Market Beta () and Stock Returns An Analysis of Select Gulf Companies

Dr. Rengasamy Elango Majan College (University College), Muscat, Sultanate of Oman drelan63@gmail.com Dr. Dayanand Pandey Bank Melli Iran, Regional Head Office, Dubai, United Arab Emirates drdnpandey@yahoo.com ABSTRACT The present study examines the association, if any, between the market beta () and the risk-return pattern of selected companies in one of the Gulf Markets, the Muscat Securities Market. A sample of thirty companies was drawn applying suitable sampling methods. Market Beta() was computed using the fx function in MSExcel which is the slope of the linear regression line of known ys, the returns of sample companies and known xs, the index returns of the stock exchange included in the sample. Based on the results, these companies were bifurcated into high-risk and lowrisk categories applying the standard CAPM (Capital Asset Pricing Model) approach. Our results provide weak evidence of relationship between risk and return indicating that high-risk is not always associated with high-returns and low-risk with low-returns although some exemptions have been noticed. The result is not surprising given the fact that most of the Gulf markets are not efficient in processing information. Yet another analysis provided evidence of significant changes in the risk category of companies when beta was computed on mean monthly return basis instead of daily returns. Our results offer valuable insights and suggestions to the investors, analysts and fund managers for making rational investment decisions. Key Words: Beta, CAPM, Risk-return relationship, Students t test, Risk-analysis JEL Classification: G11, G12, G14

Electronic copy available at: http://ssrn.com/abstract=1431923

I INTRODUCTION During the past three decades, CAPM (Capital Asset Pricing Model) has been studied in great depth and is used as the standard risk-return model by various researchers and academicians. The basic premise of CAPM is that the stocks with a higher beta yield higher returns for the investors. One of the conditions stipulated in the model is that the said return should be higher than the return of the risk-free asset. But, if the market return falls short of the riskless rate, then stocks with higher betas yield lower returns for the investors. Pettengill, Sundaram, Mathur (1995) call this the conditional (ex-post) relations between beta and return. Their research output concludes that there is a positive and statistically significant relationship between beta and returns. The present paper is a similar attempt based on the work of Pettengill/Sundaram/Mathur (1995). The objective of this research initiative is threefold. First, we compute beta () for each security with a view to examine the systematic risk present in the market with the help of selected sample companies. Secondly, we classify the companies based on the beta coefficient as high-risk and low-risk based on both daily and monthly returns basis. Finally, we examine whether the risk category of companies undergoes significant changes between monthly and daily returns basis or not. Financial economists have applied innumerable tests to capture the systematic risk present in a security or a portfolio in different markets in the world. Since 1970, there has been a large collection of research examining the systematic risk applying beta coefficient. Researchers have made attempts to examine the beta-stability and time-varying characteristics of beta coefficient. However, all these research works are clustered around the highly-developed Western markets and research in this crucial area in emerging and developing stock markets is very less. So, there is very less empirical research and contribution in these markets.

Muscat Securities Market (MSM) Gulf markets, today, are among the fast developing markets in the world. More particularly, the Muscat Securities Market (MSM) is one of the very important markets in the GCC countries with a well-developed and highly-regulated mechanism in place. The MSM, although a smaller market compared to other markets in the Gulf,

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Electronic copy available at: http://ssrn.com/abstract=1431923

is emerging as one of the leading players in the Middle East and this market could be compared to any other developed markets in the world in terms of sophistication, market regulation, surveillance and settlement. Apart from local Omani citizens, other GCC (Gulf Cooperation Council) citizens and expatriates are also entitled to invest in this market although there are some restrictions and limit to some categories of investors. So, a comprehensive study on the systematic risk in this market would not only help the investing public to choose the right companies for investing their funds, but would also help the government to frame suitable policy measures to strengthen the investor confidence and rope in more investors into the capital markets. The rest of the paper is organized as follows. In section II, we explain the nature of relationship between beta and returns and the testing procedure advocated by Pettengill/Sundaram/Mathur (1995). It also reviews the relevant literature pertaining to the study. Section III presents an overview of the design and methodology of the present study. Section IV discusses the analytical findings of the present study pertaining to one of the Gulf markets, the Muscat Securities Market (MSM) which is the only stock exchange in the Sultanate of Oman. Section V presents the summary and conclusion.

II REVIEW OF LITERATURE i. Invention of Beta and its applications in capital market research Computation of beta to capture the systematic risk has gained enormous significance thanks to the pioneering works of Sharpe (1964), Lintner (1965) and Mossin (1966). Their model continues to be used in capital market research particularly in the selection of individual stocks and a portfolio. The principal guidance advocated by this model is that the contribution of an asset to the variance of the market portfolio, the assets systematic risk or the beta, is the correct measure of the assets risk and the only determinant of the assets return. In continuation of the same, subsequent empirical research works carried out by Black, Jensen, Scholes (1972) also supported the zero beta version of Black (1972). However, empirical research works carried out later were contrasting with the model. For instance, research work of Banz (1981), Daniel, etal (1997) revealed that firm-size is a key factor in determining the stock returns. According to CAPM, the expected return on an asset is given as follows:

E (ri ) = r f + i E (rm ) r f

Where E(r) is the expected return or the firms cost of capital, is the systematic risk which is based on the sensitivity of a security in relation to market movements and rf is the risk-free rate. Their empirical findings indicate that beta has the power to capture the cross section of returns. Again, research studies in share price movements indicate that every security or a portfolio of securities clearly has two risk components, i.e., the systematic risk or market risk which is inherently embedded in every stock but cannot be diversified. In other words, the non-diversifiable variance inherently present in a stock is called the beta to which the expected return is linked. In addition, beta also gives an idea about the volatility and liquidity of a stock, researchers have stated. The second risk is alpha () which could be diversified by a rational investor. This theory suggests that a rational investor should not take on any unsystematic risk. However, it further suggests that he would be rewarded for the systematic risk or beta that is inherently present in a stock. Beta coefficient is the coefficient of non-diversifiable risk even in multi-factor models. Even today, researchers apply beta coefficient as one of the factors in taking investment decisions. However, the usage of beta is limited by the fact that it is computed based on the historical data and it would be very difficult to predict its movements in future. Looking at the different views expressed on the model, an ex-post formulation of the CAPM model predicted that stocks with a higher beta have higher returns only when the market return is higher than the return of the riskless asset. In case, the market return falls below the riskless rate, stocks with a higher beta have lower returns. Pettengill, Sundaram and Mathur (1995) call this the conditional (ex-post) relation between beta and returns. Owing to this reason, they modified the Fama and Macbeth (1973) testing procedure in a way that removes the above conditional nature between beta and returns. Their major finding is that there is a statistically significant positive association between beta and returns. However, Bodie, etal (2008) argue that

multifactor models with theory are no more than a description of the factors that affect security returns. Gooding, A., and O Malley. F (1977) examined the stationarity of beta over market phases and found that most portfolios are significantly affected by market trends and are thus non-stationary.

ii. Beta depends on many factors Also, another interesting phenomenon to be noted here is that it is very difficult to establish whether the beta of a company would remain stable for a longer period of time or not as it tends to move up and down during the different phases of the market. For instance, during the bull and bear period, the beta of a security or a portfolio of securities moves in either direction thus giving different risk dimensions. So, the beta largely depends on many factors such as the time period chosen, risk of the assets included in the portfolio, etc.

iii. Computation of Beta in different markets. Let us now look at the pioneering research works conducted in the past with the application of beta in different markets. Blume (1975) is one researcher who made such a significant contribution on the ability of beta coefficient to capture the systematic risk that in the later period almost every researcher had cited his model. Fabbozzi and Francis (1977) applied standard econometric significance tests to determine the stability of New York Stock Exchange (NYSE) stocks both during bull and bear runs applying dummy variable regression models. They concluded that alpha and beta values were not affected by different market phases (bull and bear phases), which were based on individual securities. In their research paper, Gooding and O Malley (1977) examined the stability of beta over market phases based on portfolio betas. They concluded that most of the portfolios are affected by movement of share prices and trends in the market. So, beta is not stationary, they asserted. They are also of the opinion that predictability improves if the period of forecast is increased. Estrada (2000) analyzed 14 European stock exchanges whose findings revealed an increase in beta value when the data frequency was reduced. He further noticed that beta coefficient was the lowest when daily share price behaviour was used. Also, the estimated beta values were lower in monthly data compared to quarterly data. A few researchers, Scholes and Williams (1977) have discouraged the use of daily returns to compute beta as it might involve some serious econometrics questions such as variable endogeneity (See Note: 1). Faff (2001) in his analytical work allowed for differences in both time-series beta and cross sectional risk premium under varying market conditions. Woodward and Anderson (2003), on the other hand used a model that allowed for a smooth transition between different states depending on the mean returns of last twelve months. Researchers have noticed a few limitations in the use of 5

beta. Despite the presence of various limitations, Cochran (2005) calls the CAPM the first, the most famous and most (so far) widely used model in asset pricing. Looking at the data used, it is of considerable interest to note that researchers have invariably used quarterly, monthly, weekly and daily data to compute beta coefficient and noticed discrepancies in the results in many cases. In a nutshell, many researchers have expressed the limitations of computing beta coefficient using different datasets. However, systematic risk captured by beta and the trends in share price behaviour in different market phases would continue to play a crucial role to classify the companies in terms of risk and take appropriate investment decisions.

III DESIGN AND METHODOLOGY

Considering the above aspects in mind, the authors through this paper, made an attempt to examine whether beta indeed helps an investor to take rational investment decisions. To achieve this purpose, as stated earlier, the authors have chosen a sample of thirty companies of the Muscat Securities Market, which is one of the prominent and fast emerging stock exchanges in the Gulf region. Again, the authors have chosen a small sample period as beta tends to move from high-risk to low-risk in the large sample periods.

i. Sample period and data For the purpose of the present study, the authors have considered the daily and monthly mean returns of 30 stocks listed on the Muscat Securities Market for a shorter period from 1st January 2008 to 31st December, 2008. Arguably, the global financial markets have witnessed the most turbulent share price movements during the study period. However, the authors have very carefully chosen their sample data which are included in the MSM 30 index of the Muscat Securities Market. In other words, the entire sample of the MSM index has been included as the sample for the present study. (Please refer to Appendix 1 for the list of sample companies.)

ii. Computation of daily returns and standardization of data First, daily returns on the index were computed applying the following formulae. (See Equation 1).

Rt = [(Pt / Pt 1 )]* 100

(1)

Where, Rt is the daily mean return percent from the stock, P is the price of the stock on day 1, t and
t 1

represent the current and immediate preceding days. With this, the

entire data were ranked in descending order to have a look at the distribution pattern and also to remove the outliers(See note 2) from the data. The ranking of the data set gave some pointers regarding the distribution. Consequently, in order to ensure that there are no outliers in the data included for the study, the top five and bottom five extreme values have been removed from the distribution. This was done primarily for two purposes. Firstly, this task ensured that the distribution did not suffer from any extreme values which might possibly affect the results. Secondly, it helped the researchers to nullify the effect of violent market movements that hit the global markets during the study period. The missing data were filled with the mean values of the preceding and the following values in the distribution using the normal standardization procedures. Also, any drastic percentage return above ten percent (both positive and negative) was also removed from the distribution. The same procedure was applied for both the MSM 30 index as well the individual sample companies included for the study. With this, our data had a sample of 247 observations for the entire study period after removing the first value as it was the base value in computing the returns. In the same way, monthly returns were also calculated applying the above formula by taking the mean returns for the month. However, in order to standardize the data, outliers were removed from the distribution applying the normal standardization procedures.

iii. Computation of Beta () Although financial economists have suggested different methods, we have computed beta using the slope of the linear regression line in the present study.

b=

( x x )( y y ) ( x x)
2

(2)

Where, b returns the slope of the linear regression line through data points in known y's (dependent data points, returns of the individual security ) and known x's (independent data points, returns of the MSM index) which are the sample average

mean values . The slope is the vertical distance divided by the horizontal distance between any two points on the line, which is the rate of change along the regression line. This captures the beta of a security in relation to market movements. iv. Beta and risk-return comparison As stated earlier, after computing the beta values based on the above, yet another analysis is performed. This is to examine whether high-risk is always associated with high-returns and low-risk with low returns. Bifurcation of high-risk and low-risk assets is done applying the benchmark classification as suggested in the CAPM wherein securities with > 1 have been classified as high-risk and with < 1 low-risk securities. In the next step, we examine the relation between beta and returns to analyze whether high-risk and returns are positively correlated.

IV ANALYTICAL FINDINGS AND DISCUSSION i. Beta and return-pattern on the basis of daily returns Appendix-2 gives a clear picture of the beta coefficient of individual companies and the risk-return pattern associated with them as well. Column 4 of Appendix 2 indicates the mean return for the sample period and Column 5, the beta coefficient of individual securities. The results revealed that with the exemption of four companies, DICS, MHAS, OOMS and SOMS, all the remaining 26 companies have reported negative returns during the study period. This is quite understandable due to the fact that the entire global financial system has undergone turbulent phases during the year 2008. Almost every investor and company has faced the wrath of global economic meltdown during the above period. However, out of the thirty sample companies, only ten companies have registered a beta value > 1 indicating that they belonged to the high-risk category. The remaining 20 companies have registered beta < 1 during the study period which again indicated that comparatively they belonged to the low-risk category. ii. Comparison of risk and rewards In order to examine whether high-risk is associated with high returns and lowrisk with low-returns, we examined the descriptive statistics of the sample companies. It was indeed quite interesting to note that our overall findings were not in accordance

with the literature. Out of the total 30 sample companies, 10 companies that registered beta () value > 1 have yielded -0.37% returns with a standard deviation of 0.0014% during the study period indicating that high-risk has failed to yield high-returns but turned negative returns. On the other hand, the remaining 20 low-risk companies have yielded a -0.014% with a standard deviation of 0.0016%. In other words, highrisk companies have yielded high negative returns whereas the low-risk segment of companies which is expected to yield low returns as indicated in the literature have low-negative returns during the study period. However, this second finding is in tune with the literature. A further examination of the results threw a few interesting dimensions. For instance, although Company 2, AAIT has registered the highest beta () value of 1.355 has registered a moderate -0.40% returns whereas Company 4, AESB with the lowest beta () value of 0.198 has recorded a negative return of 0.14% during the study period. The average beta () of the 30 sample assets was 0.785 with a mean return of -0.22%. This means that beta and stock returns are not correlated as far as the current sample companies and the sample period are concerned. iii. A comparison of beta based on daily and monthly returns basis (Appendix-3) In order to examine whether risk category of companies changes if beta is computed based on daily and monthly returns basis, again beta was computed on monthly returns basis for all the sample companies. As stated earlier, outliers were removed from the distribution so as to standardize the data. The results revealed that only in the case of three sample companies, the beta value continued to be the same on both daily and monthly basis. However, in the case of seven companies, the beta values had changed. However, only one company, ACCT moved from low-risk category to high-risk category but seven companies have moved from high-risk to low-risk when calculated based on monthly basis. Overall, the total number of highrisk companies has fallen down to just five indicating fifty percent decrease. This is indeed an interesting outcome to be taken note of. In order to examine whether there is a statistically significant difference between risk classification in terms of daily and monthly returns, we performed a Studentst test (Pair-wise comparison) and the results have been presented below.

TABLE 1 Results of Students t test comparing changes in beta values based on daily and monthly mean returns Basis Mean Beta N Std.Dev Std.Err t DF PValue Monthly Daily 0.752 0.694 30 30 0.371 0.324 0.0679 0.0592 0.804 29 0.428

The results indicate that statistically there is no significant differences between risk-classification based on daily and monthly data as the P value (two-tailed significance) 0.428 > 0.05 at 5% level of significance. The difference in mean value is a meagre 0.058 between the monthly and daily figures indicating some minor difference in beta values between the monthly and daily data. So, the null hypothesis that there are no significant differences in beta values with regard to daily and monthly returns is accepted in this case although the results cannot be generalized. However, we are of the opinion that instead of daily figures, computation of beta based on monthly data would be highly desirable as the data derived from the former would suffer from many statistical biases. However, due caution should be exercised in computing the mean return percent based on monthly data. Figure 1- A Comparison of Beta
Beta Based on Daily and Monthly returns - A Comparison
1.6 1.4 1.2 B eta Values 1 0.8 0.6 0.4 0.2 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Sample Securities () on Daily Return Basis () on Monthly Return Basis

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A close look at Fig.1 indicates that beta is lower when computed based on monthly returns instead of daily returns. This offers valuable guidance to the investors, fund managers and analysts to choose the right data and stock based on their attitude towards risk. V SUMMARY AND CONCLUSION This paper made an attempt to analyze the association, if any, between beta and risk-return pattern of 30-MSM (Muscat Securities Market) listed securities and classified them into high-risk and low-risk applying the standard CAPM approach using a smaller sample observations of 247 values for a short period of one year. It also attempted to examine if the risk-category of companies changed when beta was computed based on daily returns and monthly returns basis and the same was statistically tested applying students t test. The primary objective, as stated earlier, was to offer valuable guidance to the investors for taking rational investment decisions. Out of the thirty sample companies, ten companies fell into high-risk category when beta was computed on daily returns while the number of high-risk companies fell down to five on monthly returns basis. The findings obviously reveal a few interesting dimensions about the Gulf markets and the MSM in particular. Firstly, the companies listed on MSM (Muscat Securities Market) could be considered as a safer avenue for investment as the beta of more than sixty percent of the companies is lesser than one even during the most turbulent period witnessed by the global financial markets to which MSM is a part of. Also, it would be wise on the part of the investors and analysts to compute beta based on monthly returns instead of daily and weekly returns. So, our findings revealed that the beta values (consequently the risk-category) increased if daily return was used instead of monthly returns. However, Students t test did not prove this findings meaning that statistically there was no significant difference in risk-classification based on both the returns as the p-value was greater than 0.05 at 5% level of significance. This is in contrast with the findings of Estrada (2000) who found lower beta values when daily returns were used in the computation. Again, we noticed that high-risk was not necessarily associated with high returns. However, low-risk companies yielded low-returns. So, this finding is partially in accordance with the findings of Pettengill, Sundaram, Mathur (1995) and the finance literature in general. A closer examination of the individual securities too confirmed that beta and stock

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returns were not directly correlated to each other, in this case. Again, we would like to make a mention of the fact that beta undergoes significant changes when the market is highly volatile which is quite true from the present study as the number of high-risk companies is as high as ten when daily data are used. As stated earlier, 2008 is the most turbulent year in the global financial markets and the beta of different companies has undergone significant variations during the study period. This finding, of course, is in accordance with the results documented in the literature based on the findings of Anderson etal (2001) who has stated that when the market is highly volatile, beta estimates break-down as do correlations of stock returns with the index. Our analysis goad us to conclude that based on the risk-return relationship, the MSM could be considered as one of the safer markets in the GCC and investors can invest their funds confidently. It could also be concluded that high-risk is not always associated with high-returns and low-risk with low-returns. The authors would like to observe that analysts and fund managers would better use monthly data to classify the companies in terms of risk while taking investment decisions. This would not only prove to be profitable in terms of returns but would be logical and would reduce the probability of errors and statistical biases. Note 1: In an economic model, parameters or variables are said to be endogenous when they are
predicted by other variables in the model.

Note 2: An observation that is very different to other observations in a set of data

REFERENCES Anderson, Torben G., Tim Bollersleve, Francis X Diebold, and Heiko Ebens, (2001), The distribution of realized stock return volatility, Journal of Financial Economics, 2001, pp. 47-76. Banz, R.W., 1981. The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3-18. Black F, Jensen M, Scholes M; The CAPM; Some empirical tests In: Jensen M (Ed) Studies in the theory of capital markets, New York, 1972, 79-121. Black, Fisher (1972), Capital Market equilibrium with restricted borrowing, Journal of Business, 45, 444-455.

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Blume, Marshall E., Betas and their regression tendencies, Journal of Finance, June, 1975, 785-796, Betas and their regression tendencies, Some Further empirical evidence, Journal of Finance, March 1979, 265-268. Bodie, Zvi, Alex Kane, Alan J.Marcus, Investments, 6th Edition, 1999 and 7th Edition, 2008, McGrawHill. Cochran, John H., Asset pricing, Revised Edition, Princeton University Press, 2005. Daniel, Kent, Tinaman, Sheridan, (1997), Evidence on the characteristics of crosssectional variations in stock returns, Journal of Finance, 52, 1-33. Estrada, Javier (2000), The cost of equity in emerging markets; a downside risk approach". Emerging Markets Quarterly, Fall 2000, 19-31. Fabbozzi F, Francis J.C, (1977), Stability Tests of Alphas and Betas Over Bull and Bear Market Conditions, Journal of Finance, 32:4, 1093-1099 Faff, R(2001), A multivariate test of dual beta CAPM; Australian Evidence, The Financial Review, 36, 157-174. Fama E, Macbeth J, 1973, Risk, return and equilibrium; Empirical tests, Journal of Political Economy, 81, 607-636. Gooding. A.R and T.P. OMalley (1977) Market phase and stationarity of beta Journal of Financial and Quantitative Analysis, Dec 833-857. Lintner, J (1965), The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets", Review of Economics and Statistics, 47, 14-37. Mossin, J (1966), Equilibrium in a capital asset market, Econometricia, 34, 768783. Pettengill, Glenn N, Sundaram, Sridhar, Mathur, Ike (1995); The conditional relation between beta and returns, Journal of Financial and Quantitative Analysis, 30, 101-116. Scholes and William J (1977), Estimating beta from non-synchronous data, Journal of Financial Economics, 5, 309-327 Sharpe, W.F (1964), Capital and Prices; A theory of market equilibrium under conditions of risk, Journal of Finance, 19, 425-442. Woodward and Anderson (2003), Does beta react to market conditions? Estimates of Bull and Bear Betas using a Non-linear Market Model with Endogenous threshold parameter, Working Paper, Monash University

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Appendix- 1 Sample Companies

Sl.No. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Code
ACCT AAIT ABOB AESB AJSS ATMI BKMB BKSB CMII DCFI DICS GECS HECI MHAS NBOB OCAI OCHL OCOI OEIO OFMI OIBB OMVS ONIC OOMS OTEL PSCS RCCI RNSS SOMS TGII

Company AL ANWAR CERAMIC TILES AL ANWAR HOLDING AHLI BANK AES BARKA AL JAZEIRA SERVICES AL JAZEERA STEEL PRODUCT BANK MUSCAT BANK SOHAR CONSTRUCTION MATERIALS IND. DHOFAR CATTLE FEED DHOFAR INSURANCE GALFAR ENGINEERING & CONT AL HASSAN ENGINEERING Al MAHA PETROLEUM PRODUCTS NATIONAL BANK OF OMAN OMAN CABLES INDUSTRY OMAN CHLORINE OMAN CEMENT OMAN & EMIRATES INV. (OM) OMAN FLOUR MILLS OMAN INTERNATIONAL BANK OMINVEST ONIC. HOLDING OMAN OIL MARKETING OMAN TELECOMMUNICATION PORT SER. CORPORATION RAYSUT CEMENT RENAISSANCE SERVICES SHELL OMAN MARKETING TRANSGULF IND. INV. HOLDING

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Appendix- 2 Beta and Risk-Return Pattern of MSM Companies

Sl.No. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Code
ACCT AAIT ABOB AESB AJSS ATMI BKMB BKSB CMII DCFI DICS GECS HECI MHAS NBOB OCAI OCHL OCOI OEIO OFMI OIBB OMVS ONIC OOMS OTEL PSCS RCCI RNSS SOMS TGII

Company AL ANWAR CERAMIC TILES AL ANWAR HOLDING AHLI BANK AES BARKA AL JAZEIRA SERVICES AL JAZEERA STEEL PROD BANK MUSCAT BANK SOHAR CONSTRUCTION MAT. IND DHOFAR CATTLE FEED DHOFAR INSURANCE GALFAR ENGG & CONT AL HASSAN ENGINEERING Al MAHA PETRO PRODUCTS NATIONAL BANK OF OMAN OMAN CABLES INDUSTRY OMAN CHLORINE OMAN CEMENT OMAN & EMIRATES INV. OMAN FLOUR MILLS OMAN INT. BANK OMINVEST ONIC. HOLDING OMAN OIL MARKETING OMAN TELECOM PORT SER. CORPORATION RAYSUT CEMENT RENAISSANCE SERVICES SHELL OMAN MARKETING TRANSGULF IND

Return%
-0.13% -0.40% -0.23% -0.09% -0.61% -0.16% -0.31% -0.26% -0.27% -0.06% 0.01% -0.42% -0.38% 0.04% -0.19% -0.40% -0.07% -0.26% -0.51% -0.02% -0.21% -0.06% -0.50% 0.10% -0.01% -0.23% -0.20% -0.28% 0.06% -0.47%

()
0.984 1.355 0.639 0.198 1.128 0.687 1.075 0.614 0.644 0.354 0.332 1.081 1.123 0.307 1.108 1.279 0.491 0.957 0.905 0.897 0.664 0.828 1.167 0.303 0.866 0.330 1.134 1.167 0.270 0.657

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Appendix - 3 Beta and Risk-Return Pattern of MSM Companies () on Daily Return Basis
0.984 1.355 0.639 0.198 1.128 0.687 1.075 0.614 0.644 0.354 0.332 1.081 1.123 0.307 1.108 1.279 0.491 0.957 0.905 0.897 0.664 0.828 1.167 0.303 0.866 0.330 1.134 1.167 0.270 0.657

Sl.No. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

Code
ACCT AAIT ABOB AESB AJSS ATMI BKMB BKSB CMII DCFI DICS GECS HECI MHAS NBOB OCAI OCHL OCOI OEIO OFMI OIBB OMVS ONIC OOMS OTEL PSCS RCCI RNSS SOMS TGII

Company AL ANWAR CERAMIC TILES AL ANWAR HOLDING AHLI BANK AES BARKA AL JAZEIRA SERVICES AL JAZEERA STEEL PROD BANK MUSCAT BANK SOHAR CONSTRUCTION MAT. IND DHOFAR CATTLE FEED DHOFAR INSURANCE GALFAR ENGG & CONT AL HASSAN ENGINEERING Al MAHA PETRO PRODUCTS NATIONAL BANK OF OMAN OMAN CABLES INDUSTRY OMAN CHLORINE OMAN CEMENT OMAN & EMIRATES INV. OMAN FLOUR MILLS OMAN INT. BANK OMINVEST ONIC. HOLDING OMAN OIL MARKETING OMAN TELECOM PORT SER. CORPORATION RAYSUT CEMENT RENAISSANCE SERVICES SHELL OMAN MARKETING TRANSGULF IND

() on Monthly Return Basis

1.289 0.960 0.393 0.840 1.030 0.787 0.423 0.505 0.114 0.361 0.461 0.914 0.412 0.539 0.581 1.409 0.230 0.692 0.338 0.673 0.523 0.872 1.280 0.630 0.800 0.394 0.935 1.055 0.509 0.852

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