Stock Analysis on Net

Becton, Dickinson & Co. (NYSE:BDX)

この会社は アーカイブに移動しました! 財務データは2022年5月5日以降更新されていません。

資本資産価格設定モデル (CAPM) 

Microsoft Excel

収益率

Becton, Dickinson & Co.、月間収益率

Microsoft Excel
Becton, Dickinson & Co. (BDX) Standard & Poor’s 500 (S&P 500)
t 日付 価格BDX,t1 配当BDX,t1 RBDX,t2 価格S&P 500,t RS&P 500,t3
2015/10/31 $142.52 2,079.36
1. 2015/11/30 $150.25 5.42% 2,080.41 0.05%
2. 2015/12/31 $154.09 $0.66 3.00% 2,043.94 -1.75%
3. 2016/01/31 $145.37 -5.66% 1,940.24 -5.07%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2021/08/31 $251.70 -1.58% 4,522.68 2.90%
71. 2021/09/30 $245.82 $0.83 -2.01% 4,307.54 -4.76%
平均 (R): 1.06% 1.12%
標準偏差: 5.86% 4.19%
Becton, Dickinson & Co. (BDX) Standard & Poor’s 500 (S&P 500)
t 日付 価格BDX,t1 配当BDX,t1 RBDX,t2 価格S&P 500,t RS&P 500,t3
2015/10/31 $142.52 2,079.36
1. 2015/11/30 $150.25 5.42% 2,080.41 0.05%
2. 2015/12/31 $154.09 $0.66 3.00% 2,043.94 -1.75%
3. 2016/01/31 $145.37 -5.66% 1,940.24 -5.07%
4. 2016/02/29 $147.45 1.43% 1,932.23 -0.41%
5. 2016/03/31 $151.82 $0.66 3.41% 2,059.74 6.60%
6. 2016/04/30 $161.26 6.22% 2,065.30 0.27%
7. 2016/05/31 $166.45 3.22% 2,096.95 1.53%
8. 2016/06/30 $169.59 $0.66 2.28% 2,098.86 0.09%
9. 2016/07/31 $176.00 3.78% 2,173.60 3.56%
10. 2016/08/31 $177.21 0.69% 2,170.95 -0.12%
11. 2016/09/30 $179.73 $0.66 1.79% 2,168.27 -0.12%
12. 2016/10/31 $167.91 -6.58% 2,126.15 -1.94%
13. 2016/11/30 $169.10 0.71% 2,198.81 3.42%
14. 2016/12/31 $165.55 $0.73 -1.67% 2,238.83 1.82%
15. 2017/01/31 $177.29 7.09% 2,278.87 1.79%
16. 2017/02/28 $183.05 3.25% 2,363.64 3.72%
17. 2017/03/31 $183.44 $0.73 0.61% 2,362.72 -0.04%
18. 2017/04/30 $186.97 1.92% 2,384.20 0.91%
19. 2017/05/31 $189.23 1.21% 2,411.80 1.16%
20. 2017/06/30 $195.11 $0.73 3.49% 2,423.41 0.48%
21. 2017/07/31 $201.40 3.22% 2,470.30 1.93%
22. 2017/08/31 $199.44 -0.97% 2,471.65 0.05%
23. 2017/09/30 $195.95 $0.73 -1.38% 2,519.36 1.93%
24. 2017/10/31 $208.67 6.49% 2,575.26 2.22%
25. 2017/11/30 $228.21 9.36% 2,647.58 2.81%
26. 2017/12/31 $214.06 $0.75 -5.87% 2,673.61 0.98%
27. 2018/01/31 $242.94 13.49% 2,823.81 5.62%
28. 2018/02/28 $222.02 -8.61% 2,713.83 -3.89%
29. 2018/03/31 $216.70 $0.75 -2.06% 2,640.87 -2.69%
30. 2018/04/30 $231.87 7.00% 2,648.05 0.27%
31. 2018/05/31 $221.59 -4.43% 2,705.27 2.16%
32. 2018/06/30 $239.56 $0.75 8.45% 2,718.37 0.48%
33. 2018/07/31 $250.37 4.51% 2,816.29 3.60%
34. 2018/08/31 $261.87 4.59% 2,901.52 3.03%
35. 2018/09/30 $261.00 $0.75 -0.05% 2,913.98 0.43%
36. 2018/10/31 $230.50 -11.69% 2,711.74 -6.94%
37. 2018/11/30 $252.75 9.65% 2,760.17 1.79%
38. 2018/12/31 $225.32 $0.77 -10.55% 2,506.85 -9.18%
39. 2019/01/31 $249.46 10.71% 2,704.10 7.87%
40. 2019/02/28 $248.79 -0.27% 2,784.49 2.97%
41. 2019/03/31 $249.73 $0.77 0.69% 2,834.40 1.79%
42. 2019/04/30 $240.74 -3.60% 2,945.83 3.93%
43. 2019/05/31 $233.44 -3.03% 2,752.06 -6.58%
44. 2019/06/30 $252.01 $0.77 8.28% 2,941.76 6.89%
45. 2019/07/31 $252.80 0.31% 2,980.38 1.31%
46. 2019/08/31 $253.92 0.44% 2,926.46 -1.81%
47. 2019/09/30 $252.96 $0.77 -0.07% 2,976.74 1.72%
48. 2019/10/31 $256.00 1.20% 3,037.56 2.04%
49. 2019/11/30 $258.50 0.98% 3,140.98 3.40%
50. 2019/12/31 $271.97 $0.79 5.52% 3,230.78 2.86%
51. 2020/01/31 $275.18 1.18% 3,225.52 -0.16%
52. 2020/02/29 $237.82 -13.58% 2,954.22 -8.41%
53. 2020/03/31 $229.77 $0.79 -3.05% 2,584.59 -12.51%
54. 2020/04/30 $252.53 9.91% 2,912.43 12.68%
55. 2020/05/31 $246.93 -2.22% 3,044.31 4.53%
56. 2020/06/30 $239.27 $0.79 -2.78% 3,100.29 1.84%
57. 2020/07/31 $281.34 17.58% 3,271.12 5.51%
58. 2020/08/31 $242.77 -13.71% 3,500.31 7.01%
59. 2020/09/30 $232.68 $0.79 -3.83% 3,363.00 -3.92%
60. 2020/10/31 $231.13 -0.67% 3,269.96 -2.77%
61. 2020/11/30 $234.84 1.61% 3,621.63 10.75%
62. 2020/12/31 $250.22 $0.83 6.90% 3,756.07 3.71%
63. 2021/01/31 $261.79 4.62% 3,714.24 -1.11%
64. 2021/02/28 $241.15 -7.88% 3,811.15 2.61%
65. 2021/03/31 $243.15 $0.83 1.17% 3,972.89 4.24%
66. 2021/04/30 $248.81 2.33% 4,181.17 5.24%
67. 2021/05/31 $241.89 -2.78% 4,204.11 0.55%
68. 2021/06/30 $243.19 $0.83 0.88% 4,297.50 2.22%
69. 2021/07/31 $255.75 5.16% 4,395.26 2.27%
70. 2021/08/31 $251.70 -1.58% 4,522.68 2.90%
71. 2021/09/30 $245.82 $0.83 -2.01% 4,307.54 -4.76%
平均 (R): 1.06% 1.12%
標準偏差: 5.86% 4.19%

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BDX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

Becton, Dickinson & Co.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RBDX,t RS&P 500,t (RBDX,tRBDX)2 (RS&P 500,tRS&P 500)2 (RBDX,tRBDX)×(RS&P 500,tRS&P 500)
1. 2015/11/30 5.42% 0.05% 19.05 1.14 -4.66
2. 2015/12/31 3.00% -1.75% 3.75 8.24 -5.56
3. 2016/01/31 -5.66% -5.07% 45.14 38.33 41.60
. . . . . . .
. . . . . . .
. . . . . . .
70. 2021/08/31 -1.58% 2.90% 6.98 3.17 -4.71
71. 2021/09/30 -2.01% -4.76% 9.40 34.51 18.01
トータル (Σ): 2,401.77 1,226.33 898.82
t 日付 RBDX,t RS&P 500,t (RBDX,tRBDX)2 (RS&P 500,tRS&P 500)2 (RBDX,tRBDX)×(RS&P 500,tRS&P 500)
1. 2015/11/30 5.42% 0.05% 19.05 1.14 -4.66
2. 2015/12/31 3.00% -1.75% 3.75 8.24 -5.56
3. 2016/01/31 -5.66% -5.07% 45.14 38.33 41.60
4. 2016/02/29 1.43% -0.41% 0.14 2.34 -0.57
5. 2016/03/31 3.41% 6.60% 5.53 30.04 12.89
6. 2016/04/30 6.22% 0.27% 26.61 0.72 -4.37
7. 2016/05/31 3.22% 1.53% 4.66 0.17 0.89
8. 2016/06/30 2.28% 0.09% 1.50 1.05 -1.26
9. 2016/07/31 3.78% 3.56% 7.40 5.97 6.65
10. 2016/08/31 0.69% -0.12% 0.14 1.54 0.46
11. 2016/09/30 1.79% -0.12% 0.54 1.54 -0.91
12. 2016/10/31 -6.58% -1.94% 58.31 9.37 23.37
13. 2016/11/30 0.71% 3.42% 0.12 5.29 -0.81
14. 2016/12/31 -1.67% 1.82% 7.44 0.49 -1.91
15. 2017/01/31 7.09% 1.79% 36.39 0.45 4.04
16. 2017/02/28 3.25% 3.72% 4.79 6.77 5.70
17. 2017/03/31 0.61% -0.04% 0.20 1.34 0.52
18. 2017/04/30 1.92% 0.91% 0.75 0.04 -0.18
19. 2017/05/31 1.21% 1.16% 0.02 0.00 0.01
20. 2017/06/30 3.49% 0.48% 5.92 0.41 -1.55
21. 2017/07/31 3.22% 1.93% 4.69 0.67 1.77
22. 2017/08/31 -0.97% 0.05% 4.13 1.13 2.16
23. 2017/09/30 -1.38% 1.93% 5.97 0.66 -1.98
24. 2017/10/31 6.49% 2.22% 29.51 1.21 5.98
25. 2017/11/30 9.36% 2.81% 68.97 2.86 14.04
26. 2017/12/31 -5.87% 0.98% 48.04 0.02 0.93
27. 2018/01/31 13.49% 5.62% 154.56 20.25 55.94
28. 2018/02/28 -8.61% -3.89% 93.52 25.13 48.48
29. 2018/03/31 -2.06% -2.69% 9.72 14.49 11.87
30. 2018/04/30 7.00% 0.27% 35.30 0.72 -5.03
31. 2018/05/31 -4.43% 2.16% 30.17 1.09 -5.73
32. 2018/06/30 8.45% 0.48% 54.59 0.40 -4.68
33. 2018/07/31 4.51% 3.60% 11.92 6.17 8.58
34. 2018/08/31 4.59% 3.03% 12.49 3.64 6.74
35. 2018/09/30 -0.05% 0.43% 1.22 0.47 0.76
36. 2018/10/31 -11.69% -6.94% 162.44 64.94 102.70
37. 2018/11/30 9.65% 1.79% 73.85 0.45 5.74
38. 2018/12/31 -10.55% -9.18% 134.73 106.00 119.50
39. 2019/01/31 10.71% 7.87% 93.21 45.57 65.17
40. 2019/02/28 -0.27% 2.97% 1.76 3.44 -2.46
41. 2019/03/31 0.69% 1.79% 0.14 0.45 -0.25
42. 2019/04/30 -3.60% 3.93% 21.71 7.92 -13.11
43. 2019/05/31 -3.03% -6.58% 16.74 59.22 31.49
44. 2019/06/30 8.28% 6.89% 52.21 33.35 41.73
45. 2019/07/31 0.31% 1.31% 0.56 0.04 -0.15
46. 2019/08/31 0.44% -1.81% 0.38 8.57 1.80
47. 2019/09/30 -0.07% 1.72% 1.29 0.36 -0.68
48. 2019/10/31 1.20% 2.04% 0.02 0.86 0.13
49. 2019/11/30 0.98% 3.40% 0.01 5.23 -0.19
50. 2019/12/31 5.52% 2.86% 19.87 3.03 7.76
51. 2020/01/31 1.18% -0.16% 0.01 1.64 -0.15
52. 2020/02/29 -13.58% -8.41% 214.21 90.80 139.47
53. 2020/03/31 -3.05% -12.51% 16.91 185.77 56.05
54. 2020/04/30 9.91% 12.68% 78.26 133.78 102.32
55. 2020/05/31 -2.22% 4.53% 10.74 11.63 -11.17
56. 2020/06/30 -2.78% 1.84% 14.76 0.52 -2.77
57. 2020/07/31 17.58% 5.51% 273.02 19.29 72.57
58. 2020/08/31 -13.71% 7.01% 218.11 34.67 -86.97
59. 2020/09/30 -3.83% -3.92% 23.91 25.41 24.65
60. 2020/10/31 -0.67% -2.77% 2.98 15.09 6.70
61. 2020/11/30 1.61% 10.75% 0.30 92.86 5.26
62. 2020/12/31 6.90% 3.71% 34.14 6.73 15.16
63. 2021/01/31 4.62% -1.11% 12.71 4.98 -7.96
64. 2021/02/28 -7.88% 2.61% 79.99 2.22 -13.34
65. 2021/03/31 1.17% 4.24% 0.01 9.77 0.36
66. 2021/04/30 2.33% 5.24% 1.61 17.01 5.23
67. 2021/05/31 -2.78% 0.55% 14.75 0.32 2.19
68. 2021/06/30 0.88% 2.22% 0.03 1.22 -0.20
69. 2021/07/31 5.16% 2.27% 16.85 1.34 4.75
70. 2021/08/31 -1.58% 2.90% 6.98 3.17 -4.71
71. 2021/09/30 -2.01% -4.76% 9.40 34.51 18.01
トータル (Σ): 2,401.77 1,226.33 898.82

すべて表示

分散BDX = Σ(RBDX,tRBDX)2 ÷ (71 – 1)
= 2,401.77 ÷ (71 – 1)
= 34.31

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,226.33 ÷ (71 – 1)
= 17.52

共 分散BDX, S&P 500 = Σ(RBDX,tRBDX)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 898.82 ÷ (71 – 1)
= 12.84


システマティックなリスク推定 (β)

Microsoft Excel
分散BDX 34.31
分散S&P 500 17.52
共 分散BDX, S&P 500 12.84
相関係数BDX, S&P 5001 0.52
βBDX2 0.73
αBDX3 0.24%

計算

1 相関係数BDX, S&P 500
= 共 分散BDX, S&P 500 ÷ (標準偏差BDX × 標準偏差S&P 500)
= 12.84 ÷ (5.86% × 4.19%)
= 0.52

2 βBDX
= 共 分散BDX, S&P 500 ÷ 分散S&P 500
= 12.84 ÷ 17.52
= 0.73

3 αBDX
= 平均BDX – βBDX × 平均S&P 500
= 1.06%0.73 × 1.12%
= 0.24%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.85%
市場ポートフォリオの期待収益率2 E(RM) 14.71%
普通株式 BD システマティックリスク βBDX 0.73
 
BD普通株式の期待収益率3 E(RBDX) 12.08%

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(RBDX) = RF + βBDX [E(RM) – RF]
= 4.85% + 0.73 [14.71%4.85%]
= 12.08%