Stock Analysis on Net

Activision Blizzard Inc. (NASDAQ:ATVI)

¡Esta empresa ha sido trasladada al archivo! Los datos financieros no se actualizan desde el 31 de julio de 2023.

Modelo de valoración de activos de capital (CAPM) 

Microsoft Excel

El modelo de fijación de precios de activos de capital (CAPM) indica cuál debería ser la tasa de rendimiento esperada o requerida sobre activos de riesgo como las acciones ordinarias de Activision Blizzard.


Tasas de retorno

Activision Blizzard Inc., tasas mensuales de retorno

Microsoft Excel
Activision Blizzard Inc. (ATVI) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioATVI,t1 DividendoATVI,t1 RATVI,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $74.13 2,823.81
1. 28 feb. 2018 $73.13 -1.35% 2,713.83 -3.89%
2. 31 mar. 2018 $67.46 $0.34 -7.29% 2,640.87 -2.69%
3. 30 abr. 2018 $66.35 -1.65% 2,648.05 0.27%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2022 $73.95 1.58% 4,080.11 5.38%
59. 31 dic. 2022 $76.55 3.52% 3,839.50 -5.90%
Promedio (R): 0.49% 0.67%
Desviación estándar: 8.64% 5.40%
Activision Blizzard Inc. (ATVI) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioATVI,t1 DividendoATVI,t1 RATVI,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2018 $74.13 2,823.81
1. 28 feb. 2018 $73.13 -1.35% 2,713.83 -3.89%
2. 31 mar. 2018 $67.46 $0.34 -7.29% 2,640.87 -2.69%
3. 30 abr. 2018 $66.35 -1.65% 2,648.05 0.27%
4. 31 may. 2018 $70.91 6.87% 2,705.27 2.16%
5. 30 jun. 2018 $76.32 7.63% 2,718.37 0.48%
6. 31 jul. 2018 $73.42 -3.80% 2,816.29 3.60%
7. 31 ago. 2018 $72.10 -1.80% 2,901.52 3.03%
8. 30 sept. 2018 $83.19 15.38% 2,913.98 0.43%
9. 31 oct. 2018 $69.05 -17.00% 2,711.74 -6.94%
10. 30 nov. 2018 $49.88 -27.76% 2,760.17 1.79%
11. 31 dic. 2018 $46.57 -6.64% 2,506.85 -9.18%
12. 31 ene. 2019 $47.24 1.44% 2,704.10 7.87%
13. 28 feb. 2019 $42.14 -10.80% 2,784.49 2.97%
14. 31 mar. 2019 $45.53 $0.37 8.92% 2,834.40 1.79%
15. 30 abr. 2019 $48.21 5.89% 2,945.83 3.93%
16. 31 may. 2019 $43.37 -10.04% 2,752.06 -6.58%
17. 30 jun. 2019 $47.20 8.83% 2,941.76 6.89%
18. 31 jul. 2019 $48.74 3.26% 2,980.38 1.31%
19. 31 ago. 2019 $50.60 3.82% 2,926.46 -1.81%
20. 30 sept. 2019 $52.92 4.58% 2,976.74 1.72%
21. 31 oct. 2019 $56.03 5.88% 3,037.56 2.04%
22. 30 nov. 2019 $54.83 -2.14% 3,140.98 3.40%
23. 31 dic. 2019 $59.42 8.37% 3,230.78 2.86%
24. 31 ene. 2020 $58.48 -1.58% 3,225.52 -0.16%
25. 29 feb. 2020 $58.13 -0.60% 2,954.22 -8.41%
26. 31 mar. 2020 $59.48 2.32% 2,584.59 -12.51%
27. 30 abr. 2020 $63.73 $0.41 7.83% 2,912.43 12.68%
28. 31 may. 2020 $71.98 12.95% 3,044.31 4.53%
29. 30 jun. 2020 $75.90 5.45% 3,100.29 1.84%
30. 31 jul. 2020 $82.63 8.87% 3,271.12 5.51%
31. 31 ago. 2020 $83.52 1.08% 3,500.31 7.01%
32. 30 sept. 2020 $80.95 -3.08% 3,363.00 -3.92%
33. 31 oct. 2020 $75.73 -6.45% 3,269.96 -2.77%
34. 30 nov. 2020 $79.48 4.95% 3,621.63 10.75%
35. 31 dic. 2020 $92.85 16.82% 3,756.07 3.71%
36. 31 ene. 2021 $91.00 -1.99% 3,714.24 -1.11%
37. 28 feb. 2021 $95.61 5.07% 3,811.15 2.61%
38. 31 mar. 2021 $93.00 -2.73% 3,972.89 4.24%
39. 30 abr. 2021 $91.19 $0.47 -1.44% 4,181.17 5.24%
40. 31 may. 2021 $97.25 6.65% 4,204.11 0.55%
41. 30 jun. 2021 $95.44 -1.86% 4,297.50 2.22%
42. 31 jul. 2021 $83.62 -12.38% 4,395.26 2.27%
43. 31 ago. 2021 $82.37 -1.49% 4,522.68 2.90%
44. 30 sept. 2021 $77.39 -6.05% 4,307.54 -4.76%
45. 31 oct. 2021 $78.19 1.03% 4,605.38 6.91%
46. 30 nov. 2021 $58.60 -25.05% 4,567.00 -0.83%
47. 31 dic. 2021 $66.53 13.53% 4,766.18 4.36%
48. 31 ene. 2022 $79.01 18.76% 4,515.55 -5.26%
49. 28 feb. 2022 $81.50 3.15% 4,373.94 -3.14%
50. 31 mar. 2022 $80.11 -1.71% 4,530.41 3.58%
51. 30 abr. 2022 $75.60 $0.47 -5.04% 4,131.93 -8.80%
52. 31 may. 2022 $77.88 3.02% 4,132.15 0.01%
53. 30 jun. 2022 $77.86 -0.03% 3,785.38 -8.39%
54. 31 jul. 2022 $79.95 2.68% 4,130.29 9.11%
55. 31 ago. 2022 $78.49 -1.83% 3,955.00 -4.24%
56. 30 sept. 2022 $74.34 -5.29% 3,585.62 -9.34%
57. 31 oct. 2022 $72.80 -2.07% 3,871.98 7.99%
58. 30 nov. 2022 $73.95 1.58% 4,080.11 5.38%
59. 31 dic. 2022 $76.55 3.52% 3,839.50 -5.90%
Promedio (R): 0.49% 0.67%
Desviación estándar: 8.64% 5.40%

Mostrar todo

1 Datos en US$ por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de ATVI durante el período t.

3 Tasa de rendimiento del S&P 500 (el proxy de la cartera de mercado) durante el período t.


Varianza y covarianza

Activision Blizzard Inc., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RATVI,t RS&P 500,t (RATVI,tRATVI)2 (RS&P 500,tRS&P 500)2 (RATVI,tRATVI)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 -1.35% -3.89% 3.40 20.81 8.41
2. 31 mar. 2018 -7.29% -2.69% 60.58 11.26 26.11
3. 30 abr. 2018 -1.65% 0.27% 4.58 0.16 0.84
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2022 1.58% 5.38% 1.18 22.17 5.11
59. 31 dic. 2022 3.52% -5.90% 9.13 43.08 -19.83
Total (Σ): 4,326.65 1,691.48 727.55
t Fecha RATVI,t RS&P 500,t (RATVI,tRATVI)2 (RS&P 500,tRS&P 500)2 (RATVI,tRATVI)×(RS&P 500,tRS&P 500)
1. 28 feb. 2018 -1.35% -3.89% 3.40 20.81 8.41
2. 31 mar. 2018 -7.29% -2.69% 60.58 11.26 26.11
3. 30 abr. 2018 -1.65% 0.27% 4.58 0.16 0.84
4. 31 may. 2018 6.87% 2.16% 40.68 2.23 9.53
5. 30 jun. 2018 7.63% 0.48% 50.90 0.03 -1.30
6. 31 jul. 2018 -3.80% 3.60% 18.44 8.62 -12.61
7. 31 ago. 2018 -1.80% 3.03% 5.26 5.57 -5.41
8. 30 sept. 2018 15.38% 0.43% 221.61 0.06 -3.53
9. 31 oct. 2018 -17.00% -6.94% 305.98 57.87 133.06
10. 30 nov. 2018 -27.76% 1.79% 798.48 1.25 -31.63
11. 31 dic. 2018 -6.64% -9.18% 50.85 96.91 70.20
12. 31 ene. 2019 1.44% 7.87% 0.89 51.87 6.80
13. 28 feb. 2019 -10.80% 2.97% 127.48 5.32 -26.04
14. 31 mar. 2019 8.92% 1.79% 71.03 1.27 9.49
15. 30 abr. 2019 5.89% 3.93% 29.07 10.66 17.60
16. 31 may. 2019 -10.04% -6.58% 110.97 52.48 76.32
17. 30 jun. 2019 8.83% 6.89% 69.49 38.77 51.90
18. 31 jul. 2019 3.26% 1.31% 7.66 0.42 1.79
19. 31 ago. 2019 3.82% -1.81% 11.03 6.13 -8.22
20. 30 sept. 2019 4.58% 1.72% 16.73 1.11 4.30
21. 31 oct. 2019 5.88% 2.04% 28.96 1.89 7.41
22. 30 nov. 2019 -2.14% 3.40% 6.95 7.50 -7.22
23. 31 dic. 2019 8.37% 2.86% 62.04 4.81 17.27
24. 31 ene. 2020 -1.58% -0.16% 4.31 0.69 1.72
25. 29 feb. 2020 -0.60% -8.41% 1.20 82.40 9.93
26. 31 mar. 2020 2.32% -12.51% 3.34 173.67 -24.08
27. 30 abr. 2020 7.83% 12.68% 53.87 144.43 88.21
28. 31 may. 2020 12.95% 4.53% 155.01 14.91 48.08
29. 30 jun. 2020 5.45% 1.84% 24.51 1.37 5.80
30. 31 jul. 2020 8.87% 5.51% 70.09 23.46 40.55
31. 31 ago. 2020 1.08% 7.01% 0.34 40.19 3.69
32. 30 sept. 2020 -3.08% -3.92% 12.76 21.06 16.39
33. 31 oct. 2020 -6.45% -2.77% 48.21 11.79 23.84
34. 30 nov. 2020 4.95% 10.75% 19.86 101.77 44.96
35. 31 dic. 2020 16.82% 3.71% 266.57 9.28 49.72
36. 31 ene. 2021 -1.99% -1.11% 6.19 3.17 4.43
37. 28 feb. 2021 5.07% 2.61% 20.89 3.77 8.88
38. 31 mar. 2021 -2.73% 4.24% 10.40 12.80 -11.54
39. 30 abr. 2021 -1.44% 5.24% 3.75 20.94 -8.86
40. 31 may. 2021 6.65% 0.55% 37.83 0.01 -0.73
41. 30 jun. 2021 -1.86% 2.22% 5.55 2.42 -3.66
42. 31 jul. 2021 -12.38% 2.27% 165.89 2.59 -20.71
43. 31 ago. 2021 -1.49% 2.90% 3.96 4.98 -4.44
44. 30 sept. 2021 -6.05% -4.76% 42.78 29.42 35.47
45. 31 oct. 2021 1.03% 6.91% 0.29 39.03 3.37
46. 30 nov. 2021 -25.05% -0.83% 652.77 2.25 38.32
47. 31 dic. 2021 13.53% 4.36% 169.98 13.65 48.17
48. 31 ene. 2022 18.76% -5.26% 333.56 35.11 -108.21
49. 28 feb. 2022 3.15% -3.14% 7.06 14.46 -10.10
50. 31 mar. 2022 -1.71% 3.58% 4.84 8.47 -6.40
51. 30 abr. 2022 -5.04% -8.80% 30.67 89.54 52.40
52. 31 may. 2022 3.02% 0.01% 6.36 0.44 -1.67
53. 30 jun. 2022 -0.03% -8.39% 0.27 82.06 4.72
54. 31 jul. 2022 2.68% 9.11% 4.79 71.32 18.49
55. 31 ago. 2022 -1.83% -4.24% 5.39 24.11 11.40
56. 30 sept. 2022 -5.29% -9.34% 33.43 100.12 57.86
57. 31 oct. 2022 -2.07% 7.99% 6.59 53.58 -18.79
58. 30 nov. 2022 1.58% 5.38% 1.18 22.17 5.11
59. 31 dic. 2022 3.52% -5.90% 9.13 43.08 -19.83
Total (Σ): 4,326.65 1,691.48 727.55

Mostrar todo

VarianzaATVI = Σ(RATVI,tRATVI)2 ÷ (59 – 1)
= 4,326.65 ÷ (59 – 1)
= 74.60

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,691.48 ÷ (59 – 1)
= 29.16

CovarianzaATVI, S&P 500 = Σ(RATVI,tRATVI)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 727.55 ÷ (59 – 1)
= 12.54


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaATVI 74.60
VarianzaS&P 500 29.16
CovarianzaATVI, S&P 500 12.54
Coeficiente de correlaciónATVI, S&P 5001 0.27
βATVI2 0.43
αATVI3 0.21%

Cálculos

1 Coeficiente de correlaciónATVI, S&P 500
= CovarianzaATVI, S&P 500 ÷ (Desviación estándarATVI × Desviación estándarS&P 500)
= 12.54 ÷ (8.64% × 5.40%)
= 0.27

2 βATVI
= CovarianzaATVI, S&P 500 ÷ VarianzaS&P 500
= 12.54 ÷ 29.16
= 0.43

3 αATVI
= PromedioATVI – βATVI × PromedioS&P 500
= 0.49%0.43 × 0.67%
= 0.21%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 4.37%
Tasa de rendimiento esperada en la cartera de mercado2 E(RM) 13.31%
Riesgo sistemático de Activision Blizzard acciones ordinarias βATVI 0.43
 
Tasa de rendimiento esperada de las acciones ordinarias de Activision Blizzard3 E(RATVI) 8.21%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de los Estados Unidos de cupón fijo en circulación que no vencen ni se pueden exigir en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RATVI) = RF + βATVI [E(RM) – RF]
= 4.37% + 0.43 [13.31%4.37%]
= 8.21%