資本資産価格モデル (CAPM)
中程度の難易度
資本資産価格設定モデル（CAPM）は、Nikeの普通株式のようなリスク資産の期待収益率または必要収益率を示します。
収益率
Nike Inc.、毎月の収益率
| Nike Inc. (NKE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | 価格NKE,t1 | 配当NKE,t1 | RNKE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2014/06/30 | $38.78 | 1,960.23 | ||||
| 1. | 2014/07/31 | $38.57 | -0.54% | 1,930.67 | -1.51% | |
| 2. | 2014/08/31 | $39.28 | $0.12 | 2.15% | 2,003.37 | 3.77% |
| 3. | 2014/09/30 | $44.60 | 13.54% | 1,972.29 | -1.55% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2020/04/30 | $87.18 | 5.37% | 2,912.43 | 12.68% | |
| 71. | 2020/05/31 | $98.58 | $0.245 | 13.36% | 3,044.31 | 4.53% |
| 平均 (R): | 1.59% | 0.70% | ||||
| Standard deviation: | 5.97% | 4.05% | ||||
ソース： Nike Inc. (NYSE:NKE) | CAPM (www.stock-analysis-on.net)
| Nike Inc. (NKE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Date | 価格NKE,t1 | 配当NKE,t1 | RNKE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2014/06/30 | $38.78 | 1,960.23 | ||||
| 1. | 2014/07/31 | $38.57 | -0.54% | 1,930.67 | -1.51% | |
| 2. | 2014/08/31 | $39.28 | $0.12 | 2.15% | 2,003.37 | 3.77% |
| 3. | 2014/09/30 | $44.60 | 13.54% | 1,972.29 | -1.55% | |
| 4. | 2014/10/31 | $46.49 | 4.24% | 2,018.05 | 2.32% | |
| 5. | 2014/11/30 | $49.65 | 6.80% | 2,067.56 | 2.45% | |
| 6. | 2014/12/31 | $48.08 | $0.14 | -2.88% | 2,058.90 | -0.42% |
| 7. | 2015/01/31 | $46.13 | -4.06% | 1,994.99 | -3.10% | |
| 8. | 2015/02/28 | $48.56 | $0.14 | 5.57% | 2,104.50 | 5.49% |
| 9. | 2015/03/31 | $50.17 | 3.32% | 2,067.89 | -1.74% | |
| 10. | 2015/04/30 | $49.42 | -1.49% | 2,085.51 | 0.85% | |
| 11. | 2015/05/31 | $50.84 | $0.14 | 3.16% | 2,107.39 | 1.05% |
| 12. | 2015/06/30 | $54.01 | 6.24% | 2,063.11 | -2.10% | |
| 13. | 2015/07/31 | $57.61 | 6.67% | 2,103.84 | 1.97% | |
| 14. | 2015/08/31 | $55.88 | -3.00% | 1,972.18 | -6.26% | |
| 15. | 2015/09/30 | $61.49 | $0.14 | 10.29% | 1,920.03 | -2.64% |
| 16. | 2015/10/31 | $65.52 | 6.55% | 2,079.36 | 8.30% | |
| 17. | 2015/11/30 | $66.14 | 0.95% | 2,080.41 | 0.05% | |
| 18. | 2015/12/31 | $62.50 | $0.16 | -5.26% | 2,043.94 | -1.75% |
| 19. | 2016/01/31 | $62.01 | -0.78% | 1,940.24 | -5.07% | |
| 20. | 2016/02/29 | $61.59 | -0.68% | 1,932.23 | -0.41% | |
| 21. | 2016/03/31 | $61.47 | $0.16 | 0.06% | 2,059.74 | 6.60% |
| 22. | 2016/04/30 | $58.94 | -4.12% | 2,065.30 | 0.27% | |
| 23. | 2016/05/31 | $55.22 | -6.31% | 2,096.95 | 1.53% | |
| 24. | 2016/06/30 | $55.20 | $0.16 | 0.25% | 2,098.86 | 0.09% |
| 25. | 2016/07/31 | $55.50 | 0.54% | 2,173.60 | 3.56% | |
| 26. | 2016/08/31 | $57.64 | 3.86% | 2,170.95 | -0.12% | |
| 27. | 2016/09/30 | $52.65 | $0.16 | -8.38% | 2,168.27 | -0.12% |
| 28. | 2016/10/31 | $50.18 | -4.69% | 2,126.15 | -1.94% | |
| 29. | 2016/11/30 | $50.07 | -0.22% | 2,198.81 | 3.42% | |
| 30. | 2016/12/31 | $50.83 | $0.18 | 1.88% | 2,238.83 | 1.82% |
| 31. | 2017/01/31 | $52.90 | 4.07% | 2,278.87 | 1.79% | |
| 32. | 2017/02/28 | $57.16 | 8.05% | 2,363.64 | 3.72% | |
| 33. | 2017/03/31 | $55.73 | $0.18 | -2.19% | 2,362.72 | -0.04% |
| 34. | 2017/04/30 | $55.41 | -0.57% | 2,384.20 | 0.91% | |
| 35. | 2017/05/31 | $52.99 | -4.37% | 2,411.80 | 1.16% | |
| 36. | 2017/06/30 | $59.00 | $0.18 | 11.68% | 2,423.41 | 0.48% |
| 37. | 2017/07/31 | $59.05 | 0.08% | 2,470.30 | 1.93% | |
| 38. | 2017/08/31 | $52.81 | $0.18 | -10.26% | 2,471.65 | 0.05% |
| 39. | 2017/09/30 | $51.85 | -1.82% | 2,519.36 | 1.93% | |
| 40. | 2017/10/31 | $54.99 | 6.06% | 2,575.26 | 2.22% | |
| 41. | 2017/11/30 | $60.42 | 9.87% | 2,647.58 | 2.81% | |
| 42. | 2017/12/31 | $62.55 | $0.20 | 3.86% | 2,673.61 | 0.98% |
| 43. | 2018/01/31 | $68.22 | 9.06% | 2,823.81 | 5.62% | |
| 44. | 2018/02/28 | $67.03 | -1.74% | 2,713.83 | -3.89% | |
| 45. | 2018/03/31 | $66.44 | $0.20 | -0.58% | 2,640.87 | -2.69% |
| 46. | 2018/04/30 | $68.39 | 2.93% | 2,648.05 | 0.27% | |
| 47. | 2018/05/31 | $71.80 | 4.99% | 2,705.27 | 2.16% | |
| 48. | 2018/06/30 | $79.68 | $0.20 | 11.25% | 2,718.37 | 0.48% |
| 49. | 2018/07/31 | $76.91 | -3.48% | 2,816.29 | 3.60% | |
| 50. | 2018/08/31 | $82.20 | $0.20 | 7.14% | 2,901.52 | 3.03% |
| 51. | 2018/09/30 | $84.72 | 3.07% | 2,913.98 | 0.43% | |
| 52. | 2018/10/31 | $75.04 | -11.43% | 2,711.74 | -6.94% | |
| 53. | 2018/11/30 | $75.12 | $0.22 | 0.40% | 2,760.17 | 1.79% |
| 54. | 2018/12/31 | $74.14 | -1.30% | 2,506.85 | -9.18% | |
| 55. | 2019/01/31 | $81.88 | 10.44% | 2,704.10 | 7.87% | |
| 56. | 2019/02/28 | $85.73 | 4.70% | 2,784.49 | 2.97% | |
| 57. | 2019/03/31 | $84.21 | $0.22 | -1.52% | 2,834.40 | 1.79% |
| 58. | 2019/04/30 | $87.83 | 4.30% | 2,945.83 | 3.93% | |
| 59. | 2019/05/31 | $77.14 | $0.22 | -11.92% | 2,752.06 | -6.58% |
| 60. | 2019/06/30 | $83.95 | 8.83% | 2,941.76 | 6.89% | |
| 61. | 2019/07/31 | $86.03 | 2.48% | 2,980.38 | 1.31% | |
| 62. | 2019/08/31 | $84.50 | $0.22 | -1.52% | 2,926.46 | -1.81% |
| 63. | 2019/09/30 | $93.92 | 11.15% | 2,976.74 | 1.72% | |
| 64. | 2019/10/31 | $89.55 | -4.65% | 3,037.56 | 2.04% | |
| 65. | 2019/11/30 | $93.49 | $0.245 | 4.67% | 3,140.98 | 3.40% |
| 66. | 2019/12/31 | $101.31 | 8.36% | 3,230.78 | 2.86% | |
| 67. | 2020/01/31 | $96.30 | -4.95% | 3,225.52 | -0.16% | |
| 68. | 2020/02/29 | $89.38 | $0.245 | -6.93% | 2,954.22 | -8.41% |
| 69. | 2020/03/31 | $82.74 | -7.43% | 2,584.59 | -12.51% | |
| 70. | 2020/04/30 | $87.18 | 5.37% | 2,912.43 | 12.68% | |
| 71. | 2020/05/31 | $98.58 | $0.245 | 13.36% | 3,044.31 | 4.53% |
| 平均 (R): | 1.59% | 0.70% | ||||
| Standard deviation: | 5.97% | 4.05% | ||||
ソース： Nike Inc. (NYSE:NKE) | CAPM (www.stock-analysis-on.net)
すべて表示する
1 分割および株式配当を調整した、1株当たりの米ドルでのデータ。
2 期間tにおけるNKEの普通株の収益率。
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
Nike Inc.、リターンの分散と共分散の計算
| t | Date | RNKE,t | RS&P 500,t | (RNKE,t–RNKE)2 | (RS&P 500,t–RS&P 500)2 | (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2014/07/31 | -0.54% | -1.51% | 4.56 | 4.89 | 4.72 |
| 2. | 2014/08/31 | 2.15% | 3.77% | 0.31 | 9.38 | 1.71 |
| 3. | 2014/09/30 | 13.54% | -1.55% | 142.80 | 5.08 | -26.95 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 70. | 2020/04/30 | 5.37% | 12.68% | 14.23 | 143.54 | 45.20 |
| 71. | 2020/05/31 | 13.36% | 4.53% | 138.38 | 14.63 | 44.99 |
| 合計 (Σ): | 2,493.04 | 1,148.02 | 881.72 | |||
| t | Date | RNKE,t | RS&P 500,t | (RNKE,t–RNKE)2 | (RS&P 500,t–RS&P 500)2 | (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2014/07/31 | -0.54% | -1.51% | 4.56 | 4.89 | 4.72 |
| 2. | 2014/08/31 | 2.15% | 3.77% | 0.31 | 9.38 | 1.71 |
| 3. | 2014/09/30 | 13.54% | -1.55% | 142.80 | 5.08 | -26.95 |
| 4. | 2014/10/31 | 4.24% | 2.32% | 6.99 | 2.61 | 4.27 |
| 5. | 2014/11/30 | 6.80% | 2.45% | 27.07 | 3.06 | 9.10 |
| 6. | 2014/12/31 | -2.88% | -0.42% | 20.02 | 1.26 | 5.02 |
| 7. | 2015/01/31 | -4.06% | -3.10% | 31.92 | 14.50 | 21.51 |
| 8. | 2015/02/28 | 5.57% | 5.49% | 15.82 | 22.90 | 19.03 |
| 9. | 2015/03/31 | 3.32% | -1.74% | 2.96 | 5.97 | -4.21 |
| 10. | 2015/04/30 | -1.49% | 0.85% | 9.54 | 0.02 | -0.46 |
| 11. | 2015/05/31 | 3.16% | 1.05% | 2.44 | 0.12 | 0.54 |
| 12. | 2015/06/30 | 6.24% | -2.10% | 21.54 | 7.87 | -13.02 |
| 13. | 2015/07/31 | 6.67% | 1.97% | 25.72 | 1.61 | 6.44 |
| 14. | 2015/08/31 | -3.00% | -6.26% | 21.13 | 48.46 | 32.00 |
| 15. | 2015/09/30 | 10.29% | -2.64% | 75.62 | 11.21 | -29.11 |
| 16. | 2015/10/31 | 6.55% | 8.30% | 24.60 | 57.68 | 37.67 |
| 17. | 2015/11/30 | 0.95% | 0.05% | 0.42 | 0.43 | 0.42 |
| 18. | 2015/12/31 | -5.26% | -1.75% | 47.00 | 6.03 | 16.84 |
| 19. | 2016/01/31 | -0.78% | -5.07% | 5.65 | 33.37 | 13.74 |
| 20. | 2016/02/29 | -0.68% | -0.41% | 5.16 | 1.25 | 2.54 |
| 21. | 2016/03/31 | 0.06% | 6.60% | 2.34 | 34.76 | -9.01 |
| 22. | 2016/04/30 | -4.12% | 0.27% | 32.60 | 0.19 | 2.48 |
| 23. | 2016/05/31 | -6.31% | 1.53% | 62.49 | 0.69 | -6.55 |
| 24. | 2016/06/30 | 0.25% | 0.09% | 1.80 | 0.38 | 0.82 |
| 25. | 2016/07/31 | 0.54% | 3.56% | 1.10 | 8.16 | -3.00 |
| 26. | 2016/08/31 | 3.86% | -0.12% | 5.12 | 0.68 | -1.87 |
| 27. | 2016/09/30 | -8.38% | -0.12% | 99.47 | 0.68 | 8.25 |
| 28. | 2016/10/31 | -4.69% | -1.94% | 39.50 | 7.00 | 16.63 |
| 29. | 2016/11/30 | -0.22% | 3.42% | 3.29 | 7.37 | -4.92 |
| 30. | 2016/12/31 | 1.88% | 1.82% | 0.08 | 1.25 | 0.32 |
| 31. | 2017/01/31 | 4.07% | 1.79% | 6.14 | 1.18 | 2.69 |
| 32. | 2017/02/28 | 8.05% | 3.72% | 41.72 | 9.10 | 19.48 |
| 33. | 2017/03/31 | -2.19% | -0.04% | 14.29 | 0.55 | 2.81 |
| 34. | 2017/04/30 | -0.57% | 0.91% | 4.70 | 0.04 | -0.45 |
| 35. | 2017/05/31 | -4.37% | 1.16% | 35.54 | 0.21 | -2.71 |
| 36. | 2017/06/30 | 11.68% | 0.48% | 101.76 | 0.05 | -2.24 |
| 37. | 2017/07/31 | 0.08% | 1.93% | 2.28 | 1.52 | -1.86 |
| 38. | 2017/08/31 | -10.26% | 0.05% | 140.57 | 0.42 | 7.69 |
| 39. | 2017/09/30 | -1.82% | 1.93% | 11.64 | 1.50 | -4.19 |
| 40. | 2017/10/31 | 6.06% | 2.22% | 19.91 | 2.30 | 6.76 |
| 41. | 2017/11/30 | 9.87% | 2.81% | 68.57 | 4.43 | 17.43 |
| 42. | 2017/12/31 | 3.86% | 0.98% | 5.12 | 0.08 | 0.63 |
| 43. | 2018/01/31 | 9.06% | 5.62% | 55.81 | 24.15 | 36.71 |
| 44. | 2018/02/28 | -1.74% | -3.89% | 11.14 | 21.14 | 15.35 |
| 45. | 2018/03/31 | -0.58% | -2.69% | 4.73 | 11.51 | 7.38 |
| 46. | 2018/04/30 | 2.93% | 0.27% | 1.80 | 0.19 | -0.58 |
| 47. | 2018/05/31 | 4.99% | 2.16% | 11.51 | 2.12 | 4.94 |
| 48. | 2018/06/30 | 11.25% | 0.48% | 93.31 | 0.05 | -2.12 |
| 49. | 2018/07/31 | -3.48% | 3.60% | 25.71 | 8.40 | -14.70 |
| 50. | 2018/08/31 | 7.14% | 3.03% | 30.74 | 5.40 | 12.88 |
| 51. | 2018/09/30 | 3.07% | 0.43% | 2.17 | 0.08 | -0.40 |
| 52. | 2018/10/31 | -11.43% | -6.94% | 169.51 | 58.43 | 99.52 |
| 53. | 2018/11/30 | 0.40% | 1.79% | 1.43 | 1.17 | -1.29 |
| 54. | 2018/12/31 | -1.30% | -9.18% | 8.40 | 97.64 | 28.64 |
| 55. | 2019/01/31 | 10.44% | 7.87% | 78.25 | 51.34 | 63.38 |
| 56. | 2019/02/28 | 4.70% | 2.97% | 9.66 | 5.15 | 7.05 |
| 57. | 2019/03/31 | -1.52% | 1.79% | 9.67 | 1.19 | -3.39 |
| 58. | 2019/04/30 | 4.30% | 3.93% | 7.32 | 10.42 | 8.73 |
| 59. | 2019/05/31 | -11.92% | -6.58% | 182.64 | 53.02 | 98.40 |
| 60. | 2019/06/30 | 8.83% | 6.89% | 52.33 | 38.31 | 44.78 |
| 61. | 2019/07/31 | 2.48% | 1.31% | 0.78 | 0.37 | 0.54 |
| 62. | 2019/08/31 | -1.52% | -1.81% | 9.71 | 6.31 | 7.83 |
| 63. | 2019/09/30 | 11.15% | 1.72% | 91.28 | 1.03 | 9.69 |
| 64. | 2019/10/31 | -4.65% | 2.04% | 39.02 | 1.79 | -8.37 |
| 65. | 2019/11/30 | 4.67% | 3.40% | 9.48 | 7.30 | 8.32 |
| 66. | 2019/12/31 | 8.36% | 2.86% | 45.84 | 4.65 | 14.59 |
| 67. | 2020/01/31 | -4.95% | -0.16% | 42.76 | 0.75 | 5.67 |
| 68. | 2020/02/29 | -6.93% | -8.41% | 72.68 | 83.08 | 77.70 |
| 69. | 2020/03/31 | -7.43% | -12.51% | 81.41 | 174.65 | 119.24 |
| 70. | 2020/04/30 | 5.37% | 12.68% | 14.23 | 143.54 | 45.20 |
| 71. | 2020/05/31 | 13.36% | 4.53% | 138.38 | 14.63 | 44.99 |
| 合計 (Σ): | 2,493.04 | 1,148.02 | 881.72 | |||
Show all
VarianceNKE = Σ(RNKE,t–RNKE)2 ÷ (71 – 1)
= 2,493.04 ÷ (71 – 1)
= 35.61
VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,148.02 ÷ (71 – 1)
= 16.40
CovarianceNKE, S&P 500 = Σ(RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 881.72 ÷ (71 – 1)
= 12.60
体系的なリスク推定 (β)
| VarianceNKE | 35.61 |
| VarianceS&P 500 | 16.40 |
| CovarianceNKE, S&P 500 | 12.60 |
| 相関係数NKE, S&P 5001 | 0.52 |
| βNKE2 | 0.77 |
| αNKE3 | 1.05% |
ソース： Nike Inc. (NYSE:NKE) | CAPM (www.stock-analysis-on.net)
計算
1 相関係数NKE, S&P 500
= CovarianceNKE, S&P 500 ÷ (Standard deviationNKE × Standard deviationS&P 500)
= 12.60 ÷ (5.97% × 4.05%)
= 0.52
2 βNKE
= CovarianceNKE, S&P 500 ÷ VarianceS&P 500
= 12.60 ÷ 16.40
= 0.77
3 αNKE
= 平均NKE – βNKE × 平均S&P 500
= 1.59% – 0.77 × 0.70%
= 1.05%
期待収益率
| 仮定 | ||
| LT Treasury Compositeの収益率1 | RF | 1.66% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 12.12% |
| ナイキの普通株の体系的なリスク | βNKE | 0.77 |
| ナイキの普通株の期待収益率3 | E(RNKE) | 9.69% |
ソース： Nike Inc. (NYSE:NKE) | CAPM (www.stock-analysis-on.net)
1 すべての未処理の固定クーポン米国財務省証券の10年未満で返済されない、または呼び出すことができない、加重されていない入札利回りの平均（リスクなしの収益率）。
2 詳細を見る »
3 E(RNKE) = RF + βNKE [E(RM) – RF]
= 1.66% + 0.77 [12.12% – 1.66%]
= 9.69%