
= 1.87% – 1.59 × 0.95%
= 0.36%

期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.79%
市場ポートフォリオの期待収益率2 E(RM) 17.38%
普通株式 Yahoo システマティックリスク βYHOO 1.59
 
ヤフー普通株の期待収益率3 E(RYHOO) 24.75%

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(RYHOO) = RF + βYHOO [E(RM) – RF]
= 4.79% + 1.59 [17.38% – 4.79%]
= 24.75%