Stock Analysis on Net

eBay Inc. (NASDAQ:EBAY)

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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、 eBay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

eBay Inc.、月間収益率

Microsoft Excel
eBay Inc. (EBAY) Standard & Poor’s 500 (S&P 500)
t 日付 価格EBAY,t1 配当EBAY,t1 REBAY,t2 価格S&P 500,t RS&P 500,t3
2014/01/31 $53.20 1,782.59
1. 2014/02/28 $58.77 10.47% 1,859.45 4.31%
2. 2014/03/31 $55.24 -6.01% 1,872.34 0.69%
3. 2014/04/30 $51.83 -6.17% 1,883.95 0.62%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2018/11/30 $29.85 2.82% 2,760.17 1.79%
59. 2018/12/31 $28.07 -5.96% 2,506.85 -9.18%
平均 (R): 0.60% 0.63%
標準偏差: 7.49% 3.13%
eBay Inc. (EBAY) Standard & Poor’s 500 (S&P 500)
t 日付 価格EBAY,t1 配当EBAY,t1 REBAY,t2 価格S&P 500,t RS&P 500,t3
2014/01/31 $53.20 1,782.59
1. 2014/02/28 $58.77 10.47% 1,859.45 4.31%
2. 2014/03/31 $55.24 -6.01% 1,872.34 0.69%
3. 2014/04/30 $51.83 -6.17% 1,883.95 0.62%
4. 2014/05/31 $50.73 -2.12% 1,923.57 2.10%
5. 2014/06/30 $50.06 -1.32% 1,960.23 1.91%
6. 2014/07/31 $52.83 5.53% 1,930.67 -1.51%
7. 2014/08/31 $55.50 5.05% 2,003.37 3.77%
8. 2014/09/30 $56.63 2.04% 1,972.29 -1.55%
9. 2014/10/31 $52.50 -7.29% 2,018.05 2.32%
10. 2014/11/30 $54.88 4.53% 2,067.56 2.45%
11. 2014/12/31 $56.12 2.26% 2,058.90 -0.42%
12. 2015/01/31 $53.00 -5.56% 1,994.99 -3.10%
13. 2015/02/28 $57.91 9.26% 2,104.50 5.49%
14. 2015/03/31 $57.68 -0.40% 2,067.89 -1.74%
15. 2015/04/30 $58.26 1.01% 2,085.51 0.85%
16. 2015/05/31 $61.36 5.32% 2,107.39 1.05%
17. 2015/06/30 $60.24 -1.83% 2,063.11 -2.10%
18. 2015/07/31 $28.12 $36.71 7.62% 2,103.84 1.97%
19. 2015/08/31 $27.11 -3.59% 1,972.18 -6.26%
20. 2015/09/30 $24.44 -9.85% 1,920.03 -2.64%
21. 2015/10/31 $27.90 14.16% 2,079.36 8.30%
22. 2015/11/30 $29.59 6.06% 2,080.41 0.05%
23. 2015/12/31 $27.48 -7.13% 2,043.94 -1.75%
24. 2016/01/31 $23.46 -14.63% 1,940.24 -5.07%
25. 2016/02/29 $23.80 1.45% 1,932.23 -0.41%
26. 2016/03/31 $23.86 0.25% 2,059.74 6.60%
27. 2016/04/30 $24.43 2.39% 2,065.30 0.27%
28. 2016/05/31 $24.46 0.12% 2,096.95 1.53%
29. 2016/06/30 $23.41 -4.29% 2,098.86 0.09%
30. 2016/07/31 $31.16 33.11% 2,173.60 3.56%
31. 2016/08/31 $32.16 3.21% 2,170.95 -0.12%
32. 2016/09/30 $32.90 2.30% 2,168.27 -0.12%
33. 2016/10/31 $28.51 -13.34% 2,126.15 -1.94%
34. 2016/11/30 $27.81 -2.46% 2,198.81 3.42%
35. 2016/12/31 $29.69 6.76% 2,238.83 1.82%
36. 2017/01/31 $31.83 7.21% 2,278.87 1.79%
37. 2017/02/28 $33.90 6.50% 2,363.64 3.72%
38. 2017/03/31 $33.57 -0.97% 2,362.72 -0.04%
39. 2017/04/30 $33.41 -0.48% 2,384.20 0.91%
40. 2017/05/31 $34.30 2.66% 2,411.80 1.16%
41. 2017/06/30 $34.92 1.81% 2,423.41 0.48%
42. 2017/07/31 $35.73 2.32% 2,470.30 1.93%
43. 2017/08/31 $36.13 1.12% 2,471.65 0.05%
44. 2017/09/30 $38.46 6.45% 2,519.36 1.93%
45. 2017/10/31 $37.64 -2.13% 2,575.26 2.22%
46. 2017/11/30 $34.67 -7.89% 2,647.58 2.81%
47. 2017/12/31 $37.74 8.85% 2,673.61 0.98%
48. 2018/01/31 $40.58 7.53% 2,823.81 5.62%
49. 2018/02/28 $42.86 5.62% 2,713.83 -3.89%
50. 2018/03/31 $40.24 -6.11% 2,640.87 -2.69%
51. 2018/04/30 $37.88 -5.86% 2,648.05 0.27%
52. 2018/05/31 $37.72 -0.42% 2,705.27 2.16%
53. 2018/06/30 $36.26 -3.87% 2,718.37 0.48%
54. 2018/07/31 $33.45 -7.75% 2,816.29 3.60%
55. 2018/08/31 $34.61 3.47% 2,901.52 3.03%
56. 2018/09/30 $33.02 -4.59% 2,913.98 0.43%
57. 2018/10/31 $29.03 -12.08% 2,711.74 -6.94%
58. 2018/11/30 $29.85 2.82% 2,760.17 1.79%
59. 2018/12/31 $28.07 -5.96% 2,506.85 -9.18%
平均 (R): 0.60% 0.63%
標準偏差: 7.49% 3.13%

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EBAY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

eBay Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 REBAY,t RS&P 500,t (REBAY,tREBAY)2 (RS&P 500,tRS&P 500)2 (REBAY,tREBAY)×(RS&P 500,tRS&P 500)
1. 2014/02/28 10.47% 4.31% 97.50 13.57 36.37
2. 2014/03/31 -6.01% 0.69% 43.59 0.00 -0.43
3. 2014/04/30 -6.17% 0.62% 45.81 0.00 0.05
. . . . . . .
. . . . . . .
. . . . . . .
58. 2018/11/30 2.82% 1.79% 4.97 1.34 2.58
59. 2018/12/31 -5.96% -9.18% 43.02 96.15 64.31
トータル (Σ): 3,252.48 566.60 700.73
t 日付 REBAY,t RS&P 500,t (REBAY,tREBAY)2 (RS&P 500,tRS&P 500)2 (REBAY,tREBAY)×(RS&P 500,tRS&P 500)
1. 2014/02/28 10.47% 4.31% 97.50 13.57 36.37
2. 2014/03/31 -6.01% 0.69% 43.59 0.00 -0.43
3. 2014/04/30 -6.17% 0.62% 45.81 0.00 0.05
4. 2014/05/31 -2.12% 2.10% 7.39 2.18 -4.01
5. 2014/06/30 -1.32% 1.91% 3.67 1.63 -2.45
6. 2014/07/31 5.53% -1.51% 24.38 4.56 -10.55
7. 2014/08/31 5.05% 3.77% 19.88 9.84 13.99
8. 2014/09/30 2.04% -1.55% 2.07 4.75 -3.14
9. 2014/10/31 -7.29% 2.32% 62.23 2.86 -13.35
10. 2014/11/30 4.53% 2.45% 15.51 3.33 7.19
11. 2014/12/31 2.26% -0.42% 2.77 1.10 -1.74
12. 2015/01/31 -5.56% -3.10% 37.89 13.93 22.97
13. 2015/02/28 9.26% 5.49% 75.14 23.63 42.14
14. 2015/03/31 -0.40% -1.74% 0.99 5.61 2.35
15. 2015/04/30 1.01% 0.85% 0.17 0.05 0.09
16. 2015/05/31 5.32% 1.05% 22.33 0.18 1.99
17. 2015/06/30 -1.83% -2.10% 5.86 7.45 6.61
18. 2015/07/31 7.62% 1.97% 49.34 1.81 9.46
19. 2015/08/31 -3.59% -6.26% 17.53 47.42 28.83
20. 2015/09/30 -9.85% -2.64% 109.08 10.71 34.18
21. 2015/10/31 14.16% 8.30% 183.92 58.83 104.02
22. 2015/11/30 6.06% 0.05% 29.83 0.33 -3.15
23. 2015/12/31 -7.13% -1.75% 59.70 5.67 18.40
24. 2016/01/31 -14.63% -5.07% 231.78 32.51 86.80
25. 2016/02/29 1.45% -0.41% 0.73 1.08 -0.89
26. 2016/03/31 0.25% 6.60% 0.12 35.65 -2.05
27. 2016/04/30 2.39% 0.27% 3.22 0.13 -0.64
28. 2016/05/31 0.12% 1.53% 0.22 0.82 -0.43
29. 2016/06/30 -4.29% 0.09% 23.90 0.29 2.62
30. 2016/07/31 33.11% 3.56% 1,056.90 8.60 95.35
31. 2016/08/31 3.21% -0.12% 6.83 0.56 -1.96
32. 2016/09/30 2.30% -0.12% 2.91 0.56 -1.28
33. 2016/10/31 -13.34% -1.94% 194.30 6.61 35.83
34. 2016/11/30 -2.46% 3.42% 9.31 7.78 -8.51
35. 2016/12/31 6.76% 1.82% 38.00 1.42 7.35
36. 2017/01/31 7.21% 1.79% 43.72 1.35 7.67
37. 2017/02/28 6.50% 3.72% 34.90 9.56 18.27
38. 2017/03/31 -0.97% -0.04% 2.46 0.44 1.05
39. 2017/04/30 -0.48% 0.91% 1.15 0.08 -0.30
40. 2017/05/31 2.66% 1.16% 4.28 0.28 1.10
41. 2017/06/30 1.81% 0.48% 1.47 0.02 -0.18
42. 2017/07/31 2.32% 1.93% 2.97 1.71 2.25
43. 2017/08/31 1.12% 0.05% 0.27 0.33 -0.30
44. 2017/09/30 6.45% 1.93% 34.26 1.70 7.62
45. 2017/10/31 -2.13% 2.22% 7.44 2.53 -4.34
46. 2017/11/30 -7.89% 2.81% 72.01 4.75 -18.50
47. 2017/12/31 8.85% 0.98% 68.22 0.13 2.93
48. 2018/01/31 7.53% 5.62% 48.02 24.90 34.58
49. 2018/02/28 5.62% -3.89% 25.23 20.45 -22.72
50. 2018/03/31 -6.11% -2.69% 45.00 11.00 22.25
51. 2018/04/30 -5.86% 0.27% 41.74 0.13 2.30
52. 2018/05/31 -0.42% 2.16% 1.04 2.35 -1.56
53. 2018/06/30 -3.87% 0.48% 19.95 0.02 0.64
54. 2018/07/31 -7.75% 3.60% 69.64 8.85 -24.82
55. 2018/08/31 3.47% 3.03% 8.25 5.75 6.89
56. 2018/09/30 -4.59% 0.43% 26.93 0.04 1.03
57. 2018/10/31 -12.08% -6.94% 160.76 57.28 95.96
58. 2018/11/30 2.82% 1.79% 4.97 1.34 2.58
59. 2018/12/31 -5.96% -9.18% 43.02 96.15 64.31
トータル (Σ): 3,252.48 566.60 700.73

すべて表示

分散EBAY = Σ(REBAY,tREBAY)2 ÷ (59 – 1)
= 3,252.48 ÷ (59 – 1)
= 56.08

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 566.60 ÷ (59 – 1)
= 9.77

共 分散EBAY, S&P 500 = Σ(REBAY,tREBAY)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 700.73 ÷ (59 – 1)
= 12.08


システマティックなリスク推定 (β)

Microsoft Excel
分散EBAY 56.08
分散S&P 500 9.77
共 分散EBAY, S&P 500 12.08
相関係数EBAY, S&P 5001 0.52
βEBAY2 1.24
αEBAY3 -0.18%

計算

1 相関係数EBAY, S&P 500
= 共 分散EBAY, S&P 500 ÷ (標準偏差EBAY × 標準偏差S&P 500)
= 12.08 ÷ (7.49% × 3.13%)
= 0.52

2 βEBAY
= 共 分散EBAY, S&P 500 ÷ 分散S&P 500
= 12.08 ÷ 9.77
= 1.24

3 αEBAY
= 平均EBAY – βEBAY × 平均S&P 500
= 0.60%1.24 × 0.63%
= -0.18%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.82%
市場ポートフォリオの期待収益率2 E(RM) 14.88%
普通株式 eBay システマティックリスク βEBAY 1.24
 
eBay普通株式の期待収益率3 E(REBAY) 17.26%

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(REBAY) = RF + βEBAY [E(RM) – RF]
= 4.82% + 1.24 [14.88%4.82%]
= 17.26%