FINANZAS PARA MARKETING

GUÍA 5
CAPM
CASO 1

Datos (PARTE 1) CAPM = RF + BETA * ( KM - RF )

RF 3%
TIR = Rend. Esp% 9.40% CAPM < TIR …............... Se Acepta
KM 11% CAPM = TIR …............... Se Acepta / Se Rechaza
BETA ??? CAPM > TIR …............... Se Rechaza

9.40% = 3% + BETA * ( 11% - 3% )

BETA = 9.40% - 3%
11 - 3%

BETA = 0.80

Datos (PARTE 2) CAPM = RF + BETA * ( KM - RF )

RF 5%
TIR = Rend. Esp% 9.40% CAPM = 5% + 0.80 * ( 11% - 5% )
KM 11% CAPM = 9.80%
BETA 0.80
CAPM > TIR …............... Se Rechaza
FINANZAS PARA MARKETING
GUÍA 5
CAPM
CASO 2

DATOS Modelo CAPM

beta 0.75 CAPM = RF + B x ( KM - RF )

Precio (t-1) S/. 50.00
Dividendo Ct S/. 2.00 CAPM = 4% + 0.75 * 8%
RF 4%
Prima riesgo [ KM -RF ] 8% CAPM = 10.00%
Precio t ????
 1) RENDIMIENTO
𝑘_𝑡=(𝐶_𝑡+𝑃_𝑡−𝑃_(𝑡−1))/𝑃_(𝑡−1)

10%=(2+𝑃_𝑡−50)/50

Pt = [ 10% * 50 ] - 2 + 50

Ct = Beneficio esperado
Pt = Precio en el tiempo t
Pt-1 = Precio en el tiempo t-1

Pt = S/. 53.00
FINANZAS PARA MARKETING
GUÍA 5
CAPM
CASO 3
X Y
Mes S&P 500 BRISTOL
1 0% 1% Pendiente beta
2 0% -1% 5%
3 -1% -2.50% 4%
4 -1% -0.50%
3%
5 1% 2% f(x) = 1.5 x + 5.4856772946511E-19
2%
6 1% 1%
7 2% 4% 1%
8 2% 2% 0%
-3% -2% -2% -1% -1% 0% 0% 1%
9 -2% -2% -1%
10 -2% -4% -2%

BETA 1.50 -3%

FUNCION PENDIENTE -4%
-5%
 Pendiente beta
5%
4%
3%
6772946511E-19
2%
1%
0%
-1% 0% 0% 1% 2% 2% 3%
-1%
-2%
-3%
-4%
-5%
FINANZAS PARA MARKETING
GUÍA 5
CAPM
CASO 4

CAPM VF = VP * ( 1 + i ) ^ n
Tasa requerida 12% 12%
VP = VF
Año Proyecto A Proyecto B (1+i)^n
Inversión -S/. 10,000.00 -S/. 10,000.00
1 S/. 6,500.00 S/. 3,500.00 VP = S/. 6,500.00
2 S/. 3,000.00 S/. 3,500.00 ( 1 + 12% ) ^ 1
3 S/. 3,000.00 S/. 3,500.00
4 S/. 1,000.00 S/. 3,500.00 VP = S/. 5,803.57

VP = S/. 10,966.01
VPN (VAN) S/. 966.01 S/. 630.72
función excel VNA Inversión -S/. 10,000.00

TIR 18.03% 14.96% vpn = S/. 966.01

función excel TIR

IR 1.10 1.06
O= S/. 6,500.00
PR ( 1 + TIR ) ^ 1

PRD
vpn = S/. -

IR = S/. 10,966.01
S/. 10,000.00

IR = 1.10
 VAN

VF VF VF
(1+i)^n (1+i)^n (1+i)^n

S/. 3,000.00 S/. 3,000.00 S/. 1,000.00

( 1 + 12% ) ^ 2 ( 1 + 12% ) ^ 3 ( 1 + 12% ) ^ 4

S/. 2,391.58 S/. 2,135.34 S/. 635.52

VPN (VAN) = POSITIVO …... SE ACEPTA

VPN (VAN) = "0" …... SE ACEPTA / SE RECHAZA
VPN (VAN) = NEGATIVO …... SE RECHAZA

TIR

S/. 3,000.00 S/. 3,000.00 S/. 1,000.00

( 1 + TIR ) ^ 2 ( 1 + TIR ) ^ 3 ( 1 + TIR ) ^ 4

TIR > CAPM …... SE ACEPTA

TIR = CAPM …... SE ACEPTA / SE RECHAZA
TIR < CAPM = NEGATIVO …... SE RECHAZA

IR

IR > 1 …... SE ACEPTA

IR = 1 …... SE ACEPTA / SE RECHAZA
IR < 1 …... SE RECHAZA