資本資産価格モデル (CAPM)
資本資産価格モデル(CAPM)は、 Kimberly-Clark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
Kimberly-Clark Corp.、月間収益率
| Kimberly-Clark Corp. (KMB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格KMB,t1 | 配当KMB,t1 | RKMB,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2016/01/31 | $128.42 | 1,940.24 | ||||
| 1. | 2016/02/29 | $130.30 | 1.46% | 1,932.23 | -0.41% | |
| 2. | 2016/03/31 | $134.51 | $0.92 | 3.94% | 2,059.74 | 6.60% |
| 3. | 2016/04/30 | $125.19 | -6.93% | 2,065.30 | 0.27% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2020/11/30 | $139.31 | 5.07% | 3,621.63 | 10.75% | |
| 59. | 2020/12/31 | $134.83 | $1.07 | -2.45% | 3,756.07 | 3.71% |
| 平均 (R): | 0.47% | 1.22% | ||||
| 標準偏差： | 4.97% | 4.36% | ||||
| Kimberly-Clark Corp. (KMB) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格KMB,t1 | 配当KMB,t1 | RKMB,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2016/01/31 | $128.42 | 1,940.24 | ||||
| 1. | 2016/02/29 | $130.30 | 1.46% | 1,932.23 | -0.41% | |
| 2. | 2016/03/31 | $134.51 | $0.92 | 3.94% | 2,059.74 | 6.60% |
| 3. | 2016/04/30 | $125.19 | -6.93% | 2,065.30 | 0.27% | |
| 4. | 2016/05/31 | $127.04 | 1.48% | 2,096.95 | 1.53% | |
| 5. | 2016/06/30 | $137.48 | $0.92 | 8.94% | 2,098.86 | 0.09% |
| 6. | 2016/07/31 | $129.55 | -5.77% | 2,173.60 | 3.56% | |
| 7. | 2016/08/31 | $128.06 | -1.15% | 2,170.95 | -0.12% | |
| 8. | 2016/09/30 | $126.14 | $0.92 | -0.78% | 2,168.27 | -0.12% |
| 9. | 2016/10/31 | $114.41 | -9.30% | 2,126.15 | -1.94% | |
| 10. | 2016/11/30 | $115.61 | 1.05% | 2,198.81 | 3.42% | |
| 11. | 2016/12/31 | $114.12 | $0.92 | -0.49% | 2,238.83 | 1.82% |
| 12. | 2017/01/31 | $121.13 | 6.14% | 2,278.87 | 1.79% | |
| 13. | 2017/02/28 | $132.55 | 9.43% | 2,363.64 | 3.72% | |
| 14. | 2017/03/31 | $131.63 | $0.97 | 0.04% | 2,362.72 | -0.04% |
| 15. | 2017/04/30 | $129.75 | -1.43% | 2,384.20 | 0.91% | |
| 16. | 2017/05/31 | $129.73 | -0.02% | 2,411.80 | 1.16% | |
| 17. | 2017/06/30 | $129.11 | $0.97 | 0.27% | 2,423.41 | 0.48% |
| 18. | 2017/07/31 | $123.16 | -4.61% | 2,470.30 | 1.93% | |
| 19. | 2017/08/31 | $123.29 | 0.11% | 2,471.65 | 0.05% | |
| 20. | 2017/09/30 | $117.68 | $0.97 | -3.76% | 2,519.36 | 1.93% |
| 21. | 2017/10/31 | $112.51 | -4.39% | 2,575.26 | 2.22% | |
| 22. | 2017/11/30 | $119.76 | 6.44% | 2,647.58 | 2.81% | |
| 23. | 2017/12/31 | $120.66 | $0.97 | 1.56% | 2,673.61 | 0.98% |
| 24. | 2018/01/31 | $117.00 | -3.03% | 2,823.81 | 5.62% | |
| 25. | 2018/02/28 | $110.92 | -5.20% | 2,713.83 | -3.89% | |
| 26. | 2018/03/31 | $110.13 | $1.00 | 0.19% | 2,640.87 | -2.69% |
| 27. | 2018/04/30 | $103.54 | -5.98% | 2,648.05 | 0.27% | |
| 28. | 2018/05/31 | $100.85 | -2.60% | 2,705.27 | 2.16% | |
| 29. | 2018/06/30 | $105.34 | $1.00 | 5.44% | 2,718.37 | 0.48% |
| 30. | 2018/07/31 | $113.86 | 8.09% | 2,816.29 | 3.60% | |
| 31. | 2018/08/31 | $115.54 | 1.48% | 2,901.52 | 3.03% | |
| 32. | 2018/09/30 | $113.64 | $1.00 | -0.78% | 2,913.98 | 0.43% |
| 33. | 2018/10/31 | $104.30 | -8.22% | 2,711.74 | -6.94% | |
| 34. | 2018/11/30 | $115.37 | 10.61% | 2,760.17 | 1.79% | |
| 35. | 2018/12/31 | $113.94 | $1.00 | -0.37% | 2,506.85 | -9.18% |
| 36. | 2019/01/31 | $111.38 | -2.25% | 2,704.10 | 7.87% | |
| 37. | 2019/02/28 | $116.83 | 4.89% | 2,784.49 | 2.97% | |
| 38. | 2019/03/31 | $123.90 | $1.03 | 6.93% | 2,834.40 | 1.79% |
| 39. | 2019/04/30 | $128.38 | 3.62% | 2,945.83 | 3.93% | |
| 40. | 2019/05/31 | $127.89 | -0.38% | 2,752.06 | -6.58% | |
| 41. | 2019/06/30 | $133.28 | $1.03 | 5.02% | 2,941.76 | 6.89% |
| 42. | 2019/07/31 | $135.65 | 1.78% | 2,980.38 | 1.31% | |
| 43. | 2019/08/31 | $141.11 | 4.03% | 2,926.46 | -1.81% | |
| 44. | 2019/09/30 | $142.05 | $1.03 | 1.40% | 2,976.74 | 1.72% |
| 45. | 2019/10/31 | $132.88 | -6.46% | 3,037.56 | 2.04% | |
| 46. | 2019/11/30 | $136.34 | 2.60% | 3,140.98 | 3.40% | |
| 47. | 2019/12/31 | $137.55 | $1.03 | 1.64% | 3,230.78 | 2.86% |
| 48. | 2020/01/31 | $143.24 | 4.14% | 3,225.52 | -0.16% | |
| 49. | 2020/02/29 | $131.19 | -8.41% | 2,954.22 | -8.41% | |
| 50. | 2020/03/31 | $127.87 | $1.07 | -1.72% | 2,584.59 | -12.51% |
| 51. | 2020/04/30 | $138.48 | 8.30% | 2,912.43 | 12.68% | |
| 52. | 2020/05/31 | $141.44 | 2.14% | 3,044.31 | 4.53% | |
| 53. | 2020/06/30 | $141.35 | $1.07 | 0.69% | 3,100.29 | 1.84% |
| 54. | 2020/07/31 | $152.04 | 7.56% | 3,271.12 | 5.51% | |
| 55. | 2020/08/31 | $157.76 | 3.76% | 3,500.31 | 7.01% | |
| 56. | 2020/09/30 | $147.66 | $1.07 | -5.72% | 3,363.00 | -3.92% |
| 57. | 2020/10/31 | $132.59 | -10.21% | 3,269.96 | -2.77% | |
| 58. | 2020/11/30 | $139.31 | 5.07% | 3,621.63 | 10.75% | |
| 59. | 2020/12/31 | $134.83 | $1.07 | -2.45% | 3,756.07 | 3.71% |
| 平均 (R): | 0.47% | 1.22% | ||||
| 標準偏差： | 4.97% | 4.36% | ||||
すべて表示
1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。
2 期間 tにおけるKMB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プロキシ)の収益率。
分散と共分散
Kimberly-Clark Corp.、分散の計算、および戻り値の共分散
| t | 日付 | RKMB,t | RS&P 500,t | (RKMB,t–RKMB)2 | (RS&P 500,t–RS&P 500)2 | (RKMB,t–RKMB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016/02/29 | 1.46% | -0.41% | 0.98 | 2.67 | -1.62 |
| 2. | 2016/03/31 | 3.94% | 6.60% | 12.01 | 28.93 | 18.64 |
| 3. | 2016/04/30 | -6.93% | 0.27% | 54.77 | 0.90 | 7.03 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2020/11/30 | 5.07% | 10.75% | 21.13 | 90.91 | 43.83 |
| 59. | 2020/12/31 | -2.45% | 3.71% | 8.52 | 6.21 | -7.28 |
| トータル (Σ): | 1,434.68 | 1,103.45 | 572.75 | |||
| t | 日付 | RKMB,t | RS&P 500,t | (RKMB,t–RKMB)2 | (RS&P 500,t–RS&P 500)2 | (RKMB,t–RKMB)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2016/02/29 | 1.46% | -0.41% | 0.98 | 2.67 | -1.62 |
| 2. | 2016/03/31 | 3.94% | 6.60% | 12.01 | 28.93 | 18.64 |
| 3. | 2016/04/30 | -6.93% | 0.27% | 54.77 | 0.90 | 7.03 |
| 4. | 2016/05/31 | 1.48% | 1.53% | 1.01 | 0.10 | 0.31 |
| 5. | 2016/06/30 | 8.94% | 0.09% | 71.75 | 1.27 | -9.56 |
| 6. | 2016/07/31 | -5.77% | 3.56% | 38.94 | 5.48 | -14.61 |
| 7. | 2016/08/31 | -1.15% | -0.12% | 2.63 | 1.80 | 2.18 |
| 8. | 2016/09/30 | -0.78% | -0.12% | 1.57 | 1.81 | 1.68 |
| 9. | 2016/10/31 | -9.30% | -1.94% | 95.47 | 10.00 | 30.90 |
| 10. | 2016/11/30 | 1.05% | 3.42% | 0.33 | 4.83 | 1.27 |
| 11. | 2016/12/31 | -0.49% | 1.82% | 0.93 | 0.36 | -0.58 |
| 12. | 2017/01/31 | 6.14% | 1.79% | 32.16 | 0.32 | 3.22 |
| 13. | 2017/02/28 | 9.43% | 3.72% | 80.21 | 6.25 | 22.39 |
| 14. | 2017/03/31 | 0.04% | -0.04% | 0.19 | 1.59 | 0.55 |
| 15. | 2017/04/30 | -1.43% | 0.91% | 3.61 | 0.10 | 0.59 |
| 16. | 2017/05/31 | -0.02% | 1.16% | 0.24 | 0.00 | 0.03 |
| 17. | 2017/06/30 | 0.27% | 0.48% | 0.04 | 0.55 | 0.15 |
| 18. | 2017/07/31 | -4.61% | 1.93% | 25.81 | 0.51 | -3.63 |
| 19. | 2017/08/31 | 0.11% | 0.05% | 0.13 | 1.36 | 0.43 |
| 20. | 2017/09/30 | -3.76% | 1.93% | 17.94 | 0.50 | -3.01 |
| 21. | 2017/10/31 | -4.39% | 2.22% | 23.67 | 1.00 | -4.86 |
| 22. | 2017/11/30 | 6.44% | 2.81% | 35.67 | 2.52 | 9.48 |
| 23. | 2017/12/31 | 1.56% | 0.98% | 1.19 | 0.06 | -0.26 |
| 24. | 2018/01/31 | -3.03% | 5.62% | 12.29 | 19.34 | -15.41 |
| 25. | 2018/02/28 | -5.20% | -3.89% | 32.13 | 26.16 | 28.99 |
| 26. | 2018/03/31 | 0.19% | -2.69% | 0.08 | 15.28 | 1.10 |
| 27. | 2018/04/30 | -5.98% | 0.27% | 41.67 | 0.90 | 6.12 |
| 28. | 2018/05/31 | -2.60% | 2.16% | 9.42 | 0.89 | -2.89 |
| 29. | 2018/06/30 | 5.44% | 0.48% | 24.72 | 0.54 | -3.66 |
| 30. | 2018/07/31 | 8.09% | 3.60% | 58.01 | 5.67 | 18.14 |
| 31. | 2018/08/31 | 1.48% | 3.03% | 1.01 | 3.26 | 1.81 |
| 32. | 2018/09/30 | -0.78% | 0.43% | 1.56 | 0.63 | 0.99 |
| 33. | 2018/10/31 | -8.22% | -6.94% | 75.53 | 66.59 | 70.92 |
| 34. | 2018/11/30 | 10.61% | 1.79% | 102.86 | 0.32 | 5.74 |
| 35. | 2018/12/31 | -0.37% | -9.18% | 0.71 | 108.11 | 8.78 |
| 36. | 2019/01/31 | -2.25% | 7.87% | 7.39 | 44.20 | -18.07 |
| 37. | 2019/02/28 | 4.89% | 2.97% | 19.55 | 3.07 | 7.75 |
| 38. | 2019/03/31 | 6.93% | 1.79% | 41.75 | 0.33 | 3.70 |
| 39. | 2019/04/30 | 3.62% | 3.93% | 9.89 | 7.35 | 8.52 |
| 40. | 2019/05/31 | -0.38% | -6.58% | 0.73 | 60.81 | 6.66 |
| 41. | 2019/06/30 | 5.02% | 6.89% | 20.69 | 32.18 | 25.80 |
| 42. | 2019/07/31 | 1.78% | 1.31% | 1.71 | 0.01 | 0.12 |
| 43. | 2019/08/31 | 4.03% | -1.81% | 12.63 | 9.18 | -10.76 |
| 44. | 2019/09/30 | 1.40% | 1.72% | 0.85 | 0.25 | 0.46 |
| 45. | 2019/10/31 | -6.46% | 2.04% | 47.99 | 0.68 | -5.70 |
| 46. | 2019/11/30 | 2.60% | 3.40% | 4.55 | 4.77 | 4.66 |
| 47. | 2019/12/31 | 1.64% | 2.86% | 1.37 | 2.69 | 1.92 |
| 48. | 2020/01/31 | 4.14% | -0.16% | 13.43 | 1.91 | -5.07 |
| 49. | 2020/02/29 | -8.41% | -8.41% | 78.93 | 92.76 | 85.56 |
| 50. | 2020/03/31 | -1.72% | -12.51% | 4.78 | 188.57 | 30.03 |
| 51. | 2020/04/30 | 8.30% | 12.68% | 61.24 | 131.43 | 89.72 |
| 52. | 2020/05/31 | 2.14% | 4.53% | 2.77 | 10.94 | 5.51 |
| 53. | 2020/06/30 | 0.69% | 1.84% | 0.05 | 0.38 | 0.14 |
| 54. | 2020/07/31 | 7.56% | 5.51% | 50.28 | 18.40 | 30.42 |
| 55. | 2020/08/31 | 3.76% | 7.01% | 10.83 | 33.48 | 19.04 |
| 56. | 2020/09/30 | -5.72% | -3.92% | 38.39 | 26.45 | 31.86 |
| 57. | 2020/10/31 | -10.21% | -2.77% | 114.01 | 15.89 | 42.57 |
| 58. | 2020/11/30 | 5.07% | 10.75% | 21.13 | 90.91 | 43.83 |
| 59. | 2020/12/31 | -2.45% | 3.71% | 8.52 | 6.21 | -7.28 |
| トータル (Σ): | 1,434.68 | 1,103.45 | 572.75 | |||
すべて表示
分散KMB = Σ(RKMB,t–RKMB)2 ÷ (59 – 1)
= 1,434.68 ÷ (59 – 1)
= 24.74
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,103.45 ÷ (59 – 1)
= 19.02
共 分散KMB, S&P 500 = Σ(RKMB,t–RKMB)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 572.75 ÷ (59 – 1)
= 9.88
システマティックリスク推定 (β)
| 分散KMB | 24.74 |
| 分散S&P 500 | 19.02 |
| 共 分散KMB, S&P 500 | 9.88 |
| 相関係数KMB, S&P 5001 | 0.46 |
| βKMB2 | 0.52 |
| αKMB3 | -0.16% |
計算
1 相関係数KMB, S&P 500
= 共 分散KMB, S&P 500 ÷ (標準偏差KMB × 標準偏差S&P 500)
= 9.88 ÷ (4.97% × 4.36%)
= 0.46
2 βKMB
= 共 分散KMB, S&P 500 ÷ 分散S&P 500
= 9.88 ÷ 19.02
= 0.52
3 αKMB
= 平均KMB – βKMB × 平均S&P 500
= 0.47% – 0.52 × 1.22%
= -0.16%
期待収益率
| 仮定 | ||
| LT財務省総合の収益率1 | RF | 4.86% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 13.54% |
| 普通株式 Kimberly-Clark システマティックリスク | βKMB | 0.52 |
| Kimberly-Clark普通株式の期待収益率3 | E(RKMB) | 9.36% |
1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。
2 詳細を見る »
3 E(RKMB) = RF + βKMB [E(RM) – RF]
= 4.86% + 0.52 [13.54% – 4.86%]
= 9.36%