“COMPARISON BETWEEN EXPECTED RETURN AS CALCULATED BY CAPM MODEL AND ACTUAL RETURNS”
A DISSERTATION SUBMITTED IN PARTIAL FULFILLMENT OF THE CURRICULUM REQUIREMENTS FOR THE AWARD OF THE DEGREE OF
MASTER OF BUSINESS ADMINISTRATION OF BANGALORE UNIVERSITY
Submitted by:
GAURAV GUPTA
Register Number
05XQCM6023
Under the guidance of Dr. Nagesh Malavalli Principal
M.P.Birla Institute of Management, Associate Bharatiya Vidya Bhavan, Bangalore 560001
200507
DECLARATION
I hereby declare that the research work embodied in the dissertation entitled “COMPARISON BETWEEN EXPECTED RETURN AS CALCULATED BY CAPM MODEL AND ACTUAL RETURNS” is the result of research work carried out by me, under the guidance and supervision of Dr. Nagesh Malavalli, M.P.Birla Institute of Management, Bangalore.
I also declare that this report has not been submitted to any other University or Institute for award of any Degree or Diploma.
Place: Bangalore
Date:
(GAURAV GUPTA)
Reg. no. 05XQCM6023
2
PRINCIPAL’S CERTIFICATE
This is to certify that the Project titled “COMPARISON BETWEEN EXPECTED RETURN
AS CALCULATED BY CAPM MODEL AND ACTUAL RETURNS” _{h}_{a}_{s} _{b}_{e}_{e}_{n} _{p}_{r}_{e}_{p}_{a}_{r}_{e}_{d} _{b}_{y}
Mr. GauravGupta bearing registration number 05XQCM6023, under the guidance of Dr. Nagesh Malavalli , M.P.Birla Institute of Management, Associate Bharatiya Vidya Bhavan, Bangalore.
Place: Bangalore
Date:
Dr. NAGESH MALAVALLI
(Principal)
3
GUIDE CERTIFICATE
This is to certify that the Project titled “COMPARISON BETWEEN EXPECTED RETURN
AS CALCULATED BY CAPM MODEL AND ACTUAL RETURNS” has been prepared by
Mr. Gaurav Gupta bearing registration number 05XQCM6023, under the guidance of Dr. Nagesh Malavalli, M.P.Birla Institute of Management, Associate Bharatiya Vidya Bhavan, Bangalore.
Place: Bangalore Date:
(Dr. NAGESH MALAVALLI)
4
ACKNOWLEDGEMENT
The completion of the research would have been impossible without the valuable contributions of people from the academics, family and friends.
I hereby wish to express my sincere gratitude to all those who supported me throughout the study.
I am thankful to Dr. Nagesh Malavalli (Finance), for his valuable guidance, academic and moral support which made this report a reality.
I am greatly thankful to Prof. T.V. Narasimha Rao (Senior Faculty), M.P.Birla Institute of Management, Bangalore, Prof. Santhanam (Statistics) and Prof. Rudramurthy (Finance) for their support in completion of this report.
I also thank my family members and friends whose support and encourage has meant a lot to me personally and also for the completion of the report.
(Gaurav Gupta)
5
CONTENTS
Phase’s 
PARTICULARS 

1. 
Introduction 

o 
Background 

o 
Purpose of the study 

o 
Problem statement 

o 
Objectives of the study 

o 
Limitations of the study 

2. 
Theoritical Framework 

3. 
Review of Literature 

4. 
Methodology 
6
5.
Data analysis and Interpretation
6.
Bibliography
7.
Annexure
o Sample data
7
Phase: 1
Introduction
8
The CAPM as a model is used for calculating the expected returns by 3 out of 4 financial managers. In case where a firm’s capital structure involves equity capital, expected returns have a bearing on the cost of capital.
Recent research indicates that actual return may differ greatly from the returns predicted by CAPM model. CAPM uses market risk premium for estimating the expected returns. Recent research indicates that the true market risk premium may differ greatly from market risk premium used in CAPM model. As a result of result of which wrong cost of capital may be estimated.
9
Purpose of the Study:
CAPM i.e Capital Asset Pricing Model is widely used tool for estimating the expected returns. This research aims to check that up to what extent returns predicted through CAPM matches the actual returns.
Statement of the problem:
Does the CAPM holds true in calculating expected returns?
Objectives of the study:
To see whether the expected returns as calculated by CAPM model matches with ‘actual return’.
To see what could be the probable reasons if the above two vary.
10
Limitations of the study:
The study is limited to Indian 70 only
The study is limited to a period of six years.
11
Phase: 2
Theoretical
Framework
12
Capital Asset Pricing Model (CAPM)
The CAPM establishes a linear relationship between the required rate of return on a security and its systematic or nondiversifiable risk as measured by Beta.
Mathematically, it is represented as
k _{j} = R _{f} +
(k _{m}  R _{f} )
where k _{j} is the required rate of return on the security, k _{m} is the return on market portfolio, and R _{f} is the risk free rate of return.
The term
(k _{m}  R _{f} ) indicates the risk premium on the security and the term (k _{m}  R _{f} )
indicates the market risk premium
Assumptions under the CAPM model:
1. Investors are riskaverse.
2. Investors make their decisions based on a single period horizon.
3. There are no transactions costs in the financial markets.
4. Taxes do not affect the choice of buying an asset.
5. All individuals assume that they can buy assets at the going market price and
they all agree on the nature of risk and returns associated with each investment.
13
The CAPM model can be graphically represented by the security market line.
• Any individual’s expected return and beta should lie on the SML.
• R _{f} is the intercept of the SML.
• k _{m} R _{f} is the slope of the SML.
Using SML to evaluate securities
If the expected rate of return on a security is greater than the required rate of return, it indicates that the security is undervalued because its average return is high for the level of risk it bears. Such a stock lies above the SML.
14
If the expected rate of return is less than the required rate of return then the security is overvalued. Such a stock is unattractive as it is expected to produce a rate of return lower than the stocks with similar betas and it lies below the SML.
The above two categories of stocks should move towards equilibrium by going through a temporary price adjustment. The expected return on the security is computed as:
Assuming that Betas remain the same, the expected return of the undervalued stock has to be brought down to be equal to the required rate of return by increasing the purchase price of the security.
Similarly for the overpriced security, the purchase price of the security has to be brought down so that its expected rate of return rises and becomes equal to its required rate of return.
Concept of return
When an asset is bought, the gain (or loss) from that investment is called the return on investment.
It is the major factor that motivates an investor to invest in an asset. Assessing the return of an asset is important because of the following reasons:
a. It facilitates comparison between various alternatives.
b. It helps in analyzing the past performance.
c. It helps in forecasting the future returns.
Returns can be classified as:
1. Realized return; 2. Expected return
15
Realized return (or expost) is the return that was realized or could have been realized from an asset whereas expected return is the return that an investor expects to earn over some time in future. Expected return is affected by uncertainty
Components of return
Return usually has two components
1. The income component or yield: The cash that the investor receives while
he owns an investment is called the income component. For e.g. the dividend that
the equityholders get when they own a company’s shares constitutes the income component.
The component of dividend yield is measured as
, where D _{t} is the dividend paid on
the stock during the year and P _{t}_{}_{1} is the price of the stock at the beginning of the year. (Note: In case of bonds or debenture, D _{t} will represent coupon payments).
2. The capital gain (or loss): The value of the asset that an investor has will
often change; and depending upon the increase (or decrease) in the value of an
asset there will be a capital gain (or loss).
• The Capital gain yield is measured as
stock at the end of the year
Concept of Return Concept of Return
, where P _{t} is the price of the
(p t p t1 )/p t1
16
•
Measurement of returns
• The component of dividend yield is measured as
• The Capital gain yield is measured as
(p t p t1 )/p t1
,
• The total percentage return is measured as the sum of the dividend yield and the capital gain yield
Hence the total (percentage) return on an investment is given by
Probability and rate of return
D t + (p t p t1 )/p t1
The future returns are characterized by uncertainty. Whenever the probabilities associated with various possible returns are known, then the expected return can be computed as the weighted average of the various returns, the weights being the probabilities associated with the returns.
Expected rate of return
where P _{i} is the probability associated with the i ^{t}^{h} outcome and k _{i} is the rate of return from the i ^{t}^{h} possible outcome.
17
Concept of risk
• Risk can be defined as the variability in the actual return emanating from a project in future over its working life, in relation to the estimated return that was forecasted at the time of selecting the project. The greater the variability between the actual and estimated return, the more risky is the project.
• The financial decisions of the firm are interrelated and jointly affect the market value of its shares by influencing the return and risk of the firm. The relationship between return and risk can be simply expressed as:Return = Riskfree rate + Risk premium
• A proper balance between return and risk should be maintained to maximize the market value of a firm’s shares. Such a balance is called riskreturn trade off. The finance manager, in a bid to maximize the shareholder’s wealth should strive to maximize returns in relation to the given risk and should seek courses of actions that avoid unnecessary risks.
Sources of risk
The various sources from which a risk can arise are:
1. Interest rate risk: Variability in security’s return due to changes in the level of
interest rates. The price of a security moves inversely to the changes in interest rates. Hence if there is a rise in the interest rate, the price of the security will fall.
2. Market rate risk: Variability in the security’s return due to fluctuations in the
securities market. This risk arises as a result of factors that affect the entire
economy, e.g recession, war etc.
18
3.
Inflation risk: The reduction in the purchasing power of money due to rise in
inflation is referred to as inflation risk. Inflation risk directly affects the interest rate
risk as the interest rates increase with rise in inflation.
4. Business risk: It is the risk of doing business in a particular industry or
environment. This risk is unique in nature and arises as a result of uncertainties associated with a company or an industry.
5. Financial risk: It is the risk arising due to the use of debt financing (i.e.
financial leverage). It can also be defined as the variability in the return on equity
and earnings per share of the firm due to increase in financial leverage.
6. Liquidity risk: It is the risk associated with the secondary market in which the
security is traded. Securities like treasury bills which can be sold without a significant price concession are considered to be more liquid.
Measurement of risk
The degree of uncertainty involved can be analyzed using the measures of dispersion.
The various measures of dispersion are:
1. Range: It can be computed as the difference between the highest possible
return and the lowest possible return. It is not a popular measure of risk as it is
based on two extreme values which can (may) misrepresent the actual risk involved.
2. Standard deviation: Standard deviation is an absolute measure of deviation.
It’s very useful in comparing the risks involved in different projects that have similar
outlays. It is defined as the square root of the mean deviations where the deviation is the difference between an outcome and the expected mean value of all outcomes. Further, each deviation is assigned a weight equal to its probability of occurrence.
19
Let k _{i} be the rate of return associated with the i ^{t}^{h} possible outcome and P _{i} be the
corresponding probability and be the mean return, then the standard deviation for the security can be computed as:
The greater the standard deviation of a probability distribution, the greater is the dispersion or the variability of the outcomes around the expected (mean) value. Graphically, a distribution having a wider normal distribution indicates greater risk.
Portfolio risk:
The risk (as measured by standard deviation) of the portfolio is not a simple weighted average of the risk of the individual securities in it; the portfolio’s risk will be smaller than the weighted average of the standard deviations of the assets.
The basic formula for computing the standard deviation of an nsecurity portfolio is:
=
where,
is the standard deviation of the portfolio,
w _{i} is the weight of the i ^{t}^{h} security
w _{j} is the weight of the j ^{t}^{h} security
is the standard deviation of the i ^{t}^{h} security
is the standard deviation of the j ^{t}^{h} security.
is the correlation coefficient between the i ^{t}^{h} and the j ^{t}^{h} security.
20
Risks Affecting a Portfolio:
The total risk in the case of an individual security can be divided into two parts:
1. Diversifiable risk or unsystematic risk: It affects a single asset or only a
small group of assets. Since these risks are specific to individual companies or assets, they are sometimes referred to as unique or assetspecific risks. This risk arises from the uncertainties which are unique to individual securities and which are diversifiable if a large number of securities are combined to form welldiversified portfolios.
Examples of unsystematic risks:
• Workers declare strike in a company.
• The R&D expert of a company leaves.
• The company is not able to obtain adequate quantity of raw material from the supplier.
2. NonDiversifiable or systematic risk: It influences a large number of assets,
each to a greater or lesser extent. This risk arises on account of economywide uncertainties and the tendency of the securities to move together with changes in the market. It is also referred to as market risk. This part of the risk cannot be reduced through diversification. Thus investors are exposed to market risk even when they hold welldiversified portfolios of securities.
Examples of Systematic risk:
• The Reserve Bank of India introduces a restrictive credit policy.
• The corporate tax is increased.
21
• The inflation rate increases.
Note: Since the systematic risk present in an asset cannot be eliminated by diversification, the expected return on a risky asset depends only on that asset’s systematic risk. As unsystematic risk can be eliminated by diversification, there is no reward for bearing it
From the above graph we observe that,
i. Diversification reduces only the unsystematic risk whereas the systematic risk remains constant.
ii. Beyond a certain point, the diversifying effect of each additional stock diminishes due to increase in the positive correlation between the assets.
22
Beta: A measure of systematic risk
Beta measures the relative risk associated with an individual portfolio as measured in relation to the risk of the market portfolio.
The Market Portfolio represents the most diversified portfolio of risky assets an investor could buy since it includes all risky assets.
The expected return and the risk premium on an asset depend only on its systematic risk. Since assets with larger betas have greater systematic risks, they will have greater expected returns.
Mathematically beta can be expressed as:
If Beta is greater than 1, it indicates that the stock is more risky when compared to the market portfolio.
If Beta=1 then it indicates average risk.
If beta is less than 1, then it indicates that the security is less risky than the market portfolio.
Beta of a Portfolio: The beta of a portfolio is a weighted average of the beta of the individual securities, where the weights represent the proportion of the individual securities in the portfolio.
, where
is the beta of the portfolio,
w _{i} is the weight associated with the i ^{t}^{h} security, and
is the beta associated with the i ^{t}^{h} security
23
Phase: 3
Literature Review
24
It was tried to investigate the appropriateness of CAPM model for calculating expected returns and the cost of equity capital. The results indicated that the expected returns predicted by CAPM model may vary greatly from actual returns due to market risk premium.
This research paper explains why the cost of capital may not be a critical input based on the theory of real options. Further it extends the analysis to continuous time and demonstrates that, when the firm has substantial real options, the project selection decision will be near optimal even when the wrong cost of capital is used.
25
Phase: 4
Methodology
26
Methodology
Study Design
a) Study Type: The study type is analytical, quantitative and historical. Analytical because facts and existing information is used for the analysis, Quantitative as relationship is examined by expressing variables in measurable terms and also Historical as the historical information is used for analysis and interpretation.
b) Study population: population is the entire stocks and all indices of all the countries.
c) Sampling frame: Sampling Frame would be 70 stocks of Indian companies choosen from CNX Nifty for individual stock returns and Sensex for market return.
d) Sample: Sample chosen is monthly average values of 70 stocks and monthly average values of Sensex.
e) Sampling technique:
Deliberate sampling is used because only particular units are
selected from the sampling frame. Such a selection is undertaken as these units represent the population in a better way and reflect better relationship with the other
variable.
Data gathering procedures and instruments:
27
Data: Historical monthly average share prices and Historical monthly average values of Sensex.
Data Source:
Historical share prices of the sample companies and the index points for the
period has been taken from the database of Capital Market Publishers (India) Ltd.,
Sensex has been taken because CNX Nifty and BSE Sensex are considered as trust worthy indices of India, to see whether both the indices move in the same direction or not.
List of companies taken for study:
Raymond Hindalco Ibp Ingersoll M & M Tata Motors Rel Cap IFCI Chennai Petro Glaxo Smithline Bharat Heavy Electricals Ltd Bajaj Auto Ltd
Tata Power Company Ltd ITC Ltd Cipla Ltd Ashok Leyland Ltd
Nirma Ltd State Bank of India Polaris Software Lab Ltd ABB Ltd Indian Petrochemicals Corporation Ltd Siemens Ltd Container Corporation Of India Ltd Infosys Technologies Ltd Larsen & Toubro Ltd Hindustan Lever Ltd Corporation Bank Cadila Healthcare Ltd Industrial Development Bank of India Ltd MphasiS Ltd Bharat Electronics Ltd Indian Overseas Bank
28
Bank of India Apollo Tyres Ltd ING Vysya Bank Ltd
GAIL (India) Ltd Aurobindo Pharma Ltd
Dr Reddys Laboratories Ltd
Asian Paints Ltd Punjab Tractors Ltd
Ranbaxy Laboratories Ltd Bharat Forge Ltd Aventis Pharma Ltd Moser Baer (India) Ltd HCL Technologies Ltd
Lupin Ltd Mahanagar Telephone Nigam Ltd
ICICI Bank  Private Sector Oil & Natural Gas Corpn Ltd LIC Housing Finance Ltd
Kotak Mahindra Bank Ltd
Cummins India Ltd Satyam Computer Services Ltd National Aluminium Company Ltd Sun Pharmaceuticals Industries Ltd Bharat Petroleum Corporation Ltd
ACC Ltd 
Tata Steel Ltd 
Hindustan Petroleum Corporation Ltd Steel Authority of India Ltd 
Syndicate Bank Bank of Baroda 
Nicholas Piramal India Ltd Grasim Industries Ltd 
Indian Hotels Co Ltd Housing Development Finance Corporation Ltd 
Hero Honda Motors Ltd Dabur India Ltd TVS Motor Company Ltd HDFC Bank Ltd
29
A BRIEF PROCESS SUMMARY:
First of all the monthly average prices data for 70 stocks were taken from capitaline for the period of 6 years starting from 2001 to 2006. Same was done for Sensex also. Now total period was divided into two parts as follows:
Estimation period 01012001 to 31122004
Testing period
01012005 to 31122006
Estimation period: In this period the log natural of all stocks and Sensex was taken for the purpose of calculating beta also the return of the market.
Beta for each stock was calculated by regressing the stock returns on market returns.
Testing period: in this period the average return for each stock was caculated through log naturals and these average returns were regressed on betas calculated under estimating period.
How to check whether CAPM holds true or not The final regression results (in testing period) provides with 3 important values. Which are intercept, x variable and t statistic. Here intercept should be equal to risk free rate of return (Rf during estimation period). Which has been around 66.5%. The x variable should be equal to RmRf during estimation period.
30
Phase 5
Tests and Results
31
Tests and Results
The primary test was regression analysis for this study
Regression; The results were as follows
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.1026737 

R Square 
0.0105419 

Adjusted 
R 

Square 
0.004009 

Standard Error 
0.0200304 

Observations 
70 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.000291 
0.000291 
0.724486 
0.397664 

Residual 
68 
0.027283 
0.000401 

Total 
69 
0.027573 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.026512 
0.005951 
4.4551 
3.21E05 
0.03839 
0.01464 
0.03839 
0.01464 

X Variable 1 
0.0065529 
0.007699 
0.851168 
0.397664 
0.00881 
0.021915 
0.00881 
0.021915 
32
DATA ANALYSIS AND INTERPRETATION:
Now it is clear from the above summary output that intercept does not match to risk free rate of return as well as x variable also does not match to RmRf. Hence it can be said as per this study that CAPM does not hold true. In other words expected returns as calculated by CAPM model does not match to actual returns.
If we see the test statistic in the above summary output, then also we can say that it is not significant at 5% level of significance.
33
Phase 8
BIBLIOGRAPHY
34
Text Books
• Multinational Business Finance,
David K. Eieteman, Arthur I. Stonehill and Michel H. Moffett, (Tenth Edition)
• Research Methodology
Donald Cooper and Pamela Schindler , (Eighth Edition)
• Financial markets and services
Gordon and Natrajan, (Second Edition)
Websites
• www.investopedia.com
• www.nseindia.com
• www.bseindia.com
• www.exchangerate.com
• www.emeclai.com
35
• www.icicidirect.com
• www.iciciresearch.com
• www.easyforex.com
• www.indiainfoline.com
Database of Capital Market Publishers (India) Ltd., Capitaline 2000
Jstor Database
Reference:
Do we need capital budgeting? Ravi Jagannathan; Iwan Meier, Financial Management, Vol31,No.4(Winter,2002), pp. 5577
36
Phase 9
ANNEXURES
37
Calculation of betas for different companies
SUMMARY OUTPUT
Regression Statistics
HDFC
Multiple R 
0.530112 

R 
Square 
0.281019 

Adjusted 
R 

Square 
0.265389 

Standard Error 
0.041971 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.031672 
0.031672 
17.97945 
0.000107 

Residual 
46 
0.081031 
0.001762 

Total 
47 
0.112703 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.01249 
0.006104 
2.04602 
0.046496 
0.02478 
0.0002 
0.02478 
0.0002 

X 
Variable 1 
0.368034 
0.086796 
4.240218 
0.000107 
0.193323 
0.542746 
0.193323 
0.542746 
38
SUMMARY
OUTPUT
Regression Statistics
Dabur India Ltd
Multiple R 
0.488125 

R 
Square 
0.238266 

Adjusted R Square 
0.221707 

Standard Error 
0.067676 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.0659 
0.0659 
14.38855 
0.000432 

Residual 
46 
0.210683 
0.00458 

Total 
47 
0.276583 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.00188 
0.009843 
0.19091 
0.849433 
0.02169 
0.017934 
0.02169 
0.017934 

X 
Variable 1 
0.530881 
0.139955 
3.793224 
0.000432 
0.249166 
0.812597 
0.249166 
0.812597 
39
Housing Development Finance Corporation Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.644206 

R 
Square 
0.415001 

Adjusted 
R 

Square 
0.402284 

Standard 

Error 
0.041872 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.057212 
0.057212 
32.6326 
7.79E07 

Residual 
46 
0.080648 
0.001753 

Total 
47 
0.137861 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.01671 
0.00609 
2.74367 
0.008633 
0.02897 
0.00445 
0.02897 
0.00445 

X 
Variable 1 
0.49465 
0.086591 
5.712495 
7.79E07 
0.320352 
0.668949 
0.320352 
0.668949 
40
Indian Hotels Co Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.502037 

R 
Square 
0.252041 

Adjusted 
R 

Square 
0.235782 

Standard 

Error 
0.088131 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.120395 
0.120395 
15.50074 
0.000277 

Residual 
46 
0.357285 
0.007767 

Total 
47 
0.47768 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.00979 
0.012818 
0.76357 
0.449024 
0.03559 
0.016014 
0.03559 
0.016014 

X 
Variable 1 
0.71756 
0.182256 
3.937098 
0.000277 
0.350697 
1.084422 
0.350697 
1.084422 
41
SUMMARY OUTPUT
Regression Statistics
Bank of Baroda
Multiple R 
0.35611 

R 
Square 
0.126814 

Adjusted 
R 

Square 
0.107832 

Standard 

Error 
0.119509 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.095416 
0.095416 
6.680666 
0.012984 

Residual 
46 
0.656989 
0.014282 

Total 
47 
0.752405 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.02445 
0.017382 
1.40691 
0.166176 
0.05944 
0.010533 
0.05944 
0.010533 

X 
Variable 1 
0.638798 
0.247146 
2.584698 
0.012984 
0.141319 
1.136277 
0.141319 
1.136277 
42
SUMMARY OUTPUT
Regression Statistics
Syndicate Bank
Multiple R 
0.311814 

R 
Square 
0.097228 

Adjusted 
R 

Square 
0.077603 

Standard 

Error 
0.105668 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.055317 
0.055317 
4.954182 
0.030969 

Residual 
46 
0.513622 
0.011166 

Total 
47 
0.568939 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.03205 
0.015369 
2.08528 
0.042621 
0.06298 
0.00111 
0.06298 
0.00111 

X 
Variable 1 
0.486388 
0.218523 
2.225799 
0.030969 
0.046524 
0.926251 
0.046524 
0.926251 
43
SUMMARY OUTPUT
Regression Statistics
Tata Steel Ltd
Multiple R 
0.623504 

R 
Square 
0.388758 

Adjusted 
R 

Square 
0.37547 

Standard 

Error 
0.084169 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.207265 
0.207265 
29.25656 
2.2E06 

Residual 
46 
0.325882 
0.007084 

Total 
47 
0.533148 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.02149 
0.012242 
1.75539 
0.08585 
0.04613 
0.003152 
0.04613 
0.003152 

X 
Variable 1 
0.941492 
0.174062 
5.408933 
2.2E06 
0.591122 
1.291861 
0.591122 
1.291861 
44
Mahanagar Telephone Nigam Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.577036 

R 
Square 
0.332971 

Adjusted 
R 

Square 
0.31847 

Standard 

Error 
0.072414 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.120409 
0.120409 
22.96249 
1.76E05 

Residual 
46 
0.241211 
0.005244 

Total 
47 
0.36162 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.011339 
0.010532 
1.076614 
0.287267 
0.00986 
0.032539 
0.00986 
0.032539 

X 
Variable 1 
0.717601 
0.149752 
4.791919 
1.76E05 
0.416165 
1.019036 
0.416165 
1.019036 
45
Bharat Petroleum Corporation Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.478506 

R 
Square 
0.228968 

Adjusted 
R 

Square 
0.212207 

Standard 

Error 
0.099385 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.134927 
0.134927 
13.66031 
0.000581 

Residual 
46 
0.454357 
0.009877 

Total 
47 
0.589285 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.0166 
0.014455 
1.14859 
0.256664 
0.0457 
0.012493 
0.0457 
0.012493 

X 
Variable 1 
0.759632 
0.205529 
3.695985 
0.000581 
0.345924 
1.173341 
0.345924 
1.173341 
46
Sun Pharmaceuticals Industries Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.492229 

R 
Square 
0.24229 

Adjusted 
R 

Square 
0.225818 

Standard 

Error 
0.058973 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.051157 
0.051157 
14.70923 
0.00038 

Residual 
46 
0.159981 
0.003478 

Total 
47 
0.211138 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.02178 
0.008577 
2.53899 
0.014564 
0.03904 
0.00451 
0.03904 
0.00451 

X 
Variable 1 
0.467739 
0.121958 
3.835261 
0.00038 
0.222251 
0.713227 
0.222251 
0.713227 
47
National Aluminium Company Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.541229 

R 
Square 
0.292929 

Adjusted 
R 

Square 
0.277558 

Standard 

Error 
0.091515 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.159604 
0.159604 
19.0571 
7.13E05 

Residual 
46 
0.385252 
0.008375 

Total 
47 
0.544856 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.02021 
0.01331 
1.5181 
0.135832 
0.047 
0.006586 
0.047 
0.006586 

X 
Variable 1 
0.826181 
0.189255 
4.365444 
7.13E05 
0.445231 
1.207131 
0.445231 
1.207131 
48
Satyam Computer Services Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.603246 

R 
Square 
0.363906 

Adjusted 
R 

Square 
0.350078 

Standard 

Error 
0.098423 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.254929 
0.254929 
26.31633 
5.68E06 

Residual 
46 
0.445607 
0.009687 

Total 
47 
0.700536 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.009315 
0.014315 
0.650738 
0.518453 
0.0195 
0.03813 
0.0195 
0.03813 

X 
Variable 1 
1.044151 
0.20354 
5.129944 
5.68E06 
0.634445 
1.453856 
0.634445 
1.453856 
49
Cummins India Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.532646 

R 
Square 
0.283712 

Adjusted 
R 

Square 
0.26814 

Standard 

Error 
0.074723 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.101732 
0.101732 
18.21996 
9.73E05 

Residual 
46 
0.256843 
0.005584 

Total 
47 
0.358575 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.0024 
0.010868 
0.22128 
0.825857 
0.02428 
0.019471 
0.02428 
0.019471 

X 
Variable 1 
0.659603 
0.154529 
4.268484 
9.73E05 
0.348553 
0.970652 
0.348553 
0.970652 
50
SUMMARY OUTPUT
Regression Statistics
Punjab Tractors Ltd
Multiple R 
0.53206 

R 
Square 
0.283088 

Adjusted 
R 

Square 
0.267503 

Standard 

Error 
0.067873 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.083676 
0.083676 
18.16408 
9.94E05 

Residual 
46 
0.211908 
0.004607 

Total 
47 
0.295585 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.003757 
0.009872 
0.380578 
0.705268 
0.01611 
0.023628 
0.01611 
0.023628 

X 
Variable 1 
0.598212 
0.140362 
4.261934 
9.94E05 
0.315679 
0.880745 
0.315679 
0.880745 
51
Kotak Mahindra Bank Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.435344 

R 
Square 
0.189525 

Adjusted 
R 

Square 
0.171906 

Standard 

Error 
0.092116 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.091276 
0.091276 
10.75681 
0.001985 

Residual 
46 
0.39033 
0.008485 

Total 
47 
0.481606 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.02916 
0.014214 
2.05116 
0.045972 
0.05777 
0.00054 0.05777 0.00054 1.082981 0.259225 1.082981 

X 
Variable 1 
0.671103 
0.20462 
3.279757 
0.001985 
0.259225 
52
Aurobindo Pharma Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.475613 

R 
Square 
0.226208 

Adjusted 
R 

Square 
0.209387 

Standard 

Error 
0.106415 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.152283 
0.152283 
13.44751 
0.000634 

Residual 
46 
0.520915 
0.011324 

Total 
47 
0.673198 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.001019 
0.015477 
0.065836 
0.947794 
0.03014 
0.032173 
0.03014 
0.032173 

X 
Variable 1 
0.80701 
0.220069 
3.667084 
0.000634 
0.364035 
1.249985 
0.364035 
1.249985 
53
LIC Housing Finance Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.543934 

R 
Square 
0.295864 

Adjusted 
R 

Square 
0.280557 

Standard 

Error 
0.09314 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.167674 
0.167674 
19.32833 
6.45E05 

Residual 
46 
0.399052 
0.008675 

Total 
47 
0.566726 

Standard 
Upper 
Lower 
Upper 

Coefficients 
Error 
t Stat 
Pvalue 
Lower 95% 
95% 
95.0% 
95.0% 

Intercept 
0.03053 
0.013547 
2.25355 
0.029034 
0.0578 
0.00326 
0.0578 
0.00326 

X 
Variable 1 
0.846811 
0.192615 
4.396399 
6.45E05 
0.459098 
1.234524 
0.459098 
1.234524 
54
Oil & Natural Gas Corpn Ltd
SUMMARY OUTPUT
Regression Statistics
Multiple R 
0.357595 

R 
Square 
0.127874 

Adjusted 
R 

Square 
0.108915 

Standard 

Error 
0.09783 

Observations 
48 

ANOVA 

Significance 

df 
SS 
MS 
F 
F 

Regression 
1 
0.064551 
0.064551 
6.744677 
0.012585 

Residual 
46 
0.440251 
0.009571 

Total 
47 
0.504802 

Standard 
Upper 
Lower 
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