Betas Empresa Mercado

BETAS
La relacin lineal
UNIVERSIDAD GALILEO
FACULTAD DE CIENCIA, TECNOLOGA E INDUSTRIA
DOCTORADO EN ADMINISTRAACIN CON ESPECIALIDAD
EN FINANZAS
ARQ. ALVARO COUTIO G

Carnet 1300-4393
BETAS
Contenido
A.
COCACOLA Y S&P 500 ........................................................................................................... 3
1.
Betas empresa Coca-Cola (KO) y mercado (S&P 500) .............................................................. 3

1.1. Primera metodologa beta mediante covarianza y varianza: (Datos histricos del ms
reciente al menos reciente) .............................................................................................................. 3
2.
1.2.
Segunda metodologa mediante la grfica de dispersin .................................................... 7
1.3.
Tercera metodologa mediante la frmula pendiente. ......................................................... 7
1.4.
Cuarta metodologa mediante la regresin: ......................................................................... 8
Betas empresa Coca-Cola (KO) y mercado (S&P 500) .............................................................. 8

2.1. Primera metodologa beta mediante covarianza y varianza: (Datos histricos del menos
reciente al ms reciente) .................................................................................................................. 9
2.2.
Segunda metodologa mediante la grfica de dispersin .................................................. 13
2.3.
Tercera metodologa mediante la frmula pendiente ........................................................ 14
2.4.
Cuarta metodologa mediante la regresin ........................................................................ 14
B.
PFIZER (PFE) Y MERCADO S&P 500................................................................................... 15
3.
Betas empresa Pfizer (PFE) y mercado (S&P 500) ................................................................... 15
4.
3.1.
Primera metodologa: beta empresa pfizer (pfe) y mercado ............................................. 15
3.2.
3.3.
Tercera metodologa mediante la frmula pendiente. ....................................................... 20
3.4.
Cuarta metodologa: Regresin ......................................................................................... 20
Betas empresa Pfizer (PFE) y mercado (S&P 500) ................................................................... 21

4.1.
Primera metodologa: beta empresa Pfizer (pfe) y mercado ............................................. 21
4.2.
4.3.
Tercera metodologa mediante la frmula pendiente. ..................................................... 25
4.4.
Cuarta metodologa: Regresin......................................................................................... 26
C.
FACEBOOK (FB) Y MERCADO NASDAQ .......................................................................... 26
5.
Betas empresa Facaebookr (FB) y mercado (NASDAQ).......................................................... 26
6.
5.1.
Primera metodologa: beta empresa Facebook (FB) y mercado NASDAQ ...................... 26
5.2.
Segunda metodologa: mediante la grfica de dispersin. ................................................ 30
5.3.
Tercera metodologa mediante la frmula pendiente. ....................................................... 31
5.4.
Betas empresa Facaebookr (FB) y mercado (NASDAQ).......................................................... 32

1
BETAS
6.1.
Primera metodologa: beta empresa Facebook (FB) y mercado NASDAQ ...................... 32
6.2.
Segunda metodologa: mediante la grfica de dispersin. ................................................ 36
6.3.
Tercera metodologa mediante la frmula pendiente ........................................................ 36
6.4.
BETAS
INTRODUCCIN
Qu es la beta? ()
Este parmetro mide la volatilidad de los rendimientos sobre una accin individual con
relacin al ndice de rendimientos del mercado de acciones, como el ndice de Standard &
Poors 500, Nasdaq, entre otros. Por lo tanto decimos que una accin comn con una beta
de 1.0 tiene un riesgo igual al del mercado., mientras que las acciones que tienen betas
inferiores a 1.0 son menos riesgosas que el mercado.
A continuacin, procederemos a calcular las Betas de las empresas y su relacin con los
mercados en las que cotizan.
A. COCACOLA Y S&P 500
1. Betas empresa Coca-Cola (KO) y mercado (S&P 500)
Metodologa:
a.
Primer paso descargar informacin de la empresa. Coca-Cola (KO)
b.
Segundo paso descargar la informacin del mercado. (S&P 500)
c.
Determinar las variaciones que ha habido en los precios de las acciones para ellos
hay que utilizar la informacin de cierre y del mercado, utilizando cualquiera de las
tres frmulas.
d.
Identificar cual es el segmento Y el segmento X.
e.
La empresa siempre va ser el eje de las Y, el mercado el eje de las X.
f.
El siguiente paso es determinar la covarianza
g.
Ahora la Varianza
h.
El siguiente paso es determinar la Beta
i.
La pendiente (slope)
j.
Ahora vamos a determinar la dispersin
k.
Calculo de la regresin, es necesario ir a datos y anlisis de datos.
1.1. Primera metodologa beta mediante covarianza y varianza: (Datos histricos del
ms reciente al menos reciente)
BETAS
30 julio del 2012 / 30 julio 2009
Date
30/07/2012
23/07/2012
16/07/2012
09/07/2012
02/07/2012
25/06/2012
18/06/2012
11/06/2012
04/06/2012
29/05/2012
21/05/2012
14/05/2012
07/05/2012
30/04/2012
23/04/2012
16/04/2012
09/04/2012
02/04/2012
26/03/2012
19/03/2012
12/03/2012
05/03/2012
27/02/2012
21/02/2012
13/02/2012
06/02/2012
30/01/2012
23/01/2012
17/01/2012
09/01/2012
03/01/2012
27/12/2011
19/12/2011
12/12/2011
05/12/2011
28/11/2011
21/11/2011
14/11/2011
07/11/2011
31/10/2011
24/10/2011
17/10/2011
10/10/2011
03/10/2011
26/09/2011
19/09/2011
12/09/2011
06/09/2011
29/08/2011
22/08/2011
15/08/2011
08/08/2011
01/08/2011
25/07/2011
18/07/2011
11/07/2011
05/07/2011
27/06/2011
Coca-Cola
KO
Adj. Close
38.06
38.06
36.64
36.76
37.18
37.19
35.65
36.2
35.55
34.53
35.54
34.99
36.6
36.38
36.21
35.02
33.99
34.71
34.97
33.78
33.15
32.6
32.45
32.36
32.39
31.87
31.93
31.63
31.94
31.42
32.33
32.82
32.8
31.63
31.69
31.13
30.15
31.38
31.72
31.56
32.1
31.75
31.59
30.69
31.46
31.39
33.17
32.08
32.25
31.68
31.03
31.05
30.88
31.45
32.25
31.23
31.76
31.49
empresa
Y
0.00%
3.88%
-0.33%
-1.13%
-0.03%
4.32%
-1.52%
1.83%
2.95%
-2.84%
1.57%
-4.40%
0.60%
0.47%
3.40%
3.03%
-2.07%
-0.74%
3.52%
1.90%
1.69%
0.46%
0.28%
-0.09%
1.63%
-0.19%
0.95%
-0.97%
1.65%
-2.81%
-1.49%
0.06%
3.70%
-0.19%
1.80%
3.25%
-3.92%
-1.07%
0.51%
-1.68%
1.10%
0.51%
2.93%
-2.45%
0.22%
-5.37%
3.40%
-0.53%
1.80%
2.09%
-0.06%
0.55%
-1.81%
-2.48%
3.27%
-1.67%
0.86%
0.00%
-3.73%
0.33%
1.14%
0.03%
-4.14%
1.54%
-1.80%
-2.87%
2.92%
-1.55%
4.60%
-0.60%
-0.47%
-3.29%
-2.94%
2.12%
0.75%
-3.40%
-1.87%
-1.66%
-0.46%
-0.28%
0.09%
-1.61%
0.19%
-0.94%
0.98%
-1.63%
2.90%
1.52%
-0.06%
-3.57%
0.19%
-1.77%
-3.15%
4.08%
1.08%
-0.50%
1.71%
-1.09%
-0.50%
-2.85%
2.51%
-0.22%
5.67%
-3.29%
0.53%
-1.77%
-2.05%
0.06%
-0.55%
1.85%
2.54%
-3.16%
1.70%
-0.85%
Standard
Poors 500
Adj. Close
1385.97
1385.97
1362.66
1356.78
1354.68
1362.16
1335.02
1342.84
1325.66
1278.04
1317.82
1295.22
1353.39
1369.1
1403.36
1378.53
1370.26
1398.08
1408.47
1397.11
1404.17
1370.87
1369.63
1365.74
1361.23
1342.64
1344.9
1316.33
1315.38
1289.09
1277.81
1257.6
1265.33
1219.66
1255.19
1244.28
1158.67
1215.65
1263.85
1253.23
1285.09
1238.25
1224.58
1155.46
1131.42
1136.43
1216.01
1154.23
1173.97
1176.8
1123.53
1178.81
1199.38
1292.28
1345.02
1316.14
1343.8
1339.67
mercado
X
0.00%
1.71%
0.43%
0.16%
-0.55%
2.03%
-0.58%
1.30%
3.73%
-3.02%
1.74%
-4.30%
-1.15%
-2.44%
1.80%
0.60%
-1.99%
-0.74%
0.81%
-0.50%
2.43%
0.09%
0.28%
0.33%
1.38%
-0.17%
2.17%
0.07%
2.04%
0.88%
1.61%
-0.61%
3.74%
-2.83%
0.88%
7.39%
-4.69%
-3.81%
0.85%
-2.48%
3.78%
1.12%
5.98%
2.12%
-0.44%
-6.54%
5.35%
-1.68%
-0.24%
4.74%
-4.69%
-1.72%
-7.19%
-3.92%
2.19%
-2.06%
0.31%
0.00%
-1.68%
-0.43%
-0.15%
0.55%
-1.99%
0.59%
-1.28%
-3.59%
3.11%
-1.71%
4.49%
1.16%
2.50%
-1.77%
-0.60%
2.03%
0.74%
-0.81%
0.51%
-2.37%
-0.09%
-0.28%
-0.33%
-1.37%
0.17%
-2.12%
-0.07%
-2.00%
-0.88%
-1.58%
0.61%
-3.61%
2.91%
-0.87%
-6.88%
4.92%
3.96%
-0.84%
2.54%
-3.64%
-1.10%
-5.64%
-2.08%
0.44%
7.00%
-5.08%
1.71%
0.24%
-4.53%
4.92%
1.74%
7.75%
4.08%
-2.15%
2.10%
-0.31%
BETAS
20/06/2011
13/06/2011
06/06/2011
31/05/2011
23/05/2011
16/05/2011
09/05/2011
02/05/2011
25/04/2011
18/04/2011
11/04/2011
04/04/2011
28/03/2011
21/03/2011
14/03/2011
07/03/2011
28/02/2011
22/02/2011
14/02/2011
07/02/2011
31/01/2011
24/01/2011
18/01/2011
10/01/2011
03/01/2011
27/12/2010
20/12/2010
13/12/2010
06/12/2010
29/11/2010
22/11/2010
15/11/2010
08/11/2010
01/11/2010
25/10/2010
18/10/2010
11/10/2010
04/10/2010
27/09/2010
20/09/2010
13/09/2010
07/09/2010
30/08/2010
23/08/2010
16/08/2010
09/08/2010
02/08/2010
26/07/2010
19/07/2010
12/07/2010
06/07/2010
28/06/2010
21/06/2010
14/06/2010
07/06/2010
01/06/2010
24/05/2010
17/05/2010
10/05/2010
03/05/2010
26/04/2010
19/04/2010
12/04/2010
30.03
30.35
30.03
30.09
30.54
31.36
31.31
30.72
30.98
31.17
31.23
30.89
30.87
29.95
28.79
29.76
29.73
29.32
29.43
28.98
28.52
28.36
28.61
28.78
28.68
29.98
29.9
29.95
29.47
29.4
29.03
29.12
28.49
28.33
27.76
27.89
27.14
26.9
26.77
26.54
26.06
26.3
25.86
25.23
24.85
25.04
25.5
24.76
24.6
23.53
23.55
22.49
22.58
23.5
23.21
22.84
22.9
22.99
23.77
23.47
23.82
24.01
24.49
4.86%
-1.05%
1.07%
-0.20%
-1.47%
-2.61%
0.16%
1.92%
-0.84%
-0.61%
-0.19%
1.10%
0.06%
3.07%
4.03%
-3.26%
0.10%
1.40%
-0.37%
1.55%
1.61%
0.56%
-0.87%
-0.59%
0.35%
-4.34%
0.27%
-0.17%
1.63%
0.24%
1.27%
-0.31%
2.21%
0.56%
2.05%
-0.47%
2.76%
0.89%
0.49%
0.87%
1.84%
-0.91%
1.70%
2.50%
1.53%
-0.76%
-1.80%
2.99%
0.65%
4.55%
-0.08%
4.71%
-0.40%
-3.91%
1.25%
1.62%
-0.26%
-0.39%
-3.28%
1.28%
-1.47%
-0.79%
-1.96%
-4.64%
1.07%
-1.05%
0.20%
1.50%
2.69%
-0.16%
-1.88%
0.85%
0.61%
0.19%
-1.09%
-0.06%
-2.98%
-3.87%
3.37%
-0.10%
-1.38%
0.38%
-1.53%
-1.59%
-0.56%
0.88%
0.59%
-0.35%
4.53%
-0.27%
0.17%
-1.60%
-0.24%
-1.26%
0.31%
-2.16%
-0.56%
-2.01%
0.47%
-2.69%
-0.88%
-0.48%
-0.86%
-1.81%
0.92%
-1.67%
-2.44%
-1.51%
0.76%
1.84%
-2.90%
-0.65%
-4.35%
0.08%
-4.50%
0.40%
4.07%
-1.23%
-1.59%
0.26%
0.39%
3.39%
-1.26%
1.49%
0.80%
2.00%
1268.45
1271.5
1270.98
1300.16
1331.1
1333.27
1337.77
1340.2
1363.61
1337.38
1319.68
1328.17
1332.41
1313.8
1279.21
1304.28
1321.15
1319.88
1343.01
1329.15
1310.87
1276.34
1283.35
1293.24
1271.5
1257.64
1256.77
1243.91
1240.4
1224.71
1189.4
1199.73
1199.21
1225.85
1183.26
1183.08
1176.19
1165.15
1146.24
1148.67
1125.59
1109.55
1104.51
1064.59
1071.69
1079.25
1121.64
1101.6
1102.66
1064.88
1077.96
1022.58
1076.76
1117.51
1091.6
1064.88
1089.41
1087.69
1135.68
1110.88
1186.69
1217.28
1192.13
5.61%
-0.24%
0.04%
-2.24%
-2.32%
-0.16%
-0.34%
-0.18%
-1.72%
1.96%
1.34%
-0.64%
-0.32%
1.42%
2.70%
-1.92%
-1.28%
0.10%
-1.72%
1.04%
1.39%
2.71%
-0.55%
-0.76%
1.71%
1.10%
0.07%
1.03%
0.28%
1.28%
2.97%
-0.86%
0.04%
-2.17%
3.60%
0.02%
0.59%
0.95%
1.65%
-0.21%
2.05%
1.45%
0.46%
3.75%
-0.66%
-0.70%
-3.78%
1.82%
-0.10%
3.55%
-1.21%
5.42%
-5.03%
-3.65%
2.37%
2.51%
-2.25%
0.16%
-4.23%
2.23%
-6.39%
-2.51%
2.11%
-5.32%
0.24%
-0.04%
2.30%
2.38%
0.16%
0.34%
0.18%
1.75%
-1.92%
-1.32%
0.64%
0.32%
-1.40%
-2.63%
1.96%
1.29%
-0.10%
1.75%
-1.03%
-1.38%
-2.63%
0.55%
0.77%
-1.68%
-1.09%
-0.07%
-1.02%
-0.28%
-1.26%
-2.88%
0.87%
-0.04%
2.22%
-3.47%
-0.02%
-0.58%
-0.94%
-1.62%
0.21%
-2.01%
-1.43%
-0.45%
-3.61%
0.67%
0.71%
3.93%
-1.79%
0.10%
-3.43%
1.23%
-5.14%
5.30%
3.78%
-2.32%
-2.45%
2.30%
-0.16%
4.41%
-2.18%
6.82%
2.58%
-2.07%
BETAS
05/04/2010
29/03/2010
22/03/2010
15/03/2010
08/03/2010
01/03/2010
22/02/2010
16/02/2010
08/02/2010
01/02/2010
25/01/2010
19/01/2010
11/01/2010
04/01/2010
28/12/2009
21/12/2009
14/12/2009
07/12/2009
30/11/2009
23/11/2009
16/11/2009
09/11/2009
02/11/2009
26/10/2009
19/10/2009
12/10/2009
05/10/2009
28/09/2009
21/09/2009
14/09/2009
08/09/2009
31/08/2009
24/08/2009
17/08/2009
10/08/2009
03/08/2009
30/07/2009
24.32
24.64
24.35
24.39
23.77
24.17
23.3
24.63
23.86
23.46
23.98
23.97
24.88
24.37
25.19
25.39
25.16
26.12
25.41
25.27
25.22
24.78
23.91
23.39
23.36
24.14
23.98
23.64
23.24
23.59
22.6
21.74
21.35
21.72
21.1
21.48
21.69
0.70%
-1.30%
1.19%
-0.16%
2.61%
-1.65%
3.73%
-5.40%
3.23%
1.71%
-2.17%
0.04%
-3.66%
2.09%
-3.26%
-0.79%
0.91%
-3.68%
2.79%
0.55%
0.20%
1.78%
3.64%
2.22%
0.13%
-3.23%
0.67%
1.44%
1.72%
-1.48%
4.38%
3.96%
1.83%
-1.70%
2.94%
-1.77%
-0.97%
-0.69%
1.32%
-1.18%
0.16%
-2.54%
1.68%
-3.60%
5.71%
-3.13%
-1.68%
2.22%
-0.04%
3.80%
-2.05%
3.36%
0.79%
-0.91%
3.82%
-2.72%
-0.55%
-0.20%
-1.74%
-3.51%
-2.17%
-0.13%
3.34%
-0.66%
-1.42%
-1.69%
1.51%
-4.20%
-3.81%
-1.79%
1.73%
-2.85%
1.80%
0.98%
1194.37
1178.1
1166.59
1159.9
1149.99
1138.7
1104.49
1109.17
1075.51
1066.19
1073.87
1091.76
1136.03
1144.98
1115.1
1126.48
1102.47
1106.41
1105.98
1091.49
1091.38
1093.48
1069.3
1036.19
1079.6
1087.68
1071.49
1025.21
1044.38
1068.3
1042.73
1016.4
1028.93
1026.13
1004.09
1010.48
987.48
-0.19%
1.38%
0.99%
0.58%
0.86%
0.99%
3.10%
-0.42%
3.13%
0.87%
-0.72%
-1.64%
-3.90%
-0.78%
2.68%
-1.01%
2.18%
-0.36%
0.04%
1.33%
0.01%
-0.19%
2.26%
3.20%
-4.02%
-0.74%
1.51%
4.51%
-1.84%
-2.24%
2.45%
2.59%
-1.22%
0.27%
2.20%
-0.63%
2.33%
0.19%
-1.36%
-0.98%
-0.57%
-0.85%
-0.98%
-3.00%
0.42%
-3.03%
-0.87%
0.72%
1.67%
4.05%
0.79%
-2.61%
1.02%
-2.13%
0.36%
-0.04%
-1.31%
-0.01%
0.19%
-2.21%
-3.10%
4.19%
0.75%
-1.49%
-4.32%
1.87%
2.29%
-2.39%
-2.53%
1.23%
-0.27%
-2.15%
0.64%
-2.28%
EN RESUMEN:
Primera metodologa para encontrar la beta de empresa Coca-Cola (KO) y mercado S&P
500:
Calculo del Beta de KO y S&P 500
COVARIANZA
0.000325961
covarianza empresa mercado
VARIANZA
0.000595167
varianza mercado
BETA
0.54768013
covarianza/varianza
BETAS
1.2. Segunda metodologa mediante la grfica de dispersin
Millares
Retornos empresa
Beta (KO) y Mercado (Standard and Poors 500)

0.01%
y = 0.5477x + 0.0025
R = 0.3933
0.00%
0.00%
-0.01%
-0.01%
0.00%
0.00%
0.00%
Series1
0.01%
0.01%
Millares
0.00%
-0.01%
Retornos mercado
EJES:
EJE X
RETORNOS DEL MERCADO
EJE Y
RETORNOS EMPRESA A INVERTIR
1.3. Tercera metodologa mediante la frmula pendiente.
BETA
0.54768013
Donde, la frmula pendiente es la siguiente:
= PENDIENTE (conocido Y empresa, conocido X mercado) = 0.54768
Calculo en base a la funcin Excel de pendiente. (slope)
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
BETAS
Resumen
Estadsticas de la regresin
Coeficiente de
correlacin
mltiple
0.627104174
Coeficiente de
determinacin
R^2
0.393259645
R^2 ajustado 0.389345191
Error tpico
0.016702914
Observaciones
157
ANLISIS DE VARIANZA
Promedio
Suma de
de los
cuadrados
cuadrados
1 0.02802804 0.02802804
155 0.04324304 0.00027899
156 0.07127108
Grados de
libertad
Regresin
Residuos
Total
Coeficientes
Intercepcin
Variable X 1
Error tpico
Estadstico
t
0.002467834 0.0013398 1.84194594

0.54768013 0.05464153 10.023147
F
100.463476
Valor
crtico de F
1.5392E-18
Probabilidad
Inferior
95%
Superior
95%
Inferior
95.0%
Superior
95.0%
0.06739404 0.00017878 0.00511445 0.00017878 0.00511445

1.5392E-18 0.43974195 0.65561831 0.43974195 0.65561831
1.4. Cuarta metodologa mediante la regresin:

CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
2. Betas empresa Coca-Cola (KO) y mercado (S&P 500)

Metodologa:
a.
Primer paso descargar informacin de la empresa. Coca-Cola (KO)
b.
Segundo paso descargar la informacin del mercado. (S&P 500)
c.
Determinar las variaciones que ha habido en los precios de las acciones para ellos
tres frmulas.
d.
Identificar cual es el segmento Y el segmento X.
e.
La empresa siempre va ser el eje de las y y el mercado el eje de las x.
f.
El siguiente paso es determinar la covarianza
g.
Ahora la Varianza
h.
El siguiente paso es determinar la Beta
i.
La pendiente (slope)
8
BETAS
j.
Ahora vamos a determinar la dispersin
k.
Calculo de la regresin, es necesario ir a datos y anlisis de datos.
2.1. Primera metodologa beta mediante covarianza y varianza: (Datos histricos del
menos reciente al ms reciente)

30 julio del 2009 / al 30 julio del 2012

Coca-Cola KO
Date
Adj. Close
1 = Variacin porcentual
Standard Poors 500

Adj. Close
Empresa
Mercado
30/07/2009
21.69
987.48
03/08/2009
21.48
1010.48
-0.00968188
0.02329161
10/08/2009
21.1
1004.09
-0.01769088
-0.00632373
17/08/2009
21.72
1026.13
0.02938389
0.02195022
24/08/2009
21.35
1028.93
-0.01703499
0.0027287
31/08/2009
21.74
1016.4
0.01826698
-0.0121777
08/09/2009
22.6
1042.73
0.03955842
0.02590516
14/09/2009
23.59
1068.3
0.04380531
0.02452217
21/09/2009
23.24
1044.38
-0.0148368
-0.02239071
28/09/2009
23.64
1025.21
0.0172117
-0.01835539
05/10/2009
23.98
1071.49
0.0143824
0.04514197
12/10/2009
24.14
1087.68
0.00667223
0.0151098
19/10/2009
23.36
1079.6
-0.03231152
-0.00742866
26/10/2009
23.39
1036.19
0.00128425
-0.04020934
02/11/2009
23.91
1069.3
0.02223172
0.0319536
09/11/2009
24.78
1093.48
0.03638645
0.02261292
16/11/2009
25.22
1091.38
0.01775626
-0.00192047
23/11/2009
25.27
1091.49
0.00198255
0.00010079
30/11/2009
25.41
1105.98
0.00554017
0.01327543
07/12/2009
26.12
1106.41
0.02794176
0.0003888
14/12/2009
25.16
1102.47
-0.03675345
-0.00356107
21/12/2009
25.39
1126.48
0.00914149
0.02177837
28/12/2009
25.19
1115.1
-0.00787712
-0.01010227
04/01/2010
24.37
1144.98
-0.0325526
0.0267958
11/01/2010
24.88
1136.03
0.02092737
-0.00781673
19/01/2010
23.97
1091.76
-0.03657556
-0.03896904
25/01/2010
23.98
1073.87
0.00041719
-0.01638639
01/02/2010
23.46
1066.19
-0.02168474
-0.0071517
08/02/2010
23.86
1075.51
0.0170503
0.00874141
16/02/2010
24.63
1109.17
0.03227158
0.03129678
22/02/2010
23.3
1104.49
-0.05399919
-0.00421937
01/03/2010
24.17
1138.7
0.03733906
0.03097357
08/03/2010
23.77
1149.99
-0.01654944
0.00991482
BETAS
15/03/2010
24.39
1159.9
0.0260833
0.00861747
22/03/2010
24.35
1166.59
-0.00164002
0.00576774
29/03/2010
24.64
1178.1
0.01190965
0.00986636
05/04/2010
24.32
1194.37
-0.01298701
0.01381037
12/04/2010
24.49
1192.13
0.00699013
-0.00187547
19/04/2010
24.01
1217.28
-0.01959984
0.02109669
26/04/2010
23.82
1186.69
-0.00791337
-0.0251298
03/05/2010
23.47
1110.88
-0.01469353
-0.06388358
10/05/2010
23.77
1135.68
0.01278228
0.02232464
17/05/2010
22.99
1087.69
-0.03281447
-0.04225662
24/05/2010
22.9
1089.41
-0.00391475
0.00158133
01/06/2010
22.84
1064.88
-0.00262009
-0.02251678
07/06/2010
23.21
1091.6
0.01619965
0.02509203
14/06/2010
23.5
1117.51
0.01249461
0.0237358
21/06/2010
22.58
1076.76
-0.03914894
-0.036465
28/06/2010
22.49
1022.58
-0.00398583
-0.05031762
06/07/2010
23.55
1077.96
0.04713206
0.05415713
12/07/2010
23.53
1064.88
-0.00084926
-0.01213403
19/07/2010
24.6
1102.66
0.04547386
0.03547818
26/07/2010
24.76
1101.6
0.00650407
-0.00096131
02/08/2010
25.5
1121.64
0.02988691
0.01819172
09/08/2010
25.04
1079.25
-0.01803922
-0.03779287
16/08/2010
24.85
1071.69
-0.00758786
-0.00700486
23/08/2010
25.23
1064.59
0.01529175
-0.00662505
30/08/2010
25.86
1104.51
0.02497027
0.037498
07/09/2010
26.3
1109.55
0.01701469
0.00456311
13/09/2010
26.06
1125.59
-0.00912548
0.01445631
20/09/2010
26.54
1148.67
0.01841903
0.0205048
27/09/2010
26.77
1146.24
0.00866616
-0.00211549
04/10/2010
26.9
1165.15
0.00485618
0.01649742
11/10/2010
27.14
1176.19
0.00892193
0.00947517
18/10/2010
27.89
1183.08
0.02763449
0.0058579
25/10/2010
27.76
1183.26
-0.00466117
0.00015215
01/11/2010
28.33
1225.85
0.02053314
0.03599378
08/11/2010
28.49
1199.21
0.00564772
-0.02173186
15/11/2010
29.12
1199.73
0.02211302
0.00043362
22/11/2010
29.03
1189.4
-0.00309066
-0.00861027
29/11/2010
29.4
1224.71
0.01274544
0.02968724
06/12/2010
29.47
1240.4
0.00238095
0.0128112
13/12/2010
29.95
1243.91
0.01628775
0.00282973
20/12/2010
29.9
1256.77
-0.00166945
0.01033837
27/12/2010
29.98
1257.64
0.00267559
0.00069225
03/01/2011
28.68
1271.5
-0.04336224
0.01102064
10
BETAS
10/01/2011
28.78
1293.24
0.00348675
0.01709792
18/01/2011
28.61
1283.35
-0.00590688
-0.00764746
24/01/2011
28.36
1276.34
-0.0087382
-0.00546227
31/01/2011
28.52
1310.87
0.00564175
0.02705392
07/02/2011
28.98
1329.15
0.01612903
0.01394494
14/02/2011
29.43
1343.01
0.01552795
0.01042772
22/02/2011
29.32
1319.88
-0.00373768
-0.01722251
28/02/2011
29.73
1321.15
0.01398363
0.00096221
07/03/2011
29.76
1304.28
0.00100908
-0.01276918
14/03/2011
28.79
1279.21
-0.03259409
-0.01922133
21/03/2011
29.95
1313.8
0.04029177
0.02704013
28/03/2011
30.87
1332.41
0.03071786
0.01416502
04/04/2011
30.89
1328.17
0.00064788
-0.0031822
11/04/2011
31.23
1319.68
0.0110068
-0.00639225
18/04/2011
31.17
1337.38
-0.00192123
0.01341234
25/04/2011
30.98
1363.61
-0.0060956
0.01961297
02/05/2011
30.72
1340.2
-0.00839251
-0.01716767
09/05/2011
31.31
1337.77
0.01920573
-0.00181316
16/05/2011
31.36
1333.27
0.00159693
-0.00336381
23/05/2011
30.54
1331.1
-0.02614796
-0.00162758
31/05/2011
30.09
1300.16
-0.01473477
-0.02324393
06/06/2011
30.03
1270.98
-0.00199402
-0.02244339
13/06/2011
30.35
1271.5
0.01065601
0.00040913
20/06/2011
30.03
1268.45
-0.01054366
-0.00239874
27/06/2011
31.49
1339.67
0.04861805
0.05614727
05/07/2011
31.76
1343.8
0.00857415
0.00308285
11/07/2011
31.23
1316.14
-0.01668766
-0.02058342
18/07/2011
32.25
1345.02
0.0326609
0.02194295
25/07/2011
31.45
1292.28
-0.0248062
-0.03921131
01/08/2011
30.88
1199.38
-0.01812401
-0.07188845
08/08/2011
31.05
1178.81
0.00550518
-0.01715053
15/08/2011
31.03
1123.53
-0.00064412
-0.04689475
22/08/2011
31.68
1176.8
0.02094747
0.04741306
29/08/2011
32.25
1173.97
0.01799242
-0.00240483
06/09/2011
32.08
1154.23
-0.00527132
-0.01681474
12/09/2011
33.17
1216.01
0.03397756
0.05352486
19/09/2011
31.39
1136.43
-0.05366295
-0.06544354
26/09/2011
31.46
1131.42
0.00223001
-0.00440854
03/10/2011
30.69
1155.46
-0.02447552
0.02124764
10/10/2011
31.59
1224.58
0.02932551
0.05982033
17/10/2011
31.75
1238.25
0.00506489
0.01116301
24/10/2011
32.1
1285.09
0.01102362
0.03782758
31/10/2011
31.56
1253.23
-0.01682243
-0.02479204
11
BETAS
07/11/2011
31.72
1263.85
0.00506971
0.0084741
14/11/2011
31.38
1215.65
-0.01071879
-0.03813744
21/11/2011
30.15
1158.67
-0.03919694
-0.04687204
28/11/2011
31.13
1244.28
0.03250415
0.07388644
05/12/2011
31.69
1255.19
0.01798908
0.00876812
12/12/2011
31.63
1219.66
-0.00189334
-0.02830647
19/12/2011
32.8
1265.33
0.0369902
0.03744486
27/12/2011
32.82
1257.6
0.00060976
-0.00610908
03/01/2012
32.33
1277.81
-0.01492992
0.01607029
09/01/2012
31.42
1289.09
-0.02814723
0.0088276
17/01/2012
31.94
1315.38
0.01654997
0.02039423
23/01/2012
31.63
1316.33
-0.0097057
0.00072222
30/01/2012
31.93
1344.9
0.00948467
0.02170428
06/02/2012
31.87
1342.64
-0.00187911
-0.00168042
13/02/2012
32.39
1361.23
0.01631628
0.01384586
21/02/2012
32.36
1365.74
-0.00092621
0.00331318
27/02/2012
32.45
1369.63
0.00278121
0.00284827
05/03/2012
32.6
1370.87
0.0046225
0.00090535
12/03/2012
33.15
1404.17
0.01687117
0.02429114
19/03/2012
33.78
1397.11
0.01900452
-0.00502788
26/03/2012
34.97
1408.47
0.03522795
0.00813107
02/04/2012
34.71
1398.08
-0.00743494
-0.0073768
09/04/2012
33.99
1370.26
-0.0207433
-0.01989872
16/04/2012
35.02
1378.53
0.03030303
0.00603535
23/04/2012
36.21
1403.36
0.03398058
0.01801194
30/04/2012
36.38
1369.1
0.00469484
-0.02441284
07/05/2012
36.6
1353.39
0.00604728
-0.01147469
14/05/2012
34.99
1295.22
-0.04398907
-0.04298096
21/05/2012
35.54
1317.82
0.01571878
0.01744877
29/05/2012
34.53
1278.04
-0.02841868
-0.03018622
04/06/2012
35.55
1325.66
0.02953953
0.03726018
11/06/2012
36.2
1342.84
0.01828411
0.01295958
18/06/2012
35.65
1335.02
-0.01519337
-0.00582348
25/06/2012
37.19
1362.16
0.04319776
0.02032928
02/07/2012
37.18
1354.68
-0.00026889
-0.00549128
09/07/2012
36.76
1356.78
-0.0112964
0.00155018
16/07/2012
36.64
1362.66
-0.00326442
0.00433379
23/07/2012
38.06
1385.97
0.03875546
0.01710625
30/07/2012
38.06
1385.97
12
BETAS
COVARIANZA
0.00032596
VARIANZA
0.00059517
varianza mercado
BETA
0.54768013
Covarianza / varianza
Beta KO y S&P 500

0.06
0.04
y = 0.5477x + 0.0025
R = 0.3933
0.02
Series1
-0.1
-0.05
0.05
0.1
Lineal (Series1)
-0.02
-0.04
-0.06
Ejes:
EJE X
EJE Y
13
BETAS
2.3. Tercera metodologa mediante la frmula pendiente
Pendiente =
0.54768013 (conocido y empresa, conocido x, mercado)
serie x= datos del mercado

serie y= datos de la empresa
2.4. Cuarta metodologa mediante la regresin
Regresin
Resumen
Coeficiente de
correlacin
mltiple
0.62710417
Coeficiente de
determinacin
R^2
0.39325964
R^2 ajustado 0.38934519
Error tpico
0.01670291
Observaciones
157
ANLISIS DE VARIANZA
Regresin
Residuos
Total
Promedio
Grados de
Suma de
de los
libertad
cuadrados cuadrados
1 0.02802804 0.02802804
155 0.04324304 0.00027899
156 0.07127108
Coeficientes
Intercepcin
Variable X 1
Error
tpico
Estadstico
t
Valor
F
crtico de F
100.463476 1.5392E-18
Probabilidad
0.00246783 0.0013398 1.84194594

0.54768013 0.05464153 10.023147
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
Inferior
95%
Superior
95%
Inferior
95.0%
Superior
95.0%
0.06739404 0.00017878 0.00511445 0.00017878 0.00511445

1.5392E-18 0.43974195 0.65561831 0.43974195 0.65561831
14
BETAS
B. PFIZER (PFE) Y MERCADO S&P 500
3. Betas empresa Pfizer (PFE) y mercado (S&P 500)
3.1. Primera metodologa: beta empresa Pfizer (PFE) y mercado
Metodologa:
a. Primer paso descargar informacin de la empresa. Pfizer (PFE)
b. Segundo paso descargar la informacin del mercado. (S&P 500)
c. Determinar las variaciones que ha habido en los precios de las acciones para ellos
tres frmulas.
d. Identificar cual es el segmento Y el segmento X.
e. La empresa siempre va ser el eje de las Y, el mercado el eje de las X.
f. El siguiente paso es determinar la covarianza
g. Ahora la Varianza
h. El siguiente paso es determinar la Beta
i. La pendiente (slope)
j. Ahora vamos a determinar la dispersin
k. Calculo de la regresin, es necesario ir a datos y anlisis de datos.
Primera metodologa beta mediante covarianza y varianza: (Datos histricos del ms
reciente al menos reciente).
Por lo tanto, podemos realizar el calculo mediante culaquiera de las frmulas siguientes:
Fmrula 1:
1:
Formula 2:
2:
= Variacin porcentual
Frmula 3:
3: LN
=Variacin porcentual
15
BETAS
25 junio del 2012 al 1 junio del 2009: (Del ms actual al ms lejano)
PRIMERA METODOLOGA: BETA EMPRESA PFIZER (PFE) Y MERCADO
1
Date
25/06/2012
18/06/2012
11/06/2012
04/06/2012
29/05/2012
21/05/2012
14/05/2012
07/05/2012
30/04/2012
23/04/2012
16/04/2012
09/04/2012
02/04/2012
26/03/2012
19/03/2012
12/03/2012
05/03/2012
27/02/2012
21/02/2012
13/02/2012
06/02/2012
30/01/2012
23/01/2012
17/01/2012
09/01/2012
03/01/2012
27/12/2011
19/12/2011
12/12/2011
05/12/2011
28/11/2011
21/11/2011
14/11/2011
07/11/2011
31/10/2011
24/10/2011
17/10/2011
10/10/2011
03/10/2011
26/09/2011
19/09/2011
12/09/2011
06/09/2011
29/08/2011
22/08/2011
15/08/2011
08/08/2011
01/08/2011
25/07/2011
18/07/2011
11/07/2011
05/07/2011
27/06/2011
20/06/2011
13/06/2011
Close
Close
23
22.73
22.61
22.14
21.64
22.13
22.57
22.65
22.38
23.08
22.56
21.85
22.34
22.65
21.82
21.94
21.48
21.41
21.18
21.19
21.05
21.2
21.48
21.9
21.84
21.57
21.64
21.83
21.03
20.56
19.89
18.45
19.53
19.99
19.66
19.82
19.06
19.04
18.44
17.68
17.45
18.15
18.28
18.46
18.21
17.67
17.86
17.49
19.25
20.07
19.75
20.16
20.75
20.08
20.26
1362.16
1335.02
1342.84
1325.66
1278.04
1317.82
1295.22
1353.39
1369.1
1403.36
1378.53
1370.26
1398.08
1408.47
1397.11
1404.17
1370.87
1369.63
1365.74
1361.23
1342.64
1344.9
1316.33
1315.38
1289.09
1277.81
1257.6
1265.33
1219.66
1255.19
1244.28
1158.67
1215.65
1263.85
1253.23
1285.09
1238.25
1224.58
1155.46
1131.42
1136.43
1216.01
1154.23
1173.97
1176.8
1123.53
1178.81
1199.38
1292.28
1345.02
1316.14
1343.8
1339.67
1268.45
1271.5
PFIZER
Y (Empresa)
-1.17%
-1.17%
-0.53%
-0.53%
-2.08%
-2.08%
-2.26%
-2.26%
2.26%
2.26%
1.99%
1.99%
0.35%
0.35%
-1.19%
-1.19%
3.13%
3.13%
-2.25%
-2.25%
-3.15%
-3.15%
2.24%
2.24%
1.39%
1.39%
-3.66%
-3.66%
0.55%
0.55%
-2.10%
-2.10%
-0.33%
-0.33%
-1.07%
-1.07%
0.05%
0.05%
-0.66%
-0.66%
0.71%
0.71%
1.32%
1.32%
1.96%
1.96%
-0.27%
-0.27%
-1.24%
-1.24%
0.32%
0.32%
0.88%
0.88%
-3.66%
-3.66%
-2.23%
-2.23%
-3.26%
-3.26%
-7.24%
-7.24%
5.85%
5.85%
2.36%
2.36%
-1.65%
-1.65%
0.81%
0.81%
-3.83%
-3.83%
-0.10%
-0.10%
-3.15%
-3.15%
-4.12%
-4.12%
-1.30%
-1.30%
4.01%
4.01%
0.72%
0.72%
0.98%
0.98%
-1.35%
-1.35%
-2.97%
-2.97%
1.08%
1.08%
-2.07%
-2.07%
10.06%
10.06%
4.26%
4.26%
-1.59%
-1.59%
2.08%
2.08%
2.93%
2.93%
-3.23%
-3.23%
0.90%
0.90%
-1.18%
-0.53%
-2.10%
-2.28%
2.24%
1.97%
0.35%
-1.20%
3.08%
-2.28%
-3.20%
2.22%
1.38%
-3.73%
0.55%
-2.12%
-0.33%
-1.08%
0.05%
-0.66%
0.71%
1.31%
1.94%
-0.27%
-1.24%
0.32%
0.87%
-3.73%
-2.26%
-3.31%
-7.52%
5.69%
2.33%
-1.66%
0.81%
-3.91%
-0.10%
-3.20%
-4.21%
-1.31%
3.93%
0.71%
0.98%
-1.36%
-3.01%
1.07%
-2.09%
9.59%
4.17%
-1.61%
2.05%
2.88%
-3.28%
0.89%
1
2
3
Mercado Standard / Poor
500
X (mercado)
-1.99% -1.99% -2.01%
0.59%
0.59%
0.58%
-1.28% -1.28% -1.29%
-3.59% -3.59% -3.66%
3.11%
3.11%
3.07%
-1.71% -1.71% -1.73%
4.49%
4.49%
4.39%
1.16%
1.16%
1.15%
2.50%
2.50%
2.47%
-1.77% -1.77% -1.79%
-0.60% -0.60% -0.60%
2.03%
2.03%
2.01%
0.74%
0.74%
0.74%
-0.81% -0.81% -0.81%
0.51%
0.51%
0.50%
-2.37% -2.37% -2.40%
-0.09% -0.09% -0.09%
-0.28% -0.28% -0.28%
-0.33% -0.33% -0.33%
-1.37% -1.37% -1.38%
0.17%
0.17%
0.17%
-2.12% -2.12% -2.15%
-0.07% -0.07% -0.07%
-2.00% -2.00% -2.02%
-0.88% -0.88% -0.88%
-1.58% -1.58% -1.59%
0.61%
0.61%
0.61%
-3.61% -3.61% -3.68%
2.91%
2.91%
2.87%
-0.87% -0.87% -0.87%
-6.88% -6.88% -7.13%
4.92%
4.92%
4.80%
3.96%
3.96%
3.89%
-0.84% -0.84% -0.84%
2.54%
2.54%
2.51%
-3.64% -3.64% -3.71%
-1.10% -1.10% -1.11%
-5.64% -5.64% -5.81%
-2.08% -2.08% -2.10%
0.44%
0.44%
0.44%
7.00%
7.00%
6.77%
-5.08% -5.08% -5.21%
1.71%
1.71%
1.70%
0.24%
0.24%
0.24%
-4.53% -4.53% -4.63%
4.92%
4.92%
4.80%
1.74%
1.74%
1.73%
7.75%
7.75%
7.46%
4.08%
4.08%
4.00%
-2.15% -2.15% -2.17%
2.10%
2.10%
2.08%
-0.31% -0.31% -0.31%
-5.32% -5.32% -5.46%
0.24%
0.24%
0.24%
16
BETAS
06/06/2011
31/05/2011
23/05/2011
16/05/2011
09/05/2011
02/05/2011
25/04/2011
18/04/2011
11/04/2011
04/04/2011
28/03/2011
21/03/2011
14/03/2011
07/03/2011
28/02/2011
22/02/2011
14/02/2011
07/02/2011
31/01/2011
24/01/2011
18/01/2011
10/01/2011
03/01/2011
27/12/2010
20/12/2010
13/12/2010
06/12/2010
29/11/2010
22/11/2010
15/11/2010
08/11/2010
01/11/2010
25/10/2010
18/10/2010
11/10/2010
04/10/2010
27/09/2010
20/09/2010
13/09/2010
07/09/2010
30/08/2010
23/08/2010
16/08/2010
09/08/2010
02/08/2010
26/07/2010
19/07/2010
12/07/2010
06/07/2010
28/06/2010
21/06/2010
14/06/2010
07/06/2010
01/06/2010
24/05/2010
17/05/2010
10/05/2010
03/05/2010
26/04/2010
19/04/2010
12/04/2010
05/04/2010
29/03/2010
20.11
20.84
20.93
20.69
20.92
20.55
20.97
19.79
20.53
20.46
20.38
20.35
20.18
19.47
19.66
18.86
19.19
18.83
19.3
18.15
18.36
18.34
18.34
17.51
17.61
17.03
17.02
16.72
16.49
16.8
16.85
17.18
17.42
17.5
17.75
17.46
17.18
17.4
17.06
16.99
16.46
16.09
15.92
16.08
16.24
15
14.58
14.56
14.77
14.14
14.64
15.21
15.46
14.76
15.23
15.4
16.2
16.46
16.72
16.91
16.8
17.25
17.08
1270.98
1300.16
1331.1
1333.27
1337.77
1340.2
1363.61
1337.38
1319.68
1328.17
1332.41
1313.8
1279.21
1304.28
1321.15
1319.88
1343.01
1329.15
1310.87
1276.34
1283.35
1293.24
1271.5
1257.64
1256.77
1243.91
1240.4
1224.71
1189.4
1199.73
1199.21
1225.85
1183.26
1183.08
1176.19
1165.15
1146.24
1148.67
1125.59
1109.55
1104.51
1064.59
1071.69
1079.25
1121.64
1101.6
1102.66
1064.88
1077.96
1022.58
1076.76
1117.51
1091.6
1064.88
1089.41
1087.69
1135.68
1110.88
1186.69
1217.28
1192.13
1194.37
1178.1
-0.74%
3.63%
0.43%
-1.15%
1.11%
-1.77%
2.04%
-5.63%
3.74%
-0.34%
-0.39%
-0.15%
-0.84%
-3.52%
0.98%
-4.07%
1.75%
-1.88%
2.50%
-5.96%
1.16%
-0.11%
0.00%
-4.53%
0.57%
-3.29%
-0.06%
-1.76%
-1.38%
1.88%
0.30%
1.96%
1.40%
0.46%
1.43%
-1.63%
-1.60%
1.28%
-1.95%
-0.41%
-3.12%
-2.25%
-1.06%
1.01%
1.00%
-7.64%
-2.80%
-0.14%
1.44%
-4.27%
3.54%
3.89%
1.64%
-4.53%
3.18%
1.12%
5.19%
1.60%
1.58%
1.14%
-0.65%
2.68%
-0.99%
-0.74%
3.63%
0.43%
-1.15%
1.11%
-1.77%
2.04%
-5.63%
3.74%
-0.34%
-0.39%
-0.15%
-0.84%
-3.52%
0.98%
-4.07%
1.75%
-1.88%
2.50%
-5.96%
1.16%
-0.11%
0.00%
-4.53%
0.57%
-3.29%
-0.06%
-1.76%
-1.38%
1.88%
0.30%
1.96%
1.40%
0.46%
1.43%
-1.63%
-1.60%
1.28%
-1.95%
-0.41%
-3.12%
-2.25%
-1.06%
1.01%
1.00%
-7.64%
-2.80%
-0.14%
1.44%
-4.27%
3.54%
3.89%
1.64%
-4.53%
3.18%
1.12%
5.19%
1.60%
1.58%
1.14%
-0.65%
2.68%
-0.99%
-0.74%
3.57%
0.43%
-1.15%
1.11%
-1.78%
2.02%
-5.79%
3.67%
-0.34%
-0.39%
-0.15%
-0.84%
-3.58%
0.97%
-4.15%
1.73%
-1.89%
2.47%
-6.14%
1.15%
-0.11%
0.00%
-4.63%
0.57%
-3.35%
-0.06%
-1.78%
-1.39%
1.86%
0.30%
1.94%
1.39%
0.46%
1.42%
-1.65%
-1.62%
1.27%
-1.97%
-0.41%
-3.17%
-2.27%
-1.06%
1.00%
0.99%
-7.94%
-2.84%
-0.14%
1.43%
-4.36%
3.47%
3.82%
1.63%
-4.63%
3.13%
1.11%
5.06%
1.59%
1.57%
1.13%
-0.65%
2.64%
-0.99%
-0.04%
2.30%
2.38%
0.16%
0.34%
0.18%
1.75%
-1.92%
-1.32%
0.64%
0.32%
-1.40%
-2.63%
1.96%
1.29%
-0.10%
1.75%
-1.03%
-1.38%
-2.63%
0.55%
0.77%
-1.68%
-1.09%
-0.07%
-1.02%
-0.28%
-1.26%
-2.88%
0.87%
-0.04%
2.22%
-3.47%
-0.02%
-0.58%
-0.94%
-1.62%
0.21%
-2.01%
-1.43%
-0.45%
-3.61%
0.67%
0.71%
3.93%
-1.79%
0.10%
-3.43%
1.23%
-5.14%
5.30%
3.78%
-2.32%
-2.45%
2.30%
-0.16%
4.41%
-2.18%
6.82%
2.58%
-2.07%
0.19%
-1.36%
-0.04%
2.30%
2.38%
0.16%
0.34%
0.18%
1.75%
-1.92%
-1.32%
0.64%
0.32%
-1.40%
-2.63%
1.96%
1.29%
-0.10%
1.75%
-1.03%
-1.38%
-2.63%
0.55%
0.77%
-1.68%
-1.09%
-0.07%
-1.02%
-0.28%
-1.26%
-2.88%
0.87%
-0.04%
2.22%
-3.47%
-0.02%
-0.58%
-0.94%
-1.62%
0.21%
-2.01%
-1.43%
-0.45%
-3.61%
0.67%
0.71%
3.93%
-1.79%
0.10%
-3.43%
1.23%
-5.14%
5.30%
3.78%
-2.32%
-2.45%
2.30%
-0.16%
4.41%
-2.18%
6.82%
2.58%
-2.07%
0.19%
-1.36%
-0.04%
2.27%
2.35%
0.16%
0.34%
0.18%
1.73%
-1.94%
-1.33%
0.64%
0.32%
-1.41%
-2.67%
1.94%
1.29%
-0.10%
1.74%
-1.04%
-1.38%
-2.67%
0.55%
0.77%
-1.70%
-1.10%
-0.07%
-1.03%
-0.28%
-1.27%
-2.93%
0.86%
-0.04%
2.20%
-3.54%
-0.02%
-0.58%
-0.94%
-1.64%
0.21%
-2.03%
-1.44%
-0.46%
-3.68%
0.66%
0.70%
3.85%
-1.80%
0.10%
-3.49%
1.22%
-5.27%
5.16%
3.71%
-2.35%
-2.48%
2.28%
-0.16%
4.32%
-2.21%
6.60%
2.55%
-2.09%
0.19%
-1.37%
17
BETAS
22/03/2010
15/03/2010
08/03/2010
01/03/2010
22/02/2010
16/02/2010
08/02/2010
01/02/2010
25/01/2010
19/01/2010
11/01/2010
04/01/2010
28/12/2009
21/12/2009
14/12/2009
07/12/2009
30/11/2009
23/11/2009
16/11/2009
09/11/2009
02/11/2009
26/10/2009
19/10/2009
12/10/2009
05/10/2009
28/09/2009
21/09/2009
14/09/2009
08/09/2009
31/08/2009
24/08/2009
17/08/2009
10/08/2009
03/08/2009
27/07/2009
20/07/2009
13/07/2009
06/07/2009
29/06/2009
22/06/2009
15/06/2009
08/06/2009
01/06/2009
17.14
16.91
17.08
17.48
17.55
17.99
17.8
17.96
18.66
18.96
19.49
18.68
18.19
18.6
18.3
18.3
18.49
18.25
18.36
17.59
16.96
17.03
17.25
17.77
16.92
16.15
16.4
16.51
16.25
16.39
16.81
16.64
15.77
15.96
15.93
16.48
14.96
14.2
14.48
15.19
15
14.76
14.51
1166.59
1159.9
1149.99
1138.7
1104.49
1109.17
1075.51
1066.19
1073.87
1091.76
1136.03
1144.98
1115.1
1126.48
1102.47
1106.41
1105.98
1091.49
1091.38
1093.48
1069.3
1036.19
1079.6
1087.68
1071.49
1025.21
1044.38
1068.3
1042.73
1016.4
1028.93
1026.13
1004.09
1010.48
987.48
979.26
940.38
879.13
896.42
918.9
921.23
946.21
940.09
0.35%
-1.34%
1.01%
2.34%
0.40%
2.51%
-1.06%
0.90%
3.90%
1.61%
2.80%
-4.16%
-2.62%
2.25%
-1.61%
0.00%
1.04%
-1.30%
0.60%
-4.19%
-3.58%
0.41%
1.29%
3.01%
-4.78%
-4.55%
1.55%
0.67%
-1.57%
0.86%
2.56%
-1.01%
-5.23%
1.20%
-0.19%
3.45%
-9.22%
-5.08%
1.97%
4.90%
-1.25%
-1.60%
-1.69%
0.35%
-1.34%
1.01%
2.34%
0.40%
2.51%
-1.06%
0.90%
3.90%
1.61%
2.80%
-4.16%
-2.62%
2.25%
-1.61%
0.00%
1.04%
-1.30%
0.60%
-4.19%
-3.58%
0.41%
1.29%
3.01%
-4.78%
-4.55%
1.55%
0.67%
-1.57%
0.86%
2.56%
-1.01%
-5.23%
1.20%
-0.19%
3.45%
-9.22%
-5.08%
1.97%
4.90%
-1.25%
-1.60%
-1.69%
0.35%
-1.35%
1.00%
2.31%
0.40%
2.48%
-1.06%
0.89%
3.82%
1.59%
2.76%
-4.24%
-2.66%
2.23%
-1.63%
0.00%
1.03%
-1.31%
0.60%
-4.28%
-3.65%
0.41%
1.28%
2.97%
-4.90%
-4.66%
1.54%
0.67%
-1.59%
0.86%
2.53%
-1.02%
-5.37%
1.20%
-0.19%
3.39%
-9.68%
-5.21%
1.95%
4.79%
-1.26%
-1.61%
-1.71%
-0.98%
-0.57%
-0.85%
-0.98%
-3.00%
0.42%
-3.03%
-0.87%
0.72%
1.67%
4.05%
0.79%
-2.61%
1.02%
-2.13%
0.36%
-0.04%
-1.31%
-0.01%
0.19%
-2.21%
-3.10%
4.19%
0.75%
-1.49%
-4.32%
1.87%
2.29%
-2.39%
-2.53%
1.23%
-0.27%
-2.15%
0.64%
-2.28%
-0.83%
-3.97%
-6.51%
1.97%
2.51%
0.25%
2.71%
-0.65%
-0.98%
-0.57%
-0.85%
-0.98%
-3.00%
0.42%
-3.03%
-0.87%
0.72%
1.67%
4.05%
0.79%
-2.61%
1.02%
-2.13%
0.36%
-0.04%
-1.31%
-0.01%
0.19%
-2.21%
-3.10%
4.19%
0.75%
-1.49%
-4.32%
1.87%
2.29%
-2.39%
-2.53%
1.23%
-0.27%
-2.15%
0.64%
-2.28%
-0.83%
-3.97%
-6.51%
1.97%
2.51%
0.25%
2.71%
-0.65%
-0.98%
-0.58%
-0.86%
-0.99%
-3.05%
0.42%
-3.08%
-0.87%
0.72%
1.65%
3.97%
0.78%
-2.64%
1.02%
-2.15%
0.36%
-0.04%
-1.32%
-0.01%
0.19%
-2.24%
-3.15%
4.10%
0.75%
-1.50%
-4.42%
1.85%
2.26%
-2.42%
-2.56%
1.23%
-0.27%
-2.17%
0.63%
-2.30%
-0.84%
-4.05%
-6.74%
1.95%
2.48%
0.25%
2.68%
-0.65%
EN RESUMEN:
Primera metodologa para encontrar la beta de empresa Pfizer (PFE) y mercado S&P 500:
La covarianza es la variacin entre la empresa y el mercado. Por lo tanto se

necesitan las variaciones del mercado para conocer la beta, por lo tanto la beta es
igual a la divisin de la covarianza entre la varianza. Por lo tanto tenemos la
frmula siguiente: = COVAR (datos empresa , datos mercado) = 0.0437%
18
BETAS
La varianza son las todas variaciones del mercado = VARP(datos mercado) =

0.06%
Calculo del Beta de PFE y S&P 500

COVARIANZA
0.0437%
VARIANZA
0.0634%
varianza mercado
BETA
0.69
covarianza/varianza
La beta = covarianza / varianza = 0.69 (General)

y = 0.6882x - 0.0011
Beta empresa Cocacola (KO) y mercado SP500
R = 0.4008
15.00%
Retornos del la empresa
10.00%
-10.00%
5.00%
-5.00%
0.00%
0.00%
Series1
5.00%
10.00%
Lineal (Series1)
-5.00%
-10.00%
-15.00%
Retornos del mercado
EJES:
EJE X
EJE Y
19
BETAS
BETA
0.69
0.68824447
Donde la frmula de pendiente es la siguiente:
Pendiente = (conocido Y (empresa), conocido X (mercado)) = 0.69
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
3.4. Cuarta metodologa: Regresin

Procedimiento:
Introducir datos en datos + anlisis de datos + regresin + rango de entrada Y

variaciones empresa + rango de entrada X variaciones mercado + otra pgina
siguientes + aceptar
Coeficiente de
correlacin
mltiple
0.63312343
Coeficiente de
determinacin
R^2
0.40084527
R^2 ajustado 0.39705315
Error tpico
0.02132873
Observaciones
160
ANLISIS DE VARIANZA
Regresin
Residuos
Total
Intercepcin
Variable X 1
Promedio
Grados de
Suma de
de los
libertad
cuadrados cuadrados
1 0.04808667 0.04808667
158 0.07187651 0.00045491
159 0.11996318
Valor
F
crtico de F
105.704838 2.6427E-19
Error
Estadstico
Inferior
Superior
Inferior
Superior
Coeficientes
tpico
t
Probabilidad
95%
95%
95.0%
95.0%
0.00112203 0.00169148 0.66334143 0.50807858 0.00446287 0.0022188 0.00446287 0.0022188
0.68824447 0.06694148 10.2812858
2.6427E-19 0.55602889 0.82046005 0.55602889 0.82046005
20
BETAS
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
4. Betas empresa Pfizer (PFE) y mercado (S&P 500)

4.1. Primera metodologa: beta empresa Pfizer (pfe) y mercado
antiguo al ms reciente).
Por lo tanto, podemos realizar el calculo mediante culaquiera de las frmulas siguientes:
Formula 1:
1:
Frmula 2:
2:
Frmula 3:
3: LN
=Variacin porcentual
1 de junio del 2009 al 25 de junio del 2012; (Del ms lejano al ms actual)
Date
01/06/2009
08/06/2009
15/06/2009
22/06/2009
29/06/2009
06/07/2009
13/07/2009
20/07/2009
27/07/2009
03/08/2009
10/08/2009
17/08/2009
24/08/2009
31/08/2009
08/09/2009
14/09/2009
21/09/2009
28/09/2009
05/10/2009
12/10/2009
Close
14.51
14.76
15
15.19
14.48
14.2
14.96
16.48
15.93
15.96
15.77
16.64
16.81
16.39
16.25
16.51
16.4
16.15
16.92
17.77
Close
940.09
946.21
921.23
918.9
896.42
879.13
940.38
979.26
987.48
1010.48
1004.09
1026.13
1028.93
1016.4
1042.73
1068.3
1044.38
1025.21
1071.49
1087.68
empresa
mercado
Y
X
opcin 1
(14.76-14.51)/14.51
1.72%
0.65%
1.63%
-2.64%
1.27%
-0.25%
-4.67%
-2.45%
-1.93%
-1.93%
5.35%
6.97%
10.16%
4.13%
-3.34%
0.84%
0.19%
2.33%
-1.19%
-0.63%
5.52%
2.20%
1.02%
0.27%
-2.50%
-1.22%
-0.85%
2.59%
1.60%
2.45%
-0.67%
-2.24%
-1.52%
-1.84%
4.77%
4.51%
5.02%
1.51%
empresa
mercado
Y
X
opcin 2
(14.76/14.51)-1
1.72%
0.65%
1.63%
-2.64%
1.27%
-0.25%
-4.67%
-2.45%
-1.93%
-1.93%
5.35%
6.97%
10.16%
4.13%
-3.34%
0.84%
0.19%
2.33%
-1.19%
-0.63%
5.52%
2.20%
1.02%
0.27%
-2.50%
-1.22%
-0.85%
2.59%
1.60%
2.45%
-0.67%
-2.24%
-1.52%
-1.84%
4.77%
4.51%
5.02%
1.51%
empresa mercado
Y
X
opcin 3
LN(14.76/14.51)
1.71%
0.65%
1.61%
-2.68%
1.26%
-0.25%
-4.79%
-2.48%
-1.95%
-1.95%
5.21%
6.74%
9.68%
4.05%
-3.39%
0.84%
0.19%
2.30%
-1.20%
-0.63%
5.37%
2.17%
1.02%
0.27%
-2.53%
-1.23%
-0.86%
2.56%
1.59%
2.42%
-0.67%
-2.26%
-1.54%
-1.85%
4.66%
4.42%
4.90%
1.50%
21
BETAS
19/10/2009
26/10/2009
02/11/2009
09/11/2009
16/11/2009
23/11/2009
30/11/2009
07/12/2009
14/12/2009
21/12/2009
28/12/2009
04/01/2010
11/01/2010
19/01/2010
25/01/2010
01/02/2010
08/02/2010
16/02/2010
22/02/2010
01/03/2010
08/03/2010
15/03/2010
22/03/2010
29/03/2010
05/04/2010
12/04/2010
19/04/2010
26/04/2010
03/05/2010
10/05/2010
17/05/2010
24/05/2010
01/06/2010
07/06/2010
14/06/2010
21/06/2010
28/06/2010
06/07/2010
12/07/2010
19/07/2010
26/07/2010
02/08/2010
09/08/2010
16/08/2010
23/08/2010
30/08/2010
07/09/2010
13/09/2010
20/09/2010
27/09/2010
04/10/2010
11/10/2010
18/10/2010
25/10/2010
01/11/2010
08/11/2010
15/11/2010
22/11/2010
29/11/2010
06/12/2010
13/12/2010
20/12/2010
27/12/2010
03/01/2011
10/01/2011
18/01/2011
17.25
17.03
16.96
17.59
18.36
18.25
18.49
18.3
18.3
18.6
18.19
18.68
19.49
18.96
18.66
17.96
17.8
17.99
17.55
17.48
17.08
16.91
17.14
17.08
17.25
16.8
16.91
16.72
16.46
16.2
15.4
15.23
14.76
15.46
15.21
14.64
14.14
14.77
14.56
14.58
15
16.24
16.08
15.92
16.09
16.46
16.99
17.06
17.4
17.18
17.46
17.75
17.5
17.42
17.18
16.85
16.8
16.49
16.72
17.02
17.03
17.61
17.51
18.34
18.34
18.36
1079.6
1036.19
1069.3
1093.48
1091.38
1091.49
1105.98
1106.41
1102.47
1126.48
1115.1
1144.98
1136.03
1091.76
1073.87
1066.19
1075.51
1109.17
1104.49
1138.7
1149.99
1159.9
1166.59
1178.1
1194.37
1192.13
1217.28
1186.69
1110.88
1135.68
1087.69
1089.41
1064.88
1091.6
1117.51
1076.76
1022.58
1077.96
1064.88
1102.66
1101.6
1121.64
1079.25
1071.69
1064.59
1104.51
1109.55
1125.59
1148.67
1146.24
1165.15
1176.19
1183.08
1183.26
1225.85
1199.21
1199.73
1189.4
1224.71
1240.4
1243.91
1256.77
1257.64
1271.5
1293.24
1283.35
-2.93%
-1.28%
-0.41%
3.71%
4.38%
-0.60%
1.32%
-1.03%
0.00%
1.64%
-2.20%
2.69%
4.34%
-2.72%
-1.58%
-3.75%
-0.89%
1.07%
-2.45%
-0.40%
-2.29%
-1.00%
1.36%
-0.35%
1.00%
-2.61%
0.65%
-1.12%
-1.56%
-1.58%
-4.94%
-1.10%
-3.09%
4.74%
-1.62%
-3.75%
-3.42%
4.46%
-1.42%
0.14%
2.88%
8.27%
-0.99%
-1.00%
1.07%
2.30%
3.22%
0.41%
1.99%
-1.26%
1.63%
1.66%
-1.41%
-0.46%
-1.38%
-1.92%
-0.30%
-1.85%
1.39%
1.79%
0.06%
3.41%
-0.57%
4.74%
0.00%
0.11%
-0.74%
-4.02%
3.20%
2.26%
-0.19%
0.01%
1.33%
0.04%
-0.36%
2.18%
-1.01%
2.68%
-0.78%
-3.90%
-1.64%
-0.72%
0.87%
3.13%
-0.42%
3.10%
0.99%
0.86%
0.58%
0.99%
1.38%
-0.19%
2.11%
-2.51%
-6.39%
2.23%
-4.23%
0.16%
-2.25%
2.51%
2.37%
-3.65%
-5.03%
5.42%
-1.21%
3.55%
-0.10%
1.82%
-3.78%
-0.70%
-0.66%
3.75%
0.46%
1.45%
2.05%
-0.21%
1.65%
0.95%
0.59%
0.02%
3.60%
-2.17%
0.04%
-0.86%
2.97%
1.28%
0.28%
1.03%
0.07%
1.10%
1.71%
-0.76%
-2.93%
-1.28%
-0.41%
3.71%
4.38%
-0.60%
1.32%
-1.03%
0.00%
1.64%
-2.20%
2.69%
4.34%
-2.72%
-1.58%
-3.75%
-0.89%
1.07%
-2.45%
-0.40%
-2.29%
-1.00%
1.36%
-0.35%
1.00%
-2.61%
0.65%
-1.12%
-1.56%
-1.58%
-4.94%
-1.10%
-3.09%
4.74%
-1.62%
-3.75%
-3.42%
4.46%
-1.42%
0.14%
2.88%
8.27%
-0.99%
-1.00%
1.07%
2.30%
3.22%
0.41%
1.99%
-1.26%
1.63%
1.66%
-1.41%
-0.46%
-1.38%
-1.92%
-0.30%
-1.85%
1.39%
1.79%
0.06%
3.41%
-0.57%
4.74%
0.00%
0.11%
-0.74%
-4.02%
3.20%
2.26%
-0.19%
0.01%
1.33%
0.04%
-0.36%
2.18%
-1.01%
2.68%
-0.78%
-3.90%
-1.64%
-0.72%
0.87%
3.13%
-0.42%
3.10%
0.99%
0.86%
0.58%
0.99%
1.38%
-0.19%
2.11%
-2.51%
-6.39%
2.23%
-4.23%
0.16%
-2.25%
2.51%
2.37%
-3.65%
-5.03%
5.42%
-1.21%
3.55%
-0.10%
1.82%
-3.78%
-0.70%
-0.66%
3.75%
0.46%
1.45%
2.05%
-0.21%
1.65%
0.95%
0.59%
0.02%
3.60%
-2.17%
0.04%
-0.86%
2.97%
1.28%
0.28%
1.03%
0.07%
1.10%
1.71%
-0.76%
-2.97%
-1.28%
-0.41%
3.65%
4.28%
-0.60%
1.31%
-1.03%
0.00%
1.63%
-2.23%
2.66%
4.24%
-2.76%
-1.59%
-3.82%
-0.89%
1.06%
-2.48%
-0.40%
-2.31%
-1.00%
1.35%
-0.35%
0.99%
-2.64%
0.65%
-1.13%
-1.57%
-1.59%
-5.06%
-1.11%
-3.13%
4.63%
-1.63%
-3.82%
-3.47%
4.36%
-1.43%
0.14%
2.84%
7.94%
-0.99%
-1.00%
1.06%
2.27%
3.17%
0.41%
1.97%
-1.27%
1.62%
1.65%
-1.42%
-0.46%
-1.39%
-1.94%
-0.30%
-1.86%
1.39%
1.78%
0.06%
3.35%
-0.57%
4.63%
0.00%
0.11%
-0.75%
-4.10%
3.15%
2.24%
-0.19%
0.01%
1.32%
0.04%
-0.36%
2.15%
-1.02%
2.64%
-0.78%
-3.97%
-1.65%
-0.72%
0.87%
3.08%
-0.42%
3.05%
0.99%
0.86%
0.58%
0.98%
1.37%
-0.19%
2.09%
-2.55%
-6.60%
2.21%
-4.32%
0.16%
-2.28%
2.48%
2.35%
-3.71%
-5.16%
5.27%
-1.22%
3.49%
-0.10%
1.80%
-3.85%
-0.70%
-0.66%
3.68%
0.46%
1.44%
2.03%
-0.21%
1.64%
0.94%
0.58%
0.02%
3.54%
-2.20%
0.04%
-0.86%
2.93%
1.27%
0.28%
1.03%
0.07%
1.10%
1.70%
-0.77%
22
BETAS
24/01/2011
31/01/2011
07/02/2011
14/02/2011
22/02/2011
28/02/2011
07/03/2011
14/03/2011
21/03/2011
28/03/2011
04/04/2011
11/04/2011
18/04/2011
25/04/2011
02/05/2011
09/05/2011
16/05/2011
23/05/2011
31/05/2011
06/06/2011
13/06/2011
20/06/2011
27/06/2011
05/07/2011
11/07/2011
18/07/2011
25/07/2011
01/08/2011
08/08/2011
15/08/2011
22/08/2011
29/08/2011
06/09/2011
12/09/2011
19/09/2011
26/09/2011
03/10/2011
10/10/2011
17/10/2011
24/10/2011
31/10/2011
07/11/2011
14/11/2011
21/11/2011
28/11/2011
05/12/2011
12/12/2011
19/12/2011
27/12/2011
03/01/2012
09/01/2012
17/01/2012
23/01/2012
30/01/2012
06/02/2012
13/02/2012
21/02/2012
27/02/2012
05/03/2012
12/03/2012
19/03/2012
26/03/2012
02/04/2012
09/04/2012
16/04/2012
23/04/2012
18.15
19.3
18.83
19.19
18.86
19.66
19.47
20.18
20.35
20.38
20.46
20.53
19.79
20.97
20.55
20.92
20.69
20.93
20.84
20.11
20.26
20.08
20.75
20.16
19.75
20.07
19.25
17.49
17.86
17.67
18.21
18.46
18.28
18.15
17.45
17.68
18.44
19.04
19.06
19.82
19.66
19.99
19.53
18.45
19.89
20.56
21.03
21.83
21.64
21.57
21.84
21.9
21.48
21.2
21.05
21.19
21.18
21.41
21.48
21.94
21.82
22.65
22.34
21.85
22.56
23.08
1276.34
1310.87
1329.15
1343.01
1319.88
1321.15
1304.28
1279.21
1313.8
1332.41
1328.17
1319.68
1337.38
1363.61
1340.2
1337.77
1333.27
1331.1
1300.16
1270.98
1271.5
1268.45
1339.67
1343.8
1316.14
1345.02
1292.28
1199.38
1178.81
1123.53
1176.8
1173.97
1154.23
1216.01
1136.43
1131.42
1155.46
1224.58
1238.25
1285.09
1253.23
1263.85
1215.65
1158.67
1244.28
1255.19
1219.66
1265.33
1257.6
1277.81
1289.09
1315.38
1316.33
1344.9
1342.64
1361.23
1365.74
1369.63
1370.87
1404.17
1397.11
1408.47
1398.08
1370.26
1378.53
1403.36
-1.14%
6.34%
-2.44%
1.91%
-1.72%
4.24%
-0.97%
3.65%
0.84%
0.15%
0.39%
0.34%
-3.60%
5.96%
-2.00%
1.80%
-1.10%
1.16%
-0.43%
-3.50%
0.75%
-0.89%
3.34%
-2.84%
-2.03%
1.62%
-4.09%
-9.14%
2.12%
-1.06%
3.06%
1.37%
-0.98%
-0.71%
-3.86%
1.32%
4.30%
3.25%
0.11%
3.99%
-0.81%
1.68%
-2.30%
-5.53%
7.80%
3.37%
2.29%
3.80%
-0.87%
-0.32%
1.25%
0.27%
-1.92%
-1.30%
-0.71%
0.67%
-0.05%
1.09%
0.33%
2.14%
-0.55%
3.80%
-1.37%
-2.19%
3.25%
2.30%
-0.55%
2.71%
1.39%
1.04%
-1.72%
0.10%
-1.28%
-1.92%
2.70%
1.42%
-0.32%
-0.64%
1.34%
1.96%
-1.72%
-0.18%
-0.34%
-0.16%
-2.32%
-2.24%
0.04%
-0.24%
5.61%
0.31%
-2.06%
2.19%
-3.92%
-7.19%
-1.72%
-4.69%
4.74%
-0.24%
-1.68%
5.35%
-6.54%
-0.44%
2.12%
5.98%
1.12%
3.78%
-2.48%
0.85%
-3.81%
-4.69%
7.39%
0.88%
-2.83%
3.74%
-0.61%
1.61%
0.88%
2.04%
0.07%
2.17%
-0.17%
1.38%
0.33%
0.28%
0.09%
2.43%
-0.50%
0.81%
-0.74%
-1.99%
0.60%
1.80%
-1.14%
6.34%
-2.44%
1.91%
-1.72%
4.24%
-0.97%
3.65%
0.84%
0.15%
0.39%
0.34%
-3.60%
5.96%
-2.00%
1.80%
-1.10%
1.16%
-0.43%
-3.50%
0.75%
-0.89%
3.34%
-2.84%
-2.03%
1.62%
-4.09%
-9.14%
2.12%
-1.06%
3.06%
1.37%
-0.98%
-0.71%
-3.86%
1.32%
4.30%
3.25%
0.11%
3.99%
-0.81%
1.68%
-2.30%
-5.53%
7.80%
3.37%
2.29%
3.80%
-0.87%
-0.32%
1.25%
0.27%
-1.92%
-1.30%
-0.71%
0.67%
-0.05%
1.09%
0.33%
2.14%
-0.55%
3.80%
-1.37%
-2.19%
3.25%
2.30%
-0.55%
2.71%
1.39%
1.04%
-1.72%
0.10%
-1.28%
-1.92%
2.70%
1.42%
-0.32%
-0.64%
1.34%
1.96%
-1.72%
-0.18%
-0.34%
-0.16%
-2.32%
-2.24%
0.04%
-0.24%
5.61%
0.31%
-2.06%
2.19%
-3.92%
-7.19%
-1.72%
-4.69%
4.74%
-0.24%
-1.68%
5.35%
-6.54%
-0.44%
2.12%
5.98%
1.12%
3.78%
-2.48%
0.85%
-3.81%
-4.69%
7.39%
0.88%
-2.83%
3.74%
-0.61%
1.61%
0.88%
2.04%
0.07%
2.17%
-0.17%
1.38%
0.33%
0.28%
0.09%
2.43%
-0.50%
0.81%
-0.74%
-1.99%
0.60%
1.80%
-1.15%
6.14%
-2.47%
1.89%
-1.73%
4.15%
-0.97%
3.58%
0.84%
0.15%
0.39%
0.34%
-3.67%
5.79%
-2.02%
1.78%
-1.11%
1.15%
-0.43%
-3.57%
0.74%
-0.89%
3.28%
-2.88%
-2.05%
1.61%
-4.17%
-9.59%
2.09%
-1.07%
3.01%
1.36%
-0.98%
-0.71%
-3.93%
1.31%
4.21%
3.20%
0.10%
3.91%
-0.81%
1.66%
-2.33%
-5.69%
7.52%
3.31%
2.26%
3.73%
-0.87%
-0.32%
1.24%
0.27%
-1.94%
-1.31%
-0.71%
0.66%
-0.05%
1.08%
0.33%
2.12%
-0.55%
3.73%
-1.38%
-2.22%
3.20%
2.28%
-0.55%
2.67%
1.38%
1.04%
-1.74%
0.10%
-1.29%
-1.94%
2.67%
1.41%
-0.32%
-0.64%
1.33%
1.94%
-1.73%
-0.18%
-0.34%
-0.16%
-2.35%
-2.27%
0.04%
-0.24%
5.46%
0.31%
-2.08%
2.17%
-4.00%
-7.46%
-1.73%
-4.80%
4.63%
-0.24%
-1.70%
5.21%
-6.77%
-0.44%
2.10%
5.81%
1.11%
3.71%
-2.51%
0.84%
-3.89%
-4.80%
7.13%
0.87%
-2.87%
3.68%
-0.61%
1.59%
0.88%
2.02%
0.07%
2.15%
-0.17%
1.38%
0.33%
0.28%
0.09%
2.40%
-0.50%
0.81%
-0.74%
-2.01%
0.60%
1.79%
23
BETAS
30/04/2012
07/05/2012
14/05/2012
21/05/2012
29/05/2012
04/06/2012
11/06/2012
18/06/2012
25/06/2012
22.38
22.65
22.57
22.13
21.64
22.14
22.61
22.73
23
1369.1
1353.39
1295.22
1317.82
1278.04
1325.66
1342.84
1335.02
1362.16
-3.03%
1.21%
-0.35%
-1.95%
-2.21%
2.31%
2.12%
0.53%
1.19%
-2.44%
-1.15%
-4.30%
1.74%
-3.02%
3.73%
1.30%
-0.58%
2.03%
-3.03%
1.21%
-0.35%
-1.95%
-2.21%
2.31%
2.12%
0.53%
1.19%
-2.44%
-1.15%
-4.30%
1.74%
-3.02%
3.73%
1.30%
-0.58%
2.03%
-3.08%
1.20%
-0.35%
-1.97%
-2.24%
2.28%
2.10%
0.53%
1.18%
-2.47%
-1.15%
-4.39%
1.73%
-3.07%
3.66%
1.29%
-0.58%
2.01%
EN RESUMEN:
Primera metodologa para encontrar la beta de empresa Pfizer (PFE) y mercado S&P 500:

La varianza son las todas variaciones del mercado = VARP(datos mercado) =

0.06%
COVARIANZA
0.0437%
VARIANZA
0.0634%
varianza mercado
BETA
0.69
covarianza/varianza
La beta = covarianza / varianza = 0.69 (General)
24
BETAS
Beta Pfizer (PFE) y S&P 500

15.00%
10.00%
y = 0.6913x + 0.0014
R = 0.393
5.00%
-10.00%
0.00%
-5.00%
0.00%
-5.00%
Series1
5.00%
10.00%
Lineal (Series1)
-10.00%
-15.00%
EJES:
EJE X
EJE Y
BETA
0.69
0.68824447
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
25
BETAS
Resumen
Coeficiente de
correlacin
mltiple
0.626863592
Coeficiente de
determinacin
R^2
0.392957964
R^2 ajustado
Error tpico
0.389115925
0.02175437
Observaciones
160
ANLISIS DE VARIANZA
Grados de
libertad
Regresin
Suma de
cuadrados
Promedio
de los
cuadrados
1 0.04840357 0.04840357
Residuos
158 0.07477391 0.00047325
Total
159 0.12317749
Coeficientes
Intercepcin
Variable X 1
Error
tpico
Estadstico
t
0.001441566 0.00172926 0.8336336

0.691300097 0.06835565 10.1132841
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
Valor
crtico de F
102.278515 7.4978E-19
Probabilidad
Inferior
95%
Superior
95%
Inferior
95.0%
Superior
95.0%
0.40574597 0.00197387 0.004857 0.00197387 0.004857

7.4978E-19 0.5562914 0.8263088 0.5562914 0.8263088
C. FACEBOOK (FB) Y MERCADO NASDAQ

5. Betas empresa Facebook (FB) y mercado (NASDAQ)
5.1. Primera metodologa: beta empresa Facebook (FB) y mercado NASDAQ
Metodologa:
a. Primer paso descargar informacin de la empresa. Pfizer (PFE)
b. Segundo paso descargar la informacin del mercado. (S&P 500)
c. Determinar las variaciones que ha habido en los precios de las acciones para ellos
tres frmulas.
d. Identificar cual es el segmento Y el segmento X.
26
BETAS
e. La empresa siempre va ser el eje de las Y, el mercado el eje de las X.
f. El siguiente paso es determinar la covarianza
g. Ahora la Varianza
h. El siguiente paso es determinar la Beta
i. La pendiente (slope)
j. Ahora vamos a determinar la dispersin
k. Calculo de la regresin, es necesario ir a datos y anlisis de datos.
Por lo tanto, podemos realizar el clculo mediante cualquiera de las frmulas siguientes:
Formula 1:
1:
Frmula 2:
2:
1 = Variacin
Del 5 de Agosto del 2013 al 18 de mayo del 2012. (Del ms actual al ms lejano)
Empresa
Mercado
Empresa
Mercado
Empresa
Mercado
Facebook
Nasdaq
Date
Adj Close
Adj Close
05/08/2013
39.19
3692.95
29/07/2013
38.05
3689.59
0.02996058
0.00091067
0.02996058
0.00091067
22/07/2013
34.01
3613.16
0.11878859
0.02115323
0.11878859
0.02115323
15/07/2013
25.88
3587.61
0.31414219
0.00712173
0.31414219
0.00712173
08/07/2013
25.91
3600.08
-0.00115785
-0.00346381
-0.00115785
-0.00346381
01/07/2013
24.37
3479.38
0.06319245
0.03469009
0.06319245
0.03469009
24/06/2013
24.88
3403.25
-0.02049839
0.02236979
-0.02049839
0.02236979
17/06/2013
24.53
3357.25
0.01426824
0.01370169
0.01426824
0.01370169
10/06/2013
23.63
3423.56
0.03808718
-0.01936873
0.03808718
-0.01936873
03/06/2013
23.29
3469.22
0.01459854
-0.01316146
0.01459854
-0.01316146
27
BETAS
28/05/2013
24.35
3455.91
-0.04353183
0.00385137
-0.04353183
0.00385137
20/05/2013
24.31
3459.14
0.00164541
-0.00093376
0.00164541
-0.00093376
13/05/2013
26.25
3498.97
-0.07390476
-0.01138335
-0.07390476
-0.01138335
06/05/2013
26.68
3436.58
-0.01611694
0.01815468
-0.01611694
0.01815468
29/04/2013
28.31
3378.63
-0.05757683
0.01715192
-0.05757683
0.01715192
22/04/2013
26.85
3279.26
0.05437616
0.03030257
0.05437616
0.03030257
15/04/2013
25.73
3206.06
0.04352895
0.02283176
0.04352895
0.02283176
08/04/2013
27.4
3294.95
-0.06094891
-0.02697765
-0.06094891
-0.02697765
01/04/2013
27.39
3203.86
0.0003651
0.02843133
0.0003651
0.02843133
25/03/2013
25.58
3267.52
0.07075841
-0.01948267
0.07075841
-0.01948267
18/03/2013
25.73
3245
-0.00582977
0.00693991
-0.00582977
0.00693991
11/03/2013
26.65
3249.07
-0.03452158
-0.00125267
-0.03452158
-0.00125267
04/03/2013
27.96
3244.37
-0.04685265
0.00144866
-0.04685265
0.00144866
25/02/2013
27.78
3169.74
0.00647948
0.02354452
0.00647948
0.02354452
19/02/2013
27.13
3161.82
0.02395872
0.00250489
0.02395872
0.00250489
11/02/2013
28.32
3192.03
-0.04201977
-0.0094642
-0.04201977
-0.0094642
04/02/2013
28.55
3193.87
-0.00805604
-0.0005761
-0.00805604
-0.0005761
28/01/2013
29.73
3179.1
-0.03969055
0.00464597
-0.03969055
0.00464597
22/01/2013
31.54
3149.71
-0.05738744
0.00933102
-0.05738744
0.00933102
14/01/2013
29.66
3134.71
0.06338503
0.00478513
0.06338503
0.00478513
07/01/2013
31.72
3125.64
-0.06494325
0.00290181
-0.06494325
0.00290181
31/12/2012
28.76
3101.66
0.10292072
0.00773134
0.10292072
0.00773134
24/12/2012
25.91
2960.31
0.10999614
0.04774838
0.10999614
0.04774838
17/12/2012
26.26
3021.01
-0.01332826
-0.02009262
-0.01332826
-0.02009262
10/12/2012
26.81
2971.33
-0.02051473
0.01671979
-0.02051473
0.01671979
03/12/2012
27.49
2978.04
-0.02473627
-0.00225316
-0.02473627
-0.00225316
26/11/2012
28
3010.24
-0.01821429
-0.01069682
-0.01821429
-0.01069682
19/11/2012
24
2966.85
0.16666667
0.01462494
0.16666667
0.01462494
12/11/2012
23.56
2853.13
0.01867572
0.03985798
0.01867572
0.03985798
05/11/2012
19.21
2904.87
0.22644456
-0.01781147
0.22644456
-0.01781147
31/10/2012
21.18
2982.13
-0.09301228
-0.02590766
-0.09301228
-0.02590766
22/10/2012
21.94
2987.95
-0.03463993
-0.00194782
-0.03463993
-0.00194782
15/10/2012
19
3005.62
0.15473684
-0.00587899
0.15473684
-0.00587899
08/10/2012
19.52
3044.11
-0.02663934
-0.01264409
-0.02663934
-0.01264409
01/10/2012
20.91
3136.19
-0.06647537
-0.02936047
-0.06647537
-0.02936047
24/09/2012
21.66
3116.23
-0.03462604
0.00640518
-0.03462604
0.00640518
17/09/2012
22.86
3179.96
-0.05249344
-0.02004113
-0.05249344
-0.02004113
28
BETAS
10/09/2012
22
3183.95
0.03909091
-0.00125316
0.03909091
-0.00125316
04/09/2012
18.98
3136.42
0.15911486
0.01515422
0.15911486
0.01515422
27/08/2012
18.06
3066.96
0.05094131
0.02264783
0.05094131
0.02264783
20/08/2012
19.41
3069.79
-0.06955178
-0.00092189
-0.06955178
-0.00092189
13/08/2012
19.05
3076.59
0.01889764
-0.00221024
0.01889764
-0.00221024
06/08/2012
21.81
3020.86
-0.12654746
0.01844839
-0.12654746
0.01844839
30/07/2012
21.09
2967.9
0.0341394
0.01784427
0.0341394
0.01784427
23/07/2012
23.71
2958.09
-0.1105019
0.00331633
-0.1105019
0.00331633
16/07/2012
28.76
2925.3
-0.1755911
0.01120911
-0.1755911
0.01120911
09/07/2012
30.72
2908.47
-0.06380208
0.00578655
-0.06380208
0.00578655
02/07/2012
31.73
2937.33
-0.03183107
-0.00982525
-0.03183107
-0.00982525
25/06/2012
31.1
2935.05
0.02025723
0.00077682
0.02025723
0.00077682
18/06/2012
33.05
2892.42
-0.05900151
0.01473852
-0.05900151
0.01473852
11/06/2012
30.01
2872.8
0.10129957
0.00682957
0.10129957
0.00682957
04/06/2012
27.1
2858.42
0.10738007
0.00503075
0.10738007
0.00503075
29/05/2012
27.72
2747.48
-0.02236652
0.04037882
-0.02236652
0.04037882
21/05/2012
31.91
2837.53
-0.1313068
-0.03173535
-0.1313068
-0.03173535
18/05/2012
38.23
2778.79
-0.1653152
0.0211387
-0.1653152
0.0211387
EN RESUMEN:
Primera metodologa para encontrar la beta de empresa Facebook (FB) y mercado Nasdaq:

La varianza son las todas variaciones del mercado = VARP (datos mercado) =
0.00029763%

Donde la frmula para encontrar la Beta es la siguiente:
=
(), ()

29
BETAS
COVARIANZA
0.00025767
Covarianza empresa-mercado
VARIANZA
0.00029763
Varianza mercado
BETA
0.86575066
EN RESUMEN:
Lo que podemos advertir de la beta de 0.86 es lo siguiente: Lo que significa es que

esta empresa no muy susceptible a los movimientos del mercado (Nasdaq). Por lo
tanto, la empresa es poco sensible a las variaciones del mercado (Nasdaq) ya la Beta
(0.86) es menor que 1, por lo tanto, si el mercado subiera un 10% la empresa
Facebook subira un 8.6%.
5.2. Segunda metodologa: mediante la grfica de dispersin.
Beta Facebook (FB) y Nasdaq.

0.4
y = 0.8658x - 6E-06
R = 0.0298
0.3
0.2
0.1
Series1
Lineal (Series1)
0
-0.04
-0.02
0.02
0.04
0.06
-0.1
-0.2
-0.3
EJES:
EJE X
EJE Y
30
BETAS
BETA
0.86
0.86575066
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO

Procedimiento:

serie X = datos del mercado

serie Y = datos de la empresa
variable independiente
variable dependiente
31
BETAS
Resumen
Coeficiente de
correlacin
mltiple
0.17252621
Coeficiente de
determinacin
R^2
0.02976529
R^2 ajustado
0.01411634
Error tpico
0.08663765
Observaciones
64
ANLISIS DE VARIANZA
Grados de
libertad
Suma de
cuadrados
Promedio de
los
cuadrados
Regresin
1 0.01427705 0.014277046
Residuos
62 0.46537711 0.007506082
Total
63 0.47965416
Intercepcin
Variable X 1
Valor
crtico de F
1.90206357 0.17280247
Error
Inferior
Superior
Inferior
Superior
Coeficientes
tpico
Estadstico t Probabilidad
95%
95%
95.0%
95.0%
-6.4441E06 0.01120836 0.000574938 0.99954311 0.02241164 0.02239875 0.02241164 0.02239875
0.86575066 0.62774074 1.379153207 0.17280247 0.38908521 2.12058652 0.38908521 2.12058652
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
6. Betas empresa Facebook (FB) y mercado (NASDAQ)

6.1. Primera metodologa: beta empresa Facebook (FB) y mercado NASDAQ
32
BETAS
Por lo tanto, podemos realizar el clculo mediante cualquiera de las frmulas siguientes:
Frmula 1:

Del 18 de mayo del 2012 al 5 de agosto del 2013 (Del ms lejano al ms actual)
1
Facebook
Nasdaq
empresa
mercado
Date
Adj Close
Adj Close
Facebook
Nasdaq
18/05/2012
38.23
2778.79
Retorno
Retorno
21/05/2012
31.91
2837.53
-0.1653
0.0211
29/05/2012
27.72
2747.48
-0.1313
-0.0317
04/06/2012
27.1
2858.42
-0.0224
0.0404
11/06/2012
30.01
2872.8
0.1074
0.0050
18/06/2012
33.05
2892.42
0.1013
0.0068
25/06/2012
31.1
2935.05
-0.0590
0.0147
02/07/2012
31.73
2937.33
0.0203
0.0008
09/07/2012
30.72
2908.47
-0.0318
-0.0098
16/07/2012
28.76
2925.3
-0.0638
0.0058
23/07/2012
23.71
2958.09
-0.1756
0.0112
30/07/2012
21.09
2967.9
-0.1105
0.0033
06/08/2012
21.81
3020.86
0.0341
0.0178
13/08/2012
19.05
3076.59
-0.1265
0.0184
20/08/2012
19.41
3069.79
0.0189
-0.0022
27/08/2012
18.06
3066.96
-0.0696
-0.0009
04/09/2012
18.98
3136.42
0.0509
0.0226
10/09/2012
22
3183.95
0.1591
0.0152
17/09/2012
22.86
3179.96
0.0391
-0.0013
24/09/2012
21.66
3116.23
-0.0525
-0.0200
01/10/2012
20.91
3136.19
-0.0346
0.0064
08/10/2012
19.52
3044.11
-0.0665
-0.0294
15/10/2012
19
3005.62
-0.0266
-0.0126
22/10/2012
21.94
2987.95
0.1547
-0.0059
31/10/2012
21.18
2982.13
-0.0346
-0.0019
05/11/2012
19.21
2904.87
-0.0930
-0.0259
12/11/2012
23.56
2853.13
0.2264
-0.0178
19/11/2012
24
2966.85
0.0187
0.0399
26/11/2012
28
3010.24
0.1667
0.0146
03/12/2012
27.49
2978.04
-0.0182
-0.0107
10/12/2012
26.81
2971.33
-0.0247
-0.0023
17/12/2012
26.26
3021.01
-0.0205
0.0167
33
BETAS
24/12/2012
25.91
2960.31
-0.0133
-0.0201
31/12/2012
28.76
3101.66
0.1100
0.0477
07/01/2013
31.72
3125.64
0.1029
0.0077
14/01/2013
29.66
3134.71
-0.0649
0.0029
22/01/2013
31.54
3149.71
0.0634
0.0048
28/01/2013
29.73
3179.1
-0.0574
0.0093
04/02/2013
28.55
3193.87
-0.0397
0.0046
11/02/2013
28.32
3192.03
-0.0081
-0.0006
19/02/2013
27.13
3161.82
-0.0420
-0.0095
25/02/2013
27.78
3169.74
0.0240
0.0025
04/03/2013
27.96
3244.37
0.0065
0.0235
11/03/2013
26.65
3249.07
-0.0469
0.0014
18/03/2013
25.73
3245
-0.0345
-0.0013
25/03/2013
25.58
3267.52
-0.0058
0.0069
01/04/2013
27.39
3203.86
0.0708
-0.0195
08/04/2013
27.4
3294.95
0.0004
0.0284
15/04/2013
25.73
3206.06
-0.0609
-0.0270
22/04/2013
26.85
3279.26
0.0435
0.0228
29/04/2013
28.31
3378.63
0.0544
0.0303
06/05/2013
26.68
3436.58
-0.0576
0.0172
13/05/2013
26.25
3498.97
-0.0161
0.0182
20/05/2013
24.31
3459.14
-0.0739
-0.0114
28/05/2013
24.35
3455.91
0.0016
-0.0009
03/06/2013
23.29
3469.22
-0.0435
0.0039
10/06/2013
23.63
3423.56
0.0146
-0.0132
17/06/2013
24.53
3357.25
0.0381
-0.0194
24/06/2013
24.88
3403.25
0.0143
0.0137
01/07/2013
24.37
3479.38
-0.0205
0.0224
08/07/2013
25.91
3600.08
0.0632
0.0347
15/07/2013
25.88
3587.61
-0.0012
-0.0035
22/07/2013
34.01
3613.16
0.3141
0.0071
29/07/2013
38.05
3689.59
0.1188
0.0212
05/08/2013
39.19
3692.95
0.0300
0.0009
EN RESUMEN:
Primera metodologa para encontrar la beta de empresa Facebook (FB) y mercado Nasdaq:

34
BETAS
La varianza son las todas variaciones del mercado = VARP (datos mercado) =
0.00029763%

Donde la frmula para encontrar la Beta es la siguiente:
=
(), ()

COVARIANZA
0.00025767
Covarianza empresa-mercado
VARIANZA
0.00029763
Varianza mercado
BETA
0.86575066
EN RESUMEN:
Lo que podemos advertir de la beta de 0.86 es lo siguiente: Lo que significa es que

esta empresa no muy susceptible a los movimientos del mercado (Nasdaq). Por lo
tanto, la empresa es poco sensible a las variaciones del mercado (Nasdaq) ya la Beta
(0.86) es menor que 1, por lo tanto, si el mercado subiera un 10% la empresa
Facebook subira un 8.6%.
35
BETAS
6.2. Segunda metodologa: mediante la grfica de dispersin.
Beta Facebook (FB) Y Nasdaq

0.4000
0.3000
-0.0400
0.2000
y = 0.8658x - 6E-06
R = 0.0298
0.1000
Series1
0.0000
-0.0200 0.0000
-0.1000
Lineal (Series1)
0.0200
0.0400
0.0600
-0.2000
-0.3000
EJES:
EJE X
EJE Y
6.3. Tercera metodologa mediante la frmula pendiente
BETA
0.86
0.86575066
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
36
BETAS
Procedimiento:

variable independiente
variable dependiente
serie X = datos del mercado

serie Y = datos de la empresa
Coeficiente de
correlacin
mltiple
0.17252621
Coeficiente de
determinacin
R^2
0.02976529
R^2 ajustado
0.01411634
Error tpico
0.08663765
Observaciones
64
ANLISIS DE VARIANZA
Grados de
libertad
Suma de
cuadrados
Promedio
de los
cuadrados
Regresin
1 0.01427705 0.01427705
Residuos
62 0.46537711 0.00750608
Total
63 0.47965416
Intercepcin
Variable X 1
Valor
crtico de F
1.90206357 0.17280247
Error
Estadstico
Inferior
Superior
Inferior
Superior
Coeficientes
tpico
t
Probabilidad
95%
95%
95.0%
95.0%
-6.4441E06 0.01120836 0.00057494 0.99954311 0.02241164 0.02239875 0.02241164 0.02239875
0.86575066 0.62774074 1.37915321 0.17280247 0.38908521 2.12058652 0.38908521 2.12058652
CONOCIDO Y
EMPRESA
CONOCIDO X
NDICE DE MERCADO
37
BETAS
BIBLIOGRAFA
Block, S. B., Hirt, G. A., & Danielse, B. R. (2011). Fundamentos administracion financiera. Mxico D.
F.: McGraww HillmInteramericana Editorres S. A. de C. V.
Fabozzi, F. J., Modigliano, F., & Ferri, M. G. (1996). Mercados e Instituciones Financieras. Mxico D.
F.: Prentice-Hall Hispanoamericana, S. A.
Ross, S. A., Westerfield, R. W., & Jaffe, J. F. (2010). Finanzas corporativas. Mxico: Edamsa
Impresiones, S. A. de C. V.
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BETAS

ARQ. ALVARO COUTIO G

COCACOLA Y S&P 500 ........................................................................................................... 3

Betas empresa Coca-Cola (KO) y mercado (S&P 500) .............................................................. 3

Segunda metodologa mediante la grfica de dispersin .................................................... 7

Tercera metodologa mediante la frmula pendiente. ......................................................... 7

Cuarta metodologa mediante la regresin: ......................................................................... 8

Betas empresa Coca-Cola (KO) y mercado (S&P 500) .............................................................. 8

Segunda metodologa mediante la grfica de dispersin .................................................. 13

Tercera metodologa mediante la frmula pendiente ........................................................ 14

Cuarta metodologa mediante la regresin ........................................................................ 14

PFIZER (PFE) Y MERCADO S&P 500................................................................................... 15

Betas empresa Pfizer (PFE) y mercado (S&P 500) ................................................................... 15

Primera metodologa: beta empresa pfizer (pfe) y mercado ............................................. 15

Segunda metodologa mediante la grfica de dispersin .................................................. 19

Tercera metodologa mediante la frmula pendiente. ....................................................... 20

Cuarta metodologa: Regresin ......................................................................................... 20

Betas empresa Pfizer (PFE) y mercado (S&P 500) ................................................................... 21

Primera metodologa: beta empresa Pfizer (pfe) y mercado ............................................. 21

Segunda metodologa mediante la grfica de dispersin .................................................. 25

Tercera metodologa mediante la frmula pendiente. ..................................................... 25

Cuarta metodologa: Regresin......................................................................................... 26

FACEBOOK (FB) Y MERCADO NASDAQ .......................................................................... 26

Betas empresa Facaebookr (FB) y mercado (NASDAQ).......................................................... 26

Primera metodologa: beta empresa Facebook (FB) y mercado NASDAQ ...................... 26

Segunda metodologa: mediante la grfica de dispersin. ................................................ 30

Tercera metodologa mediante la frmula pendiente. ....................................................... 31

Cuarta metodologa: Regresin ......................................................................................... 31

Betas empresa Facaebookr (FB) y mercado (NASDAQ).......................................................... 32

Primera metodologa: beta empresa Facebook (FB) y mercado NASDAQ ...................... 32

Segunda metodologa: mediante la grfica de dispersin. ................................................ 36

Tercera metodologa mediante la frmula pendiente ........................................................ 36

Cuarta metodologa: Regresin ......................................................................................... 37

Primer paso descargar informacin de la empresa. Coca-Cola (KO)

Segundo paso descargar la informacin del mercado. (S&P 500)

Identificar cual es el segmento Y el segmento X.

La empresa siempre va ser el eje de las Y, el mercado el eje de las X.

El siguiente paso es determinar la covarianza

El siguiente paso es determinar la Beta

Ahora vamos a determinar la dispersin

Calculo de la regresin, es necesario ir a datos y anlisis de datos.

covarianza empresa mercado

Beta (KO) y Mercado (Standard and Poors 500)

RETORNOS DEL MERCADO

RETORNOS EMPRESA A INVERTIR

1.3. Tercera metodologa mediante la frmula pendiente.

Donde, la frmula pendiente es la siguiente:

= PENDIENTE (conocido Y empresa, conocido X mercado) = 0.54768

Calculo en base a la funcin Excel de pendiente. (slope)

0.002467834 0.0013398 1.84194594

0.06739404 0.00017878 0.00511445 0.00017878 0.00511445

1.4. Cuarta metodologa mediante la regresin:

2. Betas empresa Coca-Cola (KO) y mercado (S&P 500)

Primer paso descargar informacin de la empresa. Coca-Cola (KO)

Segundo paso descargar la informacin del mercado. (S&P 500)

Identificar cual es el segmento Y el segmento X.

La empresa siempre va ser el eje de las y y el mercado el eje de las x.

El siguiente paso es determinar la covarianza

El siguiente paso es determinar la Beta

Ahora vamos a determinar la dispersin

Calculo de la regresin, es necesario ir a datos y anlisis de datos.

30 julio del 2009 / al 30 julio del 2012

Standard Poors 500

covarianza empresa mercado