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 |
| 2020/01/31 | $37.24 | 3,225.52 | ||||
| 1. | 2020/02/29 | $33.42 | -10.26% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $32.64 | -2.33% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $38.36 | 17.52% | 2,912.43 | 12.68% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | $26.21 | $0.42 | -5.90% | 6,032.38 | 5.73% |
| 59. | 2024/12/31 | $26.53 | 1.22% | 5,881.63 | -2.50% | |
| 平均 (R): | 0.16% | 1.16% | ||||
| 標準偏差： | 8.12% | 5.28% | ||||
| 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 |
| 2020/01/31 | $37.24 | 3,225.52 | ||||
| 1. | 2020/02/29 | $33.42 | -10.26% | 2,954.22 | -8.41% | |
| 2. | 2020/03/31 | $32.64 | -2.33% | 2,584.59 | -12.51% | |
| 3. | 2020/04/30 | $38.36 | 17.52% | 2,912.43 | 12.68% | |
| 4. | 2020/05/31 | $38.19 | $0.38 | 0.55% | 3,044.31 | 4.53% |
| 5. | 2020/06/30 | $32.70 | -14.38% | 3,100.29 | 1.84% | |
| 6. | 2020/07/31 | $38.48 | $0.38 | 18.84% | 3,271.12 | 5.51% |
| 7. | 2020/08/31 | $37.79 | -1.79% | 3,500.31 | 7.01% | |
| 8. | 2020/09/30 | $36.70 | -2.88% | 3,363.00 | -3.92% | |
| 9. | 2020/10/31 | $35.48 | -3.32% | 3,269.96 | -2.77% | |
| 10. | 2020/11/30 | $38.31 | $2.30819 | 14.48% | 3,621.63 | 10.75% |
| 11. | 2020/12/31 | $36.81 | -3.92% | 3,756.07 | 3.71% | |
| 12. | 2021/01/31 | $35.90 | $0.39 | -1.41% | 3,714.24 | -1.11% |
| 13. | 2021/02/28 | $33.49 | -6.71% | 3,811.15 | 2.61% | |
| 14. | 2021/03/31 | $36.23 | 8.18% | 3,972.89 | 4.24% | |
| 15. | 2021/04/30 | $38.65 | 6.68% | 4,181.17 | 5.24% | |
| 16. | 2021/05/31 | $38.73 | $0.39 | 1.22% | 4,204.11 | 0.55% |
| 17. | 2021/06/30 | $39.16 | 1.11% | 4,297.50 | 2.22% | |
| 18. | 2021/07/31 | $42.81 | $0.39 | 10.32% | 4,395.26 | 2.27% |
| 19. | 2021/08/31 | $46.07 | 7.62% | 4,522.68 | 2.90% | |
| 20. | 2021/09/30 | $43.01 | -6.64% | 4,307.54 | -4.76% | |
| 21. | 2021/10/31 | $43.74 | 1.70% | 4,605.38 | 6.91% | |
| 22. | 2021/11/30 | $53.73 | $0.39 | 23.73% | 4,567.00 | -0.83% |
| 23. | 2021/12/31 | $59.05 | 9.90% | 4,766.18 | 4.36% | |
| 24. | 2022/01/31 | $52.69 | $0.40 | -10.09% | 4,515.55 | -5.26% |
| 25. | 2022/02/28 | $46.94 | -10.91% | 4,373.94 | -3.14% | |
| 26. | 2022/03/31 | $51.77 | 10.29% | 4,530.41 | 3.58% | |
| 27. | 2022/04/30 | $49.07 | -5.22% | 4,131.93 | -8.80% | |
| 28. | 2022/05/31 | $53.04 | $0.40 | 8.91% | 4,132.15 | 0.01% |
| 29. | 2022/06/30 | $52.43 | -1.15% | 3,785.38 | -8.39% | |
| 30. | 2022/07/31 | $50.51 | $0.40 | -2.90% | 4,130.29 | 9.11% |
| 31. | 2022/08/31 | $45.23 | -10.45% | 3,955.00 | -4.24% | |
| 32. | 2022/09/30 | $43.76 | -3.25% | 3,585.62 | -9.34% | |
| 33. | 2022/10/31 | $46.55 | 6.38% | 3,871.98 | 7.99% | |
| 34. | 2022/11/30 | $50.13 | $0.40 | 8.55% | 4,080.11 | 5.38% |
| 35. | 2022/12/31 | $51.24 | 2.21% | 3,839.50 | -5.90% | |
| 36. | 2023/01/31 | $44.16 | $0.41 | -13.02% | 4,076.60 | 6.18% |
| 37. | 2023/02/28 | $40.57 | -8.13% | 3,970.15 | -2.61% | |
| 38. | 2023/03/31 | $40.80 | 0.57% | 4,109.31 | 3.51% | |
| 39. | 2023/04/30 | $38.89 | -4.68% | 4,169.48 | 1.46% | |
| 40. | 2023/05/31 | $38.02 | $0.41 | -1.18% | 4,179.83 | 0.25% |
| 41. | 2023/06/30 | $36.68 | -3.52% | 4,376.86 | 4.71% | |
| 42. | 2023/07/31 | $36.06 | $0.41 | -0.57% | 4,588.96 | 4.85% |
| 43. | 2023/08/31 | $35.38 | -1.89% | 4,507.66 | -1.77% | |
| 44. | 2023/09/30 | $33.17 | -6.25% | 4,288.05 | -4.87% | |
| 45. | 2023/10/31 | $30.56 | -7.87% | 4,193.80 | -2.20% | |
| 46. | 2023/11/30 | $30.47 | $0.41 | 1.05% | 4,567.80 | 8.92% |
| 47. | 2023/12/31 | $28.79 | -5.51% | 4,769.83 | 4.42% | |
| 48. | 2024/01/31 | $27.08 | $0.42 | -4.48% | 4,845.65 | 1.59% |
| 49. | 2024/02/29 | $26.56 | -1.92% | 5,096.27 | 5.17% | |
| 50. | 2024/03/31 | $27.75 | 4.48% | 5,254.35 | 3.10% | |
| 51. | 2024/04/30 | $25.62 | -7.68% | 5,035.69 | -4.16% | |
| 52. | 2024/05/31 | $28.66 | $0.42 | 13.51% | 5,277.51 | 4.80% |
| 53. | 2024/06/30 | $27.98 | -2.37% | 5,460.48 | 3.47% | |
| 54. | 2024/07/31 | $30.54 | $0.42 | 10.65% | 5,522.30 | 1.13% |
| 55. | 2024/08/31 | $29.01 | -5.01% | 5,648.40 | 2.28% | |
| 56. | 2024/09/30 | $28.94 | -0.24% | 5,762.48 | 2.02% | |
| 57. | 2024/10/31 | $28.30 | -2.21% | 5,705.45 | -0.99% | |
| 58. | 2024/11/30 | $26.21 | $0.42 | -5.90% | 6,032.38 | 5.73% |
| 59. | 2024/12/31 | $26.53 | 1.22% | 5,881.63 | -2.50% | |
| 平均 (R): | 0.16% | 1.16% | ||||
| 標準偏差： | 8.12% | 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. | 2020/02/29 | -10.26% | -8.41% | 108.58 | 91.63 | 99.75 |
| 2. | 2020/03/31 | -2.33% | -12.51% | 6.23 | 186.96 | 34.13 |
| 3. | 2020/04/30 | 17.52% | 12.68% | 301.44 | 132.78 | 200.07 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 2024/11/30 | -5.90% | 5.73% | 36.77 | 20.87 | -27.70 |
| 59. | 2024/12/31 | 1.22% | -2.50% | 1.12 | 13.40 | -3.87 |
| トータル (Σ): | 3,819.67 | 1,618.62 | 1,039.84 | |||
| 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. | 2020/02/29 | -10.26% | -8.41% | 108.58 | 91.63 | 99.75 |
| 2. | 2020/03/31 | -2.33% | -12.51% | 6.23 | 186.96 | 34.13 |
| 3. | 2020/04/30 | 17.52% | 12.68% | 301.44 | 132.78 | 200.07 |
| 4. | 2020/05/31 | 0.55% | 4.53% | 0.15 | 11.34 | 1.30 |
| 5. | 2020/06/30 | -14.38% | 1.84% | 211.35 | 0.46 | -9.85 |
| 6. | 2020/07/31 | 18.84% | 5.51% | 348.77 | 18.91 | 81.22 |
| 7. | 2020/08/31 | -1.79% | 7.01% | 3.82 | 34.17 | -11.43 |
| 8. | 2020/09/30 | -2.88% | -3.92% | 9.28 | 25.85 | 15.49 |
| 9. | 2020/10/31 | -3.32% | -2.77% | 12.16 | 15.43 | 13.70 |
| 10. | 2020/11/30 | 14.48% | 10.75% | 205.05 | 92.03 | 137.37 |
| 11. | 2020/12/31 | -3.92% | 3.71% | 16.63 | 6.51 | -10.40 |
| 12. | 2021/01/31 | -1.41% | -1.11% | 2.48 | 5.18 | 3.58 |
| 13. | 2021/02/28 | -6.71% | 2.61% | 47.27 | 2.10 | -9.95 |
| 14. | 2021/03/31 | 8.18% | 4.24% | 64.31 | 9.50 | 24.72 |
| 15. | 2021/04/30 | 6.68% | 5.24% | 42.47 | 16.66 | 26.60 |
| 16. | 2021/05/31 | 1.22% | 0.55% | 1.11 | 0.38 | -0.65 |
| 17. | 2021/06/30 | 1.11% | 2.22% | 0.90 | 1.12 | 1.00 |
| 18. | 2021/07/31 | 10.32% | 2.27% | 103.11 | 1.24 | 11.31 |
| 19. | 2021/08/31 | 7.62% | 2.90% | 55.54 | 3.02 | 12.95 |
| 20. | 2021/09/30 | -6.64% | -4.76% | 46.30 | 35.02 | 40.27 |
| 21. | 2021/10/31 | 1.70% | 6.91% | 2.36 | 33.10 | 8.83 |
| 22. | 2021/11/30 | 23.73% | -0.83% | 555.48 | 3.98 | -47.01 |
| 23. | 2021/12/31 | 9.90% | 4.36% | 94.85 | 10.24 | 31.16 |
| 24. | 2022/01/31 | -10.09% | -5.26% | 105.18 | 41.21 | 65.84 |
| 25. | 2022/02/28 | -10.91% | -3.14% | 122.66 | 18.47 | 47.59 |
| 26. | 2022/03/31 | 10.29% | 3.58% | 102.56 | 5.84 | 24.47 |
| 27. | 2022/04/30 | -5.22% | -8.80% | 28.92 | 99.14 | 53.55 |
| 28. | 2022/05/31 | 8.91% | 0.01% | 76.44 | 1.34 | -10.11 |
| 29. | 2022/06/30 | -1.15% | -8.39% | 1.72 | 91.26 | 12.54 |
| 30. | 2022/07/31 | -2.90% | 9.11% | 9.37 | 63.21 | -24.34 |
| 31. | 2022/08/31 | -10.45% | -4.24% | 112.70 | 29.22 | 57.38 |
| 32. | 2022/09/30 | -3.25% | -9.34% | 11.65 | 110.27 | 35.83 |
| 33. | 2022/10/31 | 6.38% | 7.99% | 38.60 | 46.58 | 42.41 |
| 34. | 2022/11/30 | 8.55% | 5.38% | 70.35 | 17.76 | 35.34 |
| 35. | 2022/12/31 | 2.21% | -5.90% | 4.21 | 49.82 | -14.48 |
| 36. | 2023/01/31 | -13.02% | 6.18% | 173.70 | 25.14 | -66.08 |
| 37. | 2023/02/28 | -8.13% | -2.61% | 68.76 | 14.23 | 31.28 |
| 38. | 2023/03/31 | 0.57% | 3.51% | 0.16 | 5.49 | 0.95 |
| 39. | 2023/04/30 | -4.68% | 1.46% | 23.46 | 0.09 | -1.47 |
| 40. | 2023/05/31 | -1.18% | 0.25% | 1.81 | 0.83 | 1.23 |
| 41. | 2023/06/30 | -3.52% | 4.71% | 13.59 | 12.62 | -13.10 |
| 42. | 2023/07/31 | -0.57% | 4.85% | 0.54 | 13.58 | -2.71 |
| 43. | 2023/08/31 | -1.89% | -1.77% | 4.20 | 8.60 | 6.01 |
| 44. | 2023/09/30 | -6.25% | -4.87% | 41.07 | 36.40 | 38.67 |
| 45. | 2023/10/31 | -7.87% | -2.20% | 64.50 | 11.28 | 26.98 |
| 46. | 2023/11/30 | 1.05% | 8.92% | 0.78 | 60.17 | 6.86 |
| 47. | 2023/12/31 | -5.51% | 4.42% | 32.22 | 10.64 | -18.51 |
| 48. | 2024/01/31 | -4.48% | 1.59% | 21.56 | 0.18 | -1.99 |
| 49. | 2024/02/29 | -1.92% | 5.17% | 4.34 | 16.09 | -8.35 |
| 50. | 2024/03/31 | 4.48% | 3.10% | 18.64 | 3.77 | 8.38 |
| 51. | 2024/04/30 | -7.68% | -4.16% | 61.44 | 28.33 | 41.72 |
| 52. | 2024/05/31 | 13.51% | 4.80% | 178.03 | 13.26 | 48.58 |
| 53. | 2024/06/30 | -2.37% | 3.47% | 6.43 | 5.32 | -5.85 |
| 54. | 2024/07/31 | 10.65% | 1.13% | 110.00 | 0.00 | -0.31 |
| 55. | 2024/08/31 | -5.01% | 2.28% | 26.75 | 1.26 | -5.80 |
| 56. | 2024/09/30 | -0.24% | 2.02% | 0.16 | 0.74 | -0.35 |
| 57. | 2024/10/31 | -2.21% | -0.99% | 5.64 | 4.63 | 5.11 |
| 58. | 2024/11/30 | -5.90% | 5.73% | 36.77 | 20.87 | -27.70 |
| 59. | 2024/12/31 | 1.22% | -2.50% | 1.12 | 13.40 | -3.87 |
| トータル (Σ): | 3,819.67 | 1,618.62 | 1,039.84 | |||
すべて表示
分散PFE = Σ(RPFE,t–RPFE)2 ÷ (59 – 1)
= 3,819.67 ÷ (59 – 1)
= 65.86
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,618.62 ÷ (59 – 1)
= 27.91
共 分散PFE, S&P 500 = Σ(RPFE,t–RPFE)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 1,039.84 ÷ (59 – 1)
= 17.93
システマティックなリスク推定 (β)
| 分散PFE | 65.86 |
| 分散S&P 500 | 27.91 |
| 共 分散PFE, S&P 500 | 17.93 |
| 相関係数PFE, S&P 5001 | 0.42 |
| βPFE2 | 0.64 |
| αPFE3 | -0.58% |
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)
= 17.93 ÷ (8.12% × 5.28%)
= 0.42
2 βPFE
= 共 分散PFE, S&P 500 ÷ 分散S&P 500
= 17.93 ÷ 27.91
= 0.64
3 αPFE
= 平均PFE – βPFE × 平均S&P 500
= 0.16% – 0.64 × 1.16%
= -0.58%
期待収益率
| 仮定 | ||
| LT国債総合の収益率1 | RF | 4.53% |
| 市場ポートフォリオの期待収益率2 | E(RM) | 14.88% |
| 普通株式 Pfizer システマティックリスク | βPFE | 0.64 |
| ファイザー普通株式の期待収益率3 | E(RPFE) | 11.18% |
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]
= 4.53% + 0.64 [14.88% – 4.53%]
= 11.18%