Stock Analysis on Net

Occidental Petroleum Corp. (NYSE:OXY)

資本資産価格設定モデル (CAPM) 

Microsoft Excel

資本資産価格モデル(CAPM)は、 Occidental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

Occidental Petroleum Corp.、月間収益率

Microsoft Excel
Occidental Petroleum Corp. (OXY) Standard & Poor’s 500 (S&P 500)
t 日付 価格OXY,t1 配当OXY,t1 ROXY,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $39.72 3,225.52
1. 2020/02/29 $32.74 -17.57% 2,954.22 -8.41%
2. 2020/03/31 $11.58 $0.79 -62.22% 2,584.59 -12.51%
3. 2020/04/30 $16.60 43.35% 2,912.43 12.68%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 $50.58 0.94% 6,032.38 5.73%
59. 2024/12/31 $49.41 $0.22 -1.88% 5,881.63 -2.50%
平均 (R): 2.41% 1.16%
標準偏差: 19.17% 5.28%
Occidental Petroleum Corp. (OXY) Standard & Poor’s 500 (S&P 500)
t 日付 価格OXY,t1 配当OXY,t1 ROXY,t2 価格S&P 500,t RS&P 500,t3
2020/01/31 $39.72 3,225.52
1. 2020/02/29 $32.74 -17.57% 2,954.22 -8.41%
2. 2020/03/31 $11.58 $0.79 -62.22% 2,584.59 -12.51%
3. 2020/04/30 $16.60 43.35% 2,912.43 12.68%
4. 2020/05/31 $12.95 -21.99% 3,044.31 4.53%
5. 2020/06/30 $18.30 $0.01 41.39% 3,100.29 1.84%
6. 2020/07/31 $15.74 -13.99% 3,271.12 5.51%
7. 2020/08/31 $12.74 -19.06% 3,500.31 7.01%
8. 2020/09/30 $10.01 $0.01 -21.35% 3,363.00 -3.92%
9. 2020/10/31 $9.13 -8.79% 3,269.96 -2.77%
10. 2020/11/30 $15.76 72.62% 3,621.63 10.75%
11. 2020/12/31 $17.31 $0.01 9.90% 3,756.07 3.71%
12. 2021/01/31 $20.06 15.89% 3,714.24 -1.11%
13. 2021/02/28 $26.61 32.65% 3,811.15 2.61%
14. 2021/03/31 $26.62 $0.01 0.08% 3,972.89 4.24%
15. 2021/04/30 $25.36 -4.73% 4,181.17 5.24%
16. 2021/05/31 $25.96 2.37% 4,204.11 0.55%
17. 2021/06/30 $31.27 $0.01 20.49% 4,297.50 2.22%
18. 2021/07/31 $26.10 -16.53% 4,395.26 2.27%
19. 2021/08/31 $25.69 -1.57% 4,522.68 2.90%
20. 2021/09/30 $29.58 $0.01 15.18% 4,307.54 -4.76%
21. 2021/10/31 $33.53 13.35% 4,605.38 6.91%
22. 2021/11/30 $29.65 -11.57% 4,567.00 -0.83%
23. 2021/12/31 $28.99 $0.01 -2.19% 4,766.18 4.36%
24. 2022/01/31 $37.67 29.94% 4,515.55 -5.26%
25. 2022/02/28 $43.73 16.09% 4,373.94 -3.14%
26. 2022/03/31 $56.74 $0.13 30.05% 4,530.41 3.58%
27. 2022/04/30 $55.09 -2.91% 4,131.93 -8.80%
28. 2022/05/31 $69.31 25.81% 4,132.15 0.01%
29. 2022/06/30 $58.88 $0.13 -14.86% 3,785.38 -8.39%
30. 2022/07/31 $65.75 11.67% 4,130.29 9.11%
31. 2022/08/31 $71.00 7.98% 3,955.00 -4.24%
32. 2022/09/30 $61.45 $0.13 -13.27% 3,585.62 -9.34%
33. 2022/10/31 $72.60 18.14% 3,871.98 7.99%
34. 2022/11/30 $69.49 -4.28% 4,080.11 5.38%
35. 2022/12/31 $62.99 $0.13 -9.17% 3,839.50 -5.90%
36. 2023/01/31 $64.79 2.86% 4,076.60 6.18%
37. 2023/02/28 $58.56 -9.62% 3,970.15 -2.61%
38. 2023/03/31 $62.43 $0.18 6.92% 4,109.31 3.51%
39. 2023/04/30 $61.53 -1.44% 4,169.48 1.46%
40. 2023/05/31 $57.66 -6.29% 4,179.83 0.25%
41. 2023/06/30 $58.80 $0.18 2.29% 4,376.86 4.71%
42. 2023/07/31 $63.13 7.36% 4,588.96 4.85%
43. 2023/08/31 $62.79 -0.54% 4,507.66 -1.77%
44. 2023/09/30 $64.88 $0.18 3.62% 4,288.05 -4.87%
45. 2023/10/31 $61.81 -4.73% 4,193.80 -2.20%
46. 2023/11/30 $59.15 -4.30% 4,567.80 8.92%
47. 2023/12/31 $59.71 $0.18 1.25% 4,769.83 4.42%
48. 2024/01/31 $57.57 -3.58% 4,845.65 1.59%
49. 2024/02/29 $60.61 5.28% 5,096.27 5.17%
50. 2024/03/31 $64.99 $0.22 7.59% 5,254.35 3.10%
51. 2024/04/30 $66.14 1.77% 5,035.69 -4.16%
52. 2024/05/31 $62.50 -5.50% 5,277.51 4.80%
53. 2024/06/30 $63.03 $0.22 1.20% 5,460.48 3.47%
54. 2024/07/31 $60.82 -3.51% 5,522.30 1.13%
55. 2024/08/31 $56.98 -6.31% 5,648.40 2.28%
56. 2024/09/30 $51.54 $0.22 -9.16% 5,762.48 2.02%
57. 2024/10/31 $50.11 -2.77% 5,705.45 -0.99%
58. 2024/11/30 $50.58 0.94% 6,032.38 5.73%
59. 2024/12/31 $49.41 $0.22 -1.88% 5,881.63 -2.50%
平均 (R): 2.41% 1.16%
標準偏差: 19.17% 5.28%

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OXY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

Occidental Petroleum Corp.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 ROXY,t RS&P 500,t (ROXY,tROXY)2 (RS&P 500,tRS&P 500)2 (ROXY,tROXY)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -17.57% -8.41% 399.41 91.63 191.31
2. 2020/03/31 -62.22% -12.51% 4,177.00 186.96 883.70
3. 2020/04/30 43.35% 12.68% 1,675.95 132.78 471.74
. . . . . . .
. . . . . . .
. . . . . . .
58. 2024/11/30 0.94% 5.73% 2.17 20.87 -6.74
59. 2024/12/31 -1.88% -2.50% 18.41 13.40 15.70
トータル (Σ): 21,313.66 1,618.62 2,554.89
t 日付 ROXY,t RS&P 500,t (ROXY,tROXY)2 (RS&P 500,tRS&P 500)2 (ROXY,tROXY)×(RS&P 500,tRS&P 500)
1. 2020/02/29 -17.57% -8.41% 399.41 91.63 191.31
2. 2020/03/31 -62.22% -12.51% 4,177.00 186.96 883.70
3. 2020/04/30 43.35% 12.68% 1,675.95 132.78 471.74
4. 2020/05/31 -21.99% 4.53% 595.37 11.34 -82.15
5. 2020/06/30 41.39% 1.84% 1,519.26 0.46 26.41
6. 2020/07/31 -13.99% 5.51% 269.00 18.91 -71.33
7. 2020/08/31 -19.06% 7.01% 461.04 34.17 -125.51
8. 2020/09/30 -21.35% -3.92% 564.65 25.85 120.81
9. 2020/10/31 -8.79% -2.77% 125.52 15.43 44.01
10. 2020/11/30 72.62% 10.75% 4,928.81 92.03 673.50
11. 2020/12/31 9.90% 3.71% 56.04 6.51 19.10
12. 2021/01/31 15.89% -1.11% 181.56 5.18 -30.65
13. 2021/02/28 32.65% 2.61% 914.45 2.10 43.78
14. 2021/03/31 0.08% 4.24% 5.46 9.50 -7.20
15. 2021/04/30 -4.73% 5.24% 51.06 16.66 -29.16
16. 2021/05/31 2.37% 0.55% 0.00 0.38 0.03
17. 2021/06/30 20.49% 2.22% 326.92 1.12 19.17
18. 2021/07/31 -16.53% 2.27% 358.94 1.24 -21.10
19. 2021/08/31 -1.57% 2.90% 15.87 3.02 -6.92
20. 2021/09/30 15.18% -4.76% 163.04 35.02 -75.57
21. 2021/10/31 13.35% 6.91% 119.71 33.10 62.95
22. 2021/11/30 -11.57% -0.83% 195.55 3.98 27.89
23. 2021/12/31 -2.19% 4.36% 21.20 10.24 -14.73
24. 2022/01/31 29.94% -5.26% 757.85 41.21 -176.73
25. 2022/02/28 16.09% -3.14% 187.00 18.47 -58.77
26. 2022/03/31 30.05% 3.58% 763.74 5.84 66.77
27. 2022/04/30 -2.91% -8.80% 28.30 99.14 52.97
28. 2022/05/31 25.81% 0.01% 547.56 1.34 -27.05
29. 2022/06/30 -14.86% -8.39% 298.36 91.26 165.01
30. 2022/07/31 11.67% 9.11% 85.67 63.21 73.59
31. 2022/08/31 7.98% -4.24% 31.05 29.22 -30.12
32. 2022/09/30 -13.27% -9.34% 245.86 110.27 164.65
33. 2022/10/31 18.14% 7.99% 247.51 46.58 107.38
34. 2022/11/30 -4.28% 5.38% 44.84 17.76 -28.22
35. 2022/12/31 -9.17% -5.90% 134.07 49.82 81.73
36. 2023/01/31 2.86% 6.18% 0.20 25.14 2.23
37. 2023/02/28 -9.62% -2.61% 144.67 14.23 45.38
38. 2023/03/31 6.92% 3.51% 20.28 5.49 10.56
39. 2023/04/30 -1.44% 1.46% 14.85 0.09 -1.17
40. 2023/05/31 -6.29% 0.25% 75.72 0.83 7.95
41. 2023/06/30 2.29% 4.71% 0.02 12.62 -0.44
42. 2023/07/31 7.36% 4.85% 24.52 13.58 18.25
43. 2023/08/31 -0.54% -1.77% 8.71 8.60 8.65
44. 2023/09/30 3.62% -4.87% 1.45 36.40 -7.26
45. 2023/10/31 -4.73% -2.20% 51.04 11.28 24.00
46. 2023/11/30 -4.30% 8.92% 45.10 60.17 -52.09
47. 2023/12/31 1.25% 4.42% 1.35 10.64 -3.79
48. 2024/01/31 -3.58% 1.59% 35.95 0.18 -2.57
49. 2024/02/29 5.28% 5.17% 8.23 16.09 11.50
50. 2024/03/31 7.59% 3.10% 26.80 3.77 10.05
51. 2024/04/30 1.77% -4.16% 0.41 28.33 3.42
52. 2024/05/31 -5.50% 4.80% 62.66 13.26 -28.82
53. 2024/06/30 1.20% 3.47% 1.47 5.32 -2.80
54. 2024/07/31 -3.51% 1.13% 35.03 0.00 0.17
55. 2024/08/31 -6.31% 2.28% 76.14 1.26 -9.79
56. 2024/09/30 -9.16% 2.02% 133.94 0.74 -9.93
57. 2024/10/31 -2.77% -0.99% 26.90 4.63 11.16
58. 2024/11/30 0.94% 5.73% 2.17 20.87 -6.74
59. 2024/12/31 -1.88% -2.50% 18.41 13.40 15.70
トータル (Σ): 21,313.66 1,618.62 2,554.89

すべて表示

分散OXY = Σ(ROXY,tROXY)2 ÷ (59 – 1)
= 21,313.66 ÷ (59 – 1)
= 367.48

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91

共 分散OXY, S&P 500 = Σ(ROXY,tROXY)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 2,554.89 ÷ (59 – 1)
= 44.05


システマティックなリスク推定 (β)

Microsoft Excel
分散OXY 367.48
分散S&P 500 27.91
共 分散OXY, S&P 500 44.05
相関係数OXY, S&P 5001 0.43
βOXY2 1.58
αOXY3 0.58%

計算

1 相関係数OXY, S&P 500
= 共 分散OXY, S&P 500 ÷ (標準偏差OXY × 標準偏差S&P 500)
= 44.05 ÷ (19.17% × 5.28%)
= 0.43

2 βOXY
= 共 分散OXY, S&P 500 ÷ 分散S&P 500
= 44.05 ÷ 27.91
= 1.58

3 αOXY
= 平均OXY – βOXY × 平均S&P 500
= 2.41%1.58 × 1.16%
= 0.58%


期待収益率

Microsoft Excel
仮定
LT国債総合の収益率1 RF 4.91%
市場ポートフォリオの期待収益率2 E(RM) 14.84%
普通株式 Occidental システマティックリスク βOXY 1.58
 
オクシデンタル普通株式の期待収益率3 E(ROXY) 20.58%

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(ROXY) = RF + βOXY [E(RM) – RF]
= 4.91% + 1.58 [14.84%4.91%]
= 20.58%