betas empresa mercado

“BETAS” La relación lineal

UNIVERSIDAD GALILEO

FACULTAD DE CIENCIA, TECNOLOGÍA E INDUSTRIA

DOCTORADO EN ADMINISTRAACIÓN CON ESPECIALIDAD

EN FINANZAS

ARQ. ALVARO COUTIÑO G

Carnet 1300-4393

“BETAS”

1

Contenido A. COCACOLA Y S&P 500 ........................................................................................................... 3

1. Betas empresa Coca-Cola (KO) y mercado (S&P 500) .............................................................. 3

1.1. Primera metodología beta mediante covarianza y varianza: (Datos históricos del más

reciente al menos reciente) .............................................................................................................. 3

1.2. Segunda metodología mediante la gráfica de dispersión .................................................... 7

1.3. Tercera metodología mediante la fórmula pendiente. ......................................................... 7

1.4. Cuarta metodología mediante la regresión: ......................................................................... 8

2. Betas empresa Coca-Cola (KO) y mercado (S&P 500) .............................................................. 8

2.1. Primera metodología beta mediante covarianza y varianza: (Datos históricos del menos

reciente al más reciente) .................................................................................................................. 9

2.2. Segunda metodología mediante la gráfica de dispersión .................................................. 13

2.3. Tercera metodología mediante la fórmula pendiente ........................................................ 14

2.4. Cuarta metodología mediante la regresión ........................................................................ 14

B. PFIZER (PFE) Y MERCADO S&P 500 ................................................................................... 15

3. Betas empresa Pfizer (PFE) y mercado (S&P 500) ................................................................... 15

3.1. Primera metodología: beta empresa pfizer (pfe) y mercado ............................................. 15


3.3. Tercera metodología mediante la fórmula pendiente. ....................................................... 20

3.4. Cuarta metodología: Regresión ......................................................................................... 20

4. Betas empresa Pfizer (PFE) y mercado (S&P 500) ................................................................... 21

4.1. Primera metodología: beta empresa Pfizer (pfe) y mercado ............................................. 21


4.3. Tercera metodología mediante la fórmula pendiente. ..................................................... 26

4.4. Cuarta metodología: Regresión......................................................................................... 26

C. FACEBOOK (FB) Y MERCADO NASDAQ .......................................................................... 27

5. Betas empresa Facaebookr (FB) y mercado (NASDAQ).......................................................... 27

5.1. Primera metodología: beta empresa Facebook (FB) y mercado NASDAQ ...................... 27

5.2. Segunda metodología: mediante la gráfica de dispersión. ................................................ 30

5.3. Tercera metodología mediante la fórmula pendiente. ....................................................... 31


6. Betas empresa Facaebookr (FB) y mercado (NASDAQ).......................................................... 33

“BETAS”

2

6.1. Primera metodología: beta empresa Facebook (FB) y mercado NASDAQ ...................... 33

6.2. Segunda metodología: mediante la gráfica de dispersión. ................................................ 36

6.3. Tercera metodología mediante la fórmula pendiente ........................................................ 37


“BETAS”

3

INTRODUCCIÖN

¿Qué es la beta? (β)

Este parámetro mide la volatilidad de los rendimientos sobre una acción individual con

relación al índice de rendimientos del mercado de acciones, como el índice de Standard &

Poor´s 500, Nasdaq, entre otros. Por lo tanto decimos que una acción común con una beta

de 1.0 tiene un riesgo igual al del mercado., mientras que las acciones que tienen betas

inferiores a 1.0 son menos riesgosas que el mercado.

A continuación, procederemos a calcular las Betas de las empresas y su relación con los

mercados en las que cotizan.

A. COCACOLA Y S&P 500

1. Betas empresa Coca-Cola (KO) y mercado (S&P 500)

Metodología:

a. Primer paso descargar información de la empresa. Coca-Cola (KO)

b. Segundo paso descargar la información del mercado. (S&P 500)

c. Determinar las variaciones que ha habido en los precios de las acciones para ellos

hay que utilizar la información de cierre y del mercado, utilizando cualquiera de las

tres fórmulas.

d. Identificar cual es el segmento Y el segmento X.

e. La empresa siempre va ser el eje de las Y, el mercado el eje de las X.

f. El siguiente paso es determinar la covarianza

g. Ahora la Varianza

h. El siguiente paso es determinar la Beta

i. La pendiente (slope)

j. Ahora vamos a determinar la dispersión

k. Calculo de la regresión, es necesario ir a datos y análisis de datos.

1.1. Primera metodología beta mediante covarianza y varianza: (Datos históricos del

más reciente al menos reciente)

“BETAS”

4

30 julio del 2012 / 30 julio 2009

Coca-Cola

KO empresa

Standard Poors 500

mercado

Date Adj. Close Y

Adj. Close X

30/07/2012 38.06

1385.97 23/07/2012 38.06 0.00% 0.00% 1385.97 0.00% 0.00%

16/07/2012 36.64 3.88% -3.73% 1362.66 1.71% -1.68%

09/07/2012 36.76 -0.33% 0.33% 1356.78 0.43% -0.43%

02/07/2012 37.18 -1.13% 1.14% 1354.68 0.16% -0.15%

25/06/2012 37.19 -0.03% 0.03% 1362.16 -0.55% 0.55%

18/06/2012 35.65 4.32% -4.14% 1335.02 2.03% -1.99%

11/06/2012 36.2 -1.52% 1.54% 1342.84 -0.58% 0.59%

04/06/2012 35.55 1.83% -1.80% 1325.66 1.30% -1.28%

29/05/2012 34.53 2.95% -2.87% 1278.04 3.73% -3.59%

21/05/2012 35.54 -2.84% 2.92% 1317.82 -3.02% 3.11%

14/05/2012 34.99 1.57% -1.55% 1295.22 1.74% -1.71%

07/05/2012 36.6 -4.40% 4.60% 1353.39 -4.30% 4.49%

30/04/2012 36.38 0.60% -0.60% 1369.1 -1.15% 1.16%

23/04/2012 36.21 0.47% -0.47% 1403.36 -2.44% 2.50%

16/04/2012 35.02 3.40% -3.29% 1378.53 1.80% -1.77%

09/04/2012 33.99 3.03% -2.94% 1370.26 0.60% -0.60%

02/04/2012 34.71 -2.07% 2.12% 1398.08 -1.99% 2.03%

26/03/2012 34.97 -0.74% 0.75% 1408.47 -0.74% 0.74%

19/03/2012 33.78 3.52% -3.40% 1397.11 0.81% -0.81%

12/03/2012 33.15 1.90% -1.87% 1404.17 -0.50% 0.51%

05/03/2012 32.6 1.69% -1.66% 1370.87 2.43% -2.37%

27/02/2012 32.45 0.46% -0.46% 1369.63 0.09% -0.09%

21/02/2012 32.36 0.28% -0.28% 1365.74 0.28% -0.28%

13/02/2012 32.39 -0.09% 0.09% 1361.23 0.33% -0.33%

06/02/2012 31.87 1.63% -1.61% 1342.64 1.38% -1.37%

30/01/2012 31.93 -0.19% 0.19% 1344.9 -0.17% 0.17%

23/01/2012 31.63 0.95% -0.94% 1316.33 2.17% -2.12%

17/01/2012 31.94 -0.97% 0.98% 1315.38 0.07% -0.07%

09/01/2012 31.42 1.65% -1.63% 1289.09 2.04% -2.00%

03/01/2012 32.33 -2.81% 2.90% 1277.81 0.88% -0.88%

27/12/2011 32.82 -1.49% 1.52% 1257.6 1.61% -1.58%

19/12/2011 32.8 0.06% -0.06% 1265.33 -0.61% 0.61%

12/12/2011 31.63 3.70% -3.57% 1219.66 3.74% -3.61%

05/12/2011 31.69 -0.19% 0.19% 1255.19 -2.83% 2.91%

28/11/2011 31.13 1.80% -1.77% 1244.28 0.88% -0.87%

21/11/2011 30.15 3.25% -3.15% 1158.67 7.39% -6.88%

14/11/2011 31.38 -3.92% 4.08% 1215.65 -4.69% 4.92%

07/11/2011 31.72 -1.07% 1.08% 1263.85 -3.81% 3.96%

31/10/2011 31.56 0.51% -0.50% 1253.23 0.85% -0.84%

24/10/2011 32.1 -1.68% 1.71% 1285.09 -2.48% 2.54%

17/10/2011 31.75 1.10% -1.09% 1238.25 3.78% -3.64%

10/10/2011 31.59 0.51% -0.50% 1224.58 1.12% -1.10%

03/10/2011 30.69 2.93% -2.85% 1155.46 5.98% -5.64%

26/09/2011 31.46 -2.45% 2.51% 1131.42 2.12% -2.08%

19/09/2011 31.39 0.22% -0.22% 1136.43 -0.44% 0.44%

12/09/2011 33.17 -5.37% 5.67% 1216.01 -6.54% 7.00%

06/09/2011 32.08 3.40% -3.29% 1154.23 5.35% -5.08%

29/08/2011 32.25 -0.53% 0.53% 1173.97 -1.68% 1.71%

22/08/2011 31.68 1.80% -1.77% 1176.8 -0.24% 0.24%

15/08/2011 31.03 2.09% -2.05% 1123.53 4.74% -4.53%

08/08/2011 31.05 -0.06% 0.06% 1178.81 -4.69% 4.92%

01/08/2011 30.88 0.55% -0.55% 1199.38 -1.72% 1.74%

25/07/2011 31.45 -1.81% 1.85% 1292.28 -7.19% 7.75%

18/07/2011 32.25 -2.48% 2.54% 1345.02 -3.92% 4.08%

11/07/2011 31.23 3.27% -3.16% 1316.14 2.19% -2.15%

05/07/2011 31.76 -1.67% 1.70% 1343.8 -2.06% 2.10%

27/06/2011 31.49 0.86% -0.85% 1339.67 0.31% -0.31%

“BETAS”

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20/06/2011 30.03 4.86% -4.64% 1268.45 5.61% -5.32%

13/06/2011 30.35 -1.05% 1.07% 1271.5 -0.24% 0.24%

06/06/2011 30.03 1.07% -1.05% 1270.98 0.04% -0.04%

31/05/2011 30.09 -0.20% 0.20% 1300.16 -2.24% 2.30%

23/05/2011 30.54 -1.47% 1.50% 1331.1 -2.32% 2.38%

16/05/2011 31.36 -2.61% 2.69% 1333.27 -0.16% 0.16%

09/05/2011 31.31 0.16% -0.16% 1337.77 -0.34% 0.34%

02/05/2011 30.72 1.92% -1.88% 1340.2 -0.18% 0.18%

25/04/2011 30.98 -0.84% 0.85% 1363.61 -1.72% 1.75%

18/04/2011 31.17 -0.61% 0.61% 1337.38 1.96% -1.92%

11/04/2011 31.23 -0.19% 0.19% 1319.68 1.34% -1.32%

04/04/2011 30.89 1.10% -1.09% 1328.17 -0.64% 0.64%

28/03/2011 30.87 0.06% -0.06% 1332.41 -0.32% 0.32%

21/03/2011 29.95 3.07% -2.98% 1313.8 1.42% -1.40%

14/03/2011 28.79 4.03% -3.87% 1279.21 2.70% -2.63%

07/03/2011 29.76 -3.26% 3.37% 1304.28 -1.92% 1.96%

28/02/2011 29.73 0.10% -0.10% 1321.15 -1.28% 1.29%

22/02/2011 29.32 1.40% -1.38% 1319.88 0.10% -0.10%

14/02/2011 29.43 -0.37% 0.38% 1343.01 -1.72% 1.75%

07/02/2011 28.98 1.55% -1.53% 1329.15 1.04% -1.03%

31/01/2011 28.52 1.61% -1.59% 1310.87 1.39% -1.38%

24/01/2011 28.36 0.56% -0.56% 1276.34 2.71% -2.63%

18/01/2011 28.61 -0.87% 0.88% 1283.35 -0.55% 0.55%

10/01/2011 28.78 -0.59% 0.59% 1293.24 -0.76% 0.77%

03/01/2011 28.68 0.35% -0.35% 1271.5 1.71% -1.68%

27/12/2010 29.98 -4.34% 4.53% 1257.64 1.10% -1.09%

20/12/2010 29.9 0.27% -0.27% 1256.77 0.07% -0.07%

13/12/2010 29.95 -0.17% 0.17% 1243.91 1.03% -1.02%

06/12/2010 29.47 1.63% -1.60% 1240.4 0.28% -0.28%

29/11/2010 29.4 0.24% -0.24% 1224.71 1.28% -1.26%

22/11/2010 29.03 1.27% -1.26% 1189.4 2.97% -2.88%

15/11/2010 29.12 -0.31% 0.31% 1199.73 -0.86% 0.87%

08/11/2010 28.49 2.21% -2.16% 1199.21 0.04% -0.04%

01/11/2010 28.33 0.56% -0.56% 1225.85 -2.17% 2.22%

25/10/2010 27.76 2.05% -2.01% 1183.26 3.60% -3.47%

18/10/2010 27.89 -0.47% 0.47% 1183.08 0.02% -0.02%

11/10/2010 27.14 2.76% -2.69% 1176.19 0.59% -0.58%

04/10/2010 26.9 0.89% -0.88% 1165.15 0.95% -0.94%

27/09/2010 26.77 0.49% -0.48% 1146.24 1.65% -1.62%

20/09/2010 26.54 0.87% -0.86% 1148.67 -0.21% 0.21%

13/09/2010 26.06 1.84% -1.81% 1125.59 2.05% -2.01%

07/09/2010 26.3 -0.91% 0.92% 1109.55 1.45% -1.43%

30/08/2010 25.86 1.70% -1.67% 1104.51 0.46% -0.45%

23/08/2010 25.23 2.50% -2.44% 1064.59 3.75% -3.61%

16/08/2010 24.85 1.53% -1.51% 1071.69 -0.66% 0.67%

09/08/2010 25.04 -0.76% 0.76% 1079.25 -0.70% 0.71%

02/08/2010 25.5 -1.80% 1.84% 1121.64 -3.78% 3.93%

26/07/2010 24.76 2.99% -2.90% 1101.6 1.82% -1.79%

19/07/2010 24.6 0.65% -0.65% 1102.66 -0.10% 0.10%

12/07/2010 23.53 4.55% -4.35% 1064.88 3.55% -3.43%

06/07/2010 23.55 -0.08% 0.08% 1077.96 -1.21% 1.23%

28/06/2010 22.49 4.71% -4.50% 1022.58 5.42% -5.14%

21/06/2010 22.58 -0.40% 0.40% 1076.76 -5.03% 5.30%

14/06/2010 23.5 -3.91% 4.07% 1117.51 -3.65% 3.78%

07/06/2010 23.21 1.25% -1.23% 1091.6 2.37% -2.32%

01/06/2010 22.84 1.62% -1.59% 1064.88 2.51% -2.45%

24/05/2010 22.9 -0.26% 0.26% 1089.41 -2.25% 2.30%

17/05/2010 22.99 -0.39% 0.39% 1087.69 0.16% -0.16%

10/05/2010 23.77 -3.28% 3.39% 1135.68 -4.23% 4.41%

03/05/2010 23.47 1.28% -1.26% 1110.88 2.23% -2.18%

26/04/2010 23.82 -1.47% 1.49% 1186.69 -6.39% 6.82%

19/04/2010 24.01 -0.79% 0.80% 1217.28 -2.51% 2.58%

12/04/2010 24.49 -1.96% 2.00% 1192.13 2.11% -2.07%

“BETAS”

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05/04/2010 24.32 0.70% -0.69% 1194.37 -0.19% 0.19%

29/03/2010 24.64 -1.30% 1.32% 1178.1 1.38% -1.36%

22/03/2010 24.35 1.19% -1.18% 1166.59 0.99% -0.98%

15/03/2010 24.39 -0.16% 0.16% 1159.9 0.58% -0.57%

08/03/2010 23.77 2.61% -2.54% 1149.99 0.86% -0.85%

01/03/2010 24.17 -1.65% 1.68% 1138.7 0.99% -0.98%

22/02/2010 23.3 3.73% -3.60% 1104.49 3.10% -3.00%

16/02/2010 24.63 -5.40% 5.71% 1109.17 -0.42% 0.42%

08/02/2010 23.86 3.23% -3.13% 1075.51 3.13% -3.03%

01/02/2010 23.46 1.71% -1.68% 1066.19 0.87% -0.87%

25/01/2010 23.98 -2.17% 2.22% 1073.87 -0.72% 0.72%

19/01/2010 23.97 0.04% -0.04% 1091.76 -1.64% 1.67%

11/01/2010 24.88 -3.66% 3.80% 1136.03 -3.90% 4.05%

04/01/2010 24.37 2.09% -2.05% 1144.98 -0.78% 0.79%

28/12/2009 25.19 -3.26% 3.36% 1115.1 2.68% -2.61%

21/12/2009 25.39 -0.79% 0.79% 1126.48 -1.01% 1.02%

14/12/2009 25.16 0.91% -0.91% 1102.47 2.18% -2.13%

07/12/2009 26.12 -3.68% 3.82% 1106.41 -0.36% 0.36%

30/11/2009 25.41 2.79% -2.72% 1105.98 0.04% -0.04%

23/11/2009 25.27 0.55% -0.55% 1091.49 1.33% -1.31%

16/11/2009 25.22 0.20% -0.20% 1091.38 0.01% -0.01%

09/11/2009 24.78 1.78% -1.74% 1093.48 -0.19% 0.19%

02/11/2009 23.91 3.64% -3.51% 1069.3 2.26% -2.21%

26/10/2009 23.39 2.22% -2.17% 1036.19 3.20% -3.10%

19/10/2009 23.36 0.13% -0.13% 1079.6 -4.02% 4.19%

12/10/2009 24.14 -3.23% 3.34% 1087.68 -0.74% 0.75%

05/10/2009 23.98 0.67% -0.66% 1071.49 1.51% -1.49%

28/09/2009 23.64 1.44% -1.42% 1025.21 4.51% -4.32%

21/09/2009 23.24 1.72% -1.69% 1044.38 -1.84% 1.87%

14/09/2009 23.59 -1.48% 1.51% 1068.3 -2.24% 2.29%

08/09/2009 22.6 4.38% -4.20% 1042.73 2.45% -2.39%

31/08/2009 21.74 3.96% -3.81% 1016.4 2.59% -2.53%

24/08/2009 21.35 1.83% -1.79% 1028.93 -1.22% 1.23%

17/08/2009 21.72 -1.70% 1.73% 1026.13 0.27% -0.27%

10/08/2009 21.1 2.94% -2.85% 1004.09 2.20% -2.15%

03/08/2009 21.48 -1.77% 1.80% 1010.48 -0.63% 0.64%

30/07/2009 21.69 -0.97% 0.98% 987.48 2.33% -2.28%

EN RESUMEN:

Primera metodología para encontrar la beta de empresa Coca-Cola (KO) y mercado S&P

500:

Calculo del Beta de KO y S&P 500

COVARIANZA 0.000325961 covarianza empresa mercado

VARIANZA 0.000595167 varianza mercado

BETA 0.54768013 covarianza/varianza

“BETAS”

7

1.2. Segunda metodología mediante la gráfica de dispersión

EJES:

1.3. Tercera metodología mediante la fórmula pendiente.

BETA 0.54768013

Donde, la fórmula pendiente es la siguiente:

= PENDIENTE (conocido Y empresa, conocido X mercado) = 0.54768

Calculo en base a la función Excel de pendiente. (slope)

y = 0.5477x + 0.0025 R² = 0.3933

-0.01%

0.00%

0.00%

0.00%

0.00%

0.00%

0.01%

-0.01% -0.01% 0.00% 0.01% 0.01%

Re

torn

os

em

pre

sa M

illar

es

Retornos mercado

Millares

Beta (KO) y Mercado (Standard and Poors 500)

Series1

EJE X RETORNOS DEL MERCADO

EJE Y RETORNOS EMPRESA A INVERTIR

CONOCIDO Y EMPRESA

CONOCIDO X ÍNDICE DE MERCADO

Resumen

Estadísticas de la regresión

“BETAS”

8

1.4. Cuarta metodología mediante la regresión:

CONOCIDO Y EMPRESA


2. Betas empresa Coca-Cola (KO) y mercado (S&P 500)

Metodología:

a. Primer paso descargar información de la empresa. Coca-Cola (KO)




tres fórmulas.


e. La empresa siempre va ser el eje de las y y el mercado el eje de las x.






Coeficiente de correlación múltiple 0.627104174

Coeficiente de determinación R^2 0.393259645

R^2 ajustado 0.389345191 Error típico 0.016702914 Observaciones 157

ANÁLISIS DE VARIANZA

Grados de

libertad Suma de

cuadrados

Promedio de los

cuadrados F Valor

crítico de F Regresión 1 0.02802804 0.02802804 100.463476 1.5392E-18 Residuos 155 0.04324304 0.00027899

Total 156 0.07127108

Coeficientes Error típico Estadístico

t Probabilidad Inferior

95% Superior

95% Inferior 95.0%

Superior 95.0%

Intercepción 0.002467834 0.0013398 1.84194594 0.06739404 -

0.00017878 0.00511445 -

0.00017878 0.00511445 Variable X 1 0.54768013 0.05464153 10.023147 1.5392E-18 0.43974195 0.65561831 0.43974195 0.65561831

“BETAS”

9


2.1. Primera metodología beta mediante covarianza y varianza: (Datos históricos del

menos reciente al más reciente)

30 julio del 2009 / al 30 julio del 2012

Coca-Cola KO Standard Poors 500

Date Adj. Close Adj. Close Empresa Mercado

30/07/2009 21.69 987.48

03/08/2009 21.48 1010.48 -0.00968188 0.02329161

10/08/2009 21.1 1004.09 -0.01769088 -0.00632373

17/08/2009 21.72 1026.13 0.02938389 0.02195022

24/08/2009 21.35 1028.93 -0.01703499 0.0027287

31/08/2009 21.74 1016.4 0.01826698 -0.0121777

08/09/2009 22.6 1042.73 0.03955842 0.02590516

14/09/2009 23.59 1068.3 0.04380531 0.02452217

21/09/2009 23.24 1044.38 -0.0148368 -0.02239071

28/09/2009 23.64 1025.21 0.0172117 -0.01835539

05/10/2009 23.98 1071.49 0.0143824 0.04514197

12/10/2009 24.14 1087.68 0.00667223 0.0151098

19/10/2009 23.36 1079.6 -0.03231152 -0.00742866

26/10/2009 23.39 1036.19 0.00128425 -0.04020934

02/11/2009 23.91 1069.3 0.02223172 0.0319536

09/11/2009 24.78 1093.48 0.03638645 0.02261292

16/11/2009 25.22 1091.38 0.01775626 -0.00192047

23/11/2009 25.27 1091.49 0.00198255 0.00010079

30/11/2009 25.41 1105.98 0.00554017 0.01327543

07/12/2009 26.12 1106.41 0.02794176 0.0003888

14/12/2009 25.16 1102.47 -0.03675345 -0.00356107

21/12/2009 25.39 1126.48 0.00914149 0.02177837

28/12/2009 25.19 1115.1 -0.00787712 -0.01010227

04/01/2010 24.37 1144.98 -0.0325526 0.0267958

11/01/2010 24.88 1136.03 0.02092737 -0.00781673

19/01/2010 23.97 1091.76 -0.03657556 -0.03896904

25/01/2010 23.98 1073.87 0.00041719 -0.01638639

01/02/2010 23.46 1066.19 -0.02168474 -0.0071517

08/02/2010 23.86 1075.51 0.0170503 0.00874141

16/02/2010 24.63 1109.17 0.03227158 0.03129678

22/02/2010 23.3 1104.49 -0.05399919 -0.00421937

01/03/2010 24.17 1138.7 0.03733906 0.03097357

08/03/2010 23.77 1149.99 -0.01654944 0.00991482

15/03/2010 24.39 1159.9 0.0260833 0.00861747

22/03/2010 24.35 1166.59 -0.00164002 0.00576774

𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑖𝑜𝑟

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑎𝑐𝑡𝑢𝑎𝑙 − 1 = Variación porcentual

“BETAS”

10

29/03/2010 24.64 1178.1 0.01190965 0.00986636

05/04/2010 24.32 1194.37 -0.01298701 0.01381037

12/04/2010 24.49 1192.13 0.00699013 -0.00187547

19/04/2010 24.01 1217.28 -0.01959984 0.02109669

26/04/2010 23.82 1186.69 -0.00791337 -0.0251298

03/05/2010 23.47 1110.88 -0.01469353 -0.06388358

10/05/2010 23.77 1135.68 0.01278228 0.02232464

17/05/2010 22.99 1087.69 -0.03281447 -0.04225662

24/05/2010 22.9 1089.41 -0.00391475 0.00158133

01/06/2010 22.84 1064.88 -0.00262009 -0.02251678

07/06/2010 23.21 1091.6 0.01619965 0.02509203

14/06/2010 23.5 1117.51 0.01249461 0.0237358

21/06/2010 22.58 1076.76 -0.03914894 -0.036465

28/06/2010 22.49 1022.58 -0.00398583 -0.05031762

06/07/2010 23.55 1077.96 0.04713206 0.05415713

12/07/2010 23.53 1064.88 -0.00084926 -0.01213403

19/07/2010 24.6 1102.66 0.04547386 0.03547818

26/07/2010 24.76 1101.6 0.00650407 -0.00096131

02/08/2010 25.5 1121.64 0.02988691 0.01819172

09/08/2010 25.04 1079.25 -0.01803922 -0.03779287

16/08/2010 24.85 1071.69 -0.00758786 -0.00700486

23/08/2010 25.23 1064.59 0.01529175 -0.00662505

30/08/2010 25.86 1104.51 0.02497027 0.037498

07/09/2010 26.3 1109.55 0.01701469 0.00456311

13/09/2010 26.06 1125.59 -0.00912548 0.01445631

20/09/2010 26.54 1148.67 0.01841903 0.0205048

27/09/2010 26.77 1146.24 0.00866616 -0.00211549

04/10/2010 26.9 1165.15 0.00485618 0.01649742

11/10/2010 27.14 1176.19 0.00892193 0.00947517

18/10/2010 27.89 1183.08 0.02763449 0.0058579

25/10/2010 27.76 1183.26 -0.00466117 0.00015215

01/11/2010 28.33 1225.85 0.02053314 0.03599378

08/11/2010 28.49 1199.21 0.00564772 -0.02173186

15/11/2010 29.12 1199.73 0.02211302 0.00043362

22/11/2010 29.03 1189.4 -0.00309066 -0.00861027

29/11/2010 29.4 1224.71 0.01274544 0.02968724

06/12/2010 29.47 1240.4 0.00238095 0.0128112

13/12/2010 29.95 1243.91 0.01628775 0.00282973

20/12/2010 29.9 1256.77 -0.00166945 0.01033837

27/12/2010 29.98 1257.64 0.00267559 0.00069225

03/01/2011 28.68 1271.5 -0.04336224 0.01102064

10/01/2011 28.78 1293.24 0.00348675 0.01709792

18/01/2011 28.61 1283.35 -0.00590688 -0.00764746

“BETAS”

11

24/01/2011 28.36 1276.34 -0.0087382 -0.00546227

31/01/2011 28.52 1310.87 0.00564175 0.02705392

07/02/2011 28.98 1329.15 0.01612903 0.01394494

14/02/2011 29.43 1343.01 0.01552795 0.01042772

22/02/2011 29.32 1319.88 -0.00373768 -0.01722251

28/02/2011 29.73 1321.15 0.01398363 0.00096221

07/03/2011 29.76 1304.28 0.00100908 -0.01276918

14/03/2011 28.79 1279.21 -0.03259409 -0.01922133

21/03/2011 29.95 1313.8 0.04029177 0.02704013

28/03/2011 30.87 1332.41 0.03071786 0.01416502

04/04/2011 30.89 1328.17 0.00064788 -0.0031822

11/04/2011 31.23 1319.68 0.0110068 -0.00639225

18/04/2011 31.17 1337.38 -0.00192123 0.01341234

25/04/2011 30.98 1363.61 -0.0060956 0.01961297

02/05/2011 30.72 1340.2 -0.00839251 -0.01716767

09/05/2011 31.31 1337.77 0.01920573 -0.00181316

16/05/2011 31.36 1333.27 0.00159693 -0.00336381

23/05/2011 30.54 1331.1 -0.02614796 -0.00162758

31/05/2011 30.09 1300.16 -0.01473477 -0.02324393

06/06/2011 30.03 1270.98 -0.00199402 -0.02244339

13/06/2011 30.35 1271.5 0.01065601 0.00040913

20/06/2011 30.03 1268.45 -0.01054366 -0.00239874

27/06/2011 31.49 1339.67 0.04861805 0.05614727

05/07/2011 31.76 1343.8 0.00857415 0.00308285

11/07/2011 31.23 1316.14 -0.01668766 -0.02058342

18/07/2011 32.25 1345.02 0.0326609 0.02194295

25/07/2011 31.45 1292.28 -0.0248062 -0.03921131

01/08/2011 30.88 1199.38 -0.01812401 -0.07188845

08/08/2011 31.05 1178.81 0.00550518 -0.01715053

15/08/2011 31.03 1123.53 -0.00064412 -0.04689475

22/08/2011 31.68 1176.8 0.02094747 0.04741306

29/08/2011 32.25 1173.97 0.01799242 -0.00240483

06/09/2011 32.08 1154.23 -0.00527132 -0.01681474

12/09/2011 33.17 1216.01 0.03397756 0.05352486

19/09/2011 31.39 1136.43 -0.05366295 -0.06544354

26/09/2011 31.46 1131.42 0.00223001 -0.00440854

03/10/2011 30.69 1155.46 -0.02447552 0.02124764

10/10/2011 31.59 1224.58 0.02932551 0.05982033

17/10/2011 31.75 1238.25 0.00506489 0.01116301

24/10/2011 32.1 1285.09 0.01102362 0.03782758

31/10/2011 31.56 1253.23 -0.01682243 -0.02479204

07/11/2011 31.72 1263.85 0.00506971 0.0084741

14/11/2011 31.38 1215.65 -0.01071879 -0.03813744

“BETAS”

12

21/11/2011 30.15 1158.67 -0.03919694 -0.04687204

28/11/2011 31.13 1244.28 0.03250415 0.07388644

05/12/2011 31.69 1255.19 0.01798908 0.00876812

12/12/2011 31.63 1219.66 -0.00189334 -0.02830647

19/12/2011 32.8 1265.33 0.0369902 0.03744486

27/12/2011 32.82 1257.6 0.00060976 -0.00610908

03/01/2012 32.33 1277.81 -0.01492992 0.01607029

09/01/2012 31.42 1289.09 -0.02814723 0.0088276

17/01/2012 31.94 1315.38 0.01654997 0.02039423

23/01/2012 31.63 1316.33 -0.0097057 0.00072222

30/01/2012 31.93 1344.9 0.00948467 0.02170428

06/02/2012 31.87 1342.64 -0.00187911 -0.00168042

13/02/2012 32.39 1361.23 0.01631628 0.01384586

21/02/2012 32.36 1365.74 -0.00092621 0.00331318

27/02/2012 32.45 1369.63 0.00278121 0.00284827

05/03/2012 32.6 1370.87 0.0046225 0.00090535

12/03/2012 33.15 1404.17 0.01687117 0.02429114

19/03/2012 33.78 1397.11 0.01900452 -0.00502788

26/03/2012 34.97 1408.47 0.03522795 0.00813107

02/04/2012 34.71 1398.08 -0.00743494 -0.0073768

09/04/2012 33.99 1370.26 -0.0207433 -0.01989872

16/04/2012 35.02 1378.53 0.03030303 0.00603535

23/04/2012 36.21 1403.36 0.03398058 0.01801194

30/04/2012 36.38 1369.1 0.00469484 -0.02441284

07/05/2012 36.6 1353.39 0.00604728 -0.01147469

14/05/2012 34.99 1295.22 -0.04398907 -0.04298096

21/05/2012 35.54 1317.82 0.01571878 0.01744877

29/05/2012 34.53 1278.04 -0.02841868 -0.03018622

04/06/2012 35.55 1325.66 0.02953953 0.03726018

11/06/2012 36.2 1342.84 0.01828411 0.01295958

18/06/2012 35.65 1335.02 -0.01519337 -0.00582348

25/06/2012 37.19 1362.16 0.04319776 0.02032928

02/07/2012 37.18 1354.68 -0.00026889 -0.00549128

09/07/2012 36.76 1356.78 -0.0112964 0.00155018

16/07/2012 36.64 1362.66 -0.00326442 0.00433379

23/07/2012 38.06 1385.97 0.03875546 0.01710625

30/07/2012 38.06 1385.97 0 0

COVARIANZA 0.00032596 covarianza empresa mercado

VARIANZA 0.00059517 varianza mercado

“BETAS”

13

BETA 0.54768013 Covarianza / varianza


Ejes:

y = 0.5477x + 0.0025 R² = 0.3933

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

-0.1 -0.05 0 0.05 0.1

Beta KO y S&P 500

Series1

Lineal (Series1)



“BETAS”

14

2.3. Tercera metodología mediante la fórmula pendiente

Pendiente = 0.54768013 (conocido y empresa, conocido x, mercado)

serie x= datos del mercado

serie y= datos de la empresa

2.4. Cuarta metodología mediante la regresión

Regresión

Resumen


Coeficiente de

correlación múltiple 0.62710417

Coeficiente de determinación

R^2 0.39325964

R^2 ajustado 0.38934519 Error típico 0.01670291

Observaciones 157


Grados de

libertad Suma de

cuadrados

Promedio

de los cuadrados F

Valor crítico de F

Regresión 1 0.02802804 0.02802804 100.463476 1.5392E-18 Residuos 155 0.04324304 0.00027899

Total 156 0.07127108

Coeficientes Error típico

Estadístico t Probabilidad

Inferior 95%

Superior 95%

Inferior 95.0%

Superior 95.0%

Intercepción 0.00246783 0.0013398 1.84194594 0.06739404

-

0.00017878 0.00511445

-

0.00017878 0.00511445

Variable X 1 0.54768013 0.05464153 10.023147 1.5392E-18 0.43974195 0.65561831 0.43974195 0.65561831

CONOCIDO Y EMPRESA

“BETAS”

15


B. PFIZER (PFE) Y MERCADO S&P 500

3. Betas empresa Pfizer (PFE) y mercado (S&P 500)

3.1. Primera metodología: beta empresa Pfizer (PFE) y mercado

Metodología:

a. Primer paso descargar información de la empresa. Pfizer (PFE)




tres fórmulas.









Primera metodología beta mediante covarianza y varianza: (Datos históricos del más

reciente al menos reciente).

Por lo tanto, podemos realizar el calculo mediante culaquiera de las fórmulas siguientes:

Fómrula 1:

Formula 2:

Fórmula 3:

1: 𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚á𝑠 𝑎𝑐𝑡𝑢𝑎𝑙 − 1 = Variación porcentual

2: 𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟 −𝑖𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑎𝑐𝑡𝑢𝑎𝑙

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑎𝑐𝑡𝑢𝑎𝑙= Variación porcentual

3: LN 𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑎𝑐𝑡𝑢𝑎𝑙 =Variación porcentual

“BETAS”

16

25 junio del 2012 al 1 junio del 2009: (Del más actual al más lejano)

PRIMERA METODOLOGÍA: BETA EMPRESA PFIZER (PFE) Y MERCADO

1 2 3 1 2 3

Date Close Close PFIZER

Mercado Standard / Poor 500

25/06/2012 23 1362.16 Y (Empresa) X (mercado)

18/06/2012 22.73 1335.02 -1.17% -1.17% -1.18% -1.99% -1.99% -2.01%

11/06/2012 22.61 1342.84 -0.53% -0.53% -0.53% 0.59% 0.59% 0.58%

04/06/2012 22.14 1325.66 -2.08% -2.08% -2.10% -1.28% -1.28% -1.29%

29/05/2012 21.64 1278.04 -2.26% -2.26% -2.28% -3.59% -3.59% -3.66%

21/05/2012 22.13 1317.82 2.26% 2.26% 2.24% 3.11% 3.11% 3.07%

14/05/2012 22.57 1295.22 1.99% 1.99% 1.97% -1.71% -1.71% -1.73%

07/05/2012 22.65 1353.39 0.35% 0.35% 0.35% 4.49% 4.49% 4.39%

30/04/2012 22.38 1369.1 -1.19% -1.19% -1.20% 1.16% 1.16% 1.15%

23/04/2012 23.08 1403.36 3.13% 3.13% 3.08% 2.50% 2.50% 2.47%

16/04/2012 22.56 1378.53 -2.25% -2.25% -2.28% -1.77% -1.77% -1.79%

09/04/2012 21.85 1370.26 -3.15% -3.15% -3.20% -0.60% -0.60% -0.60%

02/04/2012 22.34 1398.08 2.24% 2.24% 2.22% 2.03% 2.03% 2.01%

26/03/2012 22.65 1408.47 1.39% 1.39% 1.38% 0.74% 0.74% 0.74%

19/03/2012 21.82 1397.11 -3.66% -3.66% -3.73% -0.81% -0.81% -0.81%

12/03/2012 21.94 1404.17 0.55% 0.55% 0.55% 0.51% 0.51% 0.50%

05/03/2012 21.48 1370.87 -2.10% -2.10% -2.12% -2.37% -2.37% -2.40%

27/02/2012 21.41 1369.63 -0.33% -0.33% -0.33% -0.09% -0.09% -0.09%

21/02/2012 21.18 1365.74 -1.07% -1.07% -1.08% -0.28% -0.28% -0.28%

13/02/2012 21.19 1361.23 0.05% 0.05% 0.05% -0.33% -0.33% -0.33%

06/02/2012 21.05 1342.64 -0.66% -0.66% -0.66% -1.37% -1.37% -1.38%

30/01/2012 21.2 1344.9 0.71% 0.71% 0.71% 0.17% 0.17% 0.17%

23/01/2012 21.48 1316.33 1.32% 1.32% 1.31% -2.12% -2.12% -2.15%

17/01/2012 21.9 1315.38 1.96% 1.96% 1.94% -0.07% -0.07% -0.07%

09/01/2012 21.84 1289.09 -0.27% -0.27% -0.27% -2.00% -2.00% -2.02%

03/01/2012 21.57 1277.81 -1.24% -1.24% -1.24% -0.88% -0.88% -0.88%

27/12/2011 21.64 1257.6 0.32% 0.32% 0.32% -1.58% -1.58% -1.59%

19/12/2011 21.83 1265.33 0.88% 0.88% 0.87% 0.61% 0.61% 0.61%

12/12/2011 21.03 1219.66 -3.66% -3.66% -3.73% -3.61% -3.61% -3.68%

05/12/2011 20.56 1255.19 -2.23% -2.23% -2.26% 2.91% 2.91% 2.87%

28/11/2011 19.89 1244.28 -3.26% -3.26% -3.31% -0.87% -0.87% -0.87%

21/11/2011 18.45 1158.67 -7.24% -7.24% -7.52% -6.88% -6.88% -7.13%

14/11/2011 19.53 1215.65 5.85% 5.85% 5.69% 4.92% 4.92% 4.80%

07/11/2011 19.99 1263.85 2.36% 2.36% 2.33% 3.96% 3.96% 3.89%

31/10/2011 19.66 1253.23 -1.65% -1.65% -1.66% -0.84% -0.84% -0.84%

24/10/2011 19.82 1285.09 0.81% 0.81% 0.81% 2.54% 2.54% 2.51%

17/10/2011 19.06 1238.25 -3.83% -3.83% -3.91% -3.64% -3.64% -3.71%

10/10/2011 19.04 1224.58 -0.10% -0.10% -0.10% -1.10% -1.10% -1.11%

03/10/2011 18.44 1155.46 -3.15% -3.15% -3.20% -5.64% -5.64% -5.81%

26/09/2011 17.68 1131.42 -4.12% -4.12% -4.21% -2.08% -2.08% -2.10%

19/09/2011 17.45 1136.43 -1.30% -1.30% -1.31% 0.44% 0.44% 0.44%

12/09/2011 18.15 1216.01 4.01% 4.01% 3.93% 7.00% 7.00% 6.77%

06/09/2011 18.28 1154.23 0.72% 0.72% 0.71% -5.08% -5.08% -5.21%

29/08/2011 18.46 1173.97 0.98% 0.98% 0.98% 1.71% 1.71% 1.70%

22/08/2011 18.21 1176.8 -1.35% -1.35% -1.36% 0.24% 0.24% 0.24%

15/08/2011 17.67 1123.53 -2.97% -2.97% -3.01% -4.53% -4.53% -4.63%

08/08/2011 17.86 1178.81 1.08% 1.08% 1.07% 4.92% 4.92% 4.80%

01/08/2011 17.49 1199.38 -2.07% -2.07% -2.09% 1.74% 1.74% 1.73%

25/07/2011 19.25 1292.28 10.06% 10.06% 9.59% 7.75% 7.75% 7.46%

18/07/2011 20.07 1345.02 4.26% 4.26% 4.17% 4.08% 4.08% 4.00%

11/07/2011 19.75 1316.14 -1.59% -1.59% -1.61% -2.15% -2.15% -2.17%

05/07/2011 20.16 1343.8 2.08% 2.08% 2.05% 2.10% 2.10% 2.08%

“BETAS”

17

27/06/2011 20.75 1339.67 2.93% 2.93% 2.88% -0.31% -0.31% -0.31%

20/06/2011 20.08 1268.45 -3.23% -3.23% -3.28% -5.32% -5.32% -5.46%

13/06/2011 20.26 1271.5 0.90% 0.90% 0.89% 0.24% 0.24% 0.24%

06/06/2011 20.11 1270.98 -0.74% -0.74% -0.74% -0.04% -0.04% -0.04%

31/05/2011 20.84 1300.16 3.63% 3.63% 3.57% 2.30% 2.30% 2.27%

23/05/2011 20.93 1331.1 0.43% 0.43% 0.43% 2.38% 2.38% 2.35%

16/05/2011 20.69 1333.27 -1.15% -1.15% -1.15% 0.16% 0.16% 0.16%

09/05/2011 20.92 1337.77 1.11% 1.11% 1.11% 0.34% 0.34% 0.34%

02/05/2011 20.55 1340.2 -1.77% -1.77% -1.78% 0.18% 0.18% 0.18%

25/04/2011 20.97 1363.61 2.04% 2.04% 2.02% 1.75% 1.75% 1.73%

18/04/2011 19.79 1337.38 -5.63% -5.63% -5.79% -1.92% -1.92% -1.94%

11/04/2011 20.53 1319.68 3.74% 3.74% 3.67% -1.32% -1.32% -1.33%

04/04/2011 20.46 1328.17 -0.34% -0.34% -0.34% 0.64% 0.64% 0.64%

28/03/2011 20.38 1332.41 -0.39% -0.39% -0.39% 0.32% 0.32% 0.32%

21/03/2011 20.35 1313.8 -0.15% -0.15% -0.15% -1.40% -1.40% -1.41%

14/03/2011 20.18 1279.21 -0.84% -0.84% -0.84% -2.63% -2.63% -2.67%

07/03/2011 19.47 1304.28 -3.52% -3.52% -3.58% 1.96% 1.96% 1.94%

28/02/2011 19.66 1321.15 0.98% 0.98% 0.97% 1.29% 1.29% 1.29%

22/02/2011 18.86 1319.88 -4.07% -4.07% -4.15% -0.10% -0.10% -0.10%

14/02/2011 19.19 1343.01 1.75% 1.75% 1.73% 1.75% 1.75% 1.74%

07/02/2011 18.83 1329.15 -1.88% -1.88% -1.89% -1.03% -1.03% -1.04%

31/01/2011 19.3 1310.87 2.50% 2.50% 2.47% -1.38% -1.38% -1.38%

24/01/2011 18.15 1276.34 -5.96% -5.96% -6.14% -2.63% -2.63% -2.67%

18/01/2011 18.36 1283.35 1.16% 1.16% 1.15% 0.55% 0.55% 0.55%

10/01/2011 18.34 1293.24 -0.11% -0.11% -0.11% 0.77% 0.77% 0.77%

03/01/2011 18.34 1271.5 0.00% 0.00% 0.00% -1.68% -1.68% -1.70%

27/12/2010 17.51 1257.64 -4.53% -4.53% -4.63% -1.09% -1.09% -1.10%

20/12/2010 17.61 1256.77 0.57% 0.57% 0.57% -0.07% -0.07% -0.07%

13/12/2010 17.03 1243.91 -3.29% -3.29% -3.35% -1.02% -1.02% -1.03%

06/12/2010 17.02 1240.4 -0.06% -0.06% -0.06% -0.28% -0.28% -0.28%

29/11/2010 16.72 1224.71 -1.76% -1.76% -1.78% -1.26% -1.26% -1.27%

22/11/2010 16.49 1189.4 -1.38% -1.38% -1.39% -2.88% -2.88% -2.93%

15/11/2010 16.8 1199.73 1.88% 1.88% 1.86% 0.87% 0.87% 0.86%

08/11/2010 16.85 1199.21 0.30% 0.30% 0.30% -0.04% -0.04% -0.04%

01/11/2010 17.18 1225.85 1.96% 1.96% 1.94% 2.22% 2.22% 2.20%

25/10/2010 17.42 1183.26 1.40% 1.40% 1.39% -3.47% -3.47% -3.54%

18/10/2010 17.5 1183.08 0.46% 0.46% 0.46% -0.02% -0.02% -0.02%

11/10/2010 17.75 1176.19 1.43% 1.43% 1.42% -0.58% -0.58% -0.58%

04/10/2010 17.46 1165.15 -1.63% -1.63% -1.65% -0.94% -0.94% -0.94%

27/09/2010 17.18 1146.24 -1.60% -1.60% -1.62% -1.62% -1.62% -1.64%

20/09/2010 17.4 1148.67 1.28% 1.28% 1.27% 0.21% 0.21% 0.21%

13/09/2010 17.06 1125.59 -1.95% -1.95% -1.97% -2.01% -2.01% -2.03%

07/09/2010 16.99 1109.55 -0.41% -0.41% -0.41% -1.43% -1.43% -1.44%

30/08/2010 16.46 1104.51 -3.12% -3.12% -3.17% -0.45% -0.45% -0.46%

23/08/2010 16.09 1064.59 -2.25% -2.25% -2.27% -3.61% -3.61% -3.68%

16/08/2010 15.92 1071.69 -1.06% -1.06% -1.06% 0.67% 0.67% 0.66%

09/08/2010 16.08 1079.25 1.01% 1.01% 1.00% 0.71% 0.71% 0.70%

02/08/2010 16.24 1121.64 1.00% 1.00% 0.99% 3.93% 3.93% 3.85%

26/07/2010 15 1101.6 -7.64% -7.64% -7.94% -1.79% -1.79% -1.80%

19/07/2010 14.58 1102.66 -2.80% -2.80% -2.84% 0.10% 0.10% 0.10%

12/07/2010 14.56 1064.88 -0.14% -0.14% -0.14% -3.43% -3.43% -3.49%

06/07/2010 14.77 1077.96 1.44% 1.44% 1.43% 1.23% 1.23% 1.22%

28/06/2010 14.14 1022.58 -4.27% -4.27% -4.36% -5.14% -5.14% -5.27%

21/06/2010 14.64 1076.76 3.54% 3.54% 3.47% 5.30% 5.30% 5.16%

14/06/2010 15.21 1117.51 3.89% 3.89% 3.82% 3.78% 3.78% 3.71%

07/06/2010 15.46 1091.6 1.64% 1.64% 1.63% -2.32% -2.32% -2.35%

01/06/2010 14.76 1064.88 -4.53% -4.53% -4.63% -2.45% -2.45% -2.48%

24/05/2010 15.23 1089.41 3.18% 3.18% 3.13% 2.30% 2.30% 2.28%

17/05/2010 15.4 1087.69 1.12% 1.12% 1.11% -0.16% -0.16% -0.16%

10/05/2010 16.2 1135.68 5.19% 5.19% 5.06% 4.41% 4.41% 4.32%

03/05/2010 16.46 1110.88 1.60% 1.60% 1.59% -2.18% -2.18% -2.21%

26/04/2010 16.72 1186.69 1.58% 1.58% 1.57% 6.82% 6.82% 6.60%

19/04/2010 16.91 1217.28 1.14% 1.14% 1.13% 2.58% 2.58% 2.55%

“BETAS”

18

12/04/2010 16.8 1192.13 -0.65% -0.65% -0.65% -2.07% -2.07% -2.09%

05/04/2010 17.25 1194.37 2.68% 2.68% 2.64% 0.19% 0.19% 0.19%

29/03/2010 17.08 1178.1 -0.99% -0.99% -0.99% -1.36% -1.36% -1.37%

22/03/2010 17.14 1166.59 0.35% 0.35% 0.35% -0.98% -0.98% -0.98%

15/03/2010 16.91 1159.9 -1.34% -1.34% -1.35% -0.57% -0.57% -0.58%

08/03/2010 17.08 1149.99 1.01% 1.01% 1.00% -0.85% -0.85% -0.86%

01/03/2010 17.48 1138.7 2.34% 2.34% 2.31% -0.98% -0.98% -0.99%

22/02/2010 17.55 1104.49 0.40% 0.40% 0.40% -3.00% -3.00% -3.05%

16/02/2010 17.99 1109.17 2.51% 2.51% 2.48% 0.42% 0.42% 0.42%

08/02/2010 17.8 1075.51 -1.06% -1.06% -1.06% -3.03% -3.03% -3.08%

01/02/2010 17.96 1066.19 0.90% 0.90% 0.89% -0.87% -0.87% -0.87%

25/01/2010 18.66 1073.87 3.90% 3.90% 3.82% 0.72% 0.72% 0.72%

19/01/2010 18.96 1091.76 1.61% 1.61% 1.59% 1.67% 1.67% 1.65%

11/01/2010 19.49 1136.03 2.80% 2.80% 2.76% 4.05% 4.05% 3.97%

04/01/2010 18.68 1144.98 -4.16% -4.16% -4.24% 0.79% 0.79% 0.78%

28/12/2009 18.19 1115.1 -2.62% -2.62% -2.66% -2.61% -2.61% -2.64%

21/12/2009 18.6 1126.48 2.25% 2.25% 2.23% 1.02% 1.02% 1.02%

14/12/2009 18.3 1102.47 -1.61% -1.61% -1.63% -2.13% -2.13% -2.15%

07/12/2009 18.3 1106.41 0.00% 0.00% 0.00% 0.36% 0.36% 0.36%

30/11/2009 18.49 1105.98 1.04% 1.04% 1.03% -0.04% -0.04% -0.04%

23/11/2009 18.25 1091.49 -1.30% -1.30% -1.31% -1.31% -1.31% -1.32%

16/11/2009 18.36 1091.38 0.60% 0.60% 0.60% -0.01% -0.01% -0.01%

09/11/2009 17.59 1093.48 -4.19% -4.19% -4.28% 0.19% 0.19% 0.19%

02/11/2009 16.96 1069.3 -3.58% -3.58% -3.65% -2.21% -2.21% -2.24%

26/10/2009 17.03 1036.19 0.41% 0.41% 0.41% -3.10% -3.10% -3.15%

19/10/2009 17.25 1079.6 1.29% 1.29% 1.28% 4.19% 4.19% 4.10%

12/10/2009 17.77 1087.68 3.01% 3.01% 2.97% 0.75% 0.75% 0.75%

05/10/2009 16.92 1071.49 -4.78% -4.78% -4.90% -1.49% -1.49% -1.50%

28/09/2009 16.15 1025.21 -4.55% -4.55% -4.66% -4.32% -4.32% -4.42%

21/09/2009 16.4 1044.38 1.55% 1.55% 1.54% 1.87% 1.87% 1.85%

14/09/2009 16.51 1068.3 0.67% 0.67% 0.67% 2.29% 2.29% 2.26%

08/09/2009 16.25 1042.73 -1.57% -1.57% -1.59% -2.39% -2.39% -2.42%

31/08/2009 16.39 1016.4 0.86% 0.86% 0.86% -2.53% -2.53% -2.56%

24/08/2009 16.81 1028.93 2.56% 2.56% 2.53% 1.23% 1.23% 1.23%

17/08/2009 16.64 1026.13 -1.01% -1.01% -1.02% -0.27% -0.27% -0.27%

10/08/2009 15.77 1004.09 -5.23% -5.23% -5.37% -2.15% -2.15% -2.17%

03/08/2009 15.96 1010.48 1.20% 1.20% 1.20% 0.64% 0.64% 0.63%

27/07/2009 15.93 987.48 -0.19% -0.19% -0.19% -2.28% -2.28% -2.30%

20/07/2009 16.48 979.26 3.45% 3.45% 3.39% -0.83% -0.83% -0.84%

13/07/2009 14.96 940.38 -9.22% -9.22% -9.68% -3.97% -3.97% -4.05%

06/07/2009 14.2 879.13 -5.08% -5.08% -5.21% -6.51% -6.51% -6.74%

29/06/2009 14.48 896.42 1.97% 1.97% 1.95% 1.97% 1.97% 1.95%

22/06/2009 15.19 918.9 4.90% 4.90% 4.79% 2.51% 2.51% 2.48%

15/06/2009 15 921.23 -1.25% -1.25% -1.26% 0.25% 0.25% 0.25%

08/06/2009 14.76 946.21 -1.60% -1.60% -1.61% 2.71% 2.71% 2.68%

01/06/2009 14.51 940.09 -1.69% -1.69% -1.71% -0.65% -0.65% -0.65%

EN RESUMEN:

Primera metodología para encontrar la beta de empresa Pfizer (PFE) y mercado S&P 500:

La covarianza es la variación entre la empresa y el mercado. Por lo tanto se

necesitan las variaciones del mercado para conocer la beta, por lo tanto la beta es

igual a la división de la covarianza entre la varianza. Por lo tanto tenemos la

fórmula siguiente: = COVAR (datos empresa , datos mercado) = 0.0437%

“BETAS”

19

La varianza son las todas variaciones del mercado = VARP(datos mercado) =

0.06%

Calculo del Beta de PFE y S&P 500

COVARIANZA 0.0437% covarianza empresa mercado

VARIANZA 0.0634% varianza mercado


La beta = covarianza / varianza = 0.69 (General)


EJES:

y = 0.6882x - 0.0011 R² = 0.4008

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

-10.00% -5.00% 0.00% 5.00% 10.00%

Re

torn

os

de

l la

em

pre

sa

Retornos del mercado

Beta empresa Cocacola (KO) y mercado SP500

Series1

Lineal (Series1)



“BETAS”

20


BETA 0.69

0.68824447

Donde la fórmula de pendiente es la siguiente:

Pendiente = (conocido Y (empresa), conocido X (mercado)) = 0.69


3.4. Cuarta metodología: Regresión

Procedimiento:

Introducir datos en datos + análisis de datos + regresión + rango de entrada Y

variaciones empresa + rango de entrada X variaciones mercado + otra página

siguientes + aceptar


Coeficiente de


Coeficiente de

determinación R^2 0.40084527

R^2 ajustado 0.39705315

Error típico 0.02132873

Observaciones 160


Grados de Suma de Promedio F Valor

CONOCIDO Y EMPRESA


“BETAS”

21

libertad cuadrados de los

cuadrados

crítico de F

Regresión 1 0.04808667 0.04808667 105.704838 2.6427E-19

Residuos 158 0.07187651 0.00045491

Total 159 0.11996318

Coeficientes

Error

típico

Estadístico

t Probabilidad

Inferior

95%

Superior

95%

Inferior

95.0%

Superior

95.0%

Intercepción

-

0.00112203 0.00169148

-

0.66334143 0.50807858

-

0.00446287 0.0022188

-

0.00446287 0.0022188

Variable X 1 0.68824447 0.06694148 10.2812858 2.6427E-19 0.55602889 0.82046005 0.55602889 0.82046005

CONOCIDO Y EMPRESA


4. Betas empresa Pfizer (PFE) y mercado (S&P 500)

4.1. Primera metodología: beta empresa Pfizer (pfe) y mercado


antiguo al más reciente).

Por lo tanto, podemos realizar el calculo mediante culaquiera de las fórmulas siguientes:

Formula 1:

Fórmula 2:

Fórmula 3:

1 de junio del 2009 al 25 de junio del 2012; (Del más lejano al más actual)

1: 𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟 −𝑖𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑎𝑐𝑡𝑢𝑎𝑙

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑎𝑐𝑡𝑢𝑎𝑙= Variación porcentual

2: 𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚á𝑠 𝑎𝑐𝑡𝑢𝑎𝑙 − 1 = Variación porcentual

3: LN 𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑎𝑐𝑡𝑢𝑎𝑙 =Variación porcentual

“BETAS”

22

empresa mercado empresa mercado empresa mercado

Y X Y X Y X

Date Close Close opción 1 opción 2 opción 3

01/06/2009 14.51 940.09 (14.76-14.51)/14.51 (14.76/14.51)-1 LN(14.76/14.51)

08/06/2009 14.76 946.21 1.72% 0.65% 1.72% 0.65% 1.71% 0.65%

15/06/2009 15 921.23 1.63% -2.64% 1.63% -2.64% 1.61% -2.68%

22/06/2009 15.19 918.9 1.27% -0.25% 1.27% -0.25% 1.26% -0.25%

29/06/2009 14.48 896.42 -4.67% -2.45% -4.67% -2.45% -4.79% -2.48%

06/07/2009 14.2 879.13 -1.93% -1.93% -1.93% -1.93% -1.95% -1.95%

13/07/2009 14.96 940.38 5.35% 6.97% 5.35% 6.97% 5.21% 6.74%

20/07/2009 16.48 979.26 10.16% 4.13% 10.16% 4.13% 9.68% 4.05%

27/07/2009 15.93 987.48 -3.34% 0.84% -3.34% 0.84% -3.39% 0.84%

03/08/2009 15.96 1010.48 0.19% 2.33% 0.19% 2.33% 0.19% 2.30%

10/08/2009 15.77 1004.09 -1.19% -0.63% -1.19% -0.63% -1.20% -0.63%

17/08/2009 16.64 1026.13 5.52% 2.20% 5.52% 2.20% 5.37% 2.17%

24/08/2009 16.81 1028.93 1.02% 0.27% 1.02% 0.27% 1.02% 0.27%

31/08/2009 16.39 1016.4 -2.50% -1.22% -2.50% -1.22% -2.53% -1.23%

08/09/2009 16.25 1042.73 -0.85% 2.59% -0.85% 2.59% -0.86% 2.56%

14/09/2009 16.51 1068.3 1.60% 2.45% 1.60% 2.45% 1.59% 2.42%

21/09/2009 16.4 1044.38 -0.67% -2.24% -0.67% -2.24% -0.67% -2.26%

28/09/2009 16.15 1025.21 -1.52% -1.84% -1.52% -1.84% -1.54% -1.85%

05/10/2009 16.92 1071.49 4.77% 4.51% 4.77% 4.51% 4.66% 4.42%

12/10/2009 17.77 1087.68 5.02% 1.51% 5.02% 1.51% 4.90% 1.50%

19/10/2009 17.25 1079.6 -2.93% -0.74% -2.93% -0.74% -2.97% -0.75%

26/10/2009 17.03 1036.19 -1.28% -4.02% -1.28% -4.02% -1.28% -4.10%

02/11/2009 16.96 1069.3 -0.41% 3.20% -0.41% 3.20% -0.41% 3.15%

09/11/2009 17.59 1093.48 3.71% 2.26% 3.71% 2.26% 3.65% 2.24%

16/11/2009 18.36 1091.38 4.38% -0.19% 4.38% -0.19% 4.28% -0.19%

23/11/2009 18.25 1091.49 -0.60% 0.01% -0.60% 0.01% -0.60% 0.01%

30/11/2009 18.49 1105.98 1.32% 1.33% 1.32% 1.33% 1.31% 1.32%

07/12/2009 18.3 1106.41 -1.03% 0.04% -1.03% 0.04% -1.03% 0.04%

14/12/2009 18.3 1102.47 0.00% -0.36% 0.00% -0.36% 0.00% -0.36%

21/12/2009 18.6 1126.48 1.64% 2.18% 1.64% 2.18% 1.63% 2.15%

28/12/2009 18.19 1115.1 -2.20% -1.01% -2.20% -1.01% -2.23% -1.02%

04/01/2010 18.68 1144.98 2.69% 2.68% 2.69% 2.68% 2.66% 2.64%

11/01/2010 19.49 1136.03 4.34% -0.78% 4.34% -0.78% 4.24% -0.78%

19/01/2010 18.96 1091.76 -2.72% -3.90% -2.72% -3.90% -2.76% -3.97%

25/01/2010 18.66 1073.87 -1.58% -1.64% -1.58% -1.64% -1.59% -1.65%

01/02/2010 17.96 1066.19 -3.75% -0.72% -3.75% -0.72% -3.82% -0.72%

08/02/2010 17.8 1075.51 -0.89% 0.87% -0.89% 0.87% -0.89% 0.87%

16/02/2010 17.99 1109.17 1.07% 3.13% 1.07% 3.13% 1.06% 3.08%

22/02/2010 17.55 1104.49 -2.45% -0.42% -2.45% -0.42% -2.48% -0.42%

01/03/2010 17.48 1138.7 -0.40% 3.10% -0.40% 3.10% -0.40% 3.05%

08/03/2010 17.08 1149.99 -2.29% 0.99% -2.29% 0.99% -2.31% 0.99%

15/03/2010 16.91 1159.9 -1.00% 0.86% -1.00% 0.86% -1.00% 0.86%

22/03/2010 17.14 1166.59 1.36% 0.58% 1.36% 0.58% 1.35% 0.58%

29/03/2010 17.08 1178.1 -0.35% 0.99% -0.35% 0.99% -0.35% 0.98%

05/04/2010 17.25 1194.37 1.00% 1.38% 1.00% 1.38% 0.99% 1.37%

12/04/2010 16.8 1192.13 -2.61% -0.19% -2.61% -0.19% -2.64% -0.19%

19/04/2010 16.91 1217.28 0.65% 2.11% 0.65% 2.11% 0.65% 2.09%

26/04/2010 16.72 1186.69 -1.12% -2.51% -1.12% -2.51% -1.13% -2.55%

03/05/2010 16.46 1110.88 -1.56% -6.39% -1.56% -6.39% -1.57% -6.60%

10/05/2010 16.2 1135.68 -1.58% 2.23% -1.58% 2.23% -1.59% 2.21%

17/05/2010 15.4 1087.69 -4.94% -4.23% -4.94% -4.23% -5.06% -4.32%

24/05/2010 15.23 1089.41 -1.10% 0.16% -1.10% 0.16% -1.11% 0.16%

01/06/2010 14.76 1064.88 -3.09% -2.25% -3.09% -2.25% -3.13% -2.28%

07/06/2010 15.46 1091.6 4.74% 2.51% 4.74% 2.51% 4.63% 2.48%

14/06/2010 15.21 1117.51 -1.62% 2.37% -1.62% 2.37% -1.63% 2.35%

21/06/2010 14.64 1076.76 -3.75% -3.65% -3.75% -3.65% -3.82% -3.71%

28/06/2010 14.14 1022.58 -3.42% -5.03% -3.42% -5.03% -3.47% -5.16%

06/07/2010 14.77 1077.96 4.46% 5.42% 4.46% 5.42% 4.36% 5.27%

12/07/2010 14.56 1064.88 -1.42% -1.21% -1.42% -1.21% -1.43% -1.22%

19/07/2010 14.58 1102.66 0.14% 3.55% 0.14% 3.55% 0.14% 3.49%

26/07/2010 15 1101.6 2.88% -0.10% 2.88% -0.10% 2.84% -0.10%

02/08/2010 16.24 1121.64 8.27% 1.82% 8.27% 1.82% 7.94% 1.80%

09/08/2010 16.08 1079.25 -0.99% -3.78% -0.99% -3.78% -0.99% -3.85%

“BETAS”

23

16/08/2010 15.92 1071.69 -1.00% -0.70% -1.00% -0.70% -1.00% -0.70%

23/08/2010 16.09 1064.59 1.07% -0.66% 1.07% -0.66% 1.06% -0.66%

30/08/2010 16.46 1104.51 2.30% 3.75% 2.30% 3.75% 2.27% 3.68%

07/09/2010 16.99 1109.55 3.22% 0.46% 3.22% 0.46% 3.17% 0.46%

13/09/2010 17.06 1125.59 0.41% 1.45% 0.41% 1.45% 0.41% 1.44%

20/09/2010 17.4 1148.67 1.99% 2.05% 1.99% 2.05% 1.97% 2.03%

27/09/2010 17.18 1146.24 -1.26% -0.21% -1.26% -0.21% -1.27% -0.21%

04/10/2010 17.46 1165.15 1.63% 1.65% 1.63% 1.65% 1.62% 1.64%

11/10/2010 17.75 1176.19 1.66% 0.95% 1.66% 0.95% 1.65% 0.94%

18/10/2010 17.5 1183.08 -1.41% 0.59% -1.41% 0.59% -1.42% 0.58%

25/10/2010 17.42 1183.26 -0.46% 0.02% -0.46% 0.02% -0.46% 0.02%

01/11/2010 17.18 1225.85 -1.38% 3.60% -1.38% 3.60% -1.39% 3.54%

08/11/2010 16.85 1199.21 -1.92% -2.17% -1.92% -2.17% -1.94% -2.20%

15/11/2010 16.8 1199.73 -0.30% 0.04% -0.30% 0.04% -0.30% 0.04%

22/11/2010 16.49 1189.4 -1.85% -0.86% -1.85% -0.86% -1.86% -0.86%

29/11/2010 16.72 1224.71 1.39% 2.97% 1.39% 2.97% 1.39% 2.93%

06/12/2010 17.02 1240.4 1.79% 1.28% 1.79% 1.28% 1.78% 1.27%

13/12/2010 17.03 1243.91 0.06% 0.28% 0.06% 0.28% 0.06% 0.28%

20/12/2010 17.61 1256.77 3.41% 1.03% 3.41% 1.03% 3.35% 1.03%

27/12/2010 17.51 1257.64 -0.57% 0.07% -0.57% 0.07% -0.57% 0.07%

03/01/2011 18.34 1271.5 4.74% 1.10% 4.74% 1.10% 4.63% 1.10%

10/01/2011 18.34 1293.24 0.00% 1.71% 0.00% 1.71% 0.00% 1.70%

18/01/2011 18.36 1283.35 0.11% -0.76% 0.11% -0.76% 0.11% -0.77%

24/01/2011 18.15 1276.34 -1.14% -0.55% -1.14% -0.55% -1.15% -0.55%

31/01/2011 19.3 1310.87 6.34% 2.71% 6.34% 2.71% 6.14% 2.67%

07/02/2011 18.83 1329.15 -2.44% 1.39% -2.44% 1.39% -2.47% 1.38%

14/02/2011 19.19 1343.01 1.91% 1.04% 1.91% 1.04% 1.89% 1.04%

22/02/2011 18.86 1319.88 -1.72% -1.72% -1.72% -1.72% -1.73% -1.74%

28/02/2011 19.66 1321.15 4.24% 0.10% 4.24% 0.10% 4.15% 0.10%

07/03/2011 19.47 1304.28 -0.97% -1.28% -0.97% -1.28% -0.97% -1.29%

14/03/2011 20.18 1279.21 3.65% -1.92% 3.65% -1.92% 3.58% -1.94%

21/03/2011 20.35 1313.8 0.84% 2.70% 0.84% 2.70% 0.84% 2.67%

28/03/2011 20.38 1332.41 0.15% 1.42% 0.15% 1.42% 0.15% 1.41%

04/04/2011 20.46 1328.17 0.39% -0.32% 0.39% -0.32% 0.39% -0.32%

11/04/2011 20.53 1319.68 0.34% -0.64% 0.34% -0.64% 0.34% -0.64%

18/04/2011 19.79 1337.38 -3.60% 1.34% -3.60% 1.34% -3.67% 1.33%

25/04/2011 20.97 1363.61 5.96% 1.96% 5.96% 1.96% 5.79% 1.94%

02/05/2011 20.55 1340.2 -2.00% -1.72% -2.00% -1.72% -2.02% -1.73%

09/05/2011 20.92 1337.77 1.80% -0.18% 1.80% -0.18% 1.78% -0.18%

16/05/2011 20.69 1333.27 -1.10% -0.34% -1.10% -0.34% -1.11% -0.34%

23/05/2011 20.93 1331.1 1.16% -0.16% 1.16% -0.16% 1.15% -0.16%

31/05/2011 20.84 1300.16 -0.43% -2.32% -0.43% -2.32% -0.43% -2.35%

06/06/2011 20.11 1270.98 -3.50% -2.24% -3.50% -2.24% -3.57% -2.27%

13/06/2011 20.26 1271.5 0.75% 0.04% 0.75% 0.04% 0.74% 0.04%

20/06/2011 20.08 1268.45 -0.89% -0.24% -0.89% -0.24% -0.89% -0.24%

27/06/2011 20.75 1339.67 3.34% 5.61% 3.34% 5.61% 3.28% 5.46%

05/07/2011 20.16 1343.8 -2.84% 0.31% -2.84% 0.31% -2.88% 0.31%

11/07/2011 19.75 1316.14 -2.03% -2.06% -2.03% -2.06% -2.05% -2.08%

18/07/2011 20.07 1345.02 1.62% 2.19% 1.62% 2.19% 1.61% 2.17%

25/07/2011 19.25 1292.28 -4.09% -3.92% -4.09% -3.92% -4.17% -4.00%

01/08/2011 17.49 1199.38 -9.14% -7.19% -9.14% -7.19% -9.59% -7.46%

08/08/2011 17.86 1178.81 2.12% -1.72% 2.12% -1.72% 2.09% -1.73%

15/08/2011 17.67 1123.53 -1.06% -4.69% -1.06% -4.69% -1.07% -4.80%

22/08/2011 18.21 1176.8 3.06% 4.74% 3.06% 4.74% 3.01% 4.63%

29/08/2011 18.46 1173.97 1.37% -0.24% 1.37% -0.24% 1.36% -0.24%

06/09/2011 18.28 1154.23 -0.98% -1.68% -0.98% -1.68% -0.98% -1.70%

12/09/2011 18.15 1216.01 -0.71% 5.35% -0.71% 5.35% -0.71% 5.21%

19/09/2011 17.45 1136.43 -3.86% -6.54% -3.86% -6.54% -3.93% -6.77%

26/09/2011 17.68 1131.42 1.32% -0.44% 1.32% -0.44% 1.31% -0.44%

03/10/2011 18.44 1155.46 4.30% 2.12% 4.30% 2.12% 4.21% 2.10%

10/10/2011 19.04 1224.58 3.25% 5.98% 3.25% 5.98% 3.20% 5.81%

17/10/2011 19.06 1238.25 0.11% 1.12% 0.11% 1.12% 0.10% 1.11%

24/10/2011 19.82 1285.09 3.99% 3.78% 3.99% 3.78% 3.91% 3.71%

31/10/2011 19.66 1253.23 -0.81% -2.48% -0.81% -2.48% -0.81% -2.51%

07/11/2011 19.99 1263.85 1.68% 0.85% 1.68% 0.85% 1.66% 0.84%

14/11/2011 19.53 1215.65 -2.30% -3.81% -2.30% -3.81% -2.33% -3.89%

“BETAS”

24

21/11/2011 18.45 1158.67 -5.53% -4.69% -5.53% -4.69% -5.69% -4.80%

28/11/2011 19.89 1244.28 7.80% 7.39% 7.80% 7.39% 7.52% 7.13%

05/12/2011 20.56 1255.19 3.37% 0.88% 3.37% 0.88% 3.31% 0.87%

12/12/2011 21.03 1219.66 2.29% -2.83% 2.29% -2.83% 2.26% -2.87%

19/12/2011 21.83 1265.33 3.80% 3.74% 3.80% 3.74% 3.73% 3.68%

27/12/2011 21.64 1257.6 -0.87% -0.61% -0.87% -0.61% -0.87% -0.61%

03/01/2012 21.57 1277.81 -0.32% 1.61% -0.32% 1.61% -0.32% 1.59%

09/01/2012 21.84 1289.09 1.25% 0.88% 1.25% 0.88% 1.24% 0.88%

17/01/2012 21.9 1315.38 0.27% 2.04% 0.27% 2.04% 0.27% 2.02%

23/01/2012 21.48 1316.33 -1.92% 0.07% -1.92% 0.07% -1.94% 0.07%

30/01/2012 21.2 1344.9 -1.30% 2.17% -1.30% 2.17% -1.31% 2.15%

06/02/2012 21.05 1342.64 -0.71% -0.17% -0.71% -0.17% -0.71% -0.17%

13/02/2012 21.19 1361.23 0.67% 1.38% 0.67% 1.38% 0.66% 1.38%

21/02/2012 21.18 1365.74 -0.05% 0.33% -0.05% 0.33% -0.05% 0.33%

27/02/2012 21.41 1369.63 1.09% 0.28% 1.09% 0.28% 1.08% 0.28%

05/03/2012 21.48 1370.87 0.33% 0.09% 0.33% 0.09% 0.33% 0.09%

12/03/2012 21.94 1404.17 2.14% 2.43% 2.14% 2.43% 2.12% 2.40%

19/03/2012 21.82 1397.11 -0.55% -0.50% -0.55% -0.50% -0.55% -0.50%

26/03/2012 22.65 1408.47 3.80% 0.81% 3.80% 0.81% 3.73% 0.81%

02/04/2012 22.34 1398.08 -1.37% -0.74% -1.37% -0.74% -1.38% -0.74%

09/04/2012 21.85 1370.26 -2.19% -1.99% -2.19% -1.99% -2.22% -2.01%

16/04/2012 22.56 1378.53 3.25% 0.60% 3.25% 0.60% 3.20% 0.60%

23/04/2012 23.08 1403.36 2.30% 1.80% 2.30% 1.80% 2.28% 1.79%

30/04/2012 22.38 1369.1 -3.03% -2.44% -3.03% -2.44% -3.08% -2.47%

07/05/2012 22.65 1353.39 1.21% -1.15% 1.21% -1.15% 1.20% -1.15%

14/05/2012 22.57 1295.22 -0.35% -4.30% -0.35% -4.30% -0.35% -4.39%

21/05/2012 22.13 1317.82 -1.95% 1.74% -1.95% 1.74% -1.97% 1.73%

29/05/2012 21.64 1278.04 -2.21% -3.02% -2.21% -3.02% -2.24% -3.07%

04/06/2012 22.14 1325.66 2.31% 3.73% 2.31% 3.73% 2.28% 3.66%

11/06/2012 22.61 1342.84 2.12% 1.30% 2.12% 1.30% 2.10% 1.29%

18/06/2012 22.73 1335.02 0.53% -0.58% 0.53% -0.58% 0.53% -0.58%

25/06/2012 23 1362.16 1.19% 2.03% 1.19% 2.03% 1.18% 2.01%

EN RESUMEN:

Primera metodología para encontrar la beta de empresa Pfizer (PFE) y mercado S&P 500:





La varianza son las todas variaciones del mercado = VARP(datos mercado) =

0.06%


COVARIANZA 0.0437% covarianza empresa mercado

VARIANZA 0.0634% varianza mercado

“BETAS”

25


La beta = covarianza / varianza = 0.69 (General)


EJES:

y = 0.6913x + 0.0014 R² = 0.393

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

-10.00% -5.00% 0.00% 5.00% 10.00%

Beta Pfizer (PFE) y S&P 500

Series1

Lineal (Series1)



“BETAS”

26


BETA 0.69

0.68824447





Resumen


Coeficiente de


Coeficiente de


R^2 ajustado 0.389115925


Observaciones 160


Grados de

libertad

Suma de

cuadrados

Promedio

de los

cuadrados F

Valor

crítico de F

Regresión 1 0.04840357 0.04840357 102.278515 7.4978E-19 Residuos 158 0.07477391 0.00047325

Total 159 0.12317749

Coeficientes

Error

típico

Estadístico

t Probabilidad

Inferior

95%

Superior

95%

Inferior

95.0%

Superior

95.0%

Intercepción 0.001441566 0.00172926 0.8336336 0.40574597 -

0.00197387 0.004857 -

0.00197387 0.004857

Variable X 1 0.691300097 0.06835565 10.1132841 7.4978E-19 0.5562914 0.8263088 0.5562914 0.8263088

CONOCIDO Y EMPRESA


“BETAS”

27

CONOCIDO Y EMPRESA


C. FACEBOOK (FB) Y MERCADO NASDAQ

5. Betas empresa Facebook (FB) y mercado (NASDAQ)

5.1. Primera metodología: beta empresa Facebook (FB) y mercado NASDAQ

Metodología:

a. Primer paso descargar información de la empresa. Pfizer (PFE)




tres fórmulas.











Por lo tanto, podemos realizar el cálculo mediante cualquiera de las fórmulas siguientes:

Formula 1:

Fórmula 2:

1: 𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑟𝑒𝑐𝑖𝑒𝑛𝑡𝑒 −𝑖𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟

𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟= Variación porcentual

2: 𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑟𝑒𝑐𝑖𝑒𝑛𝑡𝑒

𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟 − 1 = Variación

“BETAS”

28

Del 5 de Agosto del 2013 al 18 de mayo del 2012. (Del más actual al más lejano)

Empresa Mercado Empresa Mercado Empresa Mercado

Facebook Nasdaq X Y X Y

Date Adj Close Adj Close 1 1 2 2

05/08/2013 39.19 3692.95

29/07/2013 38.05 3689.59 0.02996058 0.00091067 0.02996058 0.00091067

22/07/2013 34.01 3613.16 0.11878859 0.02115323 0.11878859 0.02115323

15/07/2013 25.88 3587.61 0.31414219 0.00712173 0.31414219 0.00712173

08/07/2013 25.91 3600.08 -0.00115785 -0.00346381 -0.00115785 -0.00346381

01/07/2013 24.37 3479.38 0.06319245 0.03469009 0.06319245 0.03469009

24/06/2013 24.88 3403.25 -0.02049839 0.02236979 -0.02049839 0.02236979

17/06/2013 24.53 3357.25 0.01426824 0.01370169 0.01426824 0.01370169

10/06/2013 23.63 3423.56 0.03808718 -0.01936873 0.03808718 -0.01936873

03/06/2013 23.29 3469.22 0.01459854 -0.01316146 0.01459854 -0.01316146

28/05/2013 24.35 3455.91 -0.04353183 0.00385137 -0.04353183 0.00385137

20/05/2013 24.31 3459.14 0.00164541 -0.00093376 0.00164541 -0.00093376

13/05/2013 26.25 3498.97 -0.07390476 -0.01138335 -0.07390476 -0.01138335

06/05/2013 26.68 3436.58 -0.01611694 0.01815468 -0.01611694 0.01815468

29/04/2013 28.31 3378.63 -0.05757683 0.01715192 -0.05757683 0.01715192

22/04/2013 26.85 3279.26 0.05437616 0.03030257 0.05437616 0.03030257

15/04/2013 25.73 3206.06 0.04352895 0.02283176 0.04352895 0.02283176

08/04/2013 27.4 3294.95 -0.06094891 -0.02697765 -0.06094891 -0.02697765

01/04/2013 27.39 3203.86 0.0003651 0.02843133 0.0003651 0.02843133

25/03/2013 25.58 3267.52 0.07075841 -0.01948267 0.07075841 -0.01948267

18/03/2013 25.73 3245 -0.00582977 0.00693991 -0.00582977 0.00693991

11/03/2013 26.65 3249.07 -0.03452158 -0.00125267 -0.03452158 -0.00125267

04/03/2013 27.96 3244.37 -0.04685265 0.00144866 -0.04685265 0.00144866

25/02/2013 27.78 3169.74 0.00647948 0.02354452 0.00647948 0.02354452

19/02/2013 27.13 3161.82 0.02395872 0.00250489 0.02395872 0.00250489

11/02/2013 28.32 3192.03 -0.04201977 -0.0094642 -0.04201977 -0.0094642

04/02/2013 28.55 3193.87 -0.00805604 -0.0005761 -0.00805604 -0.0005761

28/01/2013 29.73 3179.1 -0.03969055 0.00464597 -0.03969055 0.00464597

22/01/2013 31.54 3149.71 -0.05738744 0.00933102 -0.05738744 0.00933102

14/01/2013 29.66 3134.71 0.06338503 0.00478513 0.06338503 0.00478513

07/01/2013 31.72 3125.64 -0.06494325 0.00290181 -0.06494325 0.00290181

“BETAS”

29

31/12/2012 28.76 3101.66 0.10292072 0.00773134 0.10292072 0.00773134

24/12/2012 25.91 2960.31 0.10999614 0.04774838 0.10999614 0.04774838

17/12/2012 26.26 3021.01 -0.01332826 -0.02009262 -0.01332826 -0.02009262

10/12/2012 26.81 2971.33 -0.02051473 0.01671979 -0.02051473 0.01671979

03/12/2012 27.49 2978.04 -0.02473627 -0.00225316 -0.02473627 -0.00225316

26/11/2012 28 3010.24 -0.01821429 -0.01069682 -0.01821429 -0.01069682

19/11/2012 24 2966.85 0.16666667 0.01462494 0.16666667 0.01462494

12/11/2012 23.56 2853.13 0.01867572 0.03985798 0.01867572 0.03985798

05/11/2012 19.21 2904.87 0.22644456 -0.01781147 0.22644456 -0.01781147

31/10/2012 21.18 2982.13 -0.09301228 -0.02590766 -0.09301228 -0.02590766

22/10/2012 21.94 2987.95 -0.03463993 -0.00194782 -0.03463993 -0.00194782

15/10/2012 19 3005.62 0.15473684 -0.00587899 0.15473684 -0.00587899

08/10/2012 19.52 3044.11 -0.02663934 -0.01264409 -0.02663934 -0.01264409

01/10/2012 20.91 3136.19 -0.06647537 -0.02936047 -0.06647537 -0.02936047

24/09/2012 21.66 3116.23 -0.03462604 0.00640518 -0.03462604 0.00640518

17/09/2012 22.86 3179.96 -0.05249344 -0.02004113 -0.05249344 -0.02004113

10/09/2012 22 3183.95 0.03909091 -0.00125316 0.03909091 -0.00125316

04/09/2012 18.98 3136.42 0.15911486 0.01515422 0.15911486 0.01515422

27/08/2012 18.06 3066.96 0.05094131 0.02264783 0.05094131 0.02264783

20/08/2012 19.41 3069.79 -0.06955178 -0.00092189 -0.06955178 -0.00092189

13/08/2012 19.05 3076.59 0.01889764 -0.00221024 0.01889764 -0.00221024

06/08/2012 21.81 3020.86 -0.12654746 0.01844839 -0.12654746 0.01844839

30/07/2012 21.09 2967.9 0.0341394 0.01784427 0.0341394 0.01784427

23/07/2012 23.71 2958.09 -0.1105019 0.00331633 -0.1105019 0.00331633

16/07/2012 28.76 2925.3 -0.1755911 0.01120911 -0.1755911 0.01120911

09/07/2012 30.72 2908.47 -0.06380208 0.00578655 -0.06380208 0.00578655

02/07/2012 31.73 2937.33 -0.03183107 -0.00982525 -0.03183107 -0.00982525

25/06/2012 31.1 2935.05 0.02025723 0.00077682 0.02025723 0.00077682

18/06/2012 33.05 2892.42 -0.05900151 0.01473852 -0.05900151 0.01473852

11/06/2012 30.01 2872.8 0.10129957 0.00682957 0.10129957 0.00682957

04/06/2012 27.1 2858.42 0.10738007 0.00503075 0.10738007 0.00503075

29/05/2012 27.72 2747.48 -0.02236652 0.04037882 -0.02236652 0.04037882

21/05/2012 31.91 2837.53 -0.1313068 -0.03173535 -0.1313068 -0.03173535

18/05/2012 38.23 2778.79 -0.1653152 0.0211387 -0.1653152 0.0211387

EN RESUMEN:

“BETAS”

30

Primera metodología para encontrar la beta de empresa Facebook (FB) y mercado Nasdaq:





La varianza son las todas variaciones del mercado = VARP (datos mercado) =

0.00029763%


Donde la fórmula para encontrar la Beta es la siguiente:

COVARIANZA 0.00025767 Covarianza empresa-mercado

VARIANZA 0.00029763 Varianza mercado


EN RESUMEN:

Lo que podemos advertir de la beta de 0.86 es lo siguiente: Lo que significa es que

esta empresa no muy susceptible a los movimientos del mercado (Nasdaq). Por lo

tanto, la empresa es poco sensible a las variaciones del mercado (Nasdaq) ya la Beta

(0.86) es menor que 1, por lo tanto, si el mercado subiera un 10% la empresa

Facebook subiría un 8.6%.

5.2. Segunda metodología: mediante la gráfica de dispersión.

𝛽 =𝐶𝑜𝑣𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑖 (𝑒𝑚𝑝𝑟𝑒𝑠𝑎), 𝑐𝑜𝑣𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑀 (𝑚𝑒𝑟𝑐𝑎𝑑𝑜)

𝑉𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑚𝑒𝑟𝑐𝑎𝑑𝑜

“BETAS”

31

EJES:


BETA 0.86

0.86575066





y = 0.8658x - 6E-06 R² = 0.0298

-0.3

-0.2

-0.1

0

0.1

0.2

0.3

0.4

-0.04 -0.02 0 0.02 0.04 0.06

Beta Facebook (FB) y Nasdaq.

Series1

Lineal (Series1)



CONOCIDO Y EMPRESA


“BETAS”

32

Procedimiento:




serie X = datos del mercado variable independiente

serie Y = datos de la empresa variable dependiente

Resumen


Coeficiente de


Coeficiente de


R^2 ajustado 0.01411634 Error típico 0.08663765

Observaciones 64


Grados de

libertad

Suma de

cuadrados

Promedio de

los F

Valor

crítico de F

“BETAS”

33

CONOCIDO Y EMPRESA


6. Betas empresa Facebook (FB) y mercado (NASDAQ)

6.1. Primera metodología: beta empresa Facebook (FB) y mercado NASDAQ



Por lo tanto, podemos realizar el cálculo mediante cualquiera de las fórmulas siguientes:

Fórmula 1:

Del 18 de mayo del 2012 al 5 de agosto del 2013 (Del más lejano al más actual)

1 1

Facebook Nasdaq empresa mercado

Date Adj Close Adj Close Facebook Nasdaq

18/05/2012 38.23 2778.79 Retorno Retorno

cuadrados

Regresión 1 0.01427705 0.014277046 1.90206357 0.17280247

Residuos 62 0.46537711 0.007506082

Total 63 0.47965416

Coeficientes Error típico Estadístico t Probabilidad

Inferior 95%

Superior 95%

Inferior 95.0%

Superior 95.0%

Intercepción

-6.4441E-

06 0.01120836

-

0.000574938 0.99954311

-

0.02241164 0.02239875

-

0.02241164 0.02239875

Variable X 1 0.86575066 0.62774074 1.379153207 0.17280247

-

0.38908521 2.12058652

-

0.38908521 2.12058652

𝐼𝑛𝑑𝑖𝑐𝑒 𝑎𝑛𝑡𝑒𝑟𝑖𝑜𝑟 −𝑖𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑟𝑒𝑐𝑖𝑛𝑒𝑡𝑒𝑙

𝐼𝑛𝑑𝑖𝑐𝑒 𝑚𝑎𝑠 𝑟𝑒𝑐𝑖𝑒𝑛𝑡𝑒= Variación porcentual

“BETAS”

34

21/05/2012 31.91 2837.53 -0.1653 0.0211

29/05/2012 27.72 2747.48 -0.1313 -0.0317

04/06/2012 27.1 2858.42 -0.0224 0.0404

11/06/2012 30.01 2872.8 0.1074 0.0050

18/06/2012 33.05 2892.42 0.1013 0.0068

25/06/2012 31.1 2935.05 -0.0590 0.0147

02/07/2012 31.73 2937.33 0.0203 0.0008

09/07/2012 30.72 2908.47 -0.0318 -0.0098

16/07/2012 28.76 2925.3 -0.0638 0.0058

23/07/2012 23.71 2958.09 -0.1756 0.0112

30/07/2012 21.09 2967.9 -0.1105 0.0033

06/08/2012 21.81 3020.86 0.0341 0.0178

13/08/2012 19.05 3076.59 -0.1265 0.0184

20/08/2012 19.41 3069.79 0.0189 -0.0022

27/08/2012 18.06 3066.96 -0.0696 -0.0009

04/09/2012 18.98 3136.42 0.0509 0.0226

10/09/2012 22 3183.95 0.1591 0.0152

17/09/2012 22.86 3179.96 0.0391 -0.0013

24/09/2012 21.66 3116.23 -0.0525 -0.0200

01/10/2012 20.91 3136.19 -0.0346 0.0064

08/10/2012 19.52 3044.11 -0.0665 -0.0294

15/10/2012 19 3005.62 -0.0266 -0.0126

22/10/2012 21.94 2987.95 0.1547 -0.0059

31/10/2012 21.18 2982.13 -0.0346 -0.0019

05/11/2012 19.21 2904.87 -0.0930 -0.0259

12/11/2012 23.56 2853.13 0.2264 -0.0178

19/11/2012 24 2966.85 0.0187 0.0399

26/11/2012 28 3010.24 0.1667 0.0146

03/12/2012 27.49 2978.04 -0.0182 -0.0107

10/12/2012 26.81 2971.33 -0.0247 -0.0023

17/12/2012 26.26 3021.01 -0.0205 0.0167

24/12/2012 25.91 2960.31 -0.0133 -0.0201

31/12/2012 28.76 3101.66 0.1100 0.0477

07/01/2013 31.72 3125.64 0.1029 0.0077

14/01/2013 29.66 3134.71 -0.0649 0.0029

22/01/2013 31.54 3149.71 0.0634 0.0048

28/01/2013 29.73 3179.1 -0.0574 0.0093

04/02/2013 28.55 3193.87 -0.0397 0.0046

11/02/2013 28.32 3192.03 -0.0081 -0.0006

19/02/2013 27.13 3161.82 -0.0420 -0.0095

25/02/2013 27.78 3169.74 0.0240 0.0025

04/03/2013 27.96 3244.37 0.0065 0.0235

11/03/2013 26.65 3249.07 -0.0469 0.0014

“BETAS”

35

18/03/2013 25.73 3245 -0.0345 -0.0013

25/03/2013 25.58 3267.52 -0.0058 0.0069

01/04/2013 27.39 3203.86 0.0708 -0.0195

08/04/2013 27.4 3294.95 0.0004 0.0284

15/04/2013 25.73 3206.06 -0.0609 -0.0270

22/04/2013 26.85 3279.26 0.0435 0.0228

29/04/2013 28.31 3378.63 0.0544 0.0303

06/05/2013 26.68 3436.58 -0.0576 0.0172

13/05/2013 26.25 3498.97 -0.0161 0.0182

20/05/2013 24.31 3459.14 -0.0739 -0.0114

28/05/2013 24.35 3455.91 0.0016 -0.0009

03/06/2013 23.29 3469.22 -0.0435 0.0039

10/06/2013 23.63 3423.56 0.0146 -0.0132

17/06/2013 24.53 3357.25 0.0381 -0.0194

24/06/2013 24.88 3403.25 0.0143 0.0137

01/07/2013 24.37 3479.38 -0.0205 0.0224

08/07/2013 25.91 3600.08 0.0632 0.0347

15/07/2013 25.88 3587.61 -0.0012 -0.0035

22/07/2013 34.01 3613.16 0.3141 0.0071

29/07/2013 38.05 3689.59 0.1188 0.0212

05/08/2013 39.19 3692.95 0.0300 0.0009

EN RESUMEN:

Primera metodología para encontrar la beta de empresa Facebook (FB) y mercado Nasdaq:





La varianza son las todas variaciones del mercado = VARP (datos mercado) =

0.00029763%


Donde la fórmula para encontrar la Beta es la siguiente:

𝛽 =

𝐶𝑜𝑣𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑖 (𝑒𝑚𝑝𝑟𝑒𝑠𝑎), 𝑐𝑜𝑣𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑀 (𝑚𝑒𝑟𝑐𝑎𝑑𝑜)

𝑉𝑎𝑟𝑖𝑎𝑛𝑧𝑎 𝑚𝑒𝑟𝑐𝑎𝑑𝑜

“BETAS”

36

COVARIANZA 0.00025767 Covarianza empresa-mercado

VARIANZA 0.00029763 Varianza mercado


EN RESUMEN:

Lo que podemos advertir de la beta de 0.86 es lo siguiente: Lo que significa es que

esta empresa no muy susceptible a los movimientos del mercado (Nasdaq). Por lo

tanto, la empresa es poco sensible a las variaciones del mercado (Nasdaq) ya la Beta

(0.86) es menor que 1, por lo tanto, si el mercado subiera un 10% la empresa

Facebook subiría un 8.6%.

6.2. Segunda metodología: mediante la gráfica de dispersión.

“BETAS”

37

EJES:

6.3. Tercera metodología mediante la fórmula pendiente

BETA 0.86

0.86575066





y = 0.8658x - 6E-06 R² = 0.0298

-0.3000

-0.2000

-0.1000

0.0000

0.1000

0.2000

0.3000

0.4000

-0.0400 -0.0200 0.0000 0.0200 0.0400 0.0600

Beta Facebook (FB) Y Nasdaq

Series1

Lineal (Series1)



CONOCIDO Y EMPRESA


“BETAS”

38

Procedimiento:




serie X = datos del mercado variable independiente

serie Y = datos de la empresa variable dependiente


Coeficiente de

correlación

múltiple 0.17252621 Coeficiente de

determinación

R^2 0.02976529 R^2 ajustado 0.01411634


Observaciones 64


Grados de

libertad Suma de

cuadrados

Promedio

de los cuadrados F

Valor crítico de F

Regresión 1 0.01427705 0.01427705 1.90206357 0.17280247

Residuos 62 0.46537711 0.00750608

Total 63 0.47965416

Coeficientes Error típico

Estadístico t Probabilidad

Inferior 95%

Superior 95%

Inferior 95.0%

Superior 95.0%

Intercepción

-6.4441E-

06 0.01120836

-

0.00057494 0.99954311

-

0.02241164 0.02239875

-

0.02241164 0.02239875

Variable X 1 0.86575066 0.62774074 1.37915321 0.17280247 -

0.38908521 2.12058652 -

0.38908521 2.12058652

CONOCIDO Y EMPRESA


“BETAS”

39

BIBLIOGRAFÍA

Block, S. B., Hirt, G. A., & Danielse, B. R. (2011). Fundamentos administracion financiera. México D.

F.: McGraww HillmInteramericana Editorres S. A. de C. V.

Fabozzi, F. J., Modigliano, F., & Ferri, M. G. (1996). Mercados e Instituciones Financieras. México D.

F.: Prentice-Hall Hispanoamericana, S. A.

Ross, S. A., Westerfield, R. W., & Jaffe, J. F. (2010). Finanzas corporativas. México: Edamsa

Impresiones, S. A. de C. V.

betas empresa mercado

Business