Stock Analysis on Net

Visa Inc. (NYSE:V)

この会社は アーカイブに移されました! 財務データは2023年4月27日以降更新されていません。

資本資産価格モデル (CAPM) 

Microsoft Excel

収益率

Visa Inc.、月間収益率

Microsoft Excel
Visa Inc. (V) Standard & Poor’s 500 (S&P 500)
t 日付 価格V,t1 配当V,t1 RV,t2 価格S&P 500,t RS&P 500,t3
2016/10/31 $82.51 2,126.15
1. 2016/11/30 $77.32 $0.165 -6.09% 2,198.81 3.42%
2. 2016/12/31 $78.02 0.91% 2,238.83 1.82%
3. 2017/01/31 $82.71 6.01% 2,278.87 1.79%
. . . . . . .
. . . . . . .
. . . . . . .
70. 2022/08/31 $198.71 $0.375 -6.14% 3,955.00 -4.24%
71. 2022/09/30 $177.65 -10.60% 3,585.62 -9.34%
平均 (R): 1.33% 0.85%
標準偏差: 6.20% 4.82%
Visa Inc. (V) Standard & Poor’s 500 (S&P 500)
t 日付 価格V,t1 配当V,t1 RV,t2 価格S&P 500,t RS&P 500,t3
2016/10/31 $82.51 2,126.15
1. 2016/11/30 $77.32 $0.165 -6.09% 2,198.81 3.42%
2. 2016/12/31 $78.02 0.91% 2,238.83 1.82%
3. 2017/01/31 $82.71 6.01% 2,278.87 1.79%
4. 2017/02/28 $87.94 $0.165 6.52% 2,363.64 3.72%
5. 2017/03/31 $88.87 1.06% 2,362.72 -0.04%
6. 2017/04/30 $91.22 2.64% 2,384.20 0.91%
7. 2017/05/31 $95.23 $0.165 4.58% 2,411.80 1.16%
8. 2017/06/30 $93.78 -1.52% 2,423.41 0.48%
9. 2017/07/31 $99.56 6.16% 2,470.30 1.93%
10. 2017/08/31 $103.52 $0.165 4.14% 2,471.65 0.05%
11. 2017/09/30 $105.24 1.66% 2,519.36 1.93%
12. 2017/10/31 $109.98 4.50% 2,575.26 2.22%
13. 2017/11/30 $112.59 $0.195 2.55% 2,647.58 2.81%
14. 2017/12/31 $114.02 1.27% 2,673.61 0.98%
15. 2018/01/31 $124.23 8.95% 2,823.81 5.62%
16. 2018/02/28 $122.94 $0.21 -0.87% 2,713.83 -3.89%
17. 2018/03/31 $119.62 -2.70% 2,640.87 -2.69%
18. 2018/04/30 $126.88 6.07% 2,648.05 0.27%
19. 2018/05/31 $130.72 $0.21 3.19% 2,705.27 2.16%
20. 2018/06/30 $132.45 1.32% 2,718.37 0.48%
21. 2018/07/31 $136.74 3.24% 2,816.29 3.60%
22. 2018/08/31 $146.89 $0.21 7.58% 2,901.52 3.03%
23. 2018/09/30 $150.09 2.18% 2,913.98 0.43%
24. 2018/10/31 $137.85 -8.16% 2,711.74 -6.94%
25. 2018/11/30 $141.71 $0.25 2.98% 2,760.17 1.79%
26. 2018/12/31 $131.94 -6.89% 2,506.85 -9.18%
27. 2019/01/31 $135.01 2.33% 2,704.10 7.87%
28. 2019/02/28 $148.12 $0.25 9.90% 2,784.49 2.97%
29. 2019/03/31 $156.19 5.45% 2,834.40 1.79%
30. 2019/04/30 $164.43 5.28% 2,945.83 3.93%
31. 2019/05/31 $161.33 $0.25 -1.73% 2,752.06 -6.58%
32. 2019/06/30 $173.55 7.57% 2,941.76 6.89%
33. 2019/07/31 $178.00 2.56% 2,980.38 1.31%
34. 2019/08/31 $180.82 $0.25 1.72% 2,926.46 -1.81%
35. 2019/09/30 $172.01 -4.87% 2,976.74 1.72%
36. 2019/10/31 $178.86 3.98% 3,037.56 2.04%
37. 2019/11/30 $184.51 $0.30 3.33% 3,140.98 3.40%
38. 2019/12/31 $187.90 1.84% 3,230.78 2.86%
39. 2020/01/31 $198.97 5.89% 3,225.52 -0.16%
40. 2020/02/29 $181.76 $0.30 -8.50% 2,954.22 -8.41%
41. 2020/03/31 $161.12 -11.36% 2,584.59 -12.51%
42. 2020/04/30 $178.72 10.92% 2,912.43 12.68%
43. 2020/05/31 $195.24 $0.30 9.41% 3,044.31 4.53%
44. 2020/06/30 $193.17 -1.06% 3,100.29 1.84%
45. 2020/07/31 $190.40 -1.43% 3,271.12 5.51%
46. 2020/08/31 $211.99 $0.30 11.50% 3,500.31 7.01%
47. 2020/09/30 $199.97 -5.67% 3,363.00 -3.92%
48. 2020/10/31 $181.71 -9.13% 3,269.96 -2.77%
49. 2020/11/30 $210.35 $0.32 15.94% 3,621.63 10.75%
50. 2020/12/31 $218.73 3.98% 3,756.07 3.71%
51. 2021/01/31 $193.25 -11.65% 3,714.24 -1.11%
52. 2021/02/28 $212.39 $0.32 10.07% 3,811.15 2.61%
53. 2021/03/31 $211.73 -0.31% 3,972.89 4.24%
54. 2021/04/30 $233.56 10.31% 4,181.17 5.24%
55. 2021/05/31 $227.30 $0.32 -2.54% 4,204.11 0.55%
56. 2021/06/30 $233.82 2.87% 4,297.50 2.22%
57. 2021/07/31 $246.39 5.38% 4,395.26 2.27%
58. 2021/08/31 $229.10 $0.32 -6.89% 4,522.68 2.90%
59. 2021/09/30 $222.75 -2.77% 4,307.54 -4.76%
60. 2021/10/31 $211.77 -4.93% 4,605.38 6.91%
61. 2021/11/30 $193.77 $0.375 -8.32% 4,567.00 -0.83%
62. 2021/12/31 $216.71 11.84% 4,766.18 4.36%
63. 2022/01/31 $226.17 4.37% 4,515.55 -5.26%
64. 2022/02/28 $216.12 $0.375 -4.28% 4,373.94 -3.14%
65. 2022/03/31 $221.77 2.61% 4,530.41 3.58%
66. 2022/04/30 $213.13 -3.90% 4,131.93 -8.80%
67. 2022/05/31 $212.17 $0.375 -0.27% 4,132.15 0.01%
68. 2022/06/30 $196.89 -7.20% 3,785.38 -8.39%
69. 2022/07/31 $212.11 7.73% 4,130.29 9.11%
70. 2022/08/31 $198.71 $0.375 -6.14% 3,955.00 -4.24%
71. 2022/09/30 $177.65 -10.60% 3,585.62 -9.34%
平均 (R): 1.33% 0.85%
標準偏差: 6.20% 4.82%

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におけるV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

Visa Inc.、分散の計算、および戻り値の共分散

Microsoft Excel
t 日付 RV,t RS&P 500,t (RV,tRV)2 (RS&P 500,tRS&P 500)2 (RV,tRV)×(RS&P 500,tRS&P 500)
1. 2016/11/30 -6.09% 3.42% 55.08 6.57 -19.02
2. 2016/12/31 0.91% 1.82% 0.18 0.93 -0.41
3. 2017/01/31 6.01% 1.79% 21.90 0.87 4.37
. . . . . . .
. . . . . . .
. . . . . . .
70. 2022/08/31 -6.14% -4.24% 55.83 25.99 38.10
71. 2022/09/30 -10.60% -9.34% 142.31 103.92 121.61
トータル (Σ): 2,687.47 1,625.64 1,480.15
t 日付 RV,t RS&P 500,t (RV,tRV)2 (RS&P 500,tRS&P 500)2 (RV,tRV)×(RS&P 500,tRS&P 500)
1. 2016/11/30 -6.09% 3.42% 55.08 6.57 -19.02
2. 2016/12/31 0.91% 1.82% 0.18 0.93 -0.41
3. 2017/01/31 6.01% 1.79% 21.90 0.87 4.37
4. 2017/02/28 6.52% 3.72% 26.95 8.21 14.88
5. 2017/03/31 1.06% -0.04% 0.07 0.80 0.24
6. 2017/04/30 2.64% 0.91% 1.72 0.00 0.07
7. 2017/05/31 4.58% 1.16% 10.53 0.09 0.98
8. 2017/06/30 -1.52% 0.48% 8.14 0.14 1.06
9. 2017/07/31 6.16% 1.93% 23.35 1.17 5.22
10. 2017/08/31 4.14% 0.05% 7.91 0.64 -2.25
11. 2017/09/30 1.66% 1.93% 0.11 1.16 0.36
12. 2017/10/31 4.50% 2.22% 10.07 1.86 4.33
13. 2017/11/30 2.55% 2.81% 1.49 3.82 2.38
14. 2017/12/31 1.27% 0.98% 0.00 0.02 -0.01
15. 2018/01/31 8.95% 5.62% 58.12 22.69 36.31
16. 2018/02/28 -0.87% -3.89% 4.84 22.56 10.45
17. 2018/03/31 -2.70% -2.69% 16.25 12.55 14.28
18. 2018/04/30 6.07% 0.27% 22.45 0.34 -2.76
19. 2018/05/31 3.19% 2.16% 3.46 1.71 2.43
20. 2018/06/30 1.32% 0.48% 0.00 0.14 0.00
21. 2018/07/31 3.24% 3.60% 3.64 7.55 5.24
22. 2018/08/31 7.58% 3.03% 39.00 4.72 13.56
23. 2018/09/30 2.18% 0.43% 0.72 0.18 -0.36
24. 2018/10/31 -8.16% -6.94% 89.99 60.76 73.94
25. 2018/11/30 2.98% 1.79% 2.72 0.87 1.54
26. 2018/12/31 -6.89% -9.18% 67.66 100.65 82.52
27. 2019/01/31 2.33% 7.87% 0.99 49.20 6.98
28. 2019/02/28 9.90% 2.97% 73.35 4.49 18.14
29. 2019/03/31 5.45% 1.79% 16.95 0.88 3.86
30. 2019/04/30 5.28% 3.93% 15.56 9.47 12.14
31. 2019/05/31 -1.73% -6.58% 9.39 55.24 22.78
32. 2019/06/30 7.57% 6.89% 38.98 36.46 37.70
33. 2019/07/31 2.56% 1.31% 1.52 0.21 0.57
34. 2019/08/31 1.72% -1.81% 0.15 7.10 -1.05
35. 2019/09/30 -4.87% 1.72% 38.48 0.75 -5.36
36. 2019/10/31 3.98% 2.04% 7.03 1.41 3.15
37. 2019/11/30 3.33% 3.40% 3.98 6.50 5.09
38. 2019/12/31 1.84% 2.86% 0.26 4.02 1.01
39. 2020/01/31 5.89% -0.16% 20.80 1.03 -4.64
40. 2020/02/29 -8.50% -8.41% 96.63 85.85 91.08
41. 2020/03/31 -11.36% -12.51% 160.95 178.66 169.58
42. 2020/04/30 10.92% 12.68% 92.01 139.95 113.48
43. 2020/05/31 9.41% 4.53% 65.29 13.50 29.68
44. 2020/06/30 -1.06% 1.84% 5.72 0.97 -2.35
45. 2020/07/31 -1.43% 5.51% 7.65 21.67 -12.87
46. 2020/08/31 11.50% 7.01% 103.34 37.85 62.54
47. 2020/09/30 -5.67% -3.92% 49.02 22.82 33.45
48. 2020/10/31 -9.13% -2.77% 109.46 13.11 37.89
49. 2020/11/30 15.94% 10.75% 213.35 98.01 144.60
50. 2020/12/31 3.98% 3.71% 7.04 8.17 7.58
51. 2021/01/31 -11.65% -1.11% 168.48 3.87 25.55
52. 2021/02/28 10.07% 2.61% 76.37 3.08 15.33
53. 2021/03/31 -0.31% 4.24% 2.70 11.49 -5.56
54. 2021/04/30 10.31% 5.24% 80.63 19.25 39.40
55. 2021/05/31 -2.54% 0.55% 15.01 0.09 1.19
56. 2021/06/30 2.87% 2.22% 2.36 1.87 2.10
57. 2021/07/31 5.38% 2.27% 16.36 2.02 5.74
58. 2021/08/31 -6.89% 2.90% 67.54 4.18 -16.80
59. 2021/09/30 -2.77% -4.76% 16.83 31.49 23.02
60. 2021/10/31 -4.93% 6.91% 39.19 36.72 -37.94
61. 2021/11/30 -8.32% -0.83% 93.20 2.85 16.29
62. 2021/12/31 11.84% 4.36% 110.41 12.30 36.85
63. 2022/01/31 4.37% -5.26% 9.21 37.37 -18.55
64. 2022/02/28 -4.28% -3.14% 31.46 15.92 22.38
65. 2022/03/31 2.61% 3.58% 1.65 7.41 3.49
66. 2022/04/30 -3.90% -8.80% 27.32 93.13 50.44
67. 2022/05/31 -0.27% 0.01% 2.58 0.72 1.36
68. 2022/06/30 -7.20% -8.39% 72.81 85.50 78.90
69. 2022/07/31 7.73% 9.11% 40.95 68.18 52.84
70. 2022/08/31 -6.14% -4.24% 55.83 25.99 38.10
71. 2022/09/30 -10.60% -9.34% 142.31 103.92 121.61
トータル (Σ): 2,687.47 1,625.64 1,480.15

すべて表示

分散V = Σ(RV,tRV)2 ÷ (71 – 1)
= 2,687.47 ÷ (71 – 1)
= 38.39

分散S&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,625.64 ÷ (71 – 1)
= 23.22

共 分散V, S&P 500 = Σ(RV,tRV)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,480.15 ÷ (71 – 1)
= 21.14


システマティックリスク推定 (β)

Microsoft Excel
分散V 38.39
分散S&P 500 23.22
共 分散V, S&P 500 21.14
相関係数V, S&P 5001 0.71
βV2 0.91
αV3 0.55%

計算

1 相関係数V, S&P 500
= 共 分散V, S&P 500 ÷ (標準偏差V × 標準偏差S&P 500)
= 21.14 ÷ (6.20% × 4.82%)
= 0.71

2 βV
= 共 分散V, S&P 500 ÷ 分散S&P 500
= 21.14 ÷ 23.22
= 0.91

3 αV
= 平均V – βV × 平均S&P 500
= 1.33%0.91 × 0.85%
= 0.55%


期待収益率

Microsoft Excel
仮定
LT財務省総合の収益率1 RF 4.43%
市場ポートフォリオの期待収益率2 E(RM) 13.60%
普通株式 Visa システマティックリスク βV 0.91
 
Visa普通株式の期待収益率3 E(RV) 12.78%

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(RV) = RF + βV [E(RM) – RF]
= 4.43% + 0.91 [13.60%4.43%]
= 12.78%