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F-102

QUANTITATIVE METHODS
ASSIGNMENT

CAPM

SUBMITTED TO

Prof. Pankaj Sinha


FMS, UNIVERSITY OF DELHI

SUBMITTED BY
ASHISH NEGI
MBA 1ST YEAR
ROLL NO 161

SUMMARY OUTPUT

GODREJ

Regression Statistics
Multiple R
0.17048
R Square
0.029063
Adjusted R
Square
0.02711
Standard
Error
1.603361
Observation
s
499
ANOVA
df
Regression

SS
1

38.24484

497
498

1277.671
1315.916

Coefficien
ts

Standard
Error

Intercept

2.021317

0.503955

X Variable 1

0.231487

0.060017

Residual
Total

MS
38.2448
4
2.57076
7

t Stat
4.01090
6
3.85704
8

F
14.8768
2

Significan
ce F
0.00013

Lower
95%

P-value
6.98E05

1.031172

0.00013

0.113569

Upper
95%
3.01146
2
0.34940
4

Lower
95.0%
1.03117
2
0.11356
9

Upper
95.0%
3.01146
2
0.34940
4

Test if CAPM is Valid at 5%


at 5% significance level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025
Significance Level
T-Statistic @ 0.975
Significance Level
Reject H0 if t > 1.9647 or t < -1.9647

-1.9647

1.9647

Standard Error

0.060016589

Estimated Hypothesis

0.231486858

T-Statistic

3.857047902

Ho is rejected, and hence beta is significant


enough

SUMMARY OUTPUT

HUL

Regression Statistics
Multiple R
0.338926
R Square
0.114871
Adjusted R
Square
0.11309
Standard
Error
1.329274
Observation
s
499
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1

SS
1

113.9693

497
498

878.1838
992.1531

Coefficien
ts

Standard
Error

0.12366

0.059527

0.408978

0.050924

MS
113.969
3
1.76696
9

F
64.4998
8

t Stat
2.07739
6
8.03118
2

P-value
0.03827
8
7.05E15

Significan
ce F
7.05E-15

Lower
95%
0.006706
0.308926

Upper
95%
0.24061
5
0.50903
1

Lower
95.0%
0.00670
6
0.30892
6

Upper
95.0%
0.24061
5
0.50903
1

Test if CAPM is Valid at 5%


at 5% significance level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025
Significance Level
T-Statistic @ 0.975
Significance Level
Reject H0 if t > 1.9647 or t < -1.9647

-1.9647

1.9647

Standard Error

0.050923781

Estimated Hypothesis

0.408978139

T-Statistic

8.031181769

Ho is rejected, and hence beta is significant enough

SUMMARY OUTPUT

BRITANIA

Regression Statistics
Multiple R
0.246206
R Square
0.060617
Adjusted R
Square
0.058727
Standard
Error
1.375204
Observation
s
499
ANOVA
df
Regression

SS
1

60.65217

497
498

939.92
1000.572

Coefficien
ts

Standard
Error

Intercept

0.029328

0.061583

X Variable 1

0.298352

0.052683

Residual
Total

MS
60.6521
7
1.89118
7

F
32.0709
5

t Stat
0.47623
6
5.66312
2

P-value
0.63411
6
2.52E08

Significan
ce F
2.52E-08

Lower
95%
-0.09167
0.194843

Upper
95%
0.15032
4
0.40186
2

Lower
95.0%
0.09167
0.19484
3

Upper
95.0%
0.15032
4
0.40186
2

Test if CAPM is Valid


at 5%
at 5% significance
level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025
Significance Level

T-Statistic @ 0.975
Significance Level
Reject H0 if t > 1.9647 or t < -1.9647

-1.9647

1.9647

Standard Error
Estimated
Hypothesis

0.052683347

T-Statistic

5.663121901

0.298352219

Ho is rejected, and hence beta is significant enough

SUMMARY OUTPUT

NESTLE

Regression Statistics
Multiple R
0.22058
R Square
0.048655
Adjusted R
Square
0.046741
Standard
Error
1.389475
Observatio
ns
499
ANOVA
df
Regression

Residual

497

Total

498

Intercept
X Variable 1

SS
49.073
99
959.52
86
1008.6
03

Standa
Coefficients rd Error
0.0622
0.054016
23
0.0532
0.268369
3

MS
49.0739
9
1.93064
1

t Stat
0.86811
8
5.04167
6

F
25.4185

P-value
0.38574
9
6.48E07

Significanc
eF
6.48E-07

Lower
95%
-0.06824
0.163785

Upper
95%
0.17626
8
0.37295
2

Lower
95.0%
0.06824
0.16378
5

Upper
95.0%
0.17626
8
0.37295
2

Test if CAPM is Valid at


5%
at 5% significance level Two Tailed Test
H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025
Significance Level

-1.9647

T-Statistic @ 0.975
Significance Level
Reject H0 if t > 1.9647 or t < -1.9647
Standard Error

1.9647

0.05323005

Estimated Hypothesis

0.268368675

T-Statistic

5.041676132

Ho is rejected, and hence beta is significant enough

SUMMARY OUTPUT

DABUR

Regression Statistics
Multiple R
0.26315
R Square
0.069248
Adjusted R
Square
0.067375
Standard
Error
1.392119
Observation
s
499
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1

SS
1

71.66098

497
498

963.1838
1034.845

Coefficien
ts

Standard
Error

MS
71.6609
8
1.93799
6

F
36.9768
6

P-value
0.48436
5
2.39E09

0.043628

0.062341

t Stat
0.69982
3

0.3243

0.053331

6.08086

Significan
ce F
2.39E-09

Lower
95%
-0.07886
0.219518

Upper
95%
0.16611
2
0.42908
3

Lower
95.0%
0.07886
0.21951
8

Upper
95.0%
0.16611
2
0.42908
3

Test if CAPM is Valid at 5%


at 5% significance level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025
Significance Level
T-Statistic @ 0.975
Significance Level
Reject H0 if t > 1.9647 or t < -1.9647

-1.9647
1.9647

Standard Error

0.053331341

Estimated Hypothesis

0.324300408

T-Statistic

6.080859785

Ho is rejected, and hence beta is significant enough