資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、普通株式 Corningのようなリスク資産の予想または必要な収益率を示します。
収益率
Corning Inc.、月間収益率
| Corning Inc. (GLW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GLW,t1 | 配当GLW,t1 | RGLW,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $33.26 | 2,704.10 | ||||
| 1. | 2019/02/28 | $34.81 | $0.20 | 5.26% | 2,784.49 | 2.97% |
| 2. | 2019/03/31 | $33.10 | -4.91% | 2,834.40 | 1.79% | |
| 3. | 2019/04/30 | $31.85 | -3.78% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | $28.49 | $0.28 | 7.51% | 4,567.80 | 8.92% |
| 59. | 2023/12/31 | $30.45 | 6.88% | 4,769.83 | 4.42% | |
| 平均 (R): | 0.45% | 1.11% | ||||
| 標準偏差： | 8.46% | 5.31% | ||||
| Corning Inc. (GLW) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格GLW,t1 | 配当GLW,t1 | RGLW,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2019/01/31 | $33.26 | 2,704.10 | ||||
| 1. | 2019/02/28 | $34.81 | $0.20 | 5.26% | 2,784.49 | 2.97% |
| 2. | 2019/03/31 | $33.10 | -4.91% | 2,834.40 | 1.79% | |
| 3. | 2019/04/30 | $31.85 | -3.78% | 2,945.83 | 3.93% | |
| 4. | 2019/05/31 | $28.84 | $0.20 | -8.82% | 2,752.06 | -6.58% |
| 5. | 2019/06/30 | $33.23 | 15.22% | 2,941.76 | 6.89% | |
| 6. | 2019/07/31 | $30.75 | -7.46% | 2,980.38 | 1.31% | |
| 7. | 2019/08/31 | $27.85 | $0.20 | -8.78% | 2,926.46 | -1.81% |
| 8. | 2019/09/30 | $28.52 | 2.41% | 2,976.74 | 1.72% | |
| 9. | 2019/10/31 | $29.63 | 3.89% | 3,037.56 | 2.04% | |
| 10. | 2019/11/30 | $29.04 | $0.20 | -1.32% | 3,140.98 | 3.40% |
| 11. | 2019/12/31 | $29.11 | 0.24% | 3,230.78 | 2.86% | |
| 12. | 2020/01/31 | $26.69 | -8.31% | 3,225.52 | -0.16% | |
| 13. | 2020/02/29 | $23.86 | $0.22 | -9.78% | 2,954.22 | -8.41% |
| 14. | 2020/03/31 | $20.54 | -13.91% | 2,584.59 | -12.51% | |
| 15. | 2020/04/30 | $22.01 | 7.16% | 2,912.43 | 12.68% | |
| 16. | 2020/05/31 | $22.79 | $0.22 | 4.54% | 3,044.31 | 4.53% |
| 17. | 2020/06/30 | $25.90 | 13.65% | 3,100.29 | 1.84% | |
| 18. | 2020/07/31 | $31.00 | 19.69% | 3,271.12 | 5.51% | |
| 19. | 2020/08/31 | $32.46 | $0.22 | 5.42% | 3,500.31 | 7.01% |
| 20. | 2020/09/30 | $32.41 | -0.15% | 3,363.00 | -3.92% | |
| 21. | 2020/10/31 | $31.97 | -1.36% | 3,269.96 | -2.77% | |
| 22. | 2020/11/30 | $37.42 | $0.22 | 17.74% | 3,621.63 | 10.75% |
| 23. | 2020/12/31 | $36.00 | -3.79% | 3,756.07 | 3.71% | |
| 24. | 2021/01/31 | $35.87 | -0.36% | 3,714.24 | -1.11% | |
| 25. | 2021/02/28 | $38.24 | $0.24 | 7.28% | 3,811.15 | 2.61% |
| 26. | 2021/03/31 | $43.51 | 13.78% | 3,972.89 | 4.24% | |
| 27. | 2021/04/30 | $44.21 | 1.61% | 4,181.17 | 5.24% | |
| 28. | 2021/05/31 | $43.63 | $0.24 | -0.77% | 4,204.11 | 0.55% |
| 29. | 2021/06/30 | $40.90 | -6.26% | 4,297.50 | 2.22% | |
| 30. | 2021/07/31 | $41.86 | 2.35% | 4,395.26 | 2.27% | |
| 31. | 2021/08/31 | $39.99 | $0.24 | -3.89% | 4,522.68 | 2.90% |
| 32. | 2021/09/30 | $36.49 | -8.75% | 4,307.54 | -4.76% | |
| 33. | 2021/10/31 | $35.57 | -2.52% | 4,605.38 | 6.91% | |
| 34. | 2021/11/30 | $37.09 | $0.24 | 4.95% | 4,567.00 | -0.83% |
| 35. | 2021/12/31 | $37.23 | 0.38% | 4,766.18 | 4.36% | |
| 36. | 2022/01/31 | $42.04 | 12.92% | 4,515.55 | -5.26% | |
| 37. | 2022/02/28 | $40.40 | $0.27 | -3.26% | 4,373.94 | -3.14% |
| 38. | 2022/03/31 | $36.91 | -8.64% | 4,530.41 | 3.58% | |
| 39. | 2022/04/30 | $35.19 | -4.66% | 4,131.93 | -8.80% | |
| 40. | 2022/05/31 | $35.82 | $0.27 | 2.56% | 4,132.15 | 0.01% |
| 41. | 2022/06/30 | $31.51 | -12.03% | 3,785.38 | -8.39% | |
| 42. | 2022/07/31 | $36.76 | 16.66% | 4,130.29 | 9.11% | |
| 43. | 2022/08/31 | $34.32 | $0.27 | -5.90% | 3,955.00 | -4.24% |
| 44. | 2022/09/30 | $29.02 | -15.44% | 3,585.62 | -9.34% | |
| 45. | 2022/10/31 | $32.17 | 10.85% | 3,871.98 | 7.99% | |
| 46. | 2022/11/30 | $34.13 | $0.27 | 6.93% | 4,080.11 | 5.38% |
| 47. | 2022/12/31 | $31.94 | -6.42% | 3,839.50 | -5.90% | |
| 48. | 2023/01/31 | $34.61 | 8.36% | 4,076.60 | 6.18% | |
| 49. | 2023/02/28 | $33.95 | $0.28 | -1.10% | 3,970.15 | -2.61% |
| 50. | 2023/03/31 | $35.28 | 3.92% | 4,109.31 | 3.51% | |
| 51. | 2023/04/30 | $33.22 | -5.84% | 4,169.48 | 1.46% | |
| 52. | 2023/05/31 | $30.81 | $0.28 | -6.41% | 4,179.83 | 0.25% |
| 53. | 2023/06/30 | $35.04 | 13.73% | 4,376.86 | 4.71% | |
| 54. | 2023/07/31 | $33.94 | -3.14% | 4,588.96 | 4.85% | |
| 55. | 2023/08/31 | $32.82 | $0.28 | -2.47% | 4,507.66 | -1.77% |
| 56. | 2023/09/30 | $30.47 | -7.16% | 4,288.05 | -4.87% | |
| 57. | 2023/10/31 | $26.76 | -12.18% | 4,193.80 | -2.20% | |
| 58. | 2023/11/30 | $28.49 | $0.28 | 7.51% | 4,567.80 | 8.92% |
| 59. | 2023/12/31 | $30.45 | 6.88% | 4,769.83 | 4.42% | |
| 平均 (R): | 0.45% | 1.11% | ||||
| 標準偏差： | 8.46% | 5.31% | ||||
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GLW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
Corning Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RGLW,t | RS&P 500,t | (RGLW,t–RGLW)2 | (RS&P 500,t–RS&P 500)2 | (RGLW,t–RGLW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 5.26% | 2.97% | 23.19 | 3.49 | 8.99 |
| 2. | 2019/03/31 | -4.91% | 1.79% | 28.71 | 0.47 | -3.68 |
| 3. | 2019/04/30 | -3.78% | 3.93% | 17.82 | 7.98 | -11.93 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2023/11/30 | 7.51% | 8.92% | 49.92 | 61.03 | 55.20 |
| 59. | 2023/12/31 | 6.88% | 4.42% | 41.40 | 11.00 | 21.34 |
| トータル (Σ): | 4,149.94 | 1,634.30 | 1,756.92 | |||
| t | 日付 | RGLW,t | RS&P 500,t | (RGLW,t–RGLW)2 | (RS&P 500,t–RS&P 500)2 | (RGLW,t–RGLW)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2019/02/28 | 5.26% | 2.97% | 23.19 | 3.49 | 8.99 |
| 2. | 2019/03/31 | -4.91% | 1.79% | 28.71 | 0.47 | -3.68 |
| 3. | 2019/04/30 | -3.78% | 3.93% | 17.82 | 7.98 | -11.93 |
| 4. | 2019/05/31 | -8.82% | -6.58% | 85.90 | 59.04 | 71.21 |
| 5. | 2019/06/30 | 15.22% | 6.89% | 218.34 | 33.49 | 85.51 |
| 6. | 2019/07/31 | -7.46% | 1.31% | 62.55 | 0.04 | -1.64 |
| 7. | 2019/08/31 | -8.78% | -1.81% | 85.12 | 8.50 | 26.89 |
| 8. | 2019/09/30 | 2.41% | 1.72% | 3.84 | 0.37 | 1.20 |
| 9. | 2019/10/31 | 3.89% | 2.04% | 11.88 | 0.88 | 3.23 |
| 10. | 2019/11/30 | -1.32% | 3.40% | 3.10 | 5.28 | -4.05 |
| 11. | 2019/12/31 | 0.24% | 2.86% | 0.04 | 3.07 | -0.36 |
| 12. | 2020/01/31 | -8.31% | -0.16% | 76.72 | 1.61 | 11.11 |
| 13. | 2020/02/29 | -9.78% | -8.41% | 104.54 | 90.57 | 97.31 |
| 14. | 2020/03/31 | -13.91% | -12.51% | 206.21 | 185.44 | 195.55 |
| 15. | 2020/04/30 | 7.16% | 12.68% | 45.04 | 134.06 | 77.71 |
| 16. | 2020/05/31 | 4.54% | 4.53% | 16.79 | 11.71 | 14.02 |
| 17. | 2020/06/30 | 13.65% | 1.84% | 174.26 | 0.54 | 9.68 |
| 18. | 2020/07/31 | 19.69% | 5.51% | 370.39 | 19.40 | 84.76 |
| 19. | 2020/08/31 | 5.42% | 7.01% | 24.74 | 34.82 | 29.35 |
| 20. | 2020/09/30 | -0.15% | -3.92% | 0.36 | 25.29 | 3.01 |
| 21. | 2020/10/31 | -1.36% | -2.77% | 3.25 | 15.00 | 6.98 |
| 22. | 2020/11/30 | 17.74% | 10.75% | 298.94 | 93.10 | 166.83 |
| 23. | 2020/12/31 | -3.79% | 3.71% | 17.98 | 6.79 | -11.05 |
| 24. | 2021/01/31 | -0.36% | -1.11% | 0.65 | 4.93 | 1.79 |
| 25. | 2021/02/28 | 7.28% | 2.61% | 46.66 | 2.26 | 10.27 |
| 26. | 2021/03/31 | 13.78% | 4.24% | 177.85 | 9.85 | 41.85 |
| 27. | 2021/04/30 | 1.61% | 5.24% | 1.35 | 17.11 | 4.81 |
| 28. | 2021/05/31 | -0.77% | 0.55% | 1.48 | 0.31 | 0.68 |
| 29. | 2021/06/30 | -6.26% | 2.22% | 44.93 | 1.24 | -7.48 |
| 30. | 2021/07/31 | 2.35% | 2.27% | 3.62 | 1.37 | 2.22 |
| 31. | 2021/08/31 | -3.89% | 2.90% | 18.83 | 3.22 | -7.78 |
| 32. | 2021/09/30 | -8.75% | -4.76% | 84.60 | 34.37 | 53.92 |
| 33. | 2021/10/31 | -2.52% | 6.91% | 8.80 | 33.74 | -17.23 |
| 34. | 2021/11/30 | 4.95% | -0.83% | 20.27 | 3.76 | -8.73 |
| 35. | 2021/12/31 | 0.38% | 4.36% | 0.00 | 10.60 | -0.22 |
| 36. | 2022/01/31 | 12.92% | -5.26% | 155.61 | 40.51 | -79.39 |
| 37. | 2022/02/28 | -3.26% | -3.14% | 13.72 | 17.99 | 15.71 |
| 38. | 2022/03/31 | -8.64% | 3.58% | 82.52 | 6.11 | -22.45 |
| 39. | 2022/04/30 | -4.66% | -8.80% | 26.07 | 98.04 | 50.55 |
| 40. | 2022/05/31 | 2.56% | 0.01% | 4.46 | 1.21 | -2.32 |
| 41. | 2022/06/30 | -12.03% | -8.39% | 155.70 | 90.21 | 118.51 |
| 42. | 2022/07/31 | 16.66% | 9.11% | 262.95 | 64.09 | 129.82 |
| 43. | 2022/08/31 | -5.90% | -4.24% | 40.31 | 28.62 | 33.96 |
| 44. | 2022/09/30 | -15.44% | -9.34% | 252.44 | 109.11 | 165.96 |
| 45. | 2022/10/31 | 10.85% | 7.99% | 108.35 | 47.34 | 71.62 |
| 46. | 2022/11/30 | 6.93% | 5.38% | 42.07 | 18.23 | 27.69 |
| 47. | 2022/12/31 | -6.42% | -5.90% | 47.09 | 49.04 | 48.06 |
| 48. | 2023/01/31 | 8.36% | 6.18% | 62.63 | 25.70 | 40.12 |
| 49. | 2023/02/28 | -1.10% | -2.61% | 2.38 | 13.82 | 5.74 |
| 50. | 2023/03/31 | 3.92% | 3.51% | 12.05 | 5.76 | 8.33 |
| 51. | 2023/04/30 | -5.84% | 1.46% | 39.50 | 0.13 | -2.25 |
| 52. | 2023/05/31 | -6.41% | 0.25% | 47.02 | 0.74 | 5.88 |
| 53. | 2023/06/30 | 13.73% | 4.71% | 176.46 | 13.02 | 47.93 |
| 54. | 2023/07/31 | -3.14% | 4.85% | 12.85 | 13.99 | -13.41 |
| 55. | 2023/08/31 | -2.47% | -1.77% | 8.53 | 8.28 | 8.40 |
| 56. | 2023/09/30 | -7.16% | -4.87% | 57.85 | 35.73 | 45.47 |
| 57. | 2023/10/31 | -12.18% | -2.20% | 159.30 | 10.92 | 41.70 |
| 58. | 2023/11/30 | 7.51% | 8.92% | 49.92 | 61.03 | 55.20 |
| 59. | 2023/12/31 | 6.88% | 4.42% | 41.40 | 11.00 | 21.34 |
| トータル (Σ): | 4,149.94 | 1,634.30 | 1,756.92 | |||
すべて表示
分散GLW = Σ(RGLW,t–RGLW)2 ÷ (59 – 1)
= 4,149.94 ÷ (59 – 1)
= 71.55
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散GLW, S&P 500 = Σ(RGLW,t–RGLW)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,756.92 ÷ (59 – 1)
= 30.29
システマティックなリスク推定 (β)
| 分散GLW | 71.55 |
| 分散S&P 500 | 28.18 |
| 共 分散GLW, S&P 500 | 30.29 |
| 相関係数GLW, S&P 5001 | 0.67 |
| βGLW2 | 1.08 |
| αGLW3 | -0.74% |
計算
1 相関係数GLW, S&P 500
= 共 分散GLW, S&P 500 ÷ (標準偏差GLW × 標準偏差S&P 500)
= 30.29 ÷ (8.46% × 5.31%)
= 0.67
2 βGLW
= 共 分散GLW, S&P 500 ÷ 分散S&P 500
= 30.29 ÷ 28.18
= 1.08
3 αGLW
= 平均GLW – βGLW × 平均S&P 500
= 0.45% – 1.08 × 1.11%
= -0.74%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.67% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.79% |
| 普通株式のシステマティックリスクCorning | βGLW | 1.08 |
| コーニング普通株式の予想収益率3 | E(RGLW) | 14.47% |
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(RGLW) = RF + βGLW [E(RM) – RF]
= 4.67% + 1.08 [13.79% – 4.67%]
= 14.47%