Stock Analysis on Net

Bristol-Myers Squibb Co. (NYSE:BMY)

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

Microsoft Excel

Tasas de retorno

Bristol-Myers Squibb Co., tasas mensuales de retorno

Microsoft Excel
Bristol-Myers Squibb Co. (BMY) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioBMY,t1 DividendoBMY,t1 RBMY,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $49.37 2,704.10
1. 28 feb. 2019 $51.66 4.64% 2,784.49 2.97%
2. 31 mar. 2019 $47.71 -7.65% 2,834.40 1.79%
3. 30 abr. 2019 $46.43 $0.41 -1.82% 2,945.83 3.93%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 $49.38 -4.17% 4,567.80 8.92%
59. 31 dic. 2023 $51.31 3.91% 4,769.83 4.42%
Promedio (R): 0.49% 1.11%
Desviación estándar: 5.87% 5.31%
Bristol-Myers Squibb Co. (BMY) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioBMY,t1 DividendoBMY,t1 RBMY,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2019 $49.37 2,704.10
1. 28 feb. 2019 $51.66 4.64% 2,784.49 2.97%
2. 31 mar. 2019 $47.71 -7.65% 2,834.40 1.79%
3. 30 abr. 2019 $46.43 $0.41 -1.82% 2,945.83 3.93%
4. 31 may. 2019 $45.37 -2.28% 2,752.06 -6.58%
5. 30 jun. 2019 $45.35 -0.04% 2,941.76 6.89%
6. 31 jul. 2019 $44.41 $0.41 -1.17% 2,980.38 1.31%
7. 31 ago. 2019 $48.07 8.24% 2,926.46 -1.81%
8. 30 sept. 2019 $50.71 5.49% 2,976.74 1.72%
9. 31 oct. 2019 $57.37 $0.41 13.94% 3,037.56 2.04%
10. 30 nov. 2019 $56.94 -0.75% 3,140.98 3.40%
11. 31 dic. 2019 $64.19 12.73% 3,230.78 2.86%
12. 31 ene. 2020 $62.95 $0.45 -1.23% 3,225.52 -0.16%
13. 29 feb. 2020 $59.06 -6.18% 2,954.22 -8.41%
14. 31 mar. 2020 $55.74 -5.62% 2,584.59 -12.51%
15. 30 abr. 2020 $60.81 $0.45 9.90% 2,912.43 12.68%
16. 31 may. 2020 $59.72 -1.79% 3,044.31 4.53%
17. 30 jun. 2020 $58.80 -1.54% 3,100.29 1.84%
18. 31 jul. 2020 $58.66 $0.45 0.53% 3,271.12 5.51%
19. 31 ago. 2020 $62.20 6.03% 3,500.31 7.01%
20. 30 sept. 2020 $60.29 -3.07% 3,363.00 -3.92%
21. 31 oct. 2020 $58.45 $0.45 -2.31% 3,269.96 -2.77%
22. 30 nov. 2020 $62.40 6.76% 3,621.63 10.75%
23. 31 dic. 2020 $62.03 $0.49 0.19% 3,756.07 3.71%
24. 31 ene. 2021 $61.43 -0.97% 3,714.24 -1.11%
25. 28 feb. 2021 $61.33 -0.16% 3,811.15 2.61%
26. 31 mar. 2021 $63.13 $0.49 3.73% 3,972.89 4.24%
27. 30 abr. 2021 $62.42 -1.12% 4,181.17 5.24%
28. 31 may. 2021 $65.72 5.29% 4,204.11 0.55%
29. 30 jun. 2021 $66.82 1.67% 4,297.50 2.22%
30. 31 jul. 2021 $67.87 $0.49 2.30% 4,395.26 2.27%
31. 31 ago. 2021 $66.86 -1.49% 4,522.68 2.90%
32. 30 sept. 2021 $59.17 $0.49 -10.77% 4,307.54 -4.76%
33. 31 oct. 2021 $58.40 -1.30% 4,605.38 6.91%
34. 30 nov. 2021 $53.63 -8.17% 4,567.00 -0.83%
35. 31 dic. 2021 $62.35 16.26% 4,766.18 4.36%
36. 31 ene. 2022 $64.89 $0.54 4.94% 4,515.55 -5.26%
37. 28 feb. 2022 $68.67 5.83% 4,373.94 -3.14%
38. 31 mar. 2022 $73.03 $0.54 7.14% 4,530.41 3.58%
39. 30 abr. 2022 $75.27 3.07% 4,131.93 -8.80%
40. 31 may. 2022 $75.45 0.24% 4,132.15 0.01%
41. 30 jun. 2022 $77.00 $0.54 2.77% 3,785.38 -8.39%
42. 31 jul. 2022 $73.78 -4.18% 4,130.29 9.11%
43. 31 ago. 2022 $67.41 -8.63% 3,955.00 -4.24%
44. 30 sept. 2022 $71.09 5.46% 3,585.62 -9.34%
45. 31 oct. 2022 $77.47 $0.54 9.73% 3,871.98 7.99%
46. 30 nov. 2022 $80.28 3.63% 4,080.11 5.38%
47. 31 dic. 2022 $71.95 -10.38% 3,839.50 -5.90%
48. 31 ene. 2023 $72.65 $0.57 1.77% 4,076.60 6.18%
49. 28 feb. 2023 $68.96 -5.08% 3,970.15 -2.61%
50. 31 mar. 2023 $69.31 0.51% 4,109.31 3.51%
51. 30 abr. 2023 $66.77 $0.57 -2.84% 4,169.48 1.46%
52. 31 may. 2023 $64.44 -3.49% 4,179.83 0.25%
53. 30 jun. 2023 $63.95 -0.76% 4,376.86 4.71%
54. 31 jul. 2023 $62.19 $0.57 -1.86% 4,588.96 4.85%
55. 31 ago. 2023 $61.65 -0.87% 4,507.66 -1.77%
56. 30 sept. 2023 $58.04 -5.86% 4,288.05 -4.87%
57. 31 oct. 2023 $51.53 $0.57 -10.23% 4,193.80 -2.20%
58. 30 nov. 2023 $49.38 -4.17% 4,567.80 8.92%
59. 31 dic. 2023 $51.31 3.91% 4,769.83 4.42%
Promedio (R): 0.49% 1.11%
Desviación estándar: 5.87% 5.31%

Mostrar todo

1 Datos en dólares estadounidenses por acción ordinaria, ajustados por divisiones y dividendos de acciones.

2 Tasa de rendimiento de las acciones ordinarias de BMY 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

Bristol-Myers Squibb Co., cálculo de la varianza y covarianza de los rendimientos

Microsoft Excel
t Fecha RBMY,t RS&P 500,t (RBMY,tRBMY)2 (RS&P 500,tRS&P 500)2 (RBMY,tRBMY)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 4.64% 2.97% 17.21 3.49 7.75
2. 31 mar. 2019 -7.65% 1.79% 66.20 0.47 -5.59
3. 30 abr. 2019 -1.82% 3.93% 5.35 7.98 -6.54
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2023 -4.17% 8.92% 21.74 61.03 -36.42
59. 31 dic. 2023 3.91% 4.42% 11.69 11.00 11.34
Total (Σ): 1,995.90 1,634.30 621.26
t Fecha RBMY,t RS&P 500,t (RBMY,tRBMY)2 (RS&P 500,tRS&P 500)2 (RBMY,tRBMY)×(RS&P 500,tRS&P 500)
1. 28 feb. 2019 4.64% 2.97% 17.21 3.49 7.75
2. 31 mar. 2019 -7.65% 1.79% 66.20 0.47 -5.59
3. 30 abr. 2019 -1.82% 3.93% 5.35 7.98 -6.54
4. 31 may. 2019 -2.28% -6.58% 7.69 59.04 21.31
5. 30 jun. 2019 -0.04% 6.89% 0.29 33.49 -3.09
6. 31 jul. 2019 -1.17% 1.31% 2.75 0.04 -0.34
7. 31 ago. 2019 8.24% -1.81% 60.08 8.50 -22.60
8. 30 sept. 2019 5.49% 1.72% 25.02 0.37 3.06
9. 31 oct. 2019 13.94% 2.04% 180.96 0.88 12.61
10. 30 nov. 2019 -0.75% 3.40% 1.54 5.28 -2.85
11. 31 dic. 2019 12.73% 2.86% 149.88 3.07 21.46
12. 31 ene. 2020 -1.23% -0.16% 2.96 1.61 2.18
13. 29 feb. 2020 -6.18% -8.41% 44.48 90.57 63.47
14. 31 mar. 2020 -5.62% -12.51% 37.35 185.44 83.22
15. 30 abr. 2020 9.90% 12.68% 88.61 134.06 108.99
16. 31 may. 2020 -1.79% 4.53% 5.21 11.71 -7.81
17. 30 jun. 2020 -1.54% 1.84% 4.12 0.54 -1.49
18. 31 jul. 2020 0.53% 5.51% 0.00 19.40 0.16
19. 31 ago. 2020 6.03% 7.01% 30.74 34.82 32.72
20. 30 sept. 2020 -3.07% -3.92% 12.68 25.29 17.91
21. 31 oct. 2020 -2.31% -2.77% 7.81 15.00 10.83
22. 30 nov. 2020 6.76% 10.75% 39.29 93.10 60.48
23. 31 dic. 2020 0.19% 3.71% 0.09 6.79 -0.78
24. 31 ene. 2021 -0.97% -1.11% 2.12 4.93 3.23
25. 28 feb. 2021 -0.16% 2.61% 0.43 2.26 -0.98
26. 31 mar. 2021 3.73% 4.24% 10.52 9.85 10.18
27. 30 abr. 2021 -1.12% 5.24% 2.61 17.11 -6.68
28. 31 may. 2021 5.29% 0.55% 23.01 0.31 -2.67
29. 30 jun. 2021 1.67% 2.22% 1.40 1.24 1.32
30. 31 jul. 2021 2.30% 2.27% 3.29 1.37 2.12
31. 31 ago. 2021 -1.49% 2.90% 3.91 3.22 -3.55
32. 30 sept. 2021 -10.77% -4.76% 126.76 34.37 66.01
33. 31 oct. 2021 -1.30% 6.91% 3.21 33.74 -10.40
34. 30 nov. 2021 -8.17% -0.83% 74.96 3.76 16.79
35. 31 dic. 2021 16.26% 4.36% 248.68 10.60 51.34
36. 31 ene. 2022 4.94% -5.26% 19.80 40.51 -28.32
37. 28 feb. 2022 5.83% -3.14% 28.47 17.99 -22.63
38. 31 mar. 2022 7.14% 3.58% 44.16 6.11 16.42
39. 30 abr. 2022 3.07% -8.80% 6.64 98.04 -25.52
40. 31 may. 2022 0.24% 0.01% 0.06 1.21 0.28
41. 30 jun. 2022 2.77% -8.39% 5.20 90.21 -21.66
42. 31 jul. 2022 -4.18% 9.11% 21.83 64.09 -37.40
43. 31 ago. 2022 -8.63% -4.24% 83.24 28.62 48.81
44. 30 sept. 2022 5.46% -9.34% 24.69 109.11 -51.90
45. 31 oct. 2022 9.73% 7.99% 85.45 47.34 63.60
46. 30 nov. 2022 3.63% 5.38% 9.84 18.23 13.39
47. 31 dic. 2022 -10.38% -5.90% 118.07 49.04 76.10
48. 31 ene. 2023 1.77% 6.18% 1.63 25.70 6.46
49. 28 feb. 2023 -5.08% -2.61% 31.02 13.82 20.70
50. 31 mar. 2023 0.51% 3.51% 0.00 5.76 0.04
51. 30 abr. 2023 -2.84% 1.46% 11.10 0.13 -1.19
52. 31 may. 2023 -3.49% 0.25% 15.84 0.74 3.41
53. 30 jun. 2023 -0.76% 4.71% 1.56 13.02 -4.51
54. 31 jul. 2023 -1.86% 4.85% 5.53 13.99 -8.79
55. 31 ago. 2023 -0.87% -1.77% 1.84 8.28 3.91
56. 30 sept. 2023 -5.86% -4.87% 40.27 35.73 37.93
57. 31 oct. 2023 -10.23% -2.20% 115.01 10.92 35.43
58. 30 nov. 2023 -4.17% 8.92% 21.74 61.03 -36.42
59. 31 dic. 2023 3.91% 4.42% 11.69 11.00 11.34
Total (Σ): 1,995.90 1,634.30 621.26

Mostrar todo

VarianzaBMY = Σ(RBMY,tRBMY)2 ÷ (59 – 1)
= 1,995.90 ÷ (59 – 1)
= 34.41

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18

CovarianzaBMY, S&P 500 = Σ(RBMY,tRBMY)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 621.26 ÷ (59 – 1)
= 10.71


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaBMY 34.41
VarianzaS&P 500 28.18
CovarianzaBMY, S&P 500 10.71
Coeficiente de correlaciónBMY, S&P 5001 0.34
βBMY2 0.38
αBMY3 0.07%

Cálculos

1 Coeficiente de correlaciónBMY, S&P 500
= CovarianzaBMY, S&P 500 ÷ (Desviación estándarBMY × Desviación estándarS&P 500)
= 10.71 ÷ (5.87% × 5.31%)
= 0.34

2 βBMY
= CovarianzaBMY, S&P 500 ÷ VarianzaS&P 500
= 10.71 ÷ 28.18
= 0.38

3 αBMY
= PromedioBMY – βBMY × PromedioS&P 500
= 0.49%0.38 × 1.11%
= 0.07%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento del LT Treasury Composite1 RF 4.64%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.68%
Riesgo sistemático de BMS acciones ordinarias βBMY 0.38
 
Tasa de rendimiento esperada de las acciones ordinarias de BMS3 E(RBMY) 8.08%

1 Promedio no ponderado de los rendimientos de las ofertas de todos los bonos del Tesoro de EE. UU. con cupón fijo en circulación que no vencen ni son rescatables en menos de 10 años (proxy de tasa de rendimiento libre de riesgo).

2 Ver detalles »

3 E(RBMY) = RF + βBMY [E(RM) – RF]
= 4.64% + 0.38 [13.68%4.64%]
= 8.08%