Stock Analysis on Net

Verizon Communications Inc. (NYSE:VZ)

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

Microsoft Excel LibreOffice Calc

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


Tasas de retorno

Verizon Communications Inc., tasas de rendimiento mensuales

Microsoft Excel LibreOffice Calc
Verizon Communications Inc. (VZ) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioVZ,t1 DividendoVZ,t1 RVZ,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $49.01 2,278.87
1. 28 feb. 2017 $49.63 1.27% 2,363.64 3.72%
2. 31 mar. 2017 $48.75 -1.77% 2,362.72 -0.04%
3. 30 abr. 2017 $45.91 $0.5775 -4.64% 2,384.20 0.91%
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 $50.27 -5.13% 4,567.00 -0.83%
59. 31 dic. 2021 $51.96 3.36% 4,766.18 4.36%
Promedio (R): 0.55% 1.36%
Desviación estándar: 4.34% 4.48%
Verizon Communications Inc. (VZ) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioVZ,t1 DividendoVZ,t1 RVZ,t2 PrecioS&P 500,t RS&P 500,t3
31 ene. 2017 $49.01 2,278.87
1. 28 feb. 2017 $49.63 1.27% 2,363.64 3.72%
2. 31 mar. 2017 $48.75 -1.77% 2,362.72 -0.04%
3. 30 abr. 2017 $45.91 $0.5775 -4.64% 2,384.20 0.91%
4. 31 may. 2017 $46.64 1.59% 2,411.80 1.16%
5. 30 jun. 2017 $44.66 -4.25% 2,423.41 0.48%
6. 31 jul. 2017 $48.40 $0.5775 9.67% 2,470.30 1.93%
7. 31 ago. 2017 $47.97 -0.89% 2,471.65 0.05%
8. 30 sept. 2017 $49.49 3.17% 2,519.36 1.93%
9. 31 oct. 2017 $47.87 $0.59 -2.08% 2,575.26 2.22%
10. 30 nov. 2017 $50.89 6.31% 2,647.58 2.81%
11. 31 dic. 2017 $52.93 4.01% 2,673.61 0.98%
12. 31 ene. 2018 $54.07 $0.59 3.27% 2,823.81 5.62%
13. 28 feb. 2018 $47.74 -11.71% 2,713.83 -3.89%
14. 31 mar. 2018 $47.82 0.17% 2,640.87 -2.69%
15. 30 abr. 2018 $49.35 $0.59 4.43% 2,648.05 0.27%
16. 31 may. 2018 $47.67 -3.40% 2,705.27 2.16%
17. 30 jun. 2018 $50.31 5.54% 2,718.37 0.48%
18. 31 jul. 2018 $51.64 $0.59 3.82% 2,816.29 3.60%
19. 31 ago. 2018 $54.37 5.29% 2,901.52 3.03%
20. 30 sept. 2018 $53.39 -1.80% 2,913.98 0.43%
21. 31 oct. 2018 $57.09 $0.6025 8.06% 2,711.74 -6.94%
22. 30 nov. 2018 $60.30 5.62% 2,760.17 1.79%
23. 31 dic. 2018 $56.22 -6.77% 2,506.85 -9.18%
24. 31 ene. 2019 $55.06 $0.6025 -0.99% 2,704.10 7.87%
25. 28 feb. 2019 $56.92 3.38% 2,784.49 2.97%
26. 31 mar. 2019 $59.13 3.88% 2,834.40 1.79%
27. 30 abr. 2019 $57.19 $0.6025 -2.26% 2,945.83 3.93%
28. 31 may. 2019 $54.35 -4.97% 2,752.06 -6.58%
29. 30 jun. 2019 $57.13 5.11% 2,941.76 6.89%
30. 31 jul. 2019 $55.27 $0.6025 -2.20% 2,980.38 1.31%
31. 31 ago. 2019 $58.16 5.23% 2,926.46 -1.81%
32. 30 sept. 2019 $60.36 3.78% 2,976.74 1.72%
33. 31 oct. 2019 $60.47 $0.615 1.20% 3,037.56 2.04%
34. 30 nov. 2019 $60.24 -0.38% 3,140.98 3.40%
35. 31 dic. 2019 $61.40 1.93% 3,230.78 2.86%
36. 31 ene. 2020 $59.44 $0.615 -2.19% 3,225.52 -0.16%
37. 29 feb. 2020 $54.16 -8.88% 2,954.22 -8.41%
38. 31 mar. 2020 $53.73 -0.79% 2,584.59 -12.51%
39. 30 abr. 2020 $57.45 $0.615 8.07% 2,912.43 12.68%
40. 31 may. 2020 $57.38 -0.12% 3,044.31 4.53%
41. 30 jun. 2020 $55.13 -3.92% 3,100.29 1.84%
42. 31 jul. 2020 $57.48 $0.615 5.38% 3,271.12 5.51%
43. 31 ago. 2020 $59.27 3.11% 3,500.31 7.01%
44. 30 sept. 2020 $59.49 0.37% 3,363.00 -3.92%
45. 31 oct. 2020 $56.99 $0.6275 -3.15% 3,269.96 -2.77%
46. 30 nov. 2020 $60.41 6.00% 3,621.63 10.75%
47. 31 dic. 2020 $58.75 -2.75% 3,756.07 3.71%
48. 31 ene. 2021 $54.75 $0.6275 -5.74% 3,714.24 -1.11%
49. 28 feb. 2021 $55.30 1.00% 3,811.15 2.61%
50. 31 mar. 2021 $58.15 5.15% 3,972.89 4.24%
51. 30 abr. 2021 $57.79 $0.6275 0.46% 4,181.17 5.24%
52. 31 may. 2021 $56.49 -2.25% 4,204.11 0.55%
53. 30 jun. 2021 $56.03 -0.81% 4,297.50 2.22%
54. 31 jul. 2021 $55.78 $0.6275 0.67% 4,395.26 2.27%
55. 31 ago. 2021 $55.00 -1.40% 4,522.68 2.90%
56. 30 sept. 2021 $54.01 -1.80% 4,307.54 -4.76%
57. 31 oct. 2021 $52.99 $0.64 -0.70% 4,605.38 6.91%
58. 30 nov. 2021 $50.27 -5.13% 4,567.00 -0.83%
59. 31 dic. 2021 $51.96 3.36% 4,766.18 4.36%
Promedio (R): 0.55% 1.36%
Desviación estándar: 4.34% 4.48%

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 VZ 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

Verizon Communications Inc., cálculo de varianza y covarianza de rendimientos

Microsoft Excel LibreOffice Calc
t Fecha RVZ,t RS&P 500,t (RVZ,tRVZ)2 (RS&P 500,tRS&P 500)2 (RVZ,tRVZ)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.27% 3.72% 0.51 5.58 1.69
2. 31 mar. 2017 -1.77% -0.04% 5.40 1.95 3.25
3. 30 abr. 2017 -4.64% 0.91% 26.96 0.20 2.33
. . . . . . .
. . . . . . .
. . . . . . .
58. 30 nov. 2021 -5.13% -0.83% 32.32 4.80 12.46
59. 31 dic. 2021 3.36% 4.36% 7.90 9.02 8.44
Total (Σ): 1,093.65 1,164.17 515.23
t Fecha RVZ,t RS&P 500,t (RVZ,tRVZ)2 (RS&P 500,tRS&P 500)2 (RVZ,tRVZ)×(RS&P 500,tRS&P 500)
1. 28 feb. 2017 1.27% 3.72% 0.51 5.58 1.69
2. 31 mar. 2017 -1.77% -0.04% 5.40 1.95 3.25
3. 30 abr. 2017 -4.64% 0.91% 26.96 0.20 2.33
4. 31 may. 2017 1.59% 1.16% 1.08 0.04 -0.21
5. 30 jun. 2017 -4.25% 0.48% 23.01 0.77 4.20
6. 31 jul. 2017 9.67% 1.93% 83.10 0.33 5.26
7. 31 ago. 2017 -0.89% 0.05% 2.07 1.70 1.88
8. 30 sept. 2017 3.17% 1.93% 6.85 0.33 1.50
9. 31 oct. 2017 -2.08% 2.22% 6.93 0.74 -2.27
10. 30 nov. 2017 6.31% 2.81% 33.14 2.10 8.35
11. 31 dic. 2017 4.01% 0.98% 11.95 0.14 -1.30
12. 31 ene. 2018 3.27% 5.62% 7.38 18.15 11.57
13. 28 feb. 2018 -11.71% -3.89% 150.27 27.59 64.39
14. 31 mar. 2018 0.17% -2.69% 0.15 16.37 1.55
15. 30 abr. 2018 4.43% 0.27% 15.07 1.18 -4.22
16. 31 may. 2018 -3.40% 2.16% 15.65 0.64 -3.18
17. 30 jun. 2018 5.54% 0.48% 24.86 0.76 -4.36
18. 31 jul. 2018 3.82% 3.60% 10.66 5.04 7.33
19. 31 ago. 2018 5.29% 3.03% 22.42 2.78 7.90
20. 30 sept. 2018 -1.80% 0.43% 5.54 0.86 2.19
21. 31 oct. 2018 8.06% -6.94% 56.36 68.86 -62.29
22. 30 nov. 2018 5.62% 1.79% 25.72 0.18 2.17
23. 31 dic. 2018 -6.77% -9.18% 53.55 111.00 77.10
24. 31 ene. 2019 -0.99% 7.87% 2.38 42.39 -10.05
25. 28 feb. 2019 3.38% 2.97% 7.99 2.61 4.56
26. 31 mar. 2019 3.88% 1.79% 11.10 0.19 1.45
27. 30 abr. 2019 -2.26% 3.93% 7.92 6.62 -7.24
28. 31 may. 2019 -4.97% -6.58% 30.44 62.97 43.79
29. 30 jun. 2019 5.11% 6.89% 20.82 30.64 25.26
30. 31 jul. 2019 -2.20% 1.31% 7.58 0.00 0.12
31. 31 ago. 2019 5.23% -1.81% 21.88 10.03 -14.81
32. 30 sept. 2019 3.78% 1.72% 10.44 0.13 1.16
33. 31 oct. 2019 1.20% 2.04% 0.42 0.47 0.45
34. 30 nov. 2019 -0.38% 3.40% 0.87 4.19 -1.91
35. 31 dic. 2019 1.93% 2.86% 1.89 2.25 2.06
36. 31 ene. 2020 -2.19% -0.16% 7.52 2.31 4.17
37. 29 feb. 2020 -8.88% -8.41% 89.01 95.43 92.17
38. 31 mar. 2020 -0.79% -12.51% 1.81 192.37 18.66
39. 30 abr. 2020 8.07% 12.68% 56.50 128.29 85.14
40. 31 may. 2020 -0.12% 4.53% 0.45 10.05 -2.14
41. 30 jun. 2020 -3.92% 1.84% 20.01 0.23 -2.15
42. 31 jul. 2020 5.38% 5.51% 23.30 17.24 20.04
43. 31 ago. 2020 3.11% 7.01% 6.57 31.91 14.47
44. 30 sept. 2020 0.37% -3.92% 0.03 27.89 0.95
45. 31 oct. 2020 -3.15% -2.77% 13.68 17.01 15.26
46. 30 nov. 2020 6.00% 10.75% 29.70 88.30 51.21
47. 31 dic. 2020 -2.75% 3.71% 10.89 5.54 -7.77
48. 31 ene. 2021 -5.74% -1.11% 39.59 6.11 15.55
49. 28 feb. 2021 1.00% 2.61% 0.21 1.57 0.57
50. 31 mar. 2021 5.15% 4.24% 21.18 8.33 13.28
51. 30 abr. 2021 0.46% 5.24% 0.01 15.09 -0.36
52. 31 may. 2021 -2.25% 0.55% 7.85 0.65 2.27
53. 30 jun. 2021 -0.81% 2.22% 1.87 0.75 -1.18
54. 31 jul. 2021 0.67% 2.27% 0.01 0.84 0.11
55. 31 ago. 2021 -1.40% 2.90% 3.80 2.38 -3.01
56. 30 sept. 2021 -1.80% -4.76% 5.53 37.39 14.38
57. 31 oct. 2021 -0.70% 6.91% 1.58 30.87 -6.97
58. 30 nov. 2021 -5.13% -0.83% 32.32 4.80 12.46
59. 31 dic. 2021 3.36% 4.36% 7.90 9.02 8.44
Total (Σ): 1,093.65 1,164.17 515.23

Mostrar todo

VarianzaVZ = Σ(RVZ,tRVZ)2 ÷ (59 – 1)
= 1,093.65 ÷ (59 – 1)
= 18.86

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (59 – 1)
= 1,164.17 ÷ (59 – 1)
= 20.07

CovarianzaVZ, S&P 500 = Σ(RVZ,tRVZ)×(RS&P 500,tRS&P 500) ÷ (59 – 1)
= 515.23 ÷ (59 – 1)
= 8.88


Estimación sistemática del riesgo (β)

Microsoft Excel LibreOffice Calc
VarianzaVZ 18.86
VarianzaS&P 500 20.07
CovarianzaVZ, S&P 500 8.88
Coeficiente de correlaciónVZ, S&P 5001 0.46
βVZ2 0.44
αVZ3 -0.05%

Cálculos

1 Coeficiente de correlaciónVZ, S&P 500
= CovarianzaVZ, S&P 500 ÷ (Desviación estándarVZ × Desviación estándarS&P 500)
= 8.88 ÷ (4.34% × 4.48%)
= 0.46

2 βVZ
= CovarianzaVZ, S&P 500 ÷ VarianzaS&P 500
= 8.88 ÷ 20.07
= 0.44

3 αVZ
= PromedioVZ – βVZ × PromedioS&P 500
= 0.55%0.44 × 1.36%
= -0.05%


Tasa de rendimiento esperada

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Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 3.10%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 13.16%
Riesgo sistemático de acciones ordinarias Verizon βVZ 0.44
 
Tasa de rendimiento esperada de las acciones ordinarias de Verizon3 E(RVZ) 7.55%

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(RVZ) = RF + βVZ [E(RM) – RF]
= 3.10% + 0.44 [13.16%3.10%]
= 7.55%