Stock Analysis on Net

Verizon Communications Inc. (NYSE:VZ)

資本資産価格モデル (CAPM) 

Microsoft Excel

資本資産価格モデル(CAPM)は、 Verizon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

Verizon Communications Inc.、月間収益率

Microsoft Excel
Verizon Communications Inc. (VZ) Standard & Poor’s 500 (S&P 500)
t 日付 価格VZ,t1 配当VZ,t1 RVZ,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $55.06 2,704.10
1. 2019/02/28 $56.92 3.38% 2,784.49 2.97%
2. 2019/03/31 $59.13 3.88% 2,834.40 1.79%
3. 2019/04/30 $57.19 $0.6025 -2.26% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 $38.33 9.11% 4,567.80 8.92%
59. 2023/12/31 $37.70 -1.64% 4,769.83 4.42%
平均 (R): -0.10% 1.11%
標準偏差: 5.01% 5.31%
Verizon Communications Inc. (VZ) Standard & Poor’s 500 (S&P 500)
t 日付 価格VZ,t1 配当VZ,t1 RVZ,t2 価格S&P 500,t RS&P 500,t3
2019/01/31 $55.06 2,704.10
1. 2019/02/28 $56.92 3.38% 2,784.49 2.97%
2. 2019/03/31 $59.13 3.88% 2,834.40 1.79%
3. 2019/04/30 $57.19 $0.6025 -2.26% 2,945.83 3.93%
4. 2019/05/31 $54.35 -4.97% 2,752.06 -6.58%
5. 2019/06/30 $57.13 5.11% 2,941.76 6.89%
6. 2019/07/31 $55.27 $0.6025 -2.20% 2,980.38 1.31%
7. 2019/08/31 $58.16 5.23% 2,926.46 -1.81%
8. 2019/09/30 $60.36 3.78% 2,976.74 1.72%
9. 2019/10/31 $60.47 $0.615 1.20% 3,037.56 2.04%
10. 2019/11/30 $60.24 -0.38% 3,140.98 3.40%
11. 2019/12/31 $61.40 1.93% 3,230.78 2.86%
12. 2020/01/31 $59.44 $0.615 -2.19% 3,225.52 -0.16%
13. 2020/02/29 $54.16 -8.88% 2,954.22 -8.41%
14. 2020/03/31 $53.73 -0.79% 2,584.59 -12.51%
15. 2020/04/30 $57.45 $0.615 8.07% 2,912.43 12.68%
16. 2020/05/31 $57.38 -0.12% 3,044.31 4.53%
17. 2020/06/30 $55.13 -3.92% 3,100.29 1.84%
18. 2020/07/31 $57.48 $0.615 5.38% 3,271.12 5.51%
19. 2020/08/31 $59.27 3.11% 3,500.31 7.01%
20. 2020/09/30 $59.49 0.37% 3,363.00 -3.92%
21. 2020/10/31 $56.99 $0.6275 -3.15% 3,269.96 -2.77%
22. 2020/11/30 $60.41 6.00% 3,621.63 10.75%
23. 2020/12/31 $58.75 -2.75% 3,756.07 3.71%
24. 2021/01/31 $54.75 $0.6275 -5.74% 3,714.24 -1.11%
25. 2021/02/28 $55.30 1.00% 3,811.15 2.61%
26. 2021/03/31 $58.15 5.15% 3,972.89 4.24%
27. 2021/04/30 $57.79 $0.6275 0.46% 4,181.17 5.24%
28. 2021/05/31 $56.49 -2.25% 4,204.11 0.55%
29. 2021/06/30 $56.03 -0.81% 4,297.50 2.22%
30. 2021/07/31 $55.78 $0.6275 0.67% 4,395.26 2.27%
31. 2021/08/31 $55.00 -1.40% 4,522.68 2.90%
32. 2021/09/30 $54.01 -1.80% 4,307.54 -4.76%
33. 2021/10/31 $52.99 $0.64 -0.70% 4,605.38 6.91%
34. 2021/11/30 $50.27 -5.13% 4,567.00 -0.83%
35. 2021/12/31 $51.96 3.36% 4,766.18 4.36%
36. 2022/01/31 $53.23 $0.64 3.68% 4,515.55 -5.26%
37. 2022/02/28 $53.67 0.83% 4,373.94 -3.14%
38. 2022/03/31 $50.94 -5.09% 4,530.41 3.58%
39. 2022/04/30 $46.30 $0.64 -7.85% 4,131.93 -8.80%
40. 2022/05/31 $51.29 10.78% 4,132.15 0.01%
41. 2022/06/30 $50.75 -1.05% 3,785.38 -8.39%
42. 2022/07/31 $46.19 $0.64 -7.72% 4,130.29 9.11%
43. 2022/08/31 $41.81 -9.48% 3,955.00 -4.24%
44. 2022/09/30 $37.97 -9.18% 3,585.62 -9.34%
45. 2022/10/31 $37.37 $0.6525 0.14% 3,871.98 7.99%
46. 2022/11/30 $38.98 4.31% 4,080.11 5.38%
47. 2022/12/31 $39.40 1.08% 3,839.50 -5.90%
48. 2023/01/31 $41.57 $0.6525 7.16% 4,076.60 6.18%
49. 2023/02/28 $38.81 -6.64% 3,970.15 -2.61%
50. 2023/03/31 $38.89 0.21% 4,109.31 3.51%
51. 2023/04/30 $38.83 $0.6525 1.52% 4,169.48 1.46%
52. 2023/05/31 $35.63 -8.24% 4,179.83 0.25%
53. 2023/06/30 $37.19 4.38% 4,376.86 4.71%
54. 2023/07/31 $34.08 $0.6525 -6.61% 4,588.96 4.85%
55. 2023/08/31 $34.98 2.64% 4,507.66 -1.77%
56. 2023/09/30 $32.41 -7.35% 4,288.05 -4.87%
57. 2023/10/31 $35.13 $0.665 10.44% 4,193.80 -2.20%
58. 2023/11/30 $38.33 9.11% 4,567.80 8.92%
59. 2023/12/31 $37.70 -1.64% 4,769.83 4.42%
平均 (R): -0.10% 1.11%
標準偏差: 5.01% 5.31%

すべて表示

1 普通株式1株当たり米ドルで、分割および株式配当を調整したデータ。

2 期間 t中のVZ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プロキシ)の収益率。


分散と共分散

Verizon Communications Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RVZ,t RS&P 500,t (RVZ,tRVZ)2 (RS&P 500,tRS&P 500)2 (RVZ,tRVZ)×(RS&P 500,tRS&P 500)
1. 2019/02/28 3.38% 2.97% 12.10 3.49 6.50
2. 2019/03/31 3.88% 1.79% 15.87 0.47 2.73
3. 2019/04/30 -2.26% 3.93% 4.67 7.98 -6.11
. . . . . . .
. . . . . . .
. . . . . . .
58. 2023/11/30 9.11% 8.92% 84.82 61.03 71.95
59. 2023/12/31 -1.64% 4.42% 2.38 11.00 -5.12
トータル (Σ): 1,457.82 1,634.30 671.03
t 日付 RVZ,t RS&P 500,t (RVZ,tRVZ)2 (RS&P 500,tRS&P 500)2 (RVZ,tRVZ)×(RS&P 500,tRS&P 500)
1. 2019/02/28 3.38% 2.97% 12.10 3.49 6.50
2. 2019/03/31 3.88% 1.79% 15.87 0.47 2.73
3. 2019/04/30 -2.26% 3.93% 4.67 7.98 -6.11
4. 2019/05/31 -4.97% -6.58% 23.67 59.04 37.38
5. 2019/06/30 5.11% 6.89% 27.20 33.49 30.18
6. 2019/07/31 -2.20% 1.31% 4.41 0.04 -0.43
7. 2019/08/31 5.23% -1.81% 28.41 8.50 -15.54
8. 2019/09/30 3.78% 1.72% 15.08 0.37 2.38
9. 2019/10/31 1.20% 2.04% 1.69 0.88 1.22
10. 2019/11/30 -0.38% 3.40% 0.08 5.28 -0.64
11. 2019/12/31 1.93% 2.86% 4.11 3.07 3.55
12. 2020/01/31 -2.19% -0.16% 4.37 1.61 2.65
13. 2020/02/29 -8.88% -8.41% 77.13 90.57 83.58
14. 2020/03/31 -0.79% -12.51% 0.48 185.44 9.44
15. 2020/04/30 8.07% 12.68% 66.73 134.06 94.58
16. 2020/05/31 -0.12% 4.53% 0.00 11.71 -0.07
17. 2020/06/30 -3.92% 1.84% 14.60 0.54 -2.80
18. 2020/07/31 5.38% 5.51% 30.02 19.40 24.13
19. 2020/08/31 3.11% 7.01% 10.34 34.82 18.97
20. 2020/09/30 0.37% -3.92% 0.22 25.29 -2.37
21. 2020/10/31 -3.15% -2.77% 9.28 15.00 11.80
22. 2020/11/30 6.00% 10.75% 37.23 93.10 58.87
23. 2020/12/31 -2.75% 3.71% 7.01 6.79 -6.90
24. 2021/01/31 -5.74% -1.11% 31.81 4.93 12.52
25. 2021/02/28 1.00% 2.61% 1.22 2.26 1.66
26. 2021/03/31 5.15% 4.24% 27.61 9.85 16.49
27. 2021/04/30 0.46% 5.24% 0.31 17.11 2.32
28. 2021/05/31 -2.25% 0.55% 4.62 0.31 1.20
29. 2021/06/30 -0.81% 2.22% 0.51 1.24 -0.80
30. 2021/07/31 0.67% 2.27% 0.60 1.37 0.91
31. 2021/08/31 -1.40% 2.90% 1.68 3.22 -2.33
32. 2021/09/30 -1.80% -4.76% 2.89 34.37 9.96
33. 2021/10/31 -0.70% 6.91% 0.36 33.74 -3.50
34. 2021/11/30 -5.13% -0.83% 25.32 3.76 9.76
35. 2021/12/31 3.36% 4.36% 11.99 10.60 11.27
36. 2022/01/31 3.68% -5.26% 14.26 40.51 -24.04
37. 2022/02/28 0.83% -3.14% 0.86 17.99 -3.93
38. 2022/03/31 -5.09% 3.58% 24.86 6.11 -12.32
39. 2022/04/30 -7.85% -8.80% 60.09 98.04 76.75
40. 2022/05/31 10.78% 0.01% 118.34 1.21 -11.97
41. 2022/06/30 -1.05% -8.39% 0.91 90.21 9.04
42. 2022/07/31 -7.72% 9.11% 58.12 64.09 -61.03
43. 2022/08/31 -9.48% -4.24% 88.02 28.62 50.19
44. 2022/09/30 -9.18% -9.34% 82.51 109.11 94.88
45. 2022/10/31 0.14% 7.99% 0.06 47.34 1.64
46. 2022/11/30 4.31% 5.38% 19.44 18.23 18.82
47. 2022/12/31 1.08% -5.90% 1.39 49.04 -8.25
48. 2023/01/31 7.16% 6.18% 52.77 25.70 36.83
49. 2023/02/28 -6.64% -2.61% 42.75 13.82 24.30
50. 2023/03/31 0.21% 3.51% 0.09 5.76 0.74
51. 2023/04/30 1.52% 1.46% 2.64 0.13 0.58
52. 2023/05/31 -8.24% 0.25% 66.26 0.74 6.98
53. 2023/06/30 4.38% 4.71% 20.06 13.02 16.16
54. 2023/07/31 -6.61% 4.85% 42.34 13.99 -24.34
55. 2023/08/31 2.64% -1.77% 7.52 8.28 -7.89
56. 2023/09/30 -7.35% -4.87% 52.51 35.73 43.32
57. 2023/10/31 10.44% -2.20% 111.20 10.92 -34.84
58. 2023/11/30 9.11% 8.92% 84.82 61.03 71.95
59. 2023/12/31 -1.64% 4.42% 2.38 11.00 -5.12
トータル (Σ): 1,457.82 1,634.30 671.03

すべて表示

分散VZ = Σ(RVZ,tRVZ)2 ÷ (59 – 1)
= 1,457.82 ÷ (59 – 1)
= 25.13

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

共 分散VZ, S&P 500 = Σ(RVZ,tRVZ)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 671.03 ÷ (59 – 1)
= 11.57


システマティックリスク推定 (β)

Microsoft Excel
分散VZ 25.13
分散S&P 500 28.18
共 分散VZ, S&P 500 11.57
相関係数VZ, S&P 5001 0.43
βVZ2 0.41
αVZ3 -0.55%

計算

1 相関係数VZ, S&P 500
= 共 分散VZ, S&P 500 ÷ (標準偏差VZ × 標準偏差S&P 500)
= 11.57 ÷ (5.01% × 5.31%)
= 0.43

2 βVZ
= 共 分散VZ, S&P 500 ÷ 分散S&P 500
= 11.57 ÷ 28.18
= 0.41

3 αVZ
= 平均VZ – βVZ × 平均S&P 500
= -0.10%0.41 × 1.11%
= -0.55%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.55%
市場ポートフォリオの期待収益率2 E(RM) 13.62%
普通株式 Verizon システマティックリスク βVZ 0.41
 
ベライゾンの普通株式の期待収益率3 E(RVZ) 8.27%

1 10年以内に期限が到来またはコール可能でないすべての固定クーポン米国債の入札利回りの非加重平均(リスクフリー収益率プロキシ)。

2 詳細を見る »

3 E(RVZ) = RF + βVZ [E(RM) – RF]
= 4.55% + 0.41 [13.62%4.55%]
= 8.27%