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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

Under the guidance of Dr. Nagesh Malavalli Principal M.P.Birla Institute of Management, Associate Bharatiya

M.P.Birla Institute of Management, Associate Bharatiya Vidya Bhavan, Bangalore 560001

2005-07

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

PRINCIPAL’S CERTIFICATE

This is to certify that the Project titled COMPARISON BETWEEN EXPECTED RETURN

AS CALCULATED BY CAPM MODEL AND ACTUAL RETURNShas been prepared by

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)

GUIDE CERTIFICATE

This is to certify that the Project titled COMPARISON BETWEEN EXPECTED RETURN

AS CALCULATED BY CAPM MODEL AND ACTUAL RETURNShas 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)

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)

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

5.

Data analysis and Interpretation

6.

Bibliography

7.

Annexure

o Sample data

Phase: 1

Introduction

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.

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.

Limitations of the study:

The study is limited to Indian 70 onlyLimitations of the study: The study is limited to a period of six years. 11

The study is limited to a period of six years. a period of six years.

Phase: 2

Theoretical

Framework

Capital Asset Pricing Model (CAPM)

The CAPM establishes a linear relationship between the required rate of return on a security and its systematic or non-diversifiable risk as measured by Beta.

Mathematically, it is represented as

k j = R f +

Mathematically, it is represented as k j = R f + (k m - 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

and R f is the risk free rate of return. The term (k m - R

(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 risk-averse.

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.

The CAPM model can be graphically represented by the security market line.

be graphically repr esented by the security market line . • Any individual’s expected return and

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.

-If the expected rate of return is less than the required rate of return then the security is over-valued. 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

Realized return (or ex-post) 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 equity-holders get when they own a company’s shares constitutes the income component.

The component of dividend yield is measured as

component. The component of dividend yield is measured as , where D t is the dividend

, 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 t-1 )/p t-1

Measurement of returns

The component of dividend yield is measured as

The Capital gain yield is measured as

(p t -p t-1 )/p t-1

,
,

,

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 t-1 )/p t-1

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

associated with the returns. Expected rate of return where P i is the probability associated with

where P i is the probability associated with the i th outcome and k i is the rate of return from the i th possible outcome.

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 inter-related 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 = Risk-free 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 risk-return 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.

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.

Let k i be the rate of return associated with the i th possible outcome and P i be the

with the i t h possible outcome and P i be the corresponding probability and be

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 n-security portfolio is:

the standar d deviation of an n-security portfolio is: = where, is the standard devia tion

=

the standar d deviation of an n-security portfolio is: = where, is the standard devia tion

where,

standar d deviation of an n-security portfolio is: = where, is the standard devia tion of

is the standard deviation of the portfolio,

w i is the weight of the i th security

w j is the weight of the j th security

is the standard deviation of the i t h security th security

is the standard deviation of the j t h security. th security.

is the correlation coefficient between the i t h and the j t h security. th and the j th security.

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 asset-specific 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 well-diversified 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. Non-Diversifiable or systematic risk: It influences a large number of assets,

each to a greater or lesser extent. This risk arises on account of economy-wide 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 well-diversified portfolios of securities.

Examples of Systematic risk:

The Reserve Bank of India introduces a restrictive credit policy.

The corporate tax is increased.

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

by diversification, there is no reward for bearing it From the above graph we observe that,

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.

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:

expected returns. Mathematically beta can be expressed as: If Beta is greater than 1, it indicates

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.

proportion of the individual securities in the portfolio. , where is the beta of the portfolio,

, where

is the beta of the portfolio,of the individual securities in the portfolio. , where w i is the weight associated with

w i is the weight associated with the i th security, and

is the beta associated with the i t h security th security

Phase: 3

Literature Review

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.

Phase: 4

Methodology

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:

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

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

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- 01-012001 to 31-12-2004

Testing period-

01-01-2005 to 31-12-2006

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 6-6.5%. The x variable should be equal to Rm-Rf during estimation period.

Phase 5

Tests and Results

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

P-value

Lower 95%

95%

95.0%

95.0%

Intercept

-0.026512

0.005951

-4.4551

3.21E-05

-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

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 Rm-Rf. 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.

Phase 8

BIBLIOGRAPHY

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

www.icicidirect.com

www.iciciresearch.com

www.easy-forex.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, Vol-31,No.4(Winter,2002), pp. 55-77

Do we need capital budgeting? Ravi Jaganna than; Iwan Meier, Financial Management, Vol-31,No.4(Winter,2002), pp. 55-77 36

Phase 9

ANNEXURES

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

P-value

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

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

P-value

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

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

7.79E-07

Residual

46

0.080648

0.001753

Total

47

0.137861

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

7.79E-07

0.320352

0.668949

0.320352

0.668949

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

P-value

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

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

P-value

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

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

P-value

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

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

2.2E-06

Residual

46

0.325882

0.007084

Total

47

0.533148

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

2.2E-06

0.591122

1.291861

0.591122

1.291861

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

1.76E-05

Residual

46

0.241211

0.005244

Total

47

0.36162

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

1.76E-05

0.416165

1.019036

0.416165

1.019036

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

P-value

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

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

P-value

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

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

7.13E-05

Residual

46

0.385252

0.008375

Total

47

0.544856

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

7.13E-05

0.445231

1.207131

0.445231

1.207131

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

5.68E-06

Residual

46

0.445607

0.009687

Total

47

0.700536

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

5.68E-06

0.634445

1.453856

0.634445

1.453856

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

9.73E-05

Residual

46

0.256843

0.005584

Total

47

0.358575

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

9.73E-05

0.348553

0.970652

0.348553

0.970652

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

9.94E-05

Residual

46

0.211908

0.004607

Total

47

0.295585

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

9.94E-05

0.315679

0.880745

0.315679

0.880745

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

P-value

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

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

P-value

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

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

6.45E-05

Residual

46

0.399052

0.008675

Total

47

0.566726

 

Standard

Upper

Lower

Upper

 

Coefficients

Error

t Stat

P-value

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

6.45E-05

0.459098

1.234524

0.459098

1.234524

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