Stock Analysis on Net

Allergan Inc. (NYSE:AGN.)

¡Esta empresa ha sido trasladada al archivo! Los datos financieros no se han actualizado desde el 19 de febrero de 2015.

Modelo de fijación de precios de activos de capital (CAPM) 

Microsoft Excel LibreOffice Calc

Tasas de retorno

Allergan Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Allergan Inc. (AGN.) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioAGN.,t1 DividendoAGN.,t1 RAGN.,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2010 $57.50 1,073.87
1. 28 feb. 2010 $58.43 $0.05 1.70% 1,104.49 2.85%
2. 31 mar. 2010 $65.32 11.79% 1,169.43 5.88%
3. 30 abr. 2010 $63.69 -2.50% 1,186.69 1.48%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2014 $213.89 $0.05 12.56% 2,067.56 2.45%
59. 31 dic. 2014 $212.59 -0.61% 2,058.90 -0.42%
Promedio (R): 2.51% 1.18%
Desviación estándar: 7.35% 3.73%
Allergan Inc. (AGN.) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioAGN.,t1 DividendoAGN.,t1 RAGN.,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2010 $57.50 1,073.87
1. 28 feb. 2010 $58.43 $0.05 1.70% 1,104.49 2.85%
2. 31 mar. 2010 $65.32 11.79% 1,169.43 5.88%
3. 30 abr. 2010 $63.69 -2.50% 1,186.69 1.48%
4. 31 may. 2010 $60.19 $0.05 -5.42% 1,089.41 -8.20%
5. 30 jun. 2010 $58.26 -3.21% 1,030.71 -5.39%
6. 31 jul. 2010 $61.06 4.81% 1,101.60 6.88%
7. 31 ago. 2010 $61.42 $0.05 0.67% 1,049.33 -4.74%
8. 30 sept. 2010 $66.53 8.32% 1,141.20 8.76%
9. 31 oct. 2010 $72.41 8.84% 1,183.26 3.69%
10. 30 nov. 2010 $66.27 $0.05 -8.41% 1,180.55 -0.23%
11. 31 dic. 2010 $68.67 3.62% 1,257.64 6.53%
12. 31 ene. 2011 $70.61 2.83% 1,286.12 2.26%
13. 28 feb. 2011 $74.17 $0.05 5.11% 1,327.22 3.20%
14. 31 mar. 2011 $71.02 -4.25% 1,325.83 -0.10%
15. 30 abr. 2011 $79.56 12.02% 1,363.61 2.85%
16. 31 may. 2011 $82.73 $0.05 4.05% 1,345.20 -1.35%
17. 30 jun. 2011 $83.25 0.63% 1,320.64 -1.83%
18. 31 jul. 2011 $81.31 -2.33% 1,292.28 -2.15%
19. 31 ago. 2011 $81.81 $0.05 0.68% 1,218.89 -5.68%
20. 30 sept. 2011 $82.38 0.70% 1,131.42 -7.18%
21. 31 oct. 2011 $84.12 2.11% 1,253.30 10.77%
22. 30 nov. 2011 $83.72 $0.05 -0.42% 1,246.96 -0.51%
23. 31 dic. 2011 $87.74 4.80% 1,257.60 0.85%
24. 31 ene. 2012 $87.91 0.19% 1,312.41 4.36%
25. 29 feb. 2012 $89.59 $0.05 1.97% 1,365.68 4.06%
26. 31 mar. 2012 $95.43 6.52% 1,408.47 3.13%
27. 30 abr. 2012 $96.00 0.60% 1,397.91 -0.75%
28. 31 may. 2012 $90.25 $0.05 -5.94% 1,310.33 -6.27%
29. 30 jun. 2012 $92.57 2.57% 1,362.16 3.96%
30. 31 jul. 2012 $82.07 -11.34% 1,379.32 1.26%
31. 31 ago. 2012 $86.13 $0.05 5.01% 1,406.58 1.98%
32. 30 sept. 2012 $91.58 6.33% 1,440.67 2.42%
33. 31 oct. 2012 $89.92 -1.81% 1,412.16 -1.98%
34. 30 nov. 2012 $92.75 $0.05 3.20% 1,416.18 0.28%
35. 31 dic. 2012 $91.73 -1.10% 1,426.19 0.71%
36. 31 ene. 2013 $105.01 14.48% 1,498.11 5.04%
37. 28 feb. 2013 $108.42 $0.05 3.29% 1,514.68 1.11%
38. 31 mar. 2013 $111.63 2.96% 1,569.19 3.60%
39. 30 abr. 2013 $113.55 1.72% 1,597.57 1.81%
40. 31 may. 2013 $99.49 $0.05 -12.34% 1,630.74 2.08%
41. 30 jun. 2013 $84.24 -15.33% 1,606.28 -1.50%
42. 31 jul. 2013 $91.12 8.17% 1,685.73 4.95%
43. 31 ago. 2013 $88.38 $0.05 -2.95% 1,632.97 -3.13%
44. 30 sept. 2013 $90.45 2.34% 1,681.55 2.97%
45. 31 oct. 2013 $90.61 0.18% 1,756.54 4.46%
46. 30 nov. 2013 $97.05 $0.05 7.16% 1,805.81 2.80%
47. 31 dic. 2013 $111.08 14.46% 1,848.36 2.36%
48. 31 ene. 2014 $114.60 3.17% 1,782.59 -3.56%
49. 28 feb. 2014 $127.00 $0.05 10.86% 1,859.45 4.31%
50. 31 mar. 2014 $124.10 -2.28% 1,872.34 0.69%
51. 30 abr. 2014 $165.84 33.63% 1,883.95 0.62%
52. 31 may. 2014 $167.46 $0.05 1.01% 1,923.57 2.10%
53. 30 jun. 2014 $169.22 1.05% 1,960.23 1.91%
54. 31 jul. 2014 $165.86 -1.99% 1,930.67 -1.51%
55. 31 ago. 2014 $163.68 $0.05 -1.28% 2,003.37 3.77%
56. 30 sept. 2014 $178.19 8.86% 1,972.29 -1.55%
57. 31 oct. 2014 $190.06 6.66% 2,018.05 2.32%
58. 30 nov. 2014 $213.89 $0.05 12.56% 2,067.56 2.45%
59. 31 dic. 2014 $212.59 -0.61% 2,058.90 -0.42%
Promedio (R): 2.51% 1.18%
Desviación estándar: 7.35% 3.73%

Mostrar todo

1 Datos en US$ por acción de acciones ordinarias, ajustados por escisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de AGN. 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

Allergan Inc., cálculo de varianza y covarianza de rendimientos

Microsoft Excel LibreOffice Calc
t Fecha RAGN.,t RS&P 500,t (RAGN.,tRAGN.)2 (RS&P 500,tRS&P 500)2 (RAGN.,tRAGN.)×(RS&P 500,tRS&P 500)
1. 28 feb. 2010 1.70% 2.85% 0.65 2.80 -1.35
2. 31 mar. 2010 11.79% 5.88% 86.14 22.11 43.64
3. 30 abr. 2010 -2.50% 1.48% 25.06 0.09 -1.49
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2014 12.56% 2.45% 101.07 1.63 12.82
59. 31 dic. 2014 -0.61% -0.42% 9.73 2.55 4.98
Total (Σ): 3,129.33 809.11 572.71
t Fecha RAGN.,t RS&P 500,t (RAGN.,tRAGN.)2 (RS&P 500,tRS&P 500)2 (RAGN.,tRAGN.)×(RS&P 500,tRS&P 500)
1. 28 feb. 2010 1.70% 2.85% 0.65 2.80 -1.35
2. 31 mar. 2010 11.79% 5.88% 86.14 22.11 43.64
3. 30 abr. 2010 -2.50% 1.48% 25.06 0.09 -1.49
4. 31 may. 2010 -5.42% -8.20% 62.85 87.90 74.33
5. 30 jun. 2010 -3.21% -5.39% 32.69 43.11 37.54
6. 31 jul. 2010 4.81% 6.88% 5.27 32.49 13.08
7. 31 ago. 2010 0.67% -4.74% 3.38 35.08 10.89
8. 30 sept. 2010 8.32% 8.76% 33.74 57.42 44.02
9. 31 oct. 2010 8.84% 3.69% 40.03 6.29 15.87
10. 30 nov. 2010 -8.41% -0.23% 119.28 1.98 15.36
11. 31 dic. 2010 3.62% 6.53% 1.23 28.65 5.94
12. 31 ene. 2011 2.83% 2.26% 0.10 1.18 0.34
13. 28 feb. 2011 5.11% 3.20% 6.77 4.07 5.25
14. 31 mar. 2011 -4.25% -0.10% 45.67 1.64 8.67
15. 30 abr. 2011 12.02% 2.85% 90.51 2.79 15.91
16. 31 may. 2011 4.05% -1.35% 2.36 6.39 -3.88
17. 30 jun. 2011 0.63% -1.83% 3.54 9.02 5.65
18. 31 jul. 2011 -2.33% -2.15% 23.44 11.06 16.10
19. 31 ago. 2011 0.68% -5.68% 3.37 47.02 12.58
20. 30 sept. 2011 0.70% -7.18% 3.29 69.79 15.16
21. 31 oct. 2011 2.11% 10.77% 0.16 92.06 -3.83
22. 30 nov. 2011 -0.42% -0.51% 8.57 2.83 4.93
23. 31 dic. 2011 4.80% 0.85% 5.25 0.11 -0.74
24. 31 ene. 2012 0.19% 4.36% 5.37 10.12 -7.37
25. 29 feb. 2012 1.97% 4.06% 0.29 8.30 -1.56
26. 31 mar. 2012 6.52% 3.13% 16.06 3.82 7.84
27. 30 abr. 2012 0.60% -0.75% 3.66 3.72 3.69
28. 31 may. 2012 -5.94% -6.27% 71.38 55.40 62.88
29. 30 jun. 2012 2.57% 3.96% 0.00 7.72 0.17
30. 31 jul. 2012 -11.34% 1.26% 191.92 0.01 -1.14
31. 31 ago. 2012 5.01% 1.98% 6.24 0.64 1.99
32. 30 sept. 2012 6.33% 2.42% 14.57 1.55 4.76
33. 31 oct. 2012 -1.81% -1.98% 18.69 9.96 13.65
34. 30 nov. 2012 3.20% 0.28% 0.48 0.80 -0.62
35. 31 dic. 2012 -1.10% 0.71% 13.04 0.22 1.70
36. 31 ene. 2013 14.48% 5.04% 143.19 14.94 46.25
37. 28 feb. 2013 3.29% 1.11% 0.61 0.01 -0.06
38. 31 mar. 2013 2.96% 3.60% 0.20 5.86 1.09
39. 30 abr. 2013 1.72% 1.81% 0.63 0.40 -0.50
40. 31 may. 2013 -12.34% 2.08% 220.50 0.81 -13.34
41. 30 jun. 2013 -15.33% -1.50% 318.23 7.17 47.77
42. 31 jul. 2013 8.17% 4.95% 31.99 14.20 21.32
43. 31 ago. 2013 -2.95% -3.13% 29.85 18.55 23.53
44. 30 sept. 2013 2.34% 2.97% 0.03 3.23 -0.30
45. 31 oct. 2013 0.18% 4.46% 5.45 10.77 -7.66
46. 30 nov. 2013 7.16% 2.80% 21.64 2.65 7.57
47. 31 dic. 2013 14.46% 2.36% 142.70 1.39 14.08
48. 31 ene. 2014 3.17% -3.56% 0.43 22.43 -3.12
49. 28 feb. 2014 10.86% 4.31% 69.77 9.82 26.18
50. 31 mar. 2014 -2.28% 0.69% 22.99 0.23 2.32
51. 30 abr. 2014 33.63% 0.62% 968.66 0.31 -17.36
52. 31 may. 2014 1.01% 2.10% 2.26 0.86 -1.39
53. 30 jun. 2014 1.05% 1.91% 2.13 0.53 -1.06
54. 31 jul. 2014 -1.99% -1.51% 20.22 7.21 12.08
55. 31 ago. 2014 -1.28% 3.77% 14.40 6.70 -9.82
56. 30 sept. 2014 8.86% -1.55% 40.37 7.45 -17.34
57. 31 oct. 2014 6.66% 2.32% 17.23 1.31 4.74
58. 30 nov. 2014 12.56% 2.45% 101.07 1.63 12.82
59. 31 dic. 2014 -0.61% -0.42% 9.73 2.55 4.98
Total (Σ): 3,129.33 809.11 572.71

Mostrar todo

VarianzaAGN. = Σ(RAGN.,tRAGN.)2 ÷ (59 – 1)
= 3,129.33 ÷ (59 – 1)
= 53.95

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 809.11 ÷ (59 – 1)
= 13.95

CovarianzaAGN., S&P 500 = Σ(RAGN.,tRAGN.)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 572.71 ÷ (59 – 1)
= 9.87


Estimación sistemática del riesgo (β)

Microsoft Excel LibreOffice Calc
VarianzaAGN. 53.95
VarianzaS&P 500 13.95
CovarianzaAGN., S&P 500 9.87
Coeficiente de correlaciónAGN., S&P 5001 0.36
βAGN.2 0.71
αAGN.3 1.68%

Cálculos

1 Coeficiente de correlaciónAGN., S&P 500
= CovarianzaAGN., S&P 500 ÷ (Desviación estándarAGN. × Desviación estándarS&P 500)
= 9.87 ÷ (7.35% × 3.73%)
= 0.36

2 βAGN.
= CovarianzaAGN., S&P 500 ÷ VarianzaS&P 500
= 9.87 ÷ 13.95
= 0.71

3 αAGN.
= PromedioAGN. – βAGN. × PromedioS&P 500
= 2.51%0.71 × 1.18%
= 1.68%


Tasa de rendimiento esperada

Microsoft Excel LibreOffice Calc
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.26%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.73%
Riesgo sistemático de acciones ordinarias Allergan βAGN. 0.71
 
Tasa de rendimiento esperada de las acciones ordinarias de Allergan3 E(RAGN.) 9.97%

1 Promedio no ponderado de los rendimientos de las ofertas en todos los bonos del Tesoro de los Estados Unidos con cupón fijo pendientes, ni vencidos ni exigibles en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RAGN.) = RF + βAGN. [E(RM) – RF]
= 3.26% + 0.71 [12.73%3.26%]
= 9.97%