Компания – название компании. Год – год, на который проводились расчеты по компании. Цена – цена открытия акции в день, на который проводился расчет. PV – приведенная стоимость доходов по акции, рассчитанная на выбранную дата. P-PV – разница между ценой и рассчитанной приведенной стоимостью доходов.
Расчеты автора.
| Dependent Variable: P | ||||
| Method: Least Squares | ||||
| Date: 05/11/08 Time: 16:59 | ||||
| Sample: 1 100 | ||||
| Included observations: 100 | ||||
| Variable | Coefficient | Std. Error | t-Statistic | Prob. |
| PV | -0.081065 | 0.221320 | -0.366278 | 0.7149 |
| C | 47.77001 | 6.177062 | 7.733450 | 0.0000 |
| R-squared | 0.001367 | Mean dependent var | 46.77670 | |
| Adjusted R-squared | -0.008823 | S.D. dependent var | 55.25610 | |
| S.E. of regression | 55.49933 | Akaike info criterion | 10.89042 | |
| Sum squared resid | 301857.2 | Schwarz criterion | 10.94252 | |
| Log likelihood | -542.5208 | F-statistic | 0.134160 | |
| Durbin-Watson stat | 2.101912 | Prob(F-statistic) | 0.714947 | |
Проверена модель регрессии: P=PV+c, где PV приведенная стоимость, P цена, c – константа. F-статистика = 0,13, что означает, что модель не отличается от нуля на 10% уровне значимости.
Расчеты автора.
Расчет доходности компаний.
| Компания | Цена 1990 | Цена 2007 | Сумма див | Общий доход | Доходность |
| Electr data | 51.75 | 23.46 | 30.99 | 54.45 | 0.052174 |
| Ford | 45.75 | 16.98 | 46.24954 | 63.22954 | 0.382066 |
| General Motors | 42.88 | 31.54 | 47.568 | 79.108 | 0.844869 |
| AT&T | 62.75 | 42.14 | 82.61525 | 124.75525 | 0.988131 |
| Medtronic | 61.43 | 56.84 | 86.05305 | 142.89305 | 1.326112 |
| Verizon | 112.5 | 180.88 | 85.629 | 266.509 | 1.368969 |
| Int paper | 39.67 | 66.7 | 28.87 | 95.57 | 1.409125 |
| Bristol | 64 | 118.96 | 56.719 | 175.679 | 1.744984 |
| American Electric | 30.25 | 47.85 | 38.34 | 86.19 | 1.849256 |
| Donneley | 35.25 | 76.7 | 27.08 | 103.78 | 1.944113 |
| Altria Group Inc. | 37.88 | 67.5 | 53.765 | 121.265 | 2.201294 |
| Duke | 53.25 | 72.16 | 105.185 | 177.345 | 2.330423 |
| Gannett | 32.18 | 89.86 | 24.365 | 114.225 | 2.549565 |
| Edison | 37.5 | 114.62 | 29.132 | 143.752 | 2.833387 |
| Waly Disney | 114.25 | 412.68 | 27.36822 | 440.04822 | 2.851626 |
| Whirlpool | 30.75 | 95.44 | 24.83 | 120.27 | 2.91122 |
| Penney | 45.41 | 137.42 | 40.714 | 178.134 | 2.922792 |
| Motorola | 63.38 | 206.88 | 43.24432 | 250.12432 | 2.946423 |
| Halliburton | 35.78 | 134.84 | 8.045 | 142.885 | 2.993432 |
| Union Pacific | 75.25 | 213.64 | 89.5275 | 303.1675 | 3.028804 |
| Molex | 44.96 | 177.34375 | 9.12948 | 186.47323 | 3.147536 |
| Raytheon | 63.5 | 255.28 | 18.44805 | 273.72805 | 3.310678 |
| FPL | 32.63 | 117.38 | 24.36 | 141.74 | 3.343855 |
| Eli Lilly | 63.38 | 227.72 | 55.693 | 283.413 | 3.471647 |
| Hess | 42.67 | 192.51 | 6 | 198.51 | 3.652215 |
| Weyth | 102.75 | 396.64 | 87.43237 | 484.07237 | 3.711167 |
| IBM | 97.62 | 451.92 | 31.4575 | 483.3775 | 3.951624 |
| BP | 66.75 | 268.52 | 69.696 | 338.216 | 4.066906 |
| General Mills | 55.9 | 230.08 | 53.7775 | 283.8575 | 4.077952 |
| Baxter | 24.75 | 107.72 | 18.3965 | 126.1165 | 4.095616 |
| CVS | 32.94 | 160.56 | 7.29325 | 167.85325 | 4.095727 |
| Temple | 47.38 | 218.96 | 28.93 | 247.89 | 4.231954 |
| Unilever | 74.33 | 359.52 | 29.57686 | 389.09686 | 4.234722 |
| Bhp | 27.87 | 129.48 | 17.23879 | 146.71879 | 4.264399 |
| CSX | 33.75 | 166 | 13.1525 | 179.1525 | 4.308222 |
| Constellation | 30.5 | 128.13 | 35.6055 | 163.7355 | 4.368377 |
| Boeing | 62.38 | 308.16 | 29.6475 | 337.8075 | 4.415317 |
| Alcoa | 61.13 | 303.6 | 40.88826 | 344.48826 | 4.635339 |
| Glaxo | 25.75 | 103.22 | 42.6395 | 145.8595 | 4.664447 |
| Chevron | 65.87 | 323.04 | 52.3705 | 375.4105 | 4.699264 |
| Travelers Companies | 43.67 | 202.64 | 49.7225 | 252.3625 | 4.778853 |
| Merck | 69.5 | 296.4 | 106.16936 | 402.56936 | 4.792365 |
| Chubb | 79.68 | 420 | 47.0075 | 467.0075 | 4.861038 |
| Lockheed | 35 | 197.3 | 20.30863 | 217.60863 | 5.217389 |
| Anheuser-Busch | 37 | 200.32 | 32.775 | 233.095 | 5.299865 |
| Norfolk | 27.26 | 161.451 | 21.79998 | 183.25098 | 5.72234 |
| Centurytel | 24.96 | 160.14375 | 8.133555 | 168.277305 | 5.741879 |
| Occid Petr | 28 | 177.3 | 11.585 | 188.885 | 5.745893 |
| Dominion | 23.4 | 129.78 | 32.88833 | 162.66833 | 5.951638 |
| Kimberly-Clark | 48.01 | 273.12 | 71.222 | 344.342 | 6.172297 |
| Coca-Cola | 72.12 | 446.72 | 82.63 | 529.35 | 6.33985 |
| Honda | 19.18 | 133.44 | 7.57125 | 141.01125 | 6.351994 |
| Conocophillips | 23.25 | 159.6 | 16.9775 | 176.5775 | 6.594731 |
| Repsol | 17.34 | 116.1 | 15.974 | 132.074 | 6.616724 |
| Archer-Daniels | 14.66 | 102.1554907 | 12.81382951 | 114.9693202 | 6.842382 |
| Burlington | 34 | 247.536 | 20.8 | 268.336 | 6.892235 |
| Lincoln | 41.14 | 271.8 | 57.9615 | 329.7615 | 7.015593 |
| Walmart Stores | 46.63 | 346.24 | 33.2725 | 379.5125 | 7.138805 |
| Exelon | 20.5 | 145.6 | 21.555 | 167.155 | 7.153902 |
| Eaton | 54.5 | 398.36 | 49.319 | 447.679 | 7.214294 |
| American Exp | 25.75 | 179.58 | 35.47864 | 215.05864 | 7.351792 |
| American Int Gr | 96.5 | 777.1728516 | 32.67867406 | 809.8515256 | 7.392244 |
| Parker | 21.35 | 166.77 | 14.315565 | 181.085565 | 7.481759 |
| Pepsi-Cola | 56.75 | 407.64 | 74.34167 | 481.98167 | 7.493069 |
| Deere | 53.83 | 438.45 | 20.76176 | 459.21176 | 7.530778 |
| Procter and Gamble | 71.25 | 564.72 | 54.12075 | 618.84075 | 7.685484 |
| Autodesk | 45.54 | 399.76 | 1.975 | 401.735 | 7.821585 |
| Alltel | 22 | 137.18 | 59.936 | 197.116 | 7.959818 |
| News | 14.96 | 134.34 | 3.02567 | 137.36567 | 8.182197 |
| CIGNA | 51 | 462.87 | 10.88044 | 473.75044 | 8.289224 |
| Aetna | 46.13 | 434.16 | 3.1725 | 437.3325 | 8.480436 |
| Southern | 14.51 | 69.88 | 68.7815 | 138.6615 | 8.556272 |
| Royal Dutch Shell | 30.61 | 225.6465517 | 67.49785655 | 293.1444083 | 8.576753 |
| Pfizer | 69.75 | 590.64 | 92.61238 | 683.25238 | 8.795733 |
| J&J | 55.63 | 495.04 | 71.41875 | 566.45875 | 9.182613 |
| Fannie Mae | 27.7 | 229.68 | 62.17 | 291.85 | 9.536101 |
| Entergy | 12.19 | 102.7 | 28.77 | 131.47 | 9.78507 |
| HP | 44 | 392 | 86.35671 | 478.35671 | 9.871743 |
| Caterpillar | 60.13 | 621.28 | 47.1925 | 668.4725 | 10.11712 |
| Comcast | 12.93 | 145.08 | 0.34661 | 145.42661 | 10.24722 |
| Target | 63.38 | 717 | 32.04835 | 749.04835 | 10.81837 |
| Avon | 23.14 | 271.04 | 29.89 | 300.93 | 12.00475 |
| Illinois | 36.97 | 469.36 | 28.34125 | 497.70125 | 12.4623 |
| Freddie Mac | 59.58 | 696 | 133.885 | 829.885 | 12.92892 |
| Colgate | 45.91 | 589.84 | 73.01325 | 662.85325 | 13.4381 |
| Apache | 15.88 | 224.2779 | 5.38202 | 229.65992 | 13.46221 |
| Nucor | 66.25 | 961.6 | 67.98377 | 1029.58377 | 14.54089 |
| Northrop | 10.64 | 152.96 | 18.56 | 171.52 | 15.1203 |
| Nike | 54.47 | 892.8 | 35.7275 | 928.5275 | 16.04659 |
| Apple | 34.25 | 613.88 | 0.6825 | 614.5625 | 16.94343 |
| Walgreen | 41.88 | 721.92 | 30.03644 | 751.95644 | 16.95502 |
| Bear Stearns | 8.24 | 142.573095 | 15.03757905 | 157.6106741 | 18.12751 |
| Adobe | 36.55 | 698.56 | 1.397 | 699.957 | 18.15067 |
| Home Depot | 37.75 | 709.7625 | 61.6630675 | 771.4255675 | 19.43511 |
| AFLAC | 13.87 | 388.05 | 25.769105 | 413.819105 | 28.83555 |
| Merrill Lynch | 18.97 | 584.4 | 53.20875 | 637.60875 | 32.61143 |
| General Dynamics | 17.72 | 666.16 | 43.4 | 709.56 | 39.04289 |
| Harley | 34.09 | 1486.08 | 103.57 | 1589.65 | 45.63098 |
| Cardinal health | 21.25 | 276.1083984 | 154.9807119 | 431.0891103 | 19.28655 |
Данные с сайта http://finance.yahoo.com/, расчеты автора.