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A Multi-factor risk model for the Indian Stock Market

Ramnath Balasubramanian and Sandeep Bharatwaj

The paper attempts to find the evidence of a multi factor model for explaining stock price returns in the Indian stock market. It makes use of the technique of statistical factor analysis. The results of the factor analysis show that a five factor model is appropriate for explaining the returns generation process in India. The explanatory power of this five factor model is significantly better for the five factor model, with an average R2 of 0.871, as compared to an R2 of 0.503 for the single index model. Further, the multi factor is significantly better than the single index model in explaining returns of small stocks.

INTRODUCTION

Multi factor models for returns generation

Multi factor models attempt to describe asset price returns and their covariance matrix as a function of a limited number of risk attributes. Factor models are thus based on one of the fundamental tenets of financial theory: no reward without risk. The Capital Asset Pricing Model (CAPM) first presented by Sharpe(1964), Linter(1965) and Mossin (1996) is a single factor model and remains one of the most popular empirical models of the return generation process. This model uses stock beta as the only relevant risk measure. But empirical studies could not confirm this restrictive statement. Ross (1976) posited a more general multiple factor structure for the returns generating process, known as the Arbitrage Pricing Theory (APT). However, he was unable to explain the nature or specify the number of factors. Further work carried out in this field by Chen et al (1986) attempts to explain some of these factors. Fama and French (1992) find that the main prediction of the CAPM is violated for the US stock market. Exposures to two other factors, a size-based factor and a book-to- market-based factor, often called a “value” factor, explain a significant part of the cross-sectional dispersion in mean returns. Their paper was the foundation for a number of empirical studies in this direction.

General structure of multi factor models

In their general form, factor models posit that the period returns of different assets are

explained by common factors in a linear model. The asset returns are influenced by the factors as per the sensitivity of the individual securities to the factors. These sensitivities

thus play the role of the beta in CAPM. In addition, the asset return is also influenced by the specific return, which is assumed to be independent of the other factors. A multiple

factor model for i=1

can be represented in the form of an equation Ri = αi+βi1F1+……BikFk+ єi

Where Ri = returns to security i

αi, βij =sensitivity of security i to factor j

F1…

єi = specific return to security i There are three broad assumptions behind the model. The first is that the specific returns are

not correlated with each other. This implies that the correlation between the returns on two different securities is solely determined by their common dependence on the factors F1, F2….Fn. The second is that the expected specific return is zero. The third is that the specific returns are independent of the factors.

securities of a market

n

Fk = the k factors

Methodologies for estimation of multi factor models

There are three different methodologies to estimate factor models. The time series analysis is the most intuitive among all the techniques. In this analysis, a linear regression is performed over different time periods, with the assumption that the factor sensitivities are constant across time. Typical factors that are considered relevant in many studies, as for

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instance in the studies of Berry et al (1988), are excess returns on long term bonds, exchange rates, price changes of raw material and inflation. Cross sectional analysis is the second methodology and is less intuitive than time series analysis. In this we take factor exposures as given. A regression is then performed over all securities for a single time period, rather than over one security over all time periods. The process is then repeated over several other time periods to obtain a time series for factor values. Fama and French used this technique to explain the size and value effect in the US market. The main drawback of this technique is that it assumes exposures to be given. The third common methodology for estimating factor models is statistical factor analysis. The statistical factor models obtain both the factors and the sensitivities to these factors simultaneously. The advantage of this approach is its “objectivity”, as neither the factors nor the sensitivities are defined in advance, but rather estimated from the data. However factor analysis requires constancy of factors. Further, the economic interpretation of the factors is very difficult. This technique was employed by Ross to formulate the APT. Elton and Gruber (1989) used this technique to find the evidence of a multi factor risk model for the Japanese context.

Factor models in the Indian market

In the Indian context, there has been limited empirical research in the area of multi factor models. Amanullah and Kamaiah (1998) showed that the CAPM may not be relevant in the Indian market. Most of the research in multi factor models in India has been done using the technique of cross sectional regression. Connor and Sehgal (2001) tested the Fama and French model in India using this technique. Mohanty (2000) tested the Indian market for efficiency in pricing small stocks, using a similar technique. This paper attempts to find the evidence of a multi factor model in the Indian context. To investigate this, we make use of the technique of statistical factor analysis. In section two, we

describe the data sample used in the study. We then identify the number of factors sufficient to explain the return generation process and attempt to explain the individual factors. In section four, we examine the efficacy of this multi factor model vis a vis the single factor market model. In section five, we describe some of the limitations of our multi factor model. The conclusion in section six summarizes the results.

DATA SAMPLE

For the purpose of our study, we used the securities constituting the BSE 100 index. Though there are over 5000 listed securities in the various Indian stock markets, most of them are very thinly traded. Hence, we considered only the top 100 stocks as identified in the BSE 100 index. The BSE 100 is a broad-based and value-weighted stock market index. The sample companies constitute the major proportion of the total market capitalization and liquidity in the Indian equities market. Another important reason for using the stocks constituting BSE 100 as opposed to an even broader index was the limitation of the statistical package in handling greater number of variables. The share price data for a three years period between November 1999 and October 2002 was obtained from Prowess, a highly normalized database maintained by the Center for Monitoring the Indian Economy (CMIE). This database is widely used by researchers and practitioners to obtain financial information on Indian companies and security markets. The price data has been adjusted for capitalization changes such as stock splits and bonus issues. This share price data was then converted into weekly logarithmic returns. We have used weekly returns instead of daily returns to reduce the number of outliers in the data, as factor analysis is very sensitive to statistical outliers. The weekly returns were computed using the capitalization data only, and the dividends were ignored. However, this should not have a significant impact on the study, as the

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average dividend yield across these companies is very low.

Statistical analysis technique

In this study we have used Principal Component Factor Analysis to estimate the factors and the loadings on the factors. Principal component factor analysis estimates both these parameters simultaneously. The factor solution was then rotated orthogonally using a Varimax rotation to maximize the variance of the squared elements in the columns of a factor matrix.

OBTAINING THE MULTI FACTOR MODEL

The first stage in determining a multi-factor return generating process was an estimation of the number of factors that might be present. There is a trade-off between a parsimonious description of the return process (fewer number of factors) and a ‘better’ description of the variance in returns (which generally implies more number of factors). Our objective was to determine that number of factors which would sufficiently describe the returns process, without adding too much to the complexity. This was achieved by performing a ‘Correlation Test’. We first grouped the 100 stocks into five portfolios constructed in descending order of market capitalization. The returns on each of the five portfolios as estimated by the multi- factor model were regressed against the factor returns. This was done for multi-factor models with 2, 3, 4, 5 and 6 factors. The average R2 across the five portfolio was compared as shown in the chart below.

Figure 1 R 2 for various factor solutions

0.88 0.87 R 2 0.8734 0.8712 0.86 0.8542 0.85 0.8452 0.84 0.8362 0.83 0.82 0.81
0.88
0.87
R 2
0.8734
0.8712
0.86
0.8542
0.85
0.8452
0.84
0.8362
0.83
0.82
0.81
2
3
4
5
6

Number of factors

We see that there is no significant addition in the explanatory power of the model by increasing the number of factors from 5 to 6. This suggests that five factors are sufficient to define the return generating process for the Indian Stock Market. A 5-factor principal component analysis was performed on the three-year weekly returns of the stocks constituting the BSE 100 index. The factor loadings of each of the 100 stocks are as shown in Appendix A. Interpreting these five factors is the toughest part of statistical factor analysis. Since these five factors are not unique to a linear transformation, there are infinite number of five factor models that could serve equally well. Nevertheless, the examination of the factor- output matrix does provide us an insight into the possible explanation for some of the factors.

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Table 1

Stocks with loadings > 0.5 on respective factors

Factor 1

Factor 2

Factor 3

Factor 4

Factor 5

‘Pharma’ Factor

‘Technology’

‘Old

‘FMCG’ factor

Unknown

Factor

Economy’

 

Factor

Dabur

Satyam

BPCL

Asian Paints

Corporation Bank

Abbott

Global

HPCL

HLL

Aventis

Telesystems

 

Pfizer

S S I

Neyveli

Escorts

Wockhardt

 

Lignite

Titan

Silverline

SCI

Britannia

Ranbaxy

Novartis

Pentamedia

IPCL

GSK Consumer

MTNL

Graphics

Healthcare

 

Infosys

IOC

Nestle

Dr. Reddy's

 

Digital

Tata Power

Globalsoft

 

Wipro

Bank Of India

Colgate-Palmolive

 

Visualsoft

Tata

 

Chemicals

 

HFCL

Gujarat

 

Ambuja

 

Hughes

Grasim

Software

 

H

C L

TISCO

Infosystems

 

Zee

India Cements

 

H

C L

L & T

 

N

I I T

ACC

As shown in Table 1 above, it is only pharma stocks that have a high loading (loading greater than 0.5) on factor 1. Thus, Factor 1 appears to be highly correlated to variables that affect the stock price of pharmaceutical companies in India. Similarly, it is only the technology stocks that have a high loading on Factor 2. This is a pointer to the possibility that there is a ‘technology factor’ underlying the Indian stock market. This factor could be highly

correlated to technology related variables such as returns on the Nasdaq Index. Almost all the stocks which have a high loading on Factor 3 are the typical ‘old economy’ stocks belonging to heavy industries such as cement (ACC, India Cement, Gujarat Ambuja), petrochemicals (IPCL, IOC, HPCL), heavy engineering (L & T), shipping (SCI), power (Tata Power) etc. This suggests that there is an ‘old economy’ factor underlying the returns generation process in the Indian stock markets.

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Most of the stocks that have a high loading (0.5 and above) on Factor 4 are stocks of consumer non-durables (HLL, Nestle, Britannia). This factor can thus be postulated to be an ‘FMCG factor’. This factor must be highly correlated to variables that impact the performance of FMCG companies such as Consumer Price Index, growth in per-capita income, performance of monsoon etc. While the loadings on Factor 5 seems to high for pharmaceutical companies (Ranbaxy, Aventis, Wockhardt and Dr.Reddy Labs), the presence of stocks such as MTNL and Corporation Bank in this list complicates the possible explanation for this factor. Also, it is not clear as to how this factor is different from Factor 1.

MODEL EXPLANATORY POWER

In this section, we examine how much of the total returns are explained by the five factors and compare this to the amount explained by the more conventional single index model. To examine this, we divided the 100 stocks into five equally weighted portfolios of 20 stocks each. These portfolios were constructed on the basis of descending order of size, based on the average monthly market capitalization of the stocks over the three year period. Elton and Gruber (1989) suggest that such grouping of the stocks would increase the amount explained by any model. Also, it creates a manageable set of data which not only allows us to examine average explanatory power, but also explanatory power across set of stocks.

Table 2 shows the sensitivities and the R2 when the returns on each of the five portfolios are regressed on the factor returns over the three year period from November 1999 to October 2002.

Table 2 Sensitivities and explanatory power of five factor model

 

F1

F2

F3

F4

F5

R 2

P1

.017*

.324

.211

.118

.275

.906

P2

.169

.225

.325

.166

.135

.758

P3

.201

.378

.206

.189

.145

.930

P4

.317

.182

.269

.171

.206

.925

P5

.29

.206

.316

.172

.189

.837

Average:

 

0.871

* denotes insignificance at 5% level

The average adjusted R2 across the five portfolios is 0.871. Moreover, the sensitivities are highly significant. Of the 25 different sensitivity estimates, all but two are significant at the 5% level. As a standard of comparison, we use the BSE 100 index. This index is a value weighted index, made of the same 100 securities that we are analyzing. Thus, the relationship between our five portfolios and the index is likely to be higher than if we had chosen another market index. Table 3 presented below shows the results.

Table 3 Sensitivities and explanatory power for the single index model

 

Beta

R 2

Avg. return

P1

0.693

0.746

0.24%

P2

0.510

0.595

0.41%

P3

0.734

0.395

0.06%

P4

0.493

0.391

0.25%

P5

0.448

0.388

0.38%

Average

0.503

The explanatory power of the single index model is much less than that of the multi factor model. The average adjusted R2 of 0.503 is much less than the average R2 of 0.871 of the multi factor model. Hence, the multi factor model explains considerably more of the time series of stock price returns in the Indian market.

Returns of Small Stocks

In the US market, empirical studies have shown that beta coefficients increase as size decreases (Elton and Gruber, 1988). This suggests that smaller firms are perceived be riskier than the bigger firms. We tried to examine if this was true in the Indian context. Based on our analysis, we could not find any real evidence in this direction. As per table 3, except for portfolio 3, which has the highest

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market beta of 0.734, the betas have actually declined from the largest to the smallest portfolio. An examination of our results (table 3) indicates that beta may not be a sufficient metric for capturing risk. Portfolio 3, which has the highest beta (0.734) among the five portfolios, gives the lowest average weekly return (0.06%) over the three years. Similarly, though portfolio 2 has a lower beta (0.51) as compared to portfolio 1 (0.69), it gives higher average weekly returns of 0.41% as compared to 0.24% for portfolio 1. The third important observation was that the R2 across the 5 portfolios declines significantly in case of the single factor model (by nearly 50%). On the other hand the multi factor model is able to explain a significant proportion of the variance even in case of the smaller stock portfolios. This only supports the postulate by Fischer (1988) that CAPM may be inadequate in explaining returns of certain small stocks.

LIMITATIONS OF THE MODEL

The model presented above suffers from some inherent limitations of factor analysis. The major assumption that the factor analysis makes is that the covariance matrix remains constant over time. Also, in factor analysis, the factors are orthogonal- i.e. they are independent of each other. In reality however,

it may not be possible to obtain factors which are completely independent of each other. Typically, the statistical factor models do not provide a good fit to data out of sample in those periods when the company characteristics are subject to change. Only if the companies remain unchanged over time, will a statistical factor model, estimated on basis of long data series, provide a better fit. This implies that a pure statistical factor model may lead to over fitting of the parameters to the data. In spite of these limitations, the objectivity of statistical factor analysis enables us to gain crucial insights on the returns generation process in the Indian stock market.

CONCLUSION

In this paper we have estimated a five-factor return generating process for the Indian stock market. We have found that five factors are sufficient to describe the return generating process. It is not possible to provide a conclusive explanation for these five factors. However the examination of the factor loading matrix suggests that the four of the five factors underlying the stock market could be termed as ‘Pharma Factor’, ‘Technology Factor’, ‘Old economy Factor’ and ‘FMCG Factor’. We have also showed that this multi-factor model has better descriptive power than the commonly used single factor market model. The performance of this five-factor model is particularly impressive for smaller stocks.

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REFERENCES

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153-177

Amanullah, S.; Kamaiah, B. (1998). “Asset Price Behavior in the Indian Stock Market: Is the CAPM still relevant,” Journal of Financial Management and Analysis, Volume 11, No. 1, pp

32-47

Beckers, Stan; Cummins, Paul; Woods, Chris (1993). “The Estimation of Multiple Factor Models and their Applications: The Swiss Equity Market,” Finanzmarket und Portfolio Management, 7, No. 1, pp 24-45

Berry, Michael A.; Burmeister, Edwin; McElroy, Majorie B. (1988). “Sorting out Risks using known APT Factors,” Financial Analysts Journal, 44, pp 29-42

Black, Fischer (1993). “Beta and Return,” Journal of Portfolio Management, 20, Fall 1993, pp 8-18.

(1986).

“Economics Forces and the Stock Market,” Journal of Business, 59(3), pp 383-403

Chen, N; Roll, R;

Ross,

S.

A.

Connor, Gregory; Sehgal, Sanjay. (2001). “Tests of the Fama and French Model in India,” FMG Discussion Papers.

Durr, Martin; Maurer, Raymond; Stephan, Thomas G. (2000). “A Multi Factor Model for European Stocks,” Working Paper Series:

Finance and Accounting, Goethe University Frankfurt am Maim.

Elton, Edwin J.; Gruber, Martin J. (1988). “A Multi Index Risk Model of the Japanese Stock Market,” Japan and the World Economy, 1, pp

21-44

Fama, Eugene; French, Kenneth R. (1992). “The Cross Section of Expected Stock Returns,” Journal of Finance, 47, pp 427-465

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783.

Ross, Stephen (1976). “The Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory, 13, No. 3, pp 341-360

Sharpe, W.F. (1964). “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19, pp

425-442

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Appendix A: Factor Loadings

Factors

Stock

1

2

3

4

5

Abbott India Ltd. Asea Brown Boveri Ltd. Ashok Leyland Ltd. Asian Paints (India) Ltd.

0.547

0.128

0.171

-0.026

0.065

0.428

0.199

0.27

0.283

0.031

0.448

0.189

0.213

0.341

0.231

0.094

0.037

0.199

0.562

0.055

Associated Cement Cos. Ltd. Aventis Pharma Ltd.

0.07

0.289

0.452

0.154

0.476

0.26

0.376

-0.082

0.038

0.546

B

S E S Ltd.

-0.062

0.394

0.204

0.092

0.442

Bajaj Auto Ltd. Bank Of Baroda Bank Of India Bharat Electronics Ltd. Bharat Forge Ltd. Bharat Heavy Electricals Ltd. Bharat Petroleum Corpn. Ltd.

0.259

0.025

0.275

0.298

0.324

0.407

0.127

0.375

0.176

0.175

0.4

0.043

0.54

0.186

0.183

0.324

0.243

0.387

-0.061

0.315

0.448

0.304

0.246

0.097

0.35

0.288

0.188

0.421

0.345

0.187

0.069

-0.003

0.703

0.016

0.11

Britannia Industries Ltd. Castrol India Ltd. Cipla Ltd. Colgate-Palmolive (India) Ltd. Corporation Bank Cummins India Ltd. Dabur India Ltd. Digital Globalsoft Ltd. Dr. Reddy'S Laboratories Ltd.

0.148

0.076

-0.138

0.512

-0.045

0.019

0.005

0.114

0.396

0.322

0.158

0.257

0.211

-0.075

0.284

0.21

-0.067

0.368

0.447

-0.075

0.198

-0.009

0.209

0.284

0.56

0.447

0.178

0.379

0.089

0.111

0.562

-0.011

0.12

0.181

0.207

0.162

0.736

0.117

0.149

0.23

0.33

0.313

-0.002

-0.143

0.47

E

I H Ltd.

0.363

0.146

-0.018

0.167

0.01

Escorts Ltd.

0.121

0.311

0.226

0.528

0.267

Essel Propack Ltd.

-0.007

0.495

0.264

0.37

0.152

G

T L Ltd.

0.157

0.799

0.054

0.224

0.032

Gas Authority Of India Ltd. GSK Consumer Healthcare GSK Pharma

0.001

0.088

0.397

0.231

0.03

0.135

0.063

0.058

0.511

0.097

0.366

0.063

0.119

0.146

0.287

Grasim Industries Ltd. Great Eastern Shipping Co. Ltd. Gujarat Ambuja Cements Ltd. Gujarat Narmada Valley

-0.029

0.139

0.506

0.141

0.436

0.375

0.08

0.228

-0.018

0.044

0.043

0.34

0.523

-0.008

0.415

Fertilizers

0.262

0.337

0.37

-0.093

0.237

H

C L Infosystems Ltd.

0.299

0.638

0.163

-0.023

0.211

H

C L Technologies Ltd.

0.068

0.618

0.068

0.154

0.174

H

D F C Bank Ltd.

0.129

0.292

0.057

-0.096

0.449

Hero Honda Motors Ltd.

0.309

-0.105

0.074

0.252

0.375

HFCL

0.243

0.726

0.094

0.236

0.032

Hind Lever Chemicals Ltd. Hindalco Industries Ltd. Hindustan Lever Ltd.

0.156

0.086

0.237

0.444

-0.086

0.231

0.356

0.058

0.133

0.314

-0.046

0.146

0.174

0.533

0.08

Hindustan Petroleum Corpn. Ltd.

-0.017

0.175

0.653

-0.025

0.089

HDFC

0.06

0.035

-0.033

0.066

0.387

Hughes Software Systems Ltd.

0.05

0.649

0.126

-0.08

0.108

I C I C I Bank Ltd.

0.222

0.286

0.184

-0.059

0.432

I T C Ltd.

-0.268

0.196

0.247

0.283

0.252

India Cements Ltd.

0.038

0.178

0.466

0.239

0.216

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Stock

1

2

3

4

5

Indian Hotels Co. Ltd.

0.349

0.224

0.296

0.321

0.033

Indian Oil Corpn. Ltd.

0.03

0.173

0.56

0.233

0.054

 

IPCL

0.267

0.086

0.569

0.008

0.163

Indo Gulf Corpn. Ltd.

0.427

0.135

0.448

0.345

0.273

 

IDBI

0.288

0.132

0.23

0.254

0.179

Infosys Technologies Ltd. Ingersoll-Rand (India) Ltd. Larsen & Toubro Ltd.

0.007

0.75

0.007

0.044

0.297

0.402

0.132

0.351

0.318

0.01

0.046

0.353

0.459

0.141

0.457

Madras Cements Ltd.

0.24

0.052

0.399

0.213

0.062

MTNL

-0.184

0.273

0.23

0.402

0.484

Mahindra & Mahindra Ltd.

0.193

0.428

0.247

0.358

0.341

Mirc Electronics Ltd. Monsanto India Ltd.

-0.113

0.417

0.221

-0.047

0.011

0.341

0.268

0.267

0.155

0.241

N

I I T Ltd.

0.159

0.575

0.18

0.133

0.101

National Aluminium Co. Ltd. Nestle India Ltd.

0.346

0.088

0.421

0.081

-0.038

0.116

-0.095

0.003

0.459

0.187

Neyveli Lignite Corpn. Ltd. Nicholas Piramal India Ltd. Nirma Ltd. Novartis India Ltd. Pentamedia Graphics Ltd. Pfizer Ltd.

0.187

-0.045

0.63

0.124

0.045

0.417

0.212

0.116

0.204

0.332

0.176

0.432

0.208

-0.045

-0.056

0.483

0.119

0.029

0.17

0.139

0.175

0.755

0.077

0.006

0.106

0.532

0.159

0.036

-0.072

0.091

P

& G

0.142

0.018

0.349

0.352

-0.093

Punjab Tractors Ltd.

0.431

0.193

0.284

0.304

0.108

Ranbaxy Laboratories Ltd. Raymond Ltd. Reliance Capital Ltd. Reliance Industries Ltd.

0.308

0.24

-0.043

0.228

0.485

0.154

0.265

0.271

0.187

0.234

0.263

0.497

0.298

0.276

0.316

0.094

0.37

0.229

0.341

0.389

S

S I Ltd.

0.179

0.787

0.013

0.237

0.083

Satyam Computer Services Ltd. Shipping Corpn. Of India Ltd. Siemens Ltd.

0.04

0.808

0.088

0.177

0.132

0.295

0.016

0.594

0.09

0.162

0.25

0.155

0.314

0

0.374

Silverline Technologies Ltd. State Bank Of India Steel Authority Of India Ltd. Sun Pharmaceutical Inds. Ltd.

0.191

0.78

0.171

0.045

0.172

0.235

0.184

0.384

0.223

0.419

0.287

0.127

0.397

0.12

0.221

-0.008

0.102

0.198

-0.011

-0.102

T

V S Motor Co. Ltd.

0.421

0.112

0.264

0.251

0.283

Tata Chemicals Ltd.

0.29

0.133

0.536

0.166

0.189

TELCO

0.246

0.098

0.396

0.414

0.28

Tata Iron & Steel Co. Ltd. Tata Power Co. Ltd. Tata Tea Ltd. Titan Industries Ltd. Videocon International Ltd. Videsh Sanchar Nigam Ltd. Visualsoft Technologies Ltd. Wipro Ltd. Wockhardt Ltd. Zee Telefilms Ltd.

0.297

0.145

0.479

0.31

0.335

0.193

0.239

0.552

0.247

0.031

0.096

0.245

0.322

0.181

0.39

0.509

0.213

0.378

0.174

0.054

0.303

0.378

0.393

0.09

0.004

-0.273

0.447

0.29

0.222

0.426

0.132

0.727

0.097

0.119

0.062

0.113

0.735

0.121

-0.179

0.177

0.342

0.4

0.079

-0.085

0.532

0.135

0.627

0.017

0.037

0.136

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About the Author(s)

Ramnath Balasubramanian is a second year Post Graduate Diploma in Management (PGDM) student at IIM Ahmedabad. He completed his graduation in Commerce from Mumbai University in 2001. He is also a Diploma in Business Finance Holder from ICFAI, Hyderabad. His areas of interest are potfolio theory and valuation. He is an avid quizzer, and has featured on BBC World Mastermind India Quiz. He has also won a number of Business School Case contests.

Sandeep Bharatwaj is a 2nd Year Student at IIM Ahmedabad. He finished his graduation from IT-BHU in 2001, majoring in Computer Science and Engineering. He loves playing tennis, and is keenly interested in Capital markets and Derivatives. He co-authored a paper on municipal bond markets published in the 'India Infrastructure Report 2003' by Oxford University Press.

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