資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 BMS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
Bristol-Myers Squibb Co.、月間収益率
| Bristol-Myers Squibb Co. (BMY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格BMY,t1 | 配当BMY,t1 | RBMY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $61.43 | 3,714.24 | ||||
| 1. | 2021/02/28 | $61.33 | -0.16% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $63.13 | $0.49 | 3.73% | 3,972.89 | 4.24% |
| 3. | 2021/04/30 | $62.42 | -1.12% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $49.20 | 6.79% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $53.94 | 9.63% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.33% | 1.14% | ||||
| 標準偏差： | 6.79% | 4.37% | ||||
| Bristol-Myers Squibb Co. (BMY) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格BMY,t1 | 配当BMY,t1 | RBMY,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $61.43 | 3,714.24 | ||||
| 1. | 2021/02/28 | $61.33 | -0.16% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $63.13 | $0.49 | 3.73% | 3,972.89 | 4.24% |
| 3. | 2021/04/30 | $62.42 | -1.12% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $65.72 | 5.29% | 4,204.11 | 0.55% | |
| 5. | 2021/06/30 | $66.82 | 1.67% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $67.87 | $0.49 | 2.30% | 4,395.26 | 2.27% |
| 7. | 2021/08/31 | $66.86 | -1.49% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $59.17 | $0.49 | -10.77% | 4,307.54 | -4.76% |
| 9. | 2021/10/31 | $58.40 | -1.30% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $53.63 | -8.17% | 4,567.00 | -0.83% | |
| 11. | 2021/12/31 | $62.35 | 16.26% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $64.89 | $0.54 | 4.94% | 4,515.55 | -5.26% |
| 13. | 2022/02/28 | $68.67 | 5.83% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $73.03 | $0.54 | 7.14% | 4,530.41 | 3.58% |
| 15. | 2022/04/30 | $75.27 | 3.07% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $75.45 | 0.24% | 4,132.15 | 0.01% | |
| 17. | 2022/06/30 | $77.00 | $0.54 | 2.77% | 3,785.38 | -8.39% |
| 18. | 2022/07/31 | $73.78 | -4.18% | 4,130.29 | 9.11% | |
| 19. | 2022/08/31 | $67.41 | -8.63% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $71.09 | 5.46% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $77.47 | $0.54 | 9.73% | 3,871.98 | 7.99% |
| 22. | 2022/11/30 | $80.28 | 3.63% | 4,080.11 | 5.38% | |
| 23. | 2022/12/31 | $71.95 | -10.38% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $72.65 | $0.57 | 1.77% | 4,076.60 | 6.18% |
| 25. | 2023/02/28 | $68.96 | -5.08% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $69.31 | 0.51% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $66.77 | $0.57 | -2.84% | 4,169.48 | 1.46% |
| 28. | 2023/05/31 | $64.44 | -3.49% | 4,179.83 | 0.25% | |
| 29. | 2023/06/30 | $63.95 | -0.76% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $62.19 | $0.57 | -1.86% | 4,588.96 | 4.85% |
| 31. | 2023/08/31 | $61.65 | -0.87% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $58.04 | -5.86% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $51.53 | $0.57 | -10.23% | 4,193.80 | -2.20% |
| 34. | 2023/11/30 | $49.38 | -4.17% | 4,567.80 | 8.92% | |
| 35. | 2023/12/31 | $51.31 | 3.91% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $48.87 | $0.60 | -3.59% | 4,845.65 | 1.59% |
| 37. | 2024/02/29 | $50.75 | 3.85% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $54.23 | 6.86% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $43.94 | $0.60 | -17.87% | 5,035.69 | -4.16% |
| 40. | 2024/05/31 | $41.09 | -6.49% | 5,277.51 | 4.80% | |
| 41. | 2024/06/30 | $41.53 | 1.07% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $47.56 | $0.60 | 15.96% | 5,522.30 | 1.13% |
| 43. | 2024/08/31 | $49.95 | 5.03% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $51.74 | 3.58% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $55.77 | $0.60 | 8.95% | 5,705.45 | -0.99% |
| 46. | 2024/11/30 | $59.22 | 6.19% | 6,032.38 | 5.73% | |
| 47. | 2024/12/31 | $56.56 | -4.49% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $58.95 | $0.62 | 5.32% | 6,040.53 | 2.70% |
| 49. | 2025/02/28 | $59.62 | 1.14% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $60.99 | 2.30% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $50.20 | $0.62 | -16.67% | 5,569.06 | -0.76% |
| 52. | 2025/05/31 | $48.28 | -3.82% | 5,911.69 | 6.15% | |
| 53. | 2025/06/30 | $46.29 | -4.12% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $43.31 | $0.62 | -5.10% | 6,339.39 | 2.17% |
| 55. | 2025/08/31 | $47.18 | 8.94% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $45.10 | -4.41% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $46.07 | $0.62 | 3.53% | 6,840.20 | 2.27% |
| 58. | 2025/11/30 | $49.20 | 6.79% | 6,849.09 | 0.13% | |
| 59. | 2025/12/31 | $53.94 | 9.63% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.33% | 1.14% | ||||
| 標準偏差： | 6.79% | 4.37% | ||||
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BMY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
Bristol-Myers Squibb Co.、分散の計算、および戻り値の共分散
| t | 日付 | RBMY,t | RS&P 500,t | (RBMY,t–RBMY)2 | (RS&P 500,t–RS&P 500)2 | (RBMY,t–RBMY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -0.16% | 2.61% | 0.24 | 2.17 | -0.73 |
| 2. | 2021/03/31 | 3.73% | 4.24% | 11.59 | 9.66 | 10.58 |
| 3. | 2021/04/30 | -1.12% | 5.24% | 2.11 | 16.86 | -5.97 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | 6.79% | 0.13% | 41.79 | 1.01 | -6.50 |
| 59. | 2025/12/31 | 9.63% | -0.05% | 86.58 | 1.41 | -11.06 |
| トータル (Σ): | 2,675.48 | 1,108.23 | 316.99 | |||
| t | 日付 | RBMY,t | RS&P 500,t | (RBMY,t–RBMY)2 | (RS&P 500,t–RS&P 500)2 | (RBMY,t–RBMY)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -0.16% | 2.61% | 0.24 | 2.17 | -0.73 |
| 2. | 2021/03/31 | 3.73% | 4.24% | 11.59 | 9.66 | 10.58 |
| 3. | 2021/04/30 | -1.12% | 5.24% | 2.11 | 16.86 | -5.97 |
| 4. | 2021/05/31 | 5.29% | 0.55% | 24.58 | 0.35 | -2.91 |
| 5. | 2021/06/30 | 1.67% | 2.22% | 1.81 | 1.18 | 1.46 |
| 6. | 2021/07/31 | 2.30% | 2.27% | 3.90 | 1.30 | 2.25 |
| 7. | 2021/08/31 | -1.49% | 2.90% | 3.30 | 3.11 | -3.20 |
| 8. | 2021/09/30 | -10.77% | -4.76% | 123.17 | 34.73 | 65.40 |
| 9. | 2021/10/31 | -1.30% | 6.91% | 2.66 | 33.39 | -9.42 |
| 10. | 2021/11/30 | -8.17% | -0.83% | 72.20 | 3.88 | 16.74 |
| 11. | 2021/12/31 | 16.26% | 4.36% | 253.77 | 10.40 | 51.38 |
| 12. | 2022/01/31 | 4.94% | -5.26% | 21.26 | 40.89 | -29.48 |
| 13. | 2022/02/28 | 5.83% | -3.14% | 30.20 | 18.25 | -23.48 |
| 14. | 2022/03/31 | 7.14% | 3.58% | 46.32 | 5.96 | 16.62 |
| 15. | 2022/04/30 | 3.07% | -8.80% | 7.50 | 98.64 | -27.19 |
| 16. | 2022/05/31 | 0.24% | 0.01% | 0.01 | 1.28 | 0.10 |
| 17. | 2022/06/30 | 2.77% | -8.39% | 5.96 | 90.79 | -23.25 |
| 18. | 2022/07/31 | -4.18% | 9.11% | 20.35 | 63.61 | -35.98 |
| 19. | 2022/08/31 | -8.63% | -4.24% | 80.34 | 28.95 | 48.22 |
| 20. | 2022/09/30 | 5.46% | -9.34% | 26.31 | 109.74 | -53.74 |
| 21. | 2022/10/31 | 9.73% | 7.99% | 88.45 | 46.93 | 64.42 |
| 22. | 2022/11/30 | 3.63% | 5.38% | 10.88 | 17.97 | 13.98 |
| 23. | 2022/12/31 | -10.38% | -5.90% | 114.61 | 49.47 | 75.30 |
| 24. | 2023/01/31 | 1.77% | 6.18% | 2.06 | 25.39 | 7.23 |
| 25. | 2023/02/28 | -5.08% | -2.61% | 29.25 | 14.04 | 20.27 |
| 26. | 2023/03/31 | 0.51% | 3.51% | 0.03 | 5.61 | 0.42 |
| 27. | 2023/04/30 | -2.84% | 1.46% | 10.06 | 0.11 | -1.04 |
| 28. | 2023/05/31 | -3.49% | 0.25% | 14.59 | 0.79 | 3.39 |
| 29. | 2023/06/30 | -0.76% | 4.71% | 1.19 | 12.80 | -3.90 |
| 30. | 2023/07/31 | -1.86% | 4.85% | 4.80 | 13.76 | -8.13 |
| 31. | 2023/08/31 | -0.87% | -1.77% | 1.43 | 8.46 | 3.48 |
| 32. | 2023/09/30 | -5.86% | -4.87% | 38.26 | 36.10 | 37.16 |
| 33. | 2023/10/31 | -10.23% | -2.20% | 111.59 | 11.12 | 35.22 |
| 34. | 2023/11/30 | -4.17% | 8.92% | 20.27 | 60.56 | -35.03 |
| 35. | 2023/12/31 | 3.91% | 4.42% | 12.81 | 10.80 | 11.76 |
| 36. | 2024/01/31 | -3.59% | 1.59% | 15.33 | 0.21 | -1.78 |
| 37. | 2024/02/29 | 3.85% | 5.17% | 12.37 | 16.29 | 14.20 |
| 38. | 2024/03/31 | 6.86% | 3.10% | 42.61 | 3.86 | 12.83 |
| 39. | 2024/04/30 | -17.87% | -4.16% | 331.16 | 28.06 | 96.41 |
| 40. | 2024/05/31 | -6.49% | 4.80% | 46.45 | 13.44 | -24.99 |
| 41. | 2024/06/30 | 1.07% | 3.47% | 0.55 | 5.43 | 1.73 |
| 42. | 2024/07/31 | 15.96% | 1.13% | 244.45 | 0.00 | -0.06 |
| 43. | 2024/08/31 | 5.03% | 2.28% | 22.05 | 1.32 | 5.39 |
| 44. | 2024/09/30 | 3.58% | 2.02% | 10.59 | 0.78 | 2.88 |
| 45. | 2024/10/31 | 8.95% | -0.99% | 74.29 | 4.52 | -18.32 |
| 46. | 2024/11/30 | 6.19% | 5.73% | 34.30 | 21.10 | 26.91 |
| 47. | 2024/12/31 | -4.49% | -2.50% | 23.24 | 13.21 | 17.53 |
| 48. | 2025/01/31 | 5.32% | 2.70% | 24.92 | 2.45 | 7.82 |
| 49. | 2025/02/28 | 1.14% | -1.42% | 0.65 | 6.56 | -2.07 |
| 50. | 2025/03/31 | 2.30% | -5.75% | 3.87 | 47.48 | -13.56 |
| 51. | 2025/04/30 | -16.67% | -0.76% | 289.15 | 3.60 | 32.28 |
| 52. | 2025/05/31 | -3.82% | 6.15% | 17.26 | 25.16 | -20.84 |
| 53. | 2025/06/30 | -4.12% | 4.96% | 19.81 | 14.63 | -17.02 |
| 54. | 2025/07/31 | -5.10% | 2.17% | 29.46 | 1.06 | -5.59 |
| 55. | 2025/08/31 | 8.94% | 1.91% | 74.07 | 0.59 | 6.63 |
| 56. | 2025/09/30 | -4.41% | 3.53% | 22.45 | 5.74 | -11.35 |
| 57. | 2025/10/31 | 3.53% | 2.27% | 10.21 | 1.28 | 3.62 |
| 58. | 2025/11/30 | 6.79% | 0.13% | 41.79 | 1.01 | -6.50 |
| 59. | 2025/12/31 | 9.63% | -0.05% | 86.58 | 1.41 | -11.06 |
| トータル (Σ): | 2,675.48 | 1,108.23 | 316.99 | |||
すべて表示
分散BMY = Σ(RBMY,t–RBMY)2 ÷ (59 – 1)
= 2,675.48 ÷ (59 – 1)
= 46.13
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散BMY, S&P 500 = Σ(RBMY,t–RBMY)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 316.99 ÷ (59 – 1)
= 5.47
システマティックなリスク推定 (β)
| 分散BMY | 46.13 |
| 分散S&P 500 | 19.11 |
| 共 分散BMY, S&P 500 | 5.47 |
| 相関係数BMY, S&P 5001 | 0.18 |
| βBMY2 | 0.29 |
| αBMY3 | 0.00% |
計算
1 相関係数BMY, S&P 500
= 共 分散BMY, S&P 500 ÷ (標準偏差BMY × 標準偏差S&P 500)
= 5.47 ÷ (6.79% × 4.37%)
= 0.18
2 βBMY
= 共 分散BMY, S&P 500 ÷ 分散S&P 500
= 5.47 ÷ 19.11
= 0.29
3 αBMY
= 平均BMY – βBMY × 平均S&P 500
= 0.33% – 0.29 × 1.14%
= 0.00%
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) | 17.36% |
| 普通株式 BMS システマティックリスク | βBMY | 0.29 |
| BMS普通株式の期待収益率3 | E(RBMY) | 8.42% |
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(RBMY) = RF + βBMY [E(RM) – RF]
= 4.84% + 0.29 [17.36% – 4.84%]
= 8.42%