Stock Analysis on Net
Microsoft Excel LibreOffice Calc

Nike Inc. (NYSE:NKE)

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

Microsoft Excel LibreOffice Calc
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

Microsoft Excel LibreOffice Calc
t Date RNKE,t RS&P 500,t (RNKE,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&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,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&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,tRNKE)2 ÷ (71 – 1)
= 2,493.04 ÷ (71 – 1)
= 35.61

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,148.02 ÷ (71 – 1)
= 16.40

CovarianceNKE, S&P 500 = Σ(RNKE,tRNKE)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 881.72 ÷ (71 – 1)
= 12.60


体系的なリスク推定 (β)

Microsoft Excel LibreOffice Calc
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

Microsoft Excel LibreOffice Calc
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%