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. (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
t | 日付 | RVZ,t | RS&P 500,t | (RVZ,t–RVZ)2 | (RS&P 500,t–RS&P 500)2 | (RVZ,t–RVZ)×(RS&P 500,t–RS&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 |
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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,t–RVZ)2 | (RS&P 500,t–RS&P 500)2 | (RVZ,t–RVZ)×(RS&P 500,t–RS&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,t–RVZ)2 ÷ (59 – 1)
= 1,457.82 ÷ (59 – 1)
= 25.13
分散S&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
共 分散VZ, S&P 500 = Σ(RVZ,t–RVZ)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 671.03 ÷ (59 – 1)
= 11.57
システマティックリスク推定 (β)
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
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%