CORPORATE FINANCE ASSIGNMENT

CALULATION OF BETA OF THE STOCK OF INDUSIND

BANK COMPANY

-By
Ankesh Dev
1301-507
Section D

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in

comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM),
a model that calculates the expected return of an asset based on its beta and expected
market returns.
Time Period over which calculated = 1 year
Beta is calculated using two methods:
1. Using Covariance between stock return, market return and Market risk

2. Using Regression Analysis

Beta Calculation Using Covariance between stock return, market

return and Market risk

IDBI Stock
Date
Close Price
04/12/2013
03/12/2013
02/12/2013
29/11/2013
28/11/2013
27/11/2013
26/11/2013
25/11/2013
22/11/2013
21/11/2013
20/11/2013
19/11/2013
18/11/2013
14/11/2013
13/11/2013
12/11/2013
11/11/2013
08/11/2013
07/11/2013
06/11/2013
05/11/2013
01/11/2013
31/10/2013

425.8
426.05
432.6
422.45
417.6
410.05
412.75
420.15
407.5
402.2
419.6
429.6
419.6
411.5
403.35
414.5
413.75
427.75
428.25
443.2
454.15
448.8
446.05

CNX NIFTY

Return of
company (Rc)
-0.000586958
-0.015256803
0.023742417
0.01154706
0.018244933
-0.006562979
-0.017769708
0.030570858
0.013091455
-0.042352399
-0.023552667
0.023552667
0.019492856
0.020004349
-0.027268303
0.001811048
-0.033276986
-0.001168224
-0.034313998
-0.024406405
0.011850186
0.006146301
-0.002127541
1

Close
Price
6160.95
6201.85
6217.85
6176.1
6091.85
6057.1
6059.1
6115.35
5995.45
5999.05
6122.9
6203.35
6189
6056.15
5989.6
6018.05
6078.8
6140.75
6187.25
6215.15
6253.15
6307.2
6299.15

Return of Market
(Rm)
-0.006616648
-0.002576553
0.006737184
0.013735192
0.005720675
-0.000330137
-0.00924073
0.019801156
-0.000600275
-0.020434717
-0.013053628
0.002315946
0.021699238
0.011049653
-0.004738655
-0.010044021
-0.010139576
-0.007543839
-0.004499137
-0.006095477
-0.008606501
0.001277134
0.007561277

IDBI Stock

CNX NIFTY

Date
Close Price
30/10/2013
29/10/2013
28/10/2013
25/10/2013
24/10/2013
23/10/2013
22/10/2013
21/10/2013
18/10/2013
17/10/2013
16/10/2013
14/10/2013
11/10/2013
10/10/2013
09/10/2013
08/10/2013
07/10/2013
04/10/2013
03/10/2013
01/10/2013
30/09/2013
27/09/2013
26/09/2013
25/09/2013
24/09/2013
23/09/2013
20/09/2013
19/09/2013
18/09/2013
17/09/2013
16/09/2013
13/09/2013
12/09/2013
11/09/2013
10/09/2013
09/09/2013
06/09/2013
05/09/2013
04/09/2013

447
433.95
412.35
425.25
427.45
428
425.6
426.05
413.55
389.1
407.4
427.35
427.95
415.3
411.55
401.4
395.95
395.85
398.65
383.25
368.9
376.65
383.45
383.05
388.15
386.45
410.95
434.3
412.6
401.65
414.55
400
396.8
419.9
410.45
411.85
411.85
397.85
367.65

Return of
company (Rc)
0.029629275
0.051056817
-0.030804728
-0.005160091
-0.001285873
0.005623258
-0.001056772
0.029778284
0.060942046
-0.045959124
-0.047807846
-0.001403017
0.030005216
0.009070631
0.024972083
0.013670496
0.000252589
-0.007048487
0.039396321
0.038161913
-0.02079077
-0.01789286
0.001043705
-0.013226334
0.004389369
-0.061469059
-0.055263987
0.051256939
0.026897538
-0.031612532
0.035729047
0.008032172
-0.056584212
0.022762469
-0.003405087
0
0.034584156
0.078943651
0.053493168
2

Close
Price
6251.7
6220.9
6101.1
6144.9
6164.35
6178.35
6202.8
6204.95
6189.35
6045.85
6089.05
6112.7
6096.2
6020.95
6007.45
5928.4
5906.15
5907.3
5909.7
5780.05
5735.3
5833.2
5882.25
5873.85
5892.45
5889.75
6012.1
6115.55
5899.45
5850.2
5840.55
5850.6
5850.7
5913.15
5896.75
5680.4
5680.4
5592.95
5448.1

Return of Market
(Rm)
0.004938836
0.019445508
-0.007153387
-0.003160228
-0.002268548
-0.003949557
-0.000346558
0.002517288
0.023457987
-0.00711999
-0.003876498
0.002702948
0.012420572
0.002244689
0.013246004
0.003760181
-0.000194693
-0.000406194
0.022182736
0.007772274
-0.016925675
-0.008373607
0.001429046
-0.003161574
0.000458318
-0.020560553
-0.017060603
0.035975582
0.008383278
0.001650878
-0.00171925
-1.70921E-05
-0.010617372
0.002777333
0.037379699
0
0.015514777
0.026239952
0.019769772

IDBI Stock

CNX NIFTY

Date
Close Price
03/09/2013
02/09/2013
30/08/2013
29/08/2013
28/08/2013
27/08/2013
26/08/2013
23/08/2013
22/08/2013
21/08/2013
20/08/2013
19/08/2013
16/08/2013
15/08/2013
14/08/2013
13/08/2013
12/08/2013
09/08/2013
08/08/2013
07/08/2013
06/08/2013
05/08/2013
02/08/2013
01/08/2013
31/07/2013
30/07/2013
29/07/2013
26/07/2013
25/07/2013
24/07/2013
23/07/2013
22/07/2013
19/07/2013
18/07/2013
17/07/2013
16/07/2013
15/07/2013
12/07/2013
11/07/2013

348.5
380.65
357
351.95
344.55
346.4
373.75
370
366.3
359
338.05
341.9
356
381.2
381.2
384.65
372.6
374.6
374.6
371.85
360.9
390.95
390.35
393.35
388.15
399.7
413.55
419.55
423.05
423.45
462.6
458.4
446.2
465.65
453.4
466.35
506.75
504
510.35

Return of
company (Rc)
-0.088242088
0.064144536
0.014246662
0.021249902
-0.005354959
-0.075992948
0.010084119
0.010050336
0.020130281
0.060128575
-0.011324483
-0.040412434
-0.068393441
0
-0.009009658
0.031828372
-0.005353332
0
0.007368243
0.029889636
-0.079978763
0.001535902
-0.007656028
0.013307938
-0.029322403
-0.03406416
-0.014404282
-0.008307667
-0.000945068
-0.088427306
0.009120584
0.026974883
-0.042666997
0.026659541
-0.028161687
-0.08308136
0.005441517
-0.012520497
0.02912586
3

Close
Price
5341.45
5550.75
5471.8
5409.05
5285
5287.45
5476.5
5471.75
5408.45
5302.55
5401.45
5414.75
5507.85
5742.3
5742.3
5699.3
5612.4
5565.65
5565.65
5519.1
5542.25
5685.4
5677.9
5727.85
5742
5755.05
5831.65
5886.2
5907.5
5990.5
6077.8
6031.8
6029.2
6038.05
5973.3
5955.25
6030.8
6009
5935.1

Return of Market
(Rm)
-0.038435902
0.014325424
0.011534153
0.023200857
-0.000463469
-0.035130123
0.000867719
0.011635947
0.019774708
-0.018479599
-0.002459275
-0.017047636
-0.04168548
0
0.007516467
0.015364925
0.008364656
0
0.008398976
-0.004185752
-0.02550093
0.001320039
-0.008758796
-0.00246734
-0.002270149
-0.013222249
-0.009310649
-0.003612102
-0.013952151
-0.014467907
0.007597315
0.000431142
-0.00146678
0.010781574
0.003026355
-0.012606488
0.003621327
0.012374468
0.020150786

IDBI Stock

CNX NIFTY

Date
Close Price
10/07/2013
09/07/2013
08/07/2013
05/07/2013
04/07/2013
03/07/2013
02/07/2013
01/07/2013
28/06/2013
27/06/2013
26/06/2013
25/06/2013
24/06/2013
21/06/2013
20/06/2013
19/06/2013
18/06/2013
17/06/2013
14/06/2013
13/06/2013
12/06/2013
11/06/2013
10/06/2013
07/06/2013
06/06/2013
05/06/2013
04/06/2013
03/06/2013
31/05/2013
30/05/2013
29/05/2013
28/05/2013
27/05/2013
24/05/2013
23/05/2013
22/05/2013
21/05/2013
20/05/2013
17/05/2013

495.7
502
491.95
473.9
473.75
466.75
476.3
471.85
466.25
456.35
455
472.8
452.85
463.95
449.3
477.55
477.7
485.4
481.05
487.9
495.7
476.8
496.45
507.4
509.8
512.3
509.65
510.65
518.4
528.5
516.6
523.4
529.2
499.3
491.4
493.3
496.35
502.55
511.15

Return of
company (Rc)
-0.012629215
0.020223034
0.037380756
0.000316573
0.014885974
-0.020254125
0.009386769
0.011939168
0.021461912
0.00296264
-0.038375047
0.043111521
-0.024215843
0.032085972
-0.06097805
-0.000314054
-0.015990373
0.009002078
-0.014139252
-0.015860438
0.038873789
-0.040385658
-0.021816874
-0.004718845
-0.004891899
0.005186175
-0.001960208
-0.015062721
-0.01929566
0.022773925
-0.013077109
-0.011020442
0.058159315
0.015948657
-0.003859048
-0.006163815
-0.012413814
-0.016967952
-0.022918375
4

Close
Price
5816.7
5859
5811.55
5867.9
5836.95
5770.9
5857.55
5898.85
5842.2
5682.35
5588.7
5609.1
5590.25
5667.65
5655.9
5822.25
5813.6
5850.05
5808.4
5699.1
5760.2
5788.8
5878
5881
5921.4
5923.85
5919.45
5939.3
5985.95
6124.05
6104.3
6111.25
6083.15
5983.55
5967.05
6094.5
6114.1
6156.9
6187.3

Return of Market
(Rm)
-0.00724585
0.008131624
-0.009649502
0.005288418
0.011380353
-0.01490338
-0.007025989
0.009649978
0.027742559
0.016618178
-0.003643577
0.00336627
-0.013750561
0.002075322
-0.028987537
0.001486785
-0.006250208
0.007145063
0.018996878
-0.010663929
-0.00495282
-0.015291552
-0.000510247
-0.006846092
-0.000413668
0.000743036
-0.003347742
-0.007823775
-0.022808586
0.003230201
-0.001137894
0.004608681
0.016508617
0.002761369
-0.021134057
-0.003210854
-0.006975825
-0.0049254
0.002816174

IDBI Stock

CNX NIFTY

Date
Close Price
16/05/2013
15/05/2013
14/05/2013
13/05/2013
10/05/2013
09/05/2013
08/05/2013
07/05/2013
06/05/2013
03/05/2013
02/05/2013
01/05/2013
30/04/2013
29/04/2013
26/04/2013
25/04/2013
24/04/2013
23/04/2013
22/04/2013
19/04/2013
18/04/2013
17/04/2013
16/04/2013
15/04/2013
12/04/2013
11/04/2013
10/04/2013
09/04/2013
08/04/2013
05/04/2013
04/04/2013
03/04/2013
02/04/2013
01/04/2013
28/03/2013
27/03/2013
26/03/2013
25/03/2013
22/03/2013

523
514.25
491.25
493.35
505.75
488.35
492.55
485.1
473.4
468.3
471.9
467.35
467.35
475.85
458.05
467.4
460.75
460.75
465.9
450.1
450.1
419.8
415.2
402.15
399.85
401.05
388.15
390.35
394.7
400.8
404.95
421.45
423.8
416
404.95
399.9
399.9
391.85
400.75

Return of
company (Rc)
0.016871936
0.045756365
-0.004265698
-0.024823615
0.035010114
-0.008563616
0.015240923
0.024414358
0.010831581
-0.007657983
0.009688657
0
-0.018024237
0.03812433
-0.020207074
0.014329826
0
-0.011115422
0.034501239
0
0.069691373
0.011018076
0.031935179
0.005735677
-0.002996631
0.032694245
-0.00565191
-0.01108221
-0.015336567
-0.010301053
-0.039937544
-0.005560499
0.018576386
0.026921658
0.012549087
0
0.020335402
-0.022458678
-0.01449211
5

Close
Price
6169.9
6146.75
5995.4
5980.45
6094.75
6050.15
6069.3
6043.55
5971.05
5944
5999.35
5930.2
5930.2
5904.1
5871.45
5916.3
5836.9
5836.9
5834.4
5783.1
5783.1
5688.7
5688.95
5568.4
5528.55
5594
5558.7
5495.1
5542.95
5553.25
5574.75
5672.9
5748.1
5704.4
5682.55
5641.6
5641.6
5633.85
5651.35

Return of Market
(Rm)
0.003759143
0.024930978
0.002496693
-0.018931929
0.00734468
-0.003160212
0.00425169
0.012068796
0.004540484
-0.009268823
0.011593191
0
0.004410914
0.005545403
-0.007609631
0.01351142
0
0.000428401
0.008831562
0
0.01645812
-4.39458E-05
0.021417937
0.007182185
-0.01176902
0.006330327
0.011507482
-0.008670064
-0.001856492
-0.003864131
-0.017452978
-0.013168915
0.007631559
0.003837731
0.007232362
0
0.001374668
-0.00310141
-0.001308565

IDBI Stock

CNX NIFTY

Date
Close Price
21/03/2013
20/03/2013
19/03/2013
18/03/2013
15/03/2013
14/03/2013
13/03/2013
12/03/2013
11/03/2013
08/03/2013
07/03/2013
06/03/2013
05/03/2013
04/03/2013
01/03/2013
28/02/2013
27/02/2013
26/02/2013
25/02/2013
22/02/2013
21/02/2013
20/02/2013
19/02/2013
18/02/2013
15/02/2013
14/02/2013
13/02/2013
12/02/2013
11/02/2013
08/02/2013
07/02/2013
06/02/2013
05/02/2013
04/02/2013
01/02/2013
31/01/2013
30/01/2013
29/01/2013
28/01/2013

406.6
403.4
409.4
415.45
422
430.7
423.15
431.15
436
436.5
420
415.35
410.4
400.8
401
414
426.65
422.3
427
427.6
428.3
439.25
442.75
440.05
439.7
440.25
440.65
438.75
428.35
425.3
430.85
429.85
433.95
435.45
438.15
435.4
434.9
430.15
432.6

Return of
company (Rc)
0.007901276
-0.014764048
-0.014669597
-0.015643044
-0.020406478
0.017685066
-0.018729331
-0.011186186
-0.001146132
0.038533664
0.011133173
0.011989244
0.023669744
-0.000498878
-0.031904547
-0.030098031
0.010248043
-0.011068051
-0.001404166
-0.001635705
-0.025244842
-0.00793655
0.00611692
0.000795681
-0.001250071
-0.000908162
0.004321135
0.023989156
0.007145816
-0.012965199
0.002323691
-0.009493009
-0.003450659
-0.006181338
0.006296169
0.001149029
0.010982135
-0.005679528
0.00300961
6

Close
Price
5658.75
5694.4
5745.95
5835.25
5872.6
5908.95
5851.2
5914.1
5942.35
5719.7
5719.7
5719.7
5719.7
5719.7
5719.7
5693.05
5796.9
5761.35
5854.75
5850.3
5852.25
5943.05
5939.7
5898.2
5887.4
5896.95
5932.95
5922.5
5897.85
5903.5
5938.8
5959.2
5956.9
5987.25
5998.9
6034.75
6055.75
6049.9
6074.8

Return of Market
(Rm)
-0.006280216
-0.009012023
-0.015421851
-0.006380356
-0.006170685
0.009821382
-0.010692562
-0.004765348
0.038188322
0
0
0
0
0
0.004670224
-0.018077159
0.00615147
-0.016081475
0.000760356
-0.000333261
-0.015396267
0.000563843
0.007011407
0.001832746
-0.001620794
-0.006086292
0.001762903
0.004170779
-0.000957518
-0.005961697
-0.003429151
0.000386032
-0.005081997
-0.001943911
-0.00595831
-0.003473805
0.000966491
-0.004107324
2.46925E-05

IDBI Stock

CNX NIFTY

Date
Close Price
25/01/2013
24/01/2013
23/01/2013
22/01/2013
21/01/2013
18/01/2013
17/01/2013
16/01/2013
15/01/2013
14/01/2013
11/01/2013
10/01/2013
09/01/2013
08/01/2013
07/01/2013
04/01/2013
03/01/2013
02/01/2013
31/12/2012
28/12/2012
27/12/2012
26/12/2012
25/12/2012
21/12/2012
20/12/2012
19/12/2012
18/12/2012
17/12/2012
14/12/2012
13/12/2012
12/12/2012
11/12/2012
10/12/2012
07/12/2012
06/12/2012
05/12/2012

431.3
430.6
424.2
417.9
413.3
419.5
427.35
430.2
441.2
439.5
431.15
441.2
434.2
434.8
431.8
430.85
433.95
432.9
416.85
414.9
416.05
421.95
425.45
426.85
431.5
433
429.8
425.75
422.2
408.65
405
411.9
417.2
411.4
426.1
420.35

Return of
company (Rc)
0.001624319
0.014974543
0.014962873
0.011068448
-0.014889804
-0.018539824
-0.006646867
-0.025248071
0.00386057
0.01918166
-0.02304223
0.01599303
-0.001380898
0.006923637
0.002202516
-0.007169318
0.002422566
0.03778031
0.004688918
-0.002767918
-0.014081378
-0.008260609
-0.003285231
-0.010834847
-0.003470217
0.007417744
0.009467665
0.008373184
0.032620091
0.008971977
-0.016893534
-0.012785122
0.013999746
-0.035108083
0.013586363

Close
Price
6074.65
6019.35
6054.3
6048.5
6082.3
6064.4
6039.2
6001.85
6056.6
6024.05
5951.3
5968.65
5971.5
6001.7
5988.4
6016.15
6009.5
5993.25
5905.1
5908.35
5870.1
5905.6
5855.75
5847.7
5916.4
5929.6
5896.8
5857.9
5879.6
5851.5
5888
5898.8
5908.9
5907.4
5930.9
5900.5

Return of Market
(Rm)
0.009145094
-0.005789483
0.000958456
-0.005572607
0.002947305
0.004164056
0.006203798
-0.009080831
0.005388796
0.012150108
-0.002911088
-0.000477381
-0.00504461
0.002218498
-0.004623255
0.001105969
0.002707714
0.014817452
-0.00055022
0.006494935
-0.006029384
0.008476969
0.001375663
-0.011679734
-0.002228601
0.005546926
0.006618653
-0.003697555
0.004790694
-0.006218343
-0.001832559
-0.001710748
0.000253887
-0.00397017
0.005138879

Calculations
IndusInd Bank
SD
Variance
no of days for stock
market
Variance
SD

Daily
Daily

0.026367607
0.000695251
254

Annualized
Annualized

0.176593678
0.420230506

CNX NIFTY
SD
Variance
no of days for stock
market
Variance (m)
SD
Covariance

0.011307322 Daily
0.000127856 Daily
254
0.032475303 Annualized
0.180209053 Annualized
0.051204233 Annualized

Annualized Variance = Daily Variance * no. of days for stock market

Rc = Return of company
Rm = Return of Market
= Standard Deviation of Market return
= correlation between company return and market return
= Standard deviation of company return

Covariance (Cov(Rm,Rc)) = 0.051204233

= Cov(Rm,Rc)/m = 1.576713009

BETA CALCULATION USING REGRESSION ANALYSIS

Regression Statistics
Multiple R
0.676147863
R Square
0.457175933
Adjusted R
Square
0.455013287
Standard Error
0.019503999
Observations
253

ANOVA
df
Regression
Residual
Total

1
251
252

Coefficients
Intercept
X Variable 1

-0.00021827
1.576713009

Using Regression:
Beta ()
Total Risk ()
Systematic Risk
(m)
Unsystematic Risk

Standard
Error
0.001226346
0.108443533

SS
MS
F
0.080416528 0.080417 211.3966
0.0954819 0.00038
0.175898428

t Stat
-0.17798
14.53948

Significance
F
3.70963E-35

P-value

Lower 95%

Upper 95%

0.858879
3.71E-35

0.002633509
1.363137784

0.002196969
1.790288234

Lower 95.0%
0.002633509
1.363137784

1.576713009
0.176593678
0.08073438
0.095859299

CONCLUSION:

Beta of Stock of JSW Steel = 1.576713009

We find that value of beta calculated is same for both methods used
IndusInd Banks stock has higher risk than market risk, as beta is greater than one
IndusInd Banks stock is positively correlated with market. Hence, when market return is
positive the return of JSW stock is also positive and vice-versa.

Upper 95.0%
0.002196969
1.790288234