資本資産価格設定モデル (CAPM)
資本資産価格モデル(CAPM)は、 Pfizer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
Pfizer Inc.、月間収益率
| Pfizer Inc. (PFE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格PFE,t1 | 配当PFE,t1 | RPFE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $35.90 | 3,714.24 | ||||
| 1. | 2021/02/28 | $33.49 | -6.71% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $36.23 | 8.18% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $38.65 | 6.68% | 4,181.17 | 5.24% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | $25.74 | $0.43 | 6.17% | 6,849.09 | 0.13% |
| 59. | 2025/12/31 | $24.90 | -3.26% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.00% | 1.14% | ||||
| 標準偏差： | 6.89% | 4.37% | ||||
| Pfizer Inc. (PFE) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | 日付 | 価格PFE,t1 | 配当PFE,t1 | RPFE,t2 | 価格S&P 500,t | RS&P 500,t3 |
| 2021/01/31 | $35.90 | 3,714.24 | ||||
| 1. | 2021/02/28 | $33.49 | -6.71% | 3,811.15 | 2.61% | |
| 2. | 2021/03/31 | $36.23 | 8.18% | 3,972.89 | 4.24% | |
| 3. | 2021/04/30 | $38.65 | 6.68% | 4,181.17 | 5.24% | |
| 4. | 2021/05/31 | $38.73 | $0.39 | 1.22% | 4,204.11 | 0.55% |
| 5. | 2021/06/30 | $39.16 | 1.11% | 4,297.50 | 2.22% | |
| 6. | 2021/07/31 | $42.81 | $0.39 | 10.32% | 4,395.26 | 2.27% |
| 7. | 2021/08/31 | $46.07 | 7.62% | 4,522.68 | 2.90% | |
| 8. | 2021/09/30 | $43.01 | -6.64% | 4,307.54 | -4.76% | |
| 9. | 2021/10/31 | $43.74 | 1.70% | 4,605.38 | 6.91% | |
| 10. | 2021/11/30 | $53.73 | $0.39 | 23.73% | 4,567.00 | -0.83% |
| 11. | 2021/12/31 | $59.05 | 9.90% | 4,766.18 | 4.36% | |
| 12. | 2022/01/31 | $52.69 | $0.40 | -10.09% | 4,515.55 | -5.26% |
| 13. | 2022/02/28 | $46.94 | -10.91% | 4,373.94 | -3.14% | |
| 14. | 2022/03/31 | $51.77 | 10.29% | 4,530.41 | 3.58% | |
| 15. | 2022/04/30 | $49.07 | -5.22% | 4,131.93 | -8.80% | |
| 16. | 2022/05/31 | $53.04 | $0.40 | 8.91% | 4,132.15 | 0.01% |
| 17. | 2022/06/30 | $52.43 | -1.15% | 3,785.38 | -8.39% | |
| 18. | 2022/07/31 | $50.51 | $0.40 | -2.90% | 4,130.29 | 9.11% |
| 19. | 2022/08/31 | $45.23 | -10.45% | 3,955.00 | -4.24% | |
| 20. | 2022/09/30 | $43.76 | -3.25% | 3,585.62 | -9.34% | |
| 21. | 2022/10/31 | $46.55 | 6.38% | 3,871.98 | 7.99% | |
| 22. | 2022/11/30 | $50.13 | $0.40 | 8.55% | 4,080.11 | 5.38% |
| 23. | 2022/12/31 | $51.24 | 2.21% | 3,839.50 | -5.90% | |
| 24. | 2023/01/31 | $44.16 | $0.41 | -13.02% | 4,076.60 | 6.18% |
| 25. | 2023/02/28 | $40.57 | -8.13% | 3,970.15 | -2.61% | |
| 26. | 2023/03/31 | $40.80 | 0.57% | 4,109.31 | 3.51% | |
| 27. | 2023/04/30 | $38.89 | -4.68% | 4,169.48 | 1.46% | |
| 28. | 2023/05/31 | $38.02 | $0.41 | -1.18% | 4,179.83 | 0.25% |
| 29. | 2023/06/30 | $36.68 | -3.52% | 4,376.86 | 4.71% | |
| 30. | 2023/07/31 | $36.06 | $0.41 | -0.57% | 4,588.96 | 4.85% |
| 31. | 2023/08/31 | $35.38 | -1.89% | 4,507.66 | -1.77% | |
| 32. | 2023/09/30 | $33.17 | -6.25% | 4,288.05 | -4.87% | |
| 33. | 2023/10/31 | $30.56 | -7.87% | 4,193.80 | -2.20% | |
| 34. | 2023/11/30 | $30.47 | $0.41 | 1.05% | 4,567.80 | 8.92% |
| 35. | 2023/12/31 | $28.79 | -5.51% | 4,769.83 | 4.42% | |
| 36. | 2024/01/31 | $27.08 | $0.42 | -4.48% | 4,845.65 | 1.59% |
| 37. | 2024/02/29 | $26.56 | -1.92% | 5,096.27 | 5.17% | |
| 38. | 2024/03/31 | $27.75 | 4.48% | 5,254.35 | 3.10% | |
| 39. | 2024/04/30 | $25.62 | -7.68% | 5,035.69 | -4.16% | |
| 40. | 2024/05/31 | $28.66 | $0.42 | 13.51% | 5,277.51 | 4.80% |
| 41. | 2024/06/30 | $27.98 | -2.37% | 5,460.48 | 3.47% | |
| 42. | 2024/07/31 | $30.54 | $0.42 | 10.65% | 5,522.30 | 1.13% |
| 43. | 2024/08/31 | $29.01 | -5.01% | 5,648.40 | 2.28% | |
| 44. | 2024/09/30 | $28.94 | -0.24% | 5,762.48 | 2.02% | |
| 45. | 2024/10/31 | $28.30 | -2.21% | 5,705.45 | -0.99% | |
| 46. | 2024/11/30 | $26.21 | $0.42 | -5.90% | 6,032.38 | 5.73% |
| 47. | 2024/12/31 | $26.53 | 1.22% | 5,881.63 | -2.50% | |
| 48. | 2025/01/31 | $26.52 | $0.43 | 1.58% | 6,040.53 | 2.70% |
| 49. | 2025/02/28 | $26.43 | -0.34% | 5,954.50 | -1.42% | |
| 50. | 2025/03/31 | $25.34 | -4.12% | 5,611.85 | -5.75% | |
| 51. | 2025/04/30 | $24.41 | -3.67% | 5,569.06 | -0.76% | |
| 52. | 2025/05/31 | $23.49 | $0.43 | -2.01% | 5,911.69 | 6.15% |
| 53. | 2025/06/30 | $24.24 | 3.19% | 6,204.95 | 4.96% | |
| 54. | 2025/07/31 | $23.29 | $0.43 | -2.15% | 6,339.39 | 2.17% |
| 55. | 2025/08/31 | $24.76 | 6.31% | 6,460.26 | 1.91% | |
| 56. | 2025/09/30 | $25.48 | 2.91% | 6,688.46 | 3.53% | |
| 57. | 2025/10/31 | $24.65 | -3.26% | 6,840.20 | 2.27% | |
| 58. | 2025/11/30 | $25.74 | $0.43 | 6.17% | 6,849.09 | 0.13% |
| 59. | 2025/12/31 | $24.90 | -3.26% | 6,845.50 | -0.05% | |
| 平均 (R): | 0.00% | 1.14% | ||||
| 標準偏差： | 6.89% | 4.37% | ||||
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PFE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
Pfizer Inc.、分散の計算、および戻り値の共分散
| t | 日付 | RPFE,t | RS&P 500,t | (RPFE,t–RPFE)2 | (RS&P 500,t–RS&P 500)2 | (RPFE,t–RPFE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -6.71% | 2.61% | 45.03 | 2.17 | -9.88 |
| 2. | 2021/03/31 | 8.18% | 4.24% | 66.98 | 9.66 | 25.43 |
| 3. | 2021/04/30 | 6.68% | 5.24% | 44.65 | 16.86 | 27.44 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2025/11/30 | 6.17% | 0.13% | 38.06 | 1.01 | -6.21 |
| 59. | 2025/12/31 | -3.26% | -0.05% | 10.63 | 1.41 | 3.88 |
| トータル (Σ): | 2,751.50 | 1,108.23 | 528.82 | |||
| t | 日付 | RPFE,t | RS&P 500,t | (RPFE,t–RPFE)2 | (RS&P 500,t–RS&P 500)2 | (RPFE,t–RPFE)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 2021/02/28 | -6.71% | 2.61% | 45.03 | 2.17 | -9.88 |
| 2. | 2021/03/31 | 8.18% | 4.24% | 66.98 | 9.66 | 25.43 |
| 3. | 2021/04/30 | 6.68% | 5.24% | 44.65 | 16.86 | 27.44 |
| 4. | 2021/05/31 | 1.22% | 0.55% | 1.49 | 0.35 | -0.72 |
| 5. | 2021/06/30 | 1.11% | 2.22% | 1.24 | 1.18 | 1.21 |
| 6. | 2021/07/31 | 10.32% | 2.27% | 106.49 | 1.30 | 11.75 |
| 7. | 2021/08/31 | 7.62% | 2.90% | 58.03 | 3.11 | 13.43 |
| 8. | 2021/09/30 | -6.64% | -4.76% | 44.08 | 34.73 | 39.13 |
| 9. | 2021/10/31 | 1.70% | 6.91% | 2.89 | 33.39 | 9.82 |
| 10. | 2021/11/30 | 23.73% | -0.83% | 563.29 | 3.88 | -46.74 |
| 11. | 2021/12/31 | 9.90% | 4.36% | 98.09 | 10.40 | 31.94 |
| 12. | 2022/01/31 | -10.09% | -5.26% | 101.82 | 40.89 | 64.53 |
| 13. | 2022/02/28 | -10.91% | -3.14% | 119.03 | 18.25 | 46.61 |
| 14. | 2022/03/31 | 10.29% | 3.58% | 105.93 | 5.96 | 25.13 |
| 15. | 2022/04/30 | -5.22% | -8.80% | 27.17 | 98.64 | 51.77 |
| 16. | 2022/05/31 | 8.91% | 0.01% | 79.36 | 1.28 | -10.07 |
| 17. | 2022/06/30 | -1.15% | -8.39% | 1.32 | 90.79 | 10.93 |
| 18. | 2022/07/31 | -2.90% | 9.11% | 8.39 | 63.61 | -23.10 |
| 19. | 2022/08/31 | -10.45% | -4.24% | 109.22 | 28.95 | 56.23 |
| 20. | 2022/09/30 | -3.25% | -9.34% | 10.55 | 109.74 | 34.02 |
| 21. | 2022/10/31 | 6.38% | 7.99% | 40.68 | 46.93 | 43.69 |
| 22. | 2022/11/30 | 8.55% | 5.38% | 73.15 | 17.97 | 36.26 |
| 23. | 2022/12/31 | 2.21% | -5.90% | 4.91 | 49.47 | -15.59 |
| 24. | 2023/01/31 | -13.02% | 6.18% | 169.38 | 25.39 | -65.58 |
| 25. | 2023/02/28 | -8.13% | -2.61% | 66.05 | 14.04 | 30.45 |
| 26. | 2023/03/31 | 0.57% | 3.51% | 0.32 | 5.61 | 1.35 |
| 27. | 2023/04/30 | -4.68% | 1.46% | 21.89 | 0.11 | -1.54 |
| 28. | 2023/05/31 | -1.18% | 0.25% | 1.39 | 0.79 | 1.05 |
| 29. | 2023/06/30 | -3.52% | 4.71% | 12.40 | 12.80 | -12.60 |
| 30. | 2023/07/31 | -0.57% | 4.85% | 0.32 | 13.76 | -2.11 |
| 31. | 2023/08/31 | -1.89% | -1.77% | 3.55 | 8.46 | 5.48 |
| 32. | 2023/09/30 | -6.25% | -4.87% | 38.99 | 36.10 | 37.51 |
| 33. | 2023/10/31 | -7.87% | -2.20% | 61.87 | 11.12 | 26.23 |
| 34. | 2023/11/30 | 1.05% | 8.92% | 1.10 | 60.56 | 8.17 |
| 35. | 2023/12/31 | -5.51% | 4.42% | 30.37 | 10.80 | -18.11 |
| 36. | 2024/01/31 | -4.48% | 1.59% | 20.05 | 0.21 | -2.03 |
| 37. | 2024/02/29 | -1.92% | 5.17% | 3.68 | 16.29 | -7.74 |
| 38. | 2024/03/31 | 4.48% | 3.10% | 20.10 | 3.86 | 8.81 |
| 39. | 2024/04/30 | -7.68% | -4.16% | 58.88 | 28.06 | 40.65 |
| 40. | 2024/05/31 | 13.51% | 4.80% | 182.46 | 13.44 | 49.52 |
| 41. | 2024/06/30 | -2.37% | 3.47% | 5.62 | 5.43 | -5.52 |
| 42. | 2024/07/31 | 10.65% | 1.13% | 113.49 | 0.00 | -0.04 |
| 43. | 2024/08/31 | -5.01% | 2.28% | 25.07 | 1.32 | -5.74 |
| 44. | 2024/09/30 | -0.24% | 2.02% | 0.06 | 0.78 | -0.21 |
| 45. | 2024/10/31 | -2.21% | -0.99% | 4.88 | 4.52 | 4.70 |
| 46. | 2024/11/30 | -5.90% | 5.73% | 34.79 | 21.10 | -27.10 |
| 47. | 2024/12/31 | 1.22% | -2.50% | 1.50 | 13.21 | -4.45 |
| 48. | 2025/01/31 | 1.58% | 2.70% | 2.51 | 2.45 | 2.48 |
| 49. | 2025/02/28 | -0.34% | -1.42% | 0.11 | 6.56 | 0.86 |
| 50. | 2025/03/31 | -4.12% | -5.75% | 16.99 | 47.48 | 28.40 |
| 51. | 2025/04/30 | -3.67% | -0.76% | 13.45 | 3.60 | 6.96 |
| 52. | 2025/05/31 | -2.01% | 6.15% | 4.02 | 25.16 | -10.06 |
| 53. | 2025/06/30 | 3.19% | 4.96% | 10.21 | 14.63 | 12.22 |
| 54. | 2025/07/31 | -2.15% | 2.17% | 4.59 | 1.06 | -2.21 |
| 55. | 2025/08/31 | 6.31% | 1.91% | 39.87 | 0.59 | 4.87 |
| 56. | 2025/09/30 | 2.91% | 3.53% | 8.47 | 5.74 | 6.97 |
| 57. | 2025/10/31 | -3.26% | 2.27% | 10.59 | 1.28 | -3.69 |
| 58. | 2025/11/30 | 6.17% | 0.13% | 38.06 | 1.01 | -6.21 |
| 59. | 2025/12/31 | -3.26% | -0.05% | 10.63 | 1.41 | 3.88 |
| トータル (Σ): | 2,751.50 | 1,108.23 | 528.82 | |||
すべて表示
分散PFE = Σ(RPFE,t–RPFE)2 ÷ (59 – 1)
= 2,751.50 ÷ (59 – 1)
= 47.44
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,108.23 ÷ (59 – 1)
= 19.11
共 分散PFE, S&P 500 = Σ(RPFE,t–RPFE)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 528.82 ÷ (59 – 1)
= 9.12
システマティックなリスク推定 (β)
| 分散PFE | 47.44 |
| 分散S&P 500 | 19.11 |
| 共 分散PFE, S&P 500 | 9.12 |
| 相関係数PFE, S&P 5001 | 0.30 |
| βPFE2 | 0.48 |
| αPFE3 | -0.54% |
計算
1 相関係数PFE, S&P 500
= 共 分散PFE, S&P 500 ÷ (標準偏差PFE × 標準偏差S&P 500)
= 9.12 ÷ (6.89% × 4.37%)
= 0.30
2 βPFE
= 共 分散PFE, S&P 500 ÷ 分散S&P 500
= 9.12 ÷ 19.11
= 0.48
3 αPFE
= 平均PFE – βPFE × 平均S&P 500
= 0.00% – 0.48 × 1.14%
= -0.54%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.95% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 17.36% |
| 普通株式 Pfizer システマティックリスク | βPFE | 0.48 |
| ファイザー普通株式の期待収益率3 | E(RPFE) | 10.87% |
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(RPFE) = RF + βPFE [E(RM) – RF]
= 4.95% + 0.48 [17.36% – 4.95%]
= 10.87%