Stock Analysis on Net

Walt Disney Co. (NYSE:DIS)

Modelo de fijación de precios 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 de los activos de riesgo, como las acciones ordinarias de Disney.


Tasas de retorno

Walt Disney Co., tasas mensuales de retorno

Microsoft Excel
Walt Disney Co. (DIS) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioDIS,t1 DividendoDIS,t1 RDIS,t2 PrecioS&P 500,t RS&P 500,t3
31 oct. 2015 $113.74 2,079.36
1. 30 nov. 2015 $113.47 -0.24% 2,080.41 0.05%
2. 31 dic. 2015 $105.08 $0.71 -6.77% 2,043.94 -1.75%
3. 31 ene. 2016 $95.82 -8.81% 1,940.24 -5.07%
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 ago. 2021 $181.30 3.00% 4,522.68 2.90%
71. 30 sept. 2021 $169.17 -6.69% 4,307.54 -4.76%
Promedio (R): 0.91% 1.12%
Desviación estándar: 7.45% 4.19%
Walt Disney Co. (DIS) Standard & Poor’s 500 (S&P 500)
t Fecha PrecioDIS,t1 DividendoDIS,t1 RDIS,t2 PrecioS&P 500,t RS&P 500,t3
31 oct. 2015 $113.74 2,079.36
1. 30 nov. 2015 $113.47 -0.24% 2,080.41 0.05%
2. 31 dic. 2015 $105.08 $0.71 -6.77% 2,043.94 -1.75%
3. 31 ene. 2016 $95.82 -8.81% 1,940.24 -5.07%
4. 29 feb. 2016 $95.52 -0.31% 1,932.23 -0.41%
5. 31 mar. 2016 $99.31 3.97% 2,059.74 6.60%
6. 30 abr. 2016 $103.26 3.98% 2,065.30 0.27%
7. 31 may. 2016 $99.22 -3.91% 2,096.95 1.53%
8. 30 jun. 2016 $97.82 -1.41% 2,098.86 0.09%
9. 31 jul. 2016 $95.95 $0.71 -1.19% 2,173.60 3.56%
10. 31 ago. 2016 $94.46 -1.55% 2,170.95 -0.12%
11. 30 sept. 2016 $92.86 -1.69% 2,168.27 -0.12%
12. 31 oct. 2016 $92.69 -0.18% 2,126.15 -1.94%
13. 30 nov. 2016 $99.12 6.94% 2,198.81 3.42%
14. 31 dic. 2016 $104.22 $0.78 5.93% 2,238.83 1.82%
15. 31 ene. 2017 $110.65 6.17% 2,278.87 1.79%
16. 28 feb. 2017 $110.09 -0.51% 2,363.64 3.72%
17. 31 mar. 2017 $113.39 3.00% 2,362.72 -0.04%
18. 30 abr. 2017 $115.60 1.95% 2,384.20 0.91%
19. 31 may. 2017 $107.94 -6.63% 2,411.80 1.16%
20. 30 jun. 2017 $106.25 -1.57% 2,423.41 0.48%
21. 31 jul. 2017 $109.93 $0.78 4.20% 2,470.30 1.93%
22. 31 ago. 2017 $101.20 -7.94% 2,471.65 0.05%
23. 30 sept. 2017 $98.57 -2.60% 2,519.36 1.93%
24. 31 oct. 2017 $97.81 -0.77% 2,575.26 2.22%
25. 30 nov. 2017 $104.82 7.17% 2,647.58 2.81%
26. 31 dic. 2017 $107.51 $0.84 3.37% 2,673.61 0.98%
27. 31 ene. 2018 $108.67 1.08% 2,823.81 5.62%
28. 28 feb. 2018 $103.16 -5.07% 2,713.83 -3.89%
29. 31 mar. 2018 $100.44 -2.64% 2,640.87 -2.69%
30. 30 abr. 2018 $100.33 -0.11% 2,648.05 0.27%
31. 31 may. 2018 $99.47 -0.86% 2,705.27 2.16%
32. 30 jun. 2018 $104.81 5.37% 2,718.37 0.48%
33. 31 jul. 2018 $113.56 $0.84 9.15% 2,816.29 3.60%
34. 31 ago. 2018 $112.02 -1.36% 2,901.52 3.03%
35. 30 sept. 2018 $116.94 4.39% 2,913.98 0.43%
36. 31 oct. 2018 $114.83 -1.80% 2,711.74 -6.94%
37. 30 nov. 2018 $115.49 0.57% 2,760.17 1.79%
38. 31 dic. 2018 $109.65 $0.88 -4.29% 2,506.85 -9.18%
39. 31 ene. 2019 $111.52 1.71% 2,704.10 7.87%
40. 28 feb. 2019 $112.84 1.18% 2,784.49 2.97%
41. 31 mar. 2019 $111.03 -1.60% 2,834.40 1.79%
42. 30 abr. 2019 $136.97 23.36% 2,945.83 3.93%
43. 31 may. 2019 $132.04 -3.60% 2,752.06 -6.58%
44. 30 jun. 2019 $139.64 5.76% 2,941.76 6.89%
45. 31 jul. 2019 $143.01 $0.88 3.04% 2,980.38 1.31%
46. 31 ago. 2019 $137.26 -4.02% 2,926.46 -1.81%
47. 30 sept. 2019 $130.32 -5.06% 2,976.74 1.72%
48. 31 oct. 2019 $129.92 -0.31% 3,037.56 2.04%
49. 30 nov. 2019 $151.58 16.67% 3,140.98 3.40%
50. 31 dic. 2019 $144.63 $0.88 -4.00% 3,230.78 2.86%
51. 31 ene. 2020 $138.31 -4.37% 3,225.52 -0.16%
52. 29 feb. 2020 $117.65 -14.94% 2,954.22 -8.41%
53. 31 mar. 2020 $96.60 -17.89% 2,584.59 -12.51%
54. 30 abr. 2020 $108.15 11.96% 2,912.43 12.68%
55. 31 may. 2020 $117.30 8.46% 3,044.31 4.53%
56. 30 jun. 2020 $111.51 -4.94% 3,100.29 1.84%
57. 31 jul. 2020 $116.94 4.87% 3,271.12 5.51%
58. 31 ago. 2020 $131.87 12.77% 3,500.31 7.01%
59. 30 sept. 2020 $124.08 -5.91% 3,363.00 -3.92%
60. 31 oct. 2020 $121.25 -2.28% 3,269.96 -2.77%
61. 30 nov. 2020 $148.01 22.07% 3,621.63 10.75%
62. 31 dic. 2020 $181.18 22.41% 3,756.07 3.71%
63. 31 ene. 2021 $168.17 -7.18% 3,714.24 -1.11%
64. 28 feb. 2021 $189.04 12.41% 3,811.15 2.61%
65. 31 mar. 2021 $184.52 -2.39% 3,972.89 4.24%
66. 30 abr. 2021 $186.02 0.81% 4,181.17 5.24%
67. 31 may. 2021 $178.65 -3.96% 4,204.11 0.55%
68. 30 jun. 2021 $175.77 -1.61% 4,297.50 2.22%
69. 31 jul. 2021 $176.02 0.14% 4,395.26 2.27%
70. 31 ago. 2021 $181.30 3.00% 4,522.68 2.90%
71. 30 sept. 2021 $169.17 -6.69% 4,307.54 -4.76%
Promedio (R): 0.91% 1.12%
Desviación estándar: 7.45% 4.19%

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 DIS 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

Walt Disney Co., cálculo de varianza y covarianza de rendimientos

Microsoft Excel
t Fecha RDIS,t RS&P 500,t (RDIS,tRDIS)2 (RS&P 500,tRS&P 500)2 (RDIS,tRDIS)×(RS&P 500,tRS&P 500)
1. 30 nov. 2015 -0.24% 0.05% 1.33 1.14 1.23
2. 31 dic. 2015 -6.77% -1.75% 59.02 8.24 22.06
3. 31 ene. 2016 -8.81% -5.07% 94.60 38.33 60.22
. . . . . . .
. . . . . . .
. . . . . . .
70. 31 ago. 2021 3.00% 2.90% 4.35 3.17 3.71
71. 30 sept. 2021 -6.69% -4.76% 57.83 34.51 44.68
Total (Σ): 3,886.98 1,226.33 1,463.96
t Fecha RDIS,t RS&P 500,t (RDIS,tRDIS)2 (RS&P 500,tRS&P 500)2 (RDIS,tRDIS)×(RS&P 500,tRS&P 500)
1. 30 nov. 2015 -0.24% 0.05% 1.33 1.14 1.23
2. 31 dic. 2015 -6.77% -1.75% 59.02 8.24 22.06
3. 31 ene. 2016 -8.81% -5.07% 94.60 38.33 60.22
4. 29 feb. 2016 -0.31% -0.41% 1.51 2.34 1.88
5. 31 mar. 2016 3.97% 6.60% 9.33 30.04 16.74
6. 30 abr. 2016 3.98% 0.27% 9.39 0.72 -2.60
7. 31 may. 2016 -3.91% 1.53% 23.29 0.17 -2.00
8. 30 jun. 2016 -1.41% 0.09% 5.41 1.05 2.39
9. 31 jul. 2016 -1.19% 3.56% 4.41 5.97 -5.13
10. 31 ago. 2016 -1.55% -0.12% 6.09 1.54 3.06
11. 30 sept. 2016 -1.69% -0.12% 6.80 1.54 3.24
12. 31 oct. 2016 -0.18% -1.94% 1.20 9.37 3.36
13. 30 nov. 2016 6.94% 3.42% 36.28 5.29 13.85
14. 31 dic. 2016 5.93% 1.82% 25.18 0.49 3.52
15. 31 ene. 2017 6.17% 1.79% 27.62 0.45 3.52
16. 28 feb. 2017 -0.51% 3.72% 2.02 6.77 -3.69
17. 31 mar. 2017 3.00% -0.04% 4.34 1.34 -2.41
18. 30 abr. 2017 1.95% 0.91% 1.07 0.04 -0.22
19. 31 may. 2017 -6.63% 1.16% 56.86 0.00 -0.30
20. 30 jun. 2017 -1.57% 0.48% 6.15 0.41 1.58
21. 31 jul. 2017 4.20% 1.93% 10.78 0.67 2.68
22. 31 ago. 2017 -7.94% 0.05% 78.42 1.13 9.42
23. 30 sept. 2017 -2.60% 1.93% 12.34 0.66 -2.85
24. 31 oct. 2017 -0.77% 2.22% 2.84 1.21 -1.85
25. 30 nov. 2017 7.17% 2.81% 39.10 2.86 10.57
26. 31 dic. 2017 3.37% 0.98% 6.02 0.02 -0.33
27. 31 ene. 2018 1.08% 5.62% 0.03 20.25 0.74
28. 28 feb. 2018 -5.07% -3.89% 35.81 25.13 30.00
29. 31 mar. 2018 -2.64% -2.69% 12.61 14.49 13.52
30. 30 abr. 2018 -0.11% 0.27% 1.05 0.72 0.87
31. 31 may. 2018 -0.86% 2.16% 3.14 1.09 -1.85
32. 30 jun. 2018 5.37% 0.48% 19.84 0.40 -2.82
33. 31 jul. 2018 9.15% 3.60% 67.83 6.17 20.46
34. 31 ago. 2018 -1.36% 3.03% 5.15 3.64 -4.33
35. 30 sept. 2018 4.39% 0.43% 12.10 0.47 -2.39
36. 31 oct. 2018 -1.80% -6.94% 7.39 64.94 21.90
37. 30 nov. 2018 0.57% 1.79% 0.12 0.45 -0.23
38. 31 dic. 2018 -4.29% -9.18% 27.13 106.00 53.63
39. 31 ene. 2019 1.71% 7.87% 0.63 45.57 5.34
40. 28 feb. 2019 1.18% 2.97% 0.07 3.44 0.50
41. 31 mar. 2019 -1.60% 1.79% 6.34 0.45 -1.70
42. 30 abr. 2019 23.36% 3.93% 503.96 7.92 63.16
43. 31 may. 2019 -3.60% -6.58% 20.37 59.22 34.73
44. 30 jun. 2019 5.76% 6.89% 23.44 33.35 27.96
45. 31 jul. 2019 3.04% 1.31% 4.54 0.04 0.41
46. 31 ago. 2019 -4.02% -1.81% 24.35 8.57 14.44
47. 30 sept. 2019 -5.06% 1.72% 35.64 0.36 -3.58
48. 31 oct. 2019 -0.31% 2.04% 1.49 0.86 -1.13
49. 30 nov. 2019 16.67% 3.40% 248.31 5.23 36.03
50. 31 dic. 2019 -4.00% 2.86% 24.19 3.03 -8.56
51. 31 ene. 2020 -4.37% -0.16% 27.92 1.64 6.77
52. 29 feb. 2020 -14.94% -8.41% 251.27 90.80 151.05
53. 31 mar. 2020 -17.89% -12.51% 353.67 185.77 256.32
54. 30 abr. 2020 11.96% 12.68% 121.94 133.78 127.72
55. 31 may. 2020 8.46% 4.53% 56.95 11.63 25.74
56. 30 jun. 2020 -4.94% 1.84% 34.22 0.52 -4.22
57. 31 jul. 2020 4.87% 5.51% 15.65 19.29 17.37
58. 31 ago. 2020 12.77% 7.01% 140.50 34.67 69.80
59. 30 sept. 2020 -5.91% -3.92% 46.53 25.41 34.38
60. 31 oct. 2020 -2.28% -2.77% 10.21 15.09 12.41
61. 30 nov. 2020 22.07% 10.75% 447.58 92.86 203.87
62. 31 dic. 2020 22.41% 3.71% 462.11 6.73 55.77
63. 31 ene. 2021 -7.18% -1.11% 65.52 4.98 18.06
64. 28 feb. 2021 12.41% 2.61% 132.16 2.22 17.14
65. 31 mar. 2021 -2.39% 4.24% 10.92 9.77 -10.33
66. 30 abr. 2021 0.81% 5.24% 0.01 17.01 -0.42
67. 31 may. 2021 -3.96% 0.55% 23.77 0.32 2.78
68. 30 jun. 2021 -1.61% 2.22% 6.38 1.22 -2.79
69. 31 jul. 2021 0.14% 2.27% 0.60 1.34 -0.89
70. 31 ago. 2021 3.00% 2.90% 4.35 3.17 3.71
71. 30 sept. 2021 -6.69% -4.76% 57.83 34.51 44.68
Total (Σ): 3,886.98 1,226.33 1,463.96

Mostrar todo

VarianzaDIS = Σ(RDIS,tRDIS)2 ÷ (71 – 1)
= 3,886.98 ÷ (71 – 1)
= 55.53

VarianzaS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,226.33 ÷ (71 – 1)
= 17.52

CovarianzaDIS, S&P 500 = Σ(RDIS,tRDIS)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,463.96 ÷ (71 – 1)
= 20.91


Estimación sistemática del riesgo (β)

Microsoft Excel
VarianzaDIS 55.53
VarianzaS&P 500 17.52
CovarianzaDIS, S&P 500 20.91
Coeficiente de correlaciónDIS, S&P 5001 0.67
βDIS2 1.19
αDIS3 -0.42%

Cálculos

1 Coeficiente de correlaciónDIS, S&P 500
= CovarianzaDIS, S&P 500 ÷ (Desviación estándarDIS × Desviación estándarS&P 500)
= 20.91 ÷ (7.45% × 4.19%)
= 0.67

2 βDIS
= CovarianzaDIS, S&P 500 ÷ VarianzaS&P 500
= 20.91 ÷ 17.52
= 1.19

3 αDIS
= PromedioDIS – βDIS × PromedioS&P 500
= 0.91%1.19 × 1.12%
= -0.42%


Tasa de rendimiento esperada

Microsoft Excel
Suposiciones
Tasa de rendimiento de LT Treasury Composite1 RF 4.02%
Tasa de rendimiento esperada de la cartera de mercado2 E(RM) 12.80%
Riesgo sistemático de acciones ordinarias Disney βDIS 1.19
 
Tasa de rendimiento esperada de las acciones ordinarias de Disney3 E(RDIS) 14.51%

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(RDIS) = RF + βDIS [E(RM) – RF]
= 4.02% + 1.19 [12.80%4.02%]
= 14.51%