Modelo de fijación de precios de activos de capital (CAPM)
El modelo de fijación de precios de activos de capital (CAPM, por sus siglas en inglés) indica cuál debería ser la tasa de rendimiento esperada o requerida en activos de riesgo como las acciones ordinarias de Coca-Cola.
Tasas de retorno
Coca-Cola Co., tasas mensuales de retorno
| Coca-Cola Co. (KO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioKO,t1 | DividendoKO,t1 | RKO,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2019 | $48.13 | 2,704.10 | ||||
| 1. | 28 feb. 2019 | $45.34 | -5.80% | 2,784.49 | 2.97% | |
| 2. | 31 mar. 2019 | $46.86 | $0.40 | 4.23% | 2,834.40 | 1.79% |
| 3. | 30 abr. 2019 | $49.06 | 4.69% | 2,945.83 | 3.93% | |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2023 | $58.44 | $0.46 | 4.27% | 4,567.80 | 8.92% |
| 59. | 31 dic. 2023 | $58.93 | 0.84% | 4,769.83 | 4.42% | |
| Promedio (R): | 0.75% | 1.11% | ||||
| Desviación estándar: | 5.33% | 5.31% | ||||
| Coca-Cola Co. (KO) | Standard & Poor’s 500 (S&P 500) | |||||
|---|---|---|---|---|---|---|
| t | Fecha | PrecioKO,t1 | DividendoKO,t1 | RKO,t2 | PrecioS&P 500,t | RS&P 500,t3 |
| 31 ene. 2019 | $48.13 | 2,704.10 | ||||
| 1. | 28 feb. 2019 | $45.34 | -5.80% | 2,784.49 | 2.97% | |
| 2. | 31 mar. 2019 | $46.86 | $0.40 | 4.23% | 2,834.40 | 1.79% |
| 3. | 30 abr. 2019 | $49.06 | 4.69% | 2,945.83 | 3.93% | |
| 4. | 31 may. 2019 | $49.13 | 0.14% | 2,752.06 | -6.58% | |
| 5. | 30 jun. 2019 | $50.92 | $0.40 | 4.46% | 2,941.76 | 6.89% |
| 6. | 31 jul. 2019 | $52.63 | 3.36% | 2,980.38 | 1.31% | |
| 7. | 31 ago. 2019 | $55.04 | 4.58% | 2,926.46 | -1.81% | |
| 8. | 30 sept. 2019 | $54.44 | $0.40 | -0.36% | 2,976.74 | 1.72% |
| 9. | 31 oct. 2019 | $54.43 | -0.02% | 3,037.56 | 2.04% | |
| 10. | 30 nov. 2019 | $53.40 | $0.40 | -1.16% | 3,140.98 | 3.40% |
| 11. | 31 dic. 2019 | $55.35 | 3.65% | 3,230.78 | 2.86% | |
| 12. | 31 ene. 2020 | $58.40 | 5.51% | 3,225.52 | -0.16% | |
| 13. | 29 feb. 2020 | $53.49 | -8.41% | 2,954.22 | -8.41% | |
| 14. | 31 mar. 2020 | $44.25 | $0.41 | -16.51% | 2,584.59 | -12.51% |
| 15. | 30 abr. 2020 | $45.89 | 3.71% | 2,912.43 | 12.68% | |
| 16. | 31 may. 2020 | $46.68 | 1.72% | 3,044.31 | 4.53% | |
| 17. | 30 jun. 2020 | $44.68 | $0.41 | -3.41% | 3,100.29 | 1.84% |
| 18. | 31 jul. 2020 | $47.24 | 5.73% | 3,271.12 | 5.51% | |
| 19. | 31 ago. 2020 | $49.53 | 4.85% | 3,500.31 | 7.01% | |
| 20. | 30 sept. 2020 | $49.37 | $0.41 | 0.50% | 3,363.00 | -3.92% |
| 21. | 31 oct. 2020 | $48.06 | -2.65% | 3,269.96 | -2.77% | |
| 22. | 30 nov. 2020 | $51.60 | $0.41 | 8.22% | 3,621.63 | 10.75% |
| 23. | 31 dic. 2020 | $54.84 | 6.28% | 3,756.07 | 3.71% | |
| 24. | 31 ene. 2021 | $48.15 | -12.20% | 3,714.24 | -1.11% | |
| 25. | 28 feb. 2021 | $48.99 | 1.74% | 3,811.15 | 2.61% | |
| 26. | 31 mar. 2021 | $52.71 | $0.42 | 8.45% | 3,972.89 | 4.24% |
| 27. | 30 abr. 2021 | $53.98 | 2.41% | 4,181.17 | 5.24% | |
| 28. | 31 may. 2021 | $55.29 | 2.43% | 4,204.11 | 0.55% | |
| 29. | 30 jun. 2021 | $54.11 | $0.42 | -1.37% | 4,297.50 | 2.22% |
| 30. | 31 jul. 2021 | $57.03 | 5.40% | 4,395.26 | 2.27% | |
| 31. | 31 ago. 2021 | $56.31 | -1.26% | 4,522.68 | 2.90% | |
| 32. | 30 sept. 2021 | $52.47 | $0.42 | -6.07% | 4,307.54 | -4.76% |
| 33. | 31 oct. 2021 | $56.37 | 7.43% | 4,605.38 | 6.91% | |
| 34. | 30 nov. 2021 | $52.45 | $0.42 | -6.21% | 4,567.00 | -0.83% |
| 35. | 31 dic. 2021 | $59.21 | 12.89% | 4,766.18 | 4.36% | |
| 36. | 31 ene. 2022 | $61.01 | 3.04% | 4,515.55 | -5.26% | |
| 37. | 28 feb. 2022 | $62.24 | 2.02% | 4,373.94 | -3.14% | |
| 38. | 31 mar. 2022 | $62.00 | $0.44 | 0.32% | 4,530.41 | 3.58% |
| 39. | 30 abr. 2022 | $64.61 | 4.21% | 4,131.93 | -8.80% | |
| 40. | 31 may. 2022 | $63.38 | -1.90% | 4,132.15 | 0.01% | |
| 41. | 30 jun. 2022 | $62.91 | $0.44 | -0.05% | 3,785.38 | -8.39% |
| 42. | 31 jul. 2022 | $64.17 | 2.00% | 4,130.29 | 9.11% | |
| 43. | 31 ago. 2022 | $61.71 | -3.83% | 3,955.00 | -4.24% | |
| 44. | 30 sept. 2022 | $56.02 | $0.44 | -8.51% | 3,585.62 | -9.34% |
| 45. | 31 oct. 2022 | $59.85 | 6.84% | 3,871.98 | 7.99% | |
| 46. | 30 nov. 2022 | $63.61 | $0.44 | 7.02% | 4,080.11 | 5.38% |
| 47. | 31 dic. 2022 | $63.61 | 0.00% | 3,839.50 | -5.90% | |
| 48. | 31 ene. 2023 | $61.32 | -3.60% | 4,076.60 | 6.18% | |
| 49. | 28 feb. 2023 | $59.51 | -2.95% | 3,970.15 | -2.61% | |
| 50. | 31 mar. 2023 | $62.03 | $0.46 | 5.01% | 4,109.31 | 3.51% |
| 51. | 30 abr. 2023 | $64.15 | 3.42% | 4,169.48 | 1.46% | |
| 52. | 31 may. 2023 | $59.66 | -7.00% | 4,179.83 | 0.25% | |
| 53. | 30 jun. 2023 | $60.22 | $0.46 | 1.71% | 4,376.86 | 4.71% |
| 54. | 31 jul. 2023 | $61.93 | 2.84% | 4,588.96 | 4.85% | |
| 55. | 31 ago. 2023 | $59.83 | -3.39% | 4,507.66 | -1.77% | |
| 56. | 30 sept. 2023 | $55.98 | $0.46 | -5.67% | 4,288.05 | -4.87% |
| 57. | 31 oct. 2023 | $56.49 | 0.91% | 4,193.80 | -2.20% | |
| 58. | 30 nov. 2023 | $58.44 | $0.46 | 4.27% | 4,567.80 | 8.92% |
| 59. | 31 dic. 2023 | $58.93 | 0.84% | 4,769.83 | 4.42% | |
| Promedio (R): | 0.75% | 1.11% | ||||
| Desviación estándar: | 5.33% | 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 KO 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
Coca-Cola Co., cálculo de la varianza y covarianza de los rendimientos
| t | Fecha | RKO,t | RS&P 500,t | (RKO,t–RKO)2 | (RS&P 500,t–RS&P 500)2 | (RKO,t–RKO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2019 | -5.80% | 2.97% | 42.91 | 3.49 | -12.23 |
| 2. | 31 mar. 2019 | 4.23% | 1.79% | 12.11 | 0.47 | 2.39 |
| 3. | 30 abr. 2019 | 4.69% | 3.93% | 15.53 | 7.98 | 11.13 |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| . | . | . | . | . | . | . |
| 58. | 30 nov. 2023 | 4.27% | 8.92% | 12.34 | 61.03 | 27.44 |
| 59. | 31 dic. 2023 | 0.84% | 4.42% | 0.01 | 11.00 | 0.28 |
| Total (Σ): | 1,647.38 | 1,634.30 | 964.04 | |||
| t | Fecha | RKO,t | RS&P 500,t | (RKO,t–RKO)2 | (RS&P 500,t–RS&P 500)2 | (RKO,t–RKO)×(RS&P 500,t–RS&P 500) |
|---|---|---|---|---|---|---|
| 1. | 28 feb. 2019 | -5.80% | 2.97% | 42.91 | 3.49 | -12.23 |
| 2. | 31 mar. 2019 | 4.23% | 1.79% | 12.11 | 0.47 | 2.39 |
| 3. | 30 abr. 2019 | 4.69% | 3.93% | 15.53 | 7.98 | 11.13 |
| 4. | 31 may. 2019 | 0.14% | -6.58% | 0.37 | 59.04 | 4.70 |
| 5. | 30 jun. 2019 | 4.46% | 6.89% | 13.72 | 33.49 | 21.43 |
| 6. | 31 jul. 2019 | 3.36% | 1.31% | 6.78 | 0.04 | 0.54 |
| 7. | 31 ago. 2019 | 4.58% | -1.81% | 14.63 | 8.50 | -11.15 |
| 8. | 30 sept. 2019 | -0.36% | 1.72% | 1.25 | 0.37 | -0.68 |
| 9. | 31 oct. 2019 | -0.02% | 2.04% | 0.60 | 0.88 | -0.72 |
| 10. | 30 nov. 2019 | -1.16% | 3.40% | 3.65 | 5.28 | -4.39 |
| 11. | 31 dic. 2019 | 3.65% | 2.86% | 8.40 | 3.07 | 5.08 |
| 12. | 31 ene. 2020 | 5.51% | -0.16% | 22.62 | 1.61 | -6.03 |
| 13. | 29 feb. 2020 | -8.41% | -8.41% | 83.94 | 90.57 | 87.19 |
| 14. | 31 mar. 2020 | -16.51% | -12.51% | 297.97 | 185.44 | 235.07 |
| 15. | 30 abr. 2020 | 3.71% | 12.68% | 8.72 | 134.06 | 34.18 |
| 16. | 31 may. 2020 | 1.72% | 4.53% | 0.94 | 11.71 | 3.31 |
| 17. | 30 jun. 2020 | -3.41% | 1.84% | 17.31 | 0.54 | -3.05 |
| 18. | 31 jul. 2020 | 5.73% | 5.51% | 24.76 | 19.40 | 21.91 |
| 19. | 31 ago. 2020 | 4.85% | 7.01% | 16.76 | 34.82 | 24.15 |
| 20. | 30 sept. 2020 | 0.50% | -3.92% | 0.06 | 25.29 | 1.25 |
| 21. | 31 oct. 2020 | -2.65% | -2.77% | 11.61 | 15.00 | 13.20 |
| 22. | 30 nov. 2020 | 8.22% | 10.75% | 55.72 | 93.10 | 72.03 |
| 23. | 31 dic. 2020 | 6.28% | 3.71% | 30.53 | 6.79 | 14.40 |
| 24. | 31 ene. 2021 | -12.20% | -1.11% | 167.79 | 4.93 | 28.75 |
| 25. | 28 feb. 2021 | 1.74% | 2.61% | 0.98 | 2.26 | 1.49 |
| 26. | 31 mar. 2021 | 8.45% | 4.24% | 59.24 | 9.85 | 24.15 |
| 27. | 30 abr. 2021 | 2.41% | 5.24% | 2.74 | 17.11 | 6.85 |
| 28. | 31 may. 2021 | 2.43% | 0.55% | 2.80 | 0.31 | -0.93 |
| 29. | 30 jun. 2021 | -1.37% | 2.22% | 4.53 | 1.24 | -2.37 |
| 30. | 31 jul. 2021 | 5.40% | 2.27% | 21.55 | 1.37 | 5.43 |
| 31. | 31 ago. 2021 | -1.26% | 2.90% | 4.07 | 3.22 | -3.62 |
| 32. | 30 sept. 2021 | -6.07% | -4.76% | 46.62 | 34.37 | 40.03 |
| 33. | 31 oct. 2021 | 7.43% | 6.91% | 44.61 | 33.74 | 38.79 |
| 34. | 30 nov. 2021 | -6.21% | -0.83% | 48.48 | 3.76 | 13.50 |
| 35. | 31 dic. 2021 | 12.89% | 4.36% | 147.24 | 10.60 | 39.50 |
| 36. | 31 ene. 2022 | 3.04% | -5.26% | 5.23 | 40.51 | -14.55 |
| 37. | 28 feb. 2022 | 2.02% | -3.14% | 1.59 | 17.99 | -5.35 |
| 38. | 31 mar. 2022 | 0.32% | 3.58% | 0.19 | 6.11 | -1.07 |
| 39. | 30 abr. 2022 | 4.21% | -8.80% | 11.94 | 98.04 | -34.22 |
| 40. | 31 may. 2022 | -1.90% | 0.01% | 7.06 | 1.21 | 2.92 |
| 41. | 30 jun. 2022 | -0.05% | -8.39% | 0.64 | 90.21 | 7.61 |
| 42. | 31 jul. 2022 | 2.00% | 9.11% | 1.56 | 64.09 | 10.00 |
| 43. | 31 ago. 2022 | -3.83% | -4.24% | 21.05 | 28.62 | 24.54 |
| 44. | 30 sept. 2022 | -8.51% | -9.34% | 85.78 | 109.11 | 96.74 |
| 45. | 31 oct. 2022 | 6.84% | 7.99% | 37.00 | 47.34 | 41.85 |
| 46. | 30 nov. 2022 | 7.02% | 5.38% | 39.23 | 18.23 | 26.74 |
| 47. | 31 dic. 2022 | 0.00% | -5.90% | 0.57 | 49.04 | 5.28 |
| 48. | 31 ene. 2023 | -3.60% | 6.18% | 18.96 | 25.70 | -22.07 |
| 49. | 28 feb. 2023 | -2.95% | -2.61% | 13.73 | 13.82 | 13.77 |
| 50. | 31 mar. 2023 | 5.01% | 3.51% | 18.09 | 5.76 | 10.21 |
| 51. | 30 abr. 2023 | 3.42% | 1.46% | 7.09 | 0.13 | 0.95 |
| 52. | 31 may. 2023 | -7.00% | 0.25% | 60.11 | 0.74 | 6.65 |
| 53. | 30 jun. 2023 | 1.71% | 4.71% | 0.91 | 13.02 | 3.45 |
| 54. | 31 jul. 2023 | 2.84% | 4.85% | 4.35 | 13.99 | 7.80 |
| 55. | 31 ago. 2023 | -3.39% | -1.77% | 17.18 | 8.28 | 11.93 |
| 56. | 30 sept. 2023 | -5.67% | -4.87% | 41.22 | 35.73 | 38.38 |
| 57. | 31 oct. 2023 | 0.91% | -2.20% | 0.02 | 10.92 | -0.52 |
| 58. | 30 nov. 2023 | 4.27% | 8.92% | 12.34 | 61.03 | 27.44 |
| 59. | 31 dic. 2023 | 0.84% | 4.42% | 0.01 | 11.00 | 0.28 |
| Total (Σ): | 1,647.38 | 1,634.30 | 964.04 | |||
Mostrar todo
VarianzaKO = Σ(RKO,t–RKO)2 ÷ (59 – 1)
= 1,647.38 ÷ (59 – 1)
= 28.40
VarianzaS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (59 – 1)
= 1,634.30 ÷ (59 – 1)
= 28.18
CovarianzaKO, S&P 500 = Σ(RKO,t–RKO)×(RS&P 500,t–RS&P 500) ÷ (59 – 1)
= 964.04 ÷ (59 – 1)
= 16.62
Estimación sistemática del riesgo (β)
| VarianzaKO | 28.40 |
| VarianzaS&P 500 | 28.18 |
| CovarianzaKO, S&P 500 | 16.62 |
| Coeficiente de correlaciónKO, S&P 5001 | 0.59 |
| βKO2 | 0.59 |
| αKO3 | 0.10% |
Cálculos
1 Coeficiente de correlaciónKO, S&P 500
= CovarianzaKO, S&P 500 ÷ (Desviación estándarKO × Desviación estándarS&P 500)
= 16.62 ÷ (5.33% × 5.31%)
= 0.59
2 βKO
= CovarianzaKO, S&P 500 ÷ VarianzaS&P 500
= 16.62 ÷ 28.18
= 0.59
3 αKO
= PromedioKO – βKO × PromedioS&P 500
= 0.75% – 0.59 × 1.11%
= 0.10%
Tasa de rendimiento esperada
| Suposiciones | ||
| Tasa de rendimiento del LT Treasury Composite1 | RF | 4.65% |
| Tasa de rendimiento esperada de la cartera de mercado2 | E(RM) | 13.79% |
| Riesgo sistemático de Coca-Cola acciones ordinarias | βKO | 0.59 |
| Tasa de rendimiento esperada de las acciones ordinarias de Coca-Cola3 | E(RKO) | 10.04% |
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).
3 E(RKO) = RF + βKO [E(RM) – RF]
= 4.65% + 0.59 [13.79% – 4.65%]
= 10.04%