SAPM Ass 3

Security & Portfolio Management
Models of BETA
calculation on Equity
SAPM Assignment 3
4 Sectors - 12 Companies 3 Models of BETA Calculation
Pros/Cons
GHOUTHAM.U
8/19/2011
Roll No 2010c23
SCMHRD 2010-12
MBA Finance
Name: Ghoutham.U (2010C23)

SCMHRD MBA Finance- SAPM Course
TABLE OF CONTENTS
1)
2)
3)
4)
5)
6)
7)
8)
9)
10)
11)
Introduction
Definition of BETA
Beta Calculation Methods
Preliminaries & Calculation Example
Beta & Risk
Finding Beta
Problems with Beta
How To Use Beta
Regression Alpha & Beta Squared
Workings & Data
References
2|Page
3
3
5
6
8
8
9
9
9
11
45

Introduction:
In finance, the Beta () of a stock or portfolio is a number describing the relation of its returns with those of
the financial market as a whole.
An asset has a Beta of zero if its returns change independently of changes in the market's returns. A positive beta
means that the asset's returns generally follow the market's returns, in the sense that they both tend to be above their
respective averages together, or both tend to be below their respective averages together. A negative beta means
that the asset's returns generally move opposite the market's returns: one will tend to be above its average when the
other is below its average.
The beta coefficient is a key parameter in the capital asset pricing model (CAPM). It measures the part of the asset's
statistical variance that cannot be removed by the diversification provided by the portfolio of many risky assets,
because of the correlation of its returns with the returns of the other assets that are in the portfolio. Beta can be
estimated for individual companies using regression analysis against a stock market index.
Definition:
The formula for the beta of an asset within a portfolio is
where ra measures the rate of return of the asset, rp measures the rate of return of the portfolio, and cov(ra,rp) is
the covariance between the rates of return. The portfolio of interest in the CAPM formulation is the market
portfolio that contains all risky assets, and so the rp terms in the formula are replaced by rm, the rate of return of
the market.
Beta is also referred to as financial elasticity or correlated relative volatility, and can be referred to as a
measure of the sensitivity of the asset's returns to market returns, its non-diversifiable risk, its systematic risk, or
market risk. On an individual asset level, measuring beta can give clues to volatility and liquidity in the
marketplace. In fund management, measuring beta is thought to separate a manager's skill from his or her
willingness to take risk.
The beta coefficient was born out of linear regression analysis. It is linked to a regression analysis of the returns
of a portfolio (such as a stock index) (x-axis) in a specific period versus the returns of an individual asset (y-axis)
in a specific year. The regression line is then called the Security characteristic Line (SCL).
a is called the asset's alpha and a is called the asset's beta coefficient. Both coefficients have an
important role in Modern portfolio theory.
3|Page

For an example, in a year where the broad market or benchmark index returns 25% above the risk free rate,
suppose two managers gain 50% above the risk free rate. Because this higher return is theoretically
possible merely by taking a leveraged position in the broad market to double the beta so it is exactly 2.0, we
would expect a skilled portfolio manager to have built the outperforming portfolio with a beta somewhat less
than 2, such that the excess return not explained by the beta is positive. If one of the managers' portfolios
has an average beta of 3.0, and the other's has a beta of only 1.5, then the CAPM simply states that the
extra return of the first manager is not sufficient to compensate us for that manager's risk, whereas the
second manager has done more than expected given the risk. Whether investors can expect the second
manager to duplicate that performance in future periods is of course a different question.
Security market line

The SML graphs the results from the capital asset
pricing model (CAPM) formula. The x-axis represents
the risk (beta), and the y-axis represents the expected
return. The market risk premium is determined from
the slope of the SML.
The relationship between and required return is
plotted on the security market line (SML) which shows
expected return as a function of . The intercept is the
The Security Market Line
nominal risk-free rate available for the market, while

the slope is E(Rm) Rf. The security market line can
be regarded as representing a single-factor model of the asset price, where Beta is exposure to changes in
value of the Market. The equation of the SML is thus:
It is a useful tool in determining if an asset being considered for a portfolio offers a reasonable
expected return for risk. Individual securities are plotted on the SML graph. If the security's risk versus
expected return is plotted above the SML, it is undervalued because the investor can expect a greater
return for the inherent risk. A security plotted below the SML is overvalued because the investor would
be accepting a lower return for the amount of risk assumed.
4|Page

BETA Calculation:
There are Three Methods in which Beta of a company can be calculated.
They are:
1) Beta from Covariance Levered Beta
2) Unlevered Beta
3) Business Risk Beta
The Unlevered Beta is determined from Levered Beta as
Levered Beta/(1+(1-tax)*D/E)
The Business Risk Beta is calculated from Unlevered Beta as
Unlevered Beta/(1+(Fixed Cost/Variable Cost))
Here for the analysis Purpose we are taking four Sectors and three companies in each Sector.
Then we Compute Betas by all three models in all 12 companies.
When you are examining a particular equity, an often-used measurement of risk is what we in the
finance world call beta. But what risks are you taking by using one of the betas provided by the
plethora of online information sources for equities?
Betas provided for you by online services have unknown variable inputs, which in all likelihood are
not adaptive to your unique portfolio.
Provided Betas Vs. Your Own Calculated Betas
We will begin by looking at the time frame chosen for calculating beta. Provided betas are calculated
with time frames unknown to their consumers. This poses a unique problem to end users, who use
this measurement to gauge portfolio risk. Long-term investors will certainly want to gauge the risk
over a longer than a position trader who turns over his portfolio every few months.
Another problem may be the index used to calculate beta. Most provided betas use the American
standard of the S&P 500 Index. If your portfolio contains equities that extend beyond U.S. borders,
like a company that is based and operated in China, the S&P 500 may not be the best measure of the
market. By calculating your own beta you can adjust for these differences and create a more
encompassing view of risk.
5|Page

One distinct advantage of calculating the beta yourself is that you can gauge its reliability by
calculating the coefficient of determination, or as it is better known, the r-squared. This is a powerful
tool that can gauge how well your beta measures risk. The range of this statistic is from one to zero. A
measurement of one shows perfect correlation and a zero shows there is no correlation. The closer
the r-squared is to one, the more reliable your beta is.
Another unknown is what method is being using to calculate the beta. There are two ways of doing
this: regression and the capital asset pricing model (CAPM). CAPM is used more commonly in
academic finance; investment practitioners more often use the regression technique. This allows for
a better explanation of returns pertaining to the market rather than a theoretical explanation of the
overall return of an asset, which takes interest rates as well as market returns into account.
Inevitably, along with the previously proclaimed advantages, there are also disadvantages to doing it
yourself. The main disadvantage is the time involved. Calculating beta yourself takes longer than just
obtaining it through a website, but this time can be significantly cut down by using programs such as
Microsoft Excel or Open Office Calc.
The Preliminaries & Calculation

Once you have decided on a time frame that aligns itself with your investment time horizon and have
chosen an appropriate index, you can then move on to gathering the data. There are many sources
for historical data on the internet. Look for historical prices of each equity to find the appropriate
date information matching your chosen time horizon. On some sites, you will have the option to
download the information as a spreadsheet. Choose this option and save the spreadsheet. Do the
same for our chosen index as well.
Copy both of the closing price columns into a new spreadsheet. They should be in order from newest
to oldest from top to bottom, respectively. To obtain the correct format for calculation we must
convert these prices into return percentages. To do this we just take the price from today minus the
price from yesterday and divide the answer by the price of yesterday. The result is the percentage
change. Below is a picture showing this in Excel. Figure 1 is of the formulas and Figure 2 is of the
result.
6|Page

Figure 1: Formulas
Figure 2: Results
The calculation of beta through regression is simply the covariance of the two arrays divided by the
variance of the array of the index. The formula is shown below.
Beta = COVAR (E2:E99,D2:D99)/VAR(D2:D99)

One advantage we discussed earlier is the ability to gauge the reliability of your beta. This is done by
calculating the r-squared. From here we input the two arrays containing the percentage changes.
Below is this formula in Excel.
R-Squared = RSQ(D2:D99,E2:E99)
7|Page

The Bottom Line

Although calculating your own betas can be time-consuming compared to using service-provided
betas, they provide the investor a better look at risk through personalization. In addition, we can also
gauge the reliability of this risk measurement by calculating its r-squared. These advantages are a
valuable tool to an investment arsenal and should be used by any serious investor.
Beta Calculated
The number is calculated for you (thank goodness) using regression analysis. The whole market,
which for this purpose is considered the S&P 500, is assigned a beta of 1. There is no single index
used to calculate beta, although the S&P 500 is probably the most common proxy for the market as a
whole.
Stocks that have a beta greater than 1 have greater price volatility than the overall market and are
more risky.
Stocks with a beta of 1 fluctuate in price at the same rate as the market.
Stocks with a beta of less than 1 have less price volatility than the market and are less risky.
Beta and Risk

Of course, there is more to it than that. Risk also implies return. Stocks with a high beta should have
a higher return than the market. If you are accepting more risk, you should expect more reward.
For example, if the market with a beta of 1 is expected to return 8%, a stock with a beta of 1.5 should
return 12%. If you dont see that level of return, then the stock is not a good investment possibility.
Stocks with a beta below 1 may be a safer investment (at least by this one measure) and you should
expect a lower return.
Beta seems to be a great way to measure the risk of any stock. If you look a young, technology stocks,
they will always carry high betas. Many utilities on the other hand, carry betas below 1.
Finding Betas
You can also compare a stocks beta to its sector to get a picture of whether the stock is out of line
with its peers.
You can find a stocks beta through a number of online services such as offered by Reuters.
8|Page

You have to register (its free) to get to the level of detail where you can find a stocks beta among the
listed ratios.
Problems with Beta
While the may seem to be a good measure of risk, there are some problems with relying on beta
scores alone for determining the risk of an investment.
Beta looks backward and history is not always an accurate predictor of the future.
Beta also doesnt account for changes that are in the works, such as new lines of business or
industry shifts.
Beta suggests a stocks price volatility relative to the whole market, but that volatility can be
upward as well as downward movement. In a sustained advancing market, a stock that is
outperforming the whole market would have a beta greater than 1.
How to Use Beta

Investors can find the best use of the beta ratio in short-term decision-making, where price volatility
is important. If you are planning to buy and sell within a short period, beta is a good measure of risk.
However, as a single predictor of risk for a long-term investor, the beta has too many flaws. Careful
consideration of a companys fundamentals will give you a much better picture of the potential longterm risk.
Regression, Alpha, R-Squared

One use of CAPM is to analyze the performance of mutual funds and other portfolios - in particular,
to make active fund managers look bad. The technique is to compare the historical risk-adjusted
returns (that's the return minus the return of risk-free cash) of the fund against those of an
appropriate index, and then use least-squares regression to fit a straight line through the data points:
9|Page

Each data point in this graph shows the risk-adjusted return of the portfolio and that of the index
over one time period in the past. (For example, you might make a graph like this with twenty data
points, showing the annual returns for each of the past twenty years.)
The general equation of this type of line is
r - Rf = beta x ( Km - Rf ) + alpha
where r is the fund's return rate, Rf is the risk-free return rate, and Km is the return of the index.
Note that, except for alpha, this is the equation for CAPM - that is, the beta you get from Sharpe's
derivation of equilibrium prices is essentially the same beta you get from doing a least-squares
regression against the data. (Also note that alpha and beta are standard symbols that statisticians use
all the time for this type of regression; Sharpe and his followers weren't trying to be obscure, as some
people like to believe.)
Beta is the slope of this line. Alpha, the vertical intercept, tells you how much better the fund did
than CAPM predicted (or maybe more typically, a negative alpha tells you how much worse it did,
probably due to high management fees).
The quality of the fit is given by the statistical number r-squared. An r-squared of 1.0 would mean
that the model fit the data perfectly, with the line going right through every data point. More
realistically, with real data you'd get an r-squared of around .85. From that you would conclude that
85% of the fund's performance is explained by its risk exposure, as measured by beta. (Then you'd
punch your fist in the air and say "And the other 15% is due to pure luck!" MPT never believes in
investor skill: an investment's behavior equals that of its asset class, minus management fees, plusor-minus unpredictable luck.)
10 | P a g e

WORKINGS & DATA:

ULTRATECH Cements
Ultratech
Beta
0.414578176
Debt/Equity
Ratio
0.38
Tax Rate
30%
Unlevered Beta
Date
Avg.
Price
0.327470913
Levered Beta/(1+(1-Tax)*D/E)
NIFTY
201108
1,012.09
5072.95
201107
987.09
5482
201106
995.69
5647.4
201105
1,032.25
5560.15
201104
1,073.84
5749.5
201103
1,032.02
5833.75
201102
955.57
5333.25
201101
1,022.62
5505.9
201012
1,079.32
6134.5
201011
1,116.87
5862.7
201010
1,105.37
6017.7
201009
1,015.98
6029.95
201008
898.39
5402.4
201007
852.99
5367.6
201006
947.81
5312.5
201005
945.33
5086.3
11 | P a g e
Stock
Price
return
NSE
Returns
2.53%
-0.86%
-3.54%
-3.87%
4.05%
8.00%
-6.56%
-5.25%
-3.36%
1.04%
8.80%
13.09%
5.32%
-10.00%
0.26%
-14.73%
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
0.65%
1.04%
4.45%
-3.63%

201004
1,108.63
5278
201003
1,108.36
5249.1
201002
992
4922.3
201001
973.08
4882.05
200912
875.03
5201.05
200911
768.68
5032.7
200910
809.72
4711.7
200909
756.27
5083.95
200908
745.15
4662.1
200907
745.97
4636.45
200906
715.02
4291.1
200905
621.2
4448.95
200904
555.03
3473.95
200903
488.8
3020.95
200902
421.97
2763.65
200901
390.05
2874.8
200812
336.64
2959.15
200811
321.49
2755.1
200810
406.58
2885.6
0.02%
11.73%
1.94%
11.21%
13.84%
-5.07%
7.07%
1.49%
-0.11%
4.33%
15.10%
11.92%
13.55%
15.84%
8.18%
15.87%
4.71%
-20.93%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
SUMMARY OUTPUT
Regression Statistics
Mul tipl e R
0.946805286
R Squa re
0.896440249
Adjus ted R Squa re
0.893302075
Standa rd Error
80.86460149
Obs erva tions
35
ANOVA
df
Regres s i on
SS
MS
1867932.6
1867932.6
Res i dua l
33
215789.76
6539.0838
Total
34
2083722.3
Coefficients Standard Error

Intercept
-251.5100956
NIFTY
0.225571012
Beta Coefficient
0.225571012
Fixed Cost
Variable Cost
Business Risk Beta
12 | P a g e
5447.78
6872.95
0.182675151
t Stat
Significance F
285.65662
P-value
8.173E-18
Lower 95% Upper 95% Lower 95.0% Upper 95.0%
65.702361 -3.8280222
0.0005467 -385.18255 -117.83764 -385.18255 -117.83764
0.0133463
8.173E-18
16.901379
0.1984177
0.2527243
0.1984177
0.2527243

ACC Cements
Date
Avg.
Price
NIFTY
201108
995.06
5072.95
201107
979.92
5482
201106
989.78
5647.4
201105
1,004.58
5560.15
201104
1,112.30
5749.5
201103
1,018.23
5833.75
201102
986.17
5333.25
201101
1,023.12
5505.9
201012
1,049.21
6134.5
201011
1,049.83
5862.7
201010
1,003.35
6017.7
201009
975.88
6029.95
201008
850.3
5402.4
201007
832.74
5367.6
201006
859.54
5312.5
201005
862.48
5086.3
201004
931.51
5278
201003
970.09
5249.1
201002
886.24
4922.3
201001
922.21
4882.05
200912
838.56
5201.05
200911
748.61
5032.7
200910
780.6
4711.7
200909
802.3
5083.95
200908
823.13
4662.1
200907
808.02
4636.45
200906
810.79
4291.1
200905
680.07
4448.95
200904
620.39
3473.95
200903
549.44
3020.95
200902
545.61
2763.65
200901
499.93
2874.8
13 | P a g e
Stock
Price
return
NSE
Returns
1.55%
-1.00%
-1.47%
-9.68%
9.24%
3.25%
-3.61%
-2.49%
-0.06%
4.63%
2.81%
14.77%
2.11%
-3.12%
-0.34%
-7.41%
-3.98%
9.46%
-3.90%
9.98%
12.02%
-4.10%
-2.70%
-2.53%
1.87%
-0.34%
19.22%
9.62%
12.91%
0.70%
9.14%
6.97%
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%

200812
467.34
2959.15
200811
441.02
2755.1
200810
515.39
2885.6
200809
601.32
3921.2
200808
589.76
4360
200807
540.74
4332.95
200806
618.52
4040.55
200805
694.03
4870.1
200804
809.96
5165.9
200803
789.57
4734.5
200802
774.21
5223.5
200801
873.15
5137.45
200712
1,053.13
6138.6
200711
1,061.57
5762.75
200710
1,144.63
5900.65
200709
1,124.04
5021.35
200708
997.98
4464
200707
1,061.68
4528.85
200706
834.94
4318.3
200705
869.6
4295.8
200704
773.53
4087.9
200703
771.29
3821.55
200702
1,005.39
3745.3
200701
1,062.46
4082.7
200612
1,071.68
3966.4
200611
1,048.40
3954.5
200610
984.13
3744.1
200609
950.76
3588.4
200608
888.53
3413.9
Beta
5.97%
-14.43%
-14.29%
1.96%
9.07%
-12.58%
-10.88%
-14.31%
2.58%
1.98%
-11.33%
-17.09%
-0.80%
-7.26%
1.83%
12.63%
-6.00%
27.16%
-3.99%
12.42%
0.29%
-23.28%
-5.37%
-0.86%
2.22%
6.53%
3.51%
7.00%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
ACC
0.445918314
Debt/Equity Ratio
0.09
Tax Rate
30%
14 | P a g e

Unlevered Beta
0.419490417
SUMMARY OUTPUT
Mul tipl e R
0.665761259
R Squa re
0.443238054
Adjus ted R Squa re
0.43380141
Standa rd Error
138.5909711
Obs erva tions
61
ANOVA
df
SS
Regres s i on
MS
902172.0786
902172.08
Res i dua l
59
1133239.979
19207.457
Total
60
2035412.058
Coefficients
Standard Error
t Stat
F
46.969886
P-value
Significance F
4.78707E-09
Lower 95%
Upper 95% Lower 95.0% Upper 95.0%
Intercept
238.1831209
91.90650639
2.5915806
0.0120224
54.27862642
422.08762
54.2786264
422.0876154
NIFTY
0.132208495
0.019290772
6.853458
4.787E-09
0.093607749
0.1708092
0.09360775
0.170809241
Beta Coefficient
0.132208495
Fixed Cost
3282.16
Variable Cost
3210.157
Business Risk Beta
0.20741903
AMBUJA CEMENTS
Date
201108
15 | P a g e
Avg.
Price
129
NIFTY
5056.6
Stock
Price
return
0.97%
NSE
Returns
-7.76%

201107
127.76
5482
201106
134.46
5647.4
201105
137.55
5560.15
201104
151.77
5749.5
201103
131.29
5833.75
201102
121.49
5333.25
201101
130.75
5505.9
201012
139.72
6134.5
201011
149.52
5862.7
201010
140.95
6017.7
201009
138.82
6029.95
201008
119.1
5402.4
201007
113.13
5367.6
201006
115.6
5312.5
201005
109.7
5086.3
201004
120.02
5278
201003
115.6
5249.1
201002
104.13
4922.3
201001
106.35
4882.05
200912
97.89
5201.05
200911
87.25
5032.7
200910
93.55
4711.7
200909
99.23
5083.95
200908
101.5
4662.1
200907
96.18
4636.45
200906
95.59
4291.1
200905
83.96
4448.95
200904
78.93
3473.95
200903
68.28
3020.95
200902
70.23
2763.65
200901
70.58
2874.8
200812
64.49
2959.15
200811
56.4
2755.1
200810
61.03
2885.6
200809
81.6
3921.2
200808
83.4
4360
200807
79.39
4332.95
200806
85.54
4040.55
200805
106.87
4870.1
200804
116.76
5165.9
16 | P a g e
-4.98%
-2.25%
-9.37%
15.60%
8.07%
-7.08%
-6.42%
-6.55%
6.08%
1.53%
16.56%
5.28%
-2.14%
5.38%
-8.60%
3.82%
11.02%
-2.09%
8.64%
12.19%
-6.73%
-5.72%
-2.24%
5.53%
0.62%
13.85%
6.37%
15.60%
-2.78%
-0.50%
9.44%
14.34%
-7.59%
-25.21%
-2.16%
5.05%
-7.19%
-19.96%
-8.47%
-3.92%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%

200803
121.53
4734.5
200802
118.74
5223.5
200801
131.82
5137.45
200712
148.89
6138.6
200711
147.09
5762.75
200710
146.81
5900.65
200709
143.53
5021.35
200708
129.99
4464
200707
130.83
4528.85
200706
114.17
4318.3
200705
118.79
4295.8
200704
111.95
4087.9
200703
107.45
3821.55
200702
133.36
3745.3
200701
141.09
4082.7
200612
138.93
3966.4
200611
134.75
3954.5
200610
120.6
3744.1
200609
115.12
3588.4
200608
109.14
3413.9
200607
103.31
3143.2
200606
91.91
3128.2
2.35%
-9.92%
-11.46%
1.22%
0.19%
2.29%
10.42%
-0.64%
14.59%
-3.89%
6.11%
4.19%
-19.43%
-5.48%
1.55%
3.10%
11.73%
4.76%
5.48%
5.64%
12.40%
Ambuja
0.543358288
Beta
Debt/Equity Ratio
0.02
Tax Rate
30%
Unlevered Beta
0.535856299
Unlivered Beta/(1+(Fixed Cost/ Variable Cost))
fixed cost
2832.44
variable cost
3271.02
direct risk beta
17 | P a g e
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
0.287180824

SUMMARY OUTPUT
Multiple R
0.524070778
R Square
0.27465018
Adjusted R Square
0.262561017
Standard Error
0.076965185
Observations
62
ANOVA
df
Regression
SS
MS
0.1345774
0.1345774
Residual
60
0.3554184
0.0059236
Total
61
0.4899958
Coefficients
Intercept
Standard
Error
t Stat
F
22.7187081
Significance
F
1.234E-05
P-value
Lower 95%
Upper 95%
Lower
95.0%
Upper
95.0%
0.00326245
0.0098632
0.3307697
0.741970822
-0.0164669
0.0229918
-0.0164669
0.0229918
NSE Returns
0.552265801
0.1158661
4.7664146
1.23365E-05
0.3204991
0.7840325
0.3204991
0.7840325
regression beta
0.552265801
Stock
Price
return
NSE
Returns
2.11%
2.05%
1.22%
-4.63%
9.44%
-7.80%
-9.30%
-6.24%
-3.14%
-11.10%
-5.03%
-7.76%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
EIH Hotels
Date
Avg.
Price
NIFTY
201108
88.05
5056.6
201107
86.23
5482
201106
84.5
5647.4
201105
83.48
5560.15
201104
87.53
5749.5
201103
79.98
5833.75
201102
86.75
5333.25
201101
95.64
5505.9
201012
102
6134.5
201011
105.31
5862.7
201010
118.46
6017.7
18 | P a g e

201009
124.73
6029.95
201008
118.38
5402.4
201007
110.03
5367.6
201006
105.06
5312.5
201005
107.17
5086.3
201004
113.54
5278
201003
108.07
5249.1
201002
108.96
4922.3
201001
119.93
4882.05
200912
121.85
5201.05
200911
116.75
5032.7
200910
116.82
4711.7
200909
105.49
5083.95
200908
100.09
4662.1
200907
102.5
4636.45
200906
115.5
4291.1
200905
102.37
4448.95
200904
100.82
3473.95
200903
81.75
3020.95
200902
89.93
2763.65
200901
97.16
2874.8
200812
105.27
2959.15
200811
79.29
2755.1
200810
93.02
2885.6
200809
131.25
3921.2
200808
119.26
4360
200807
108.92
4332.95
200806
108.1
4040.55
200805
122.91
4870.1
200804
129.43
5165.9
200803
128.06
4734.5
200802
152.6
5223.5
200801
165.04
5137.45
200712
156.06
6138.6
200711
122.72
5762.75
200710
114.55
5900.65
200709
99.5
5021.35
200708
94.45
4464
200707
92.35
4528.85
200706
89.17
4318.3
19 | P a g e
5.36%
7.59%
4.73%
-1.97%
-5.61%
5.06%
-0.82%
-9.15%
-1.58%
4.37%
-0.06%
10.74%
5.40%
-2.35%
-11.26%
12.83%
1.54%
23.33%
-9.10%
-7.44%
-7.70%
32.77%
-14.76%
-29.13%
10.05%
9.49%
0.76%
-12.05%
-5.04%
1.07%
-16.08%
-7.54%
5.75%
27.17%
7.13%
15.13%
5.35%
2.27%
3.57%
1.10%
11.62%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%

200705
88.2
4295.8
200704
86.35
4087.9
200703
83.14
3821.55
200702
84.61
3745.3
200701
90.54
4082.7
200612
93.14
3966.4
200611
89.71
3954.5
200610
90.03
3744.1
200609
93.52
3588.4
200608
80.04
3413.9
200607
74.39
3143.2
200606
69.66
3128.2
2.14%
3.86%
-1.74%
-6.55%
-2.79%
3.82%
-0.36%
-3.73%
16.84%
7.60%
6.79%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
EIH
Beta
0.500562421
Debt/Equity Ratio
0.59
Tax Rate
30%
Unlevered Beta
20 | P a g e
0.354255075

fi xed
922.72
va ri a bl e
134.74
di rect ri s k beta
0.045138661
SUMMARY OUTPUT
Mul tipl e R
0.426294143
R Squa re
0.181726696
Adjus ted R Squa re
0.168088808
Standa rd Error
0.092581088
Obs erva tions
62
ANOVA
df
SS
Regres s i on
MS
0.114213163
0.1142132
Res i dua l
60
0.51427547
0.0085713
Total
61
0.628488632
Coefficients
t Stat
Significance F
0.000550788
P-value
Lower 95%
0.00298193
0.011864408
0.2513341
0.8024146
-0.020750419
NSE Returns
0.508768363
0.139374813
3.6503609
0.0005508
regression beta
0.508768363
Intercept
Standard Error
F
13.325134
Hotel LEELA VENTURES

Date
Avg.
Price
NIFTY
201108
43.23
5072.95
201107
44.48
5482
201106
38.8
5647.4
201105
40.12
5560.15
201104
41.6
5749.5
201103
38.12
5833.75
201102
38.56
5333.25
201101
44.4
5505.9
201012
45.11
6134.5
201011
48.98
5862.7
201010
54.49
6017.7
201009
54.82
6029.95
21 | P a g e
Stock Price
return
-2.81%
14.64%
-3.29%
-3.56%
9.13%
-1.14%
-13.15%
-1.57%
-7.90%
-10.11%
-0.60%
9.79%
NSE
Returns
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
Upper 95%
Lower 95.0%
0.02671428 -0.020750419
0.22997723 0.787559495
0.22997723
Upper 95.0%
0.02671428
0.787559495

201008
49.93
5402.4
201007
49.18
5367.6
201006
46.97
5312.5
201005
49.01
5086.3
201004
49.72
5278
201003
47.54
5249.1
201002
46.53
4922.3
201001
49.88
4882.05
200912
44.3
5201.05
200911
38.42
5032.7
200910
37.73
4711.7
200909
35.77
5083.95
200908
31.98
4662.1
200907
31.2
4636.45
200906
35.28
4291.1
200905
25.96
4448.95
200904
22.14
3473.95
200903
17.6
3020.95
200902
18.44
2763.65
200901
19.14
2874.8
200812
19.54
2959.15
200811
22.46
2755.1
200810
27.25
2885.6
200809
31.44
3921.2
200808
32.41
4360
200807
31.28
4332.95
200806
38.76
4040.55
200805
45.99
4870.1
200804
44.18
5165.9
200803
42.34
4734.5
200802
50.22
5223.5
200801
59.65
5137.45
200712
66.96
6138.6
200711
56.79
5762.75
200710
46.87
5900.65
200709
47.31
5021.35
200708
43.69
4464
200707
51.49
4528.85
200706
53.92
4318.3
200705
56.78
4295.8
22 | P a g e
1.53%
4.71%
-4.16%
-1.43%
4.59%
2.17%
-6.72%
12.60%
15.30%
1.83%
5.48%
11.85%
2.50%
-11.56%
35.90%
17.25%
25.80%
-4.56%
-3.66%
-2.05%
-13.00%
-17.58%
-13.33%
-2.99%
3.61%
-19.30%
-15.72%
4.10%
4.35%
-15.69%
-15.81%
-10.92%
17.91%
21.16%
-0.93%
8.29%
-15.15%
-4.51%
-5.04%
-0.68%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%

200704
57.17
4087.9
200703
53.23
3821.55
200702
60.29
3745.3
200701
63.68
4082.7
200612
64.88
3966.4
200611
63.73
3954.5
200610
64.88
3744.1
200609
66.98
3588.4
200608
55.61
3413.9
200607
50.42
3143.2
200606
54.58
3128.2
200605
76.86
3071.05
200604
78.21
3557.6
7.40%
-11.71%
-5.32%
-1.85%
1.80%
-1.77%
-3.14%
20.45%
10.29%
-7.62%
-28.99%
-1.73%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
1.86%
-13.68%
Leela Hotel
0.422475579
3.89
Beta
Debt/Equity Ratio
Tax Rate
30%
Unlevered Beta
0.11347719
SUMMARY OUTPUT
Multiple R
0.314685318
R Square
Adjusted R
Square
0.099026849
Standard Error
0.111800559
0.084495024
Observations
64
ANOVA
df
Regression
SS
MS
Significance
F
6.814481
0.011323211
0.085176689
0.085177
Residual
62
0.774960632
0.012499
Total
63
0.860137321
23 | P a g e

Coefficients
Standard
Error
t Stat
P-value
Lower 95%
Upper
95%
Lower
95.0%
Upper
95.0%
Intercept
-0.00655816
0.01405722
-0.46653
0.642469
-0.03465814
0.0215418
-0.034658
0.02154182
X Variable 1
0.429181541
0.164408639
2.610456
0.011323
0.100533358
0.7578297
0.1005334
0.75782972
Beta
0.429181541
Variable Cost
132.46
Fixed Cost
364.3
Business Risk
Beta
0.030258452
INDIAN Hotels
Date
Avg.
Price
NIFTY
201108
74.93
5072.95
201107
78.68
5482
201106
78.34
5647.4
201105
80.12
5560.15
201104
86.97
5749.5
201103
80.83
5833.75
201102
84.2
5333.25
24 | P a g e
Stock
price
return
-4.77%
0.43%
-2.22%
-7.88%
7.60%
-4.00%
-13.86%
NSE
Returns
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%

201101
97.75
5505.9
201012
94.09
6134.5
201011
99.67
5862.7
201010
101.17
6017.7
201009
104.36
6029.95
201008
102.24
5402.4
201007
103.94
5367.6
201006
101.57
5312.5
201005
108.17
5086.3
201004
106.92
5278
201003
97.84
5249.1
201002
89.67
4922.3
201001
101.47
4882.05
200912
93.43
5201.05
200911
84.39
5032.7
200910
77.75
4711.7
200909
70.5
5083.95
200908
64.87
4662.1
200907
63.77
4636.45
200906
70.74
4291.1
200905
59.22
4448.95
200904
49.51
3473.95
200903
36.39
3020.95
200902
38.14
2763.65
200901
43.34
2874.8
200812
42.1
2959.15
200811
47.76
2755.1
200810
57.31
2885.6
200809
73.69
3921.2
200808
80.23
4360
200807
85.33
4332.95
200806
98.54
4040.55
200805
116.21
4870.1
200804
112.82
5165.9
200803
113.39
4734.5
200802
123.69
5223.5
200801
135.64
5137.45
200712
135.84
6138.6
200711
128.1
5762.75
200710
125.63
5900.65
25 | P a g e
3.89%
-5.60%
-1.48%
-3.06%
2.07%
-1.64%
2.33%
-6.10%
1.17%
9.28%
9.11%
-11.63%
8.61%
10.71%
8.54%
10.28%
8.68%
1.72%
-9.85%
19.45%
19.61%
36.05%
-4.59%
-12.00%
2.95%
-11.85%
-16.66%
-22.23%
-8.15%
-5.98%
-13.41%
-15.21%
3.00%
-0.50%
-8.33%
-8.81%
-0.15%
6.04%
1.97%
3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%

200709
121.81
5021.35
200708
119.33
4464
200707
132.99
4528.85
200706
134.11
4318.3
200705
130.94
4295.8
200704
133.68
4087.9
200703
126.89
3821.55
200702
138.37
3745.3
200701
143.61
4082.7
200612
141.38
3966.4
200611
136.77
3954.5
200610
128.52
3744.1
200609
123.61
3588.4
200608
114.05
3413.9
200607
104.76
3143.2
200606
97.39
3128.2
200605
123.11
3071.05
200604
126.91
3557.6
Beta
Debt/Equity Ratio
Tax Rate
Unlevered Beta
26 | P a g e
2.08%
-10.27%
-0.84%
2.42%
-2.05%
5.35%
-8.30%
-3.65%
1.58%
3.37%
6.42%
3.97%
8.38%
8.87%
7.57%
-20.89%
-2.99%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
1.86%
-13.68%
Indian Hotels
0.47997408
0.85
30%
0.300924188

SUMMARY OUTPUT
Mul ti pl e R
0.423615079
R Squa re
0.179449735
Adjus ted R Squa re
0.166215053
Sta nda rd Error
0.090045474
Obs erva ti ons
64
ANOVA
df
SS
Regres s i on
MS
0.109939334
0.1099393
Res i dua l
62
0.502707623
0.0081082
Tota l
63
0.612646957
Coefficients
Intercept
-0.007981067
X Va ri a bl e 1
0.487592716
Beta
0.487592716
Va ri a bl e Cos t
Standard Error
t Stat
F
13.55905181
P-value
8/1/2011
7/1/2011
6/1/2011
5/2/2011
4/1/2011
3/1/2011
2/1/2011
1/3/2011
22.55
31.6
32.9
40.7
41
38.3
38
60.9
12/1/2010
11/1/2010
10/1/2010
80.9
82.15
84.65
27 | P a g e
Lower 95.0%
Upper 95.0%
0.014650985
-0.03061312
0.014650985
0.132416635
0.000486814
0.222895636
0.752289796
0.222895636
0.752289796
3.6822618
0.086142552
Stock
Price
Upper 95%
-0.03061312
SPICEJET
Date
Lower 95%
0.483496033
1117.36
Business risk Beta
0.000486814
0.011321849 -0.7049262
448.14
Fi xed Cos t
Significance F
BSE_SENSEX Stock
Market
Price
Return
Return
16469.8
-28.64% -9.49%
18197.2
-3.95% -3.44%
18845.9
-19.16%
1.85%
18503.3
-0.73% -3.31%
19136
7.05% -1.59%
19445.2
0.79%
9.10%
17823.4
-37.60% -2.75%
18327.8
-24.72%
10.64%
20509.1
-1.52%
5.06%
19521.3
-2.95% -2.55%
20032.3
13.17% -0.18%

9/1/2010
8/2/2010
7/1/2010
6/1/2010
5/3/2010
4/1/2010
74.8
71.6
62.4
58.35
56.95
62.9
20069.1
17971.1
17868.3
17700.9
16944.6
17558.7
4.47%
14.74%
6.94%
2.46%
-9.46%
7.89%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
3/2/2010
2/1/2010
1/4/2010
12/1/2009
11/3/2009
10/1/2009
58.3
55.65
55.6
56.75
46.8
37.05
17527.8
16429.6
16358
17464.8
16926.2
15896.3
4.76%
0.09%
-2.03%
21.26%
26.32%
3.93%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9/1/2009
8/3/2009
35.65
26.45
17126.8
15666.6
34.78%
25.36%
9.32%
-0.02%
7/1/2009
6/1/2009
5/4/2009
4/1/2009
21.1
19.3
23.73
14.28
15670.3
14493.8
14625.3
11403.3
9.33%
-18.67%
66.18%
6.01%
8.12%
-0.90%
28.26%
17.46%
3/2/2009
13.47
9708.5
-2.60%
9.19%
2/2/2009
1/1/2009
12/1/2008
13.83
14
15.9
8891.61
9424.24
9647.31
-1.21%
-11.95%
30.11%
-5.65%
-2.31%
6.10%
11/3/2008
10/1/2008
12.22
11.3
9092.72
9788.06
8.14%
-48.64%
9/1/2008
22
12860.4
-19.41%
8/1/2008
7/1/2008
6/2/2008
27.3
27.95
24.9
14564.5
14355.8
13461.6
-2.33%
12.25%
-23.38%
5/2/2008
4/1/2008
3/3/2008
32.5
43.35
40.8
16415.6
17287.3
15644.4
-25.03%
6.25%
-37.28%
2/1/2008
1/1/2008
65.05
72.95
17578.7
17648.7
-10.83%
-16.10%
12/3/2007
11/1/2007
10/1/2007
86.95
52.55
55.1
20287
19363.2
19838
65.46%
-4.63%
-5.97%
-7.10%
23.89%
11.70%
1.45%
6.64%
17.99%
-5.04%
10.50%
11.00%
-0.40%
13.00%
4.77%
-2.39%
14.73%
28 | P a g e

9/3/2007
8/1/2007
7/2/2007
6/4/2007
5/3/2007
4/2/2007
3/1/2007
2/1/2007
1/2/2007
12/1/2006
11/1/2006
10/3/2006
9/1/2006
8/1/2006
7/3/2006
6/1/2006
5/1/2006
58.6
57.3
59.05
55.15
61
44.45
44.8
48.9
58.9
55.3
52.7
45.3
43.9
43.5
39.65
48.05
65.05
17291.1
15318.6
15551
14650.5
14544.5
13872.4
13072.1
12938.1
14090.9
13786.9
13696.3
12961.9
12454.4
11699.1
10743.9
10609.3
10398.6
2.27%
-2.96%
7.07%
-9.59%
37.23%
-0.78%
-8.38%
-16.98%
6.51%
4.93%
16.34%
3.19%
0.92%
9.71%
-17.48%
-26.13%
-12.39%
4/3/2006
3/1/2006
2/1/2006
1/23/2006
74.25
71.85
75.3
73.95
12042.6
11280
10370.2
9919.89
3.34%
-4.58%
1.83%
12.88%
-1.49%
6.15%
0.73%
4.84%
6.12%
1.04%
-8.18%
2.21%
0.66%
5.67%
4.07%
6.46%
8.89%
1.27%
2.03%
13.65%
6.76%
8.77%
4.54%
SpiceJet
Beta
1.492625913
Debt/Equity Ratio
8.23
Tax Rate
30%
Unlevered Beta
29 | P a g e
0.220769992

SUMMARY OUTPUT
Multiple R
0.635629863
R Square
0.404025323
Adjusted R Square
0.394856482
Standard Error
0.156333108
Observations
67
ANOVA
df
Regression
Residual
Total
SS
MS
F Significance F
1 1.076951 1.076951 44.06504 7.52E-09
65 1.588603 0.02444
66 2.665554
Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
-0.014916373 0.019267 -0.77419 0.441627 -0.0534 0.023563 -0.0534 0.023563
1.515241457 0.228263 6.63815 7.52E-09 1.05937 1.971113 1.05937 1.971113
Intercept
X Variable 1
Beta
1.515241457
Variable Cost
Fixed Cost
814.22
1354.47
Business Risk Beta
0.082886601
HPCL
Date
201108
201107
201106
201105
201104
201103
201102
201101
201012
201011
201010
201009
201008
201007
201006
30 | P a g e
Avg.
NIFTY
Stock Price
NSE Returns
Price
return
387.3 5072.95
-2.38%
-7.46%
396.75
5482
4.14%
-2.93%
380.99
5647.4
1.25%
1.57%
376.28 5560.15
3.42%
-3.29%
363.84
5749.5
8.99%
-1.44%
333.84 5833.75
-1.25%
9.38%
338.06 5333.25
-9.28%
-3.14%
372.63
5505.9
-8.32%
-10.25%
406.46
6134.5
-10.88%
4.64%
456.09
5862.7
-9.26%
-2.58%
502.61
6017.7
-5.45%
-0.20%
531.56 6029.95
9.01%
11.62%
487.62
5402.4
7.28%
0.65%
454.53
5367.6
23.55%
1.04%
367.9
5312.5
8.96%
4.45%

201005
201004
201003
201002
201001
200912
200911
200910
200909
200908
200907
200906
200905
200904
200903
200902
200901
200812
200811
200810
200809
200808
200807
200806
200805
200804
200803
200802
200801
200712
200711
200710
200709
200708
200707
200706
200705
200704
200703
200702
31 | P a g e
337.64
305.34
328.23
350.08
373.94
385.48
348.53
368.57
395.29
356.62
326.11
317.19
290.13
264.74
259.7
292.39
274.44
251.82
220.82
214.24
234.12
219.78
207.37
202.17
244.99
251.42
269.98
287.6
317.24
317.91
272.82
248.99
247.45
240.48
260.69
270.94
289.81
255.92
255.29
286.73
5086.3
5278
5249.1
4922.3
4882.05
5201.05
5032.7
4711.7
5083.95
4662.1
4636.45
4291.1
4448.95
3473.95
3020.95
2763.65
2874.8
2959.15
2755.1
2885.6
3921.2
4360
4332.95
4040.55
4870.1
5165.9
4734.5
5223.5
5137.45
6138.6
5762.75
5900.65
5021.35
4464
4528.85
4318.3
4295.8
4087.9
3821.55
3745.3
10.58%
-6.97%
-6.24%
-6.38%
-2.99%
10.60%
-5.44%
-6.76%
10.84%
9.36%
2.81%
9.33%
9.59%
1.94%
-11.18%
6.54%
8.98%
14.04%
3.07%
-8.49%
6.52%
5.98%
2.57%
-17.48%
-2.56%
-6.87%
-6.13%
-9.34%
-0.21%
16.53%
9.57%
0.62%
2.90%
-7.75%
-3.78%
-6.51%
13.24%
0.25%
-10.97%
-5.30%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%

200701
200612
200611
200610
200609
200608
200607
200606
200605
200604
302.78
275.61
311.43
306.11
293.34
247.29
221.9
253.02
328.7
324.49
Beta
Debt/Equity
Ratio
Tax Rate
Unlevered Beta
32 | P a g e
4082.7
3966.4
3954.5
3744.1
3588.4
3413.9
3143.2
3128.2
3071.05
3557.6
0.290756077
1.98
30%
0.121859211
9.86%
-11.50%
1.74%
4.35%
18.62%
11.44%
-12.30%
-23.02%
1.30%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
1.86%
-13.68%

SUMMARY OUTPUT
Multiple R
0.623027286
R Square
0.388162999
Adjusted R Square 0.378451301
Standard Error
57.80784123
Observations
65
ANOVA
df
Regression
Residual
Total
SS
MS
1 133564.9 133564.9
63 210530 3341.747
64 344095
F Significance F
39.9686 2.99E-08
Intercept
NIFTY
CoefficientsStandard Error t Stat

P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
97.85800076 35.06119 2.791063 0.006945 27.79379 167.9222 27.79379 167.9222
0.047318383 0.007485 6.322073 2.99E-08 0.032362 0.062275 0.032362 0.062275
Beta Coefficient
0.047318383
Fixed Cost
9169.94
Variable Cost
102005.09
Business Risk Beta 0.111808018
GAIL
Date
201108
201107
201106
201105
201104
201103
201102
201101
201012
201011
201010
201009
NSE
Returns
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
33 | P a g e
(Gail) Adj
Close
446.5
464
440
443
475
459.6
427
469.5
512
488
490
474.5
Gail
Return
-3.77%
5.45%
-0.68%
-6.74%
3.35%
7.63%
-9.05%
-8.30%
4.92%
-0.41%
3.27%
3.71%

201008
201007
201006
201005
201004
201003
201002
201001
200912
200911
200910
200909
200908
200907
200906
200905
200904
200903
200902
200901
200812
200811
200810
200809
200808
200807
200806
200805
200804
200803
200802
200801
200712
200711
200710
200709
200708
200707
200706
200705
200704
200703
200702
200701
200612
200611
34 | P a g e
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
457.53
432.87
461.53
448.19
421.75
404.36
394.33
420.07
409.45
412.1
339.07
352.11
329.49
323.95
282.63
292.86
250.17
236.82
200.81
190.04
197.67
188.26
205.83
390.47
376.15
349
308.47
376.18
411.07
401.52
398.61
401.66
509.77
397.92
384.49
354.07
288.3
313.58
287.67
283.08
274.78
245.26
259.85
258.34
240.2
240.1
5.70%
-6.21%
2.98%
6.27%
4.30%
2.54%
-6.13%
2.59%
-0.64%
21.54%
-3.70%
6.87%
1.71%
14.62%
-3.49%
17.06%
5.64%
17.93%
5.67%
-3.86%
5.00%
-8.54%
-47.29%
3.81%
7.78%
13.14%
-18.00%
-8.49%
2.38%
0.73%
-0.76%
-21.21%
28.11%
3.49%
8.59%
22.81%
-8.06%
9.01%
1.62%
3.02%
12.04%
-5.61%
0.58%
7.55%
0.04%
4.30%

200610
200609
200608
200607
200606
200605
4.34%
5.11%
8.61%
0.48%
1.86%
-13.68%
Beta
230.21
236.55
233.76
217.36
229.29
215.15
-2.68%
1.19%
7.55%
-5.20%
6.57%
0.934177874
D/E
Tax Rate
0.12
30%
Unlevered
Beta
0.861787707
Regression (Beta Calculation)

SUMMARY
OUTPUT
Multiple R
0.744685163
R Square
Adjusted R
Square
0.554555993
Standard Error
0.072320041
0.547253632
Observations
63
ANOVA
df
SS
MS
0.397191039
0.397191
75.942015
Residual
61
0.319041486
0.0052302
Total
62
0.716232525
Regression
Significance
F
2.62E-12
Coefficients
Standard
Error
t Stat
P-value
Lower 95%
Upper
95%
Lower 95.0%
Upper 95.0%
Intercept
0.007166839
0.009197954
0.7791775
0.4388876
-0.0112256
0.0255593
-0.011225607
0.025559285
NSE Returns
0.949245259
0.10892746
8.7144716
2.62E-12
0.7314313
1.1670592
0.731431342
1.167059176
Beta Coeffecient
0.949245259
Variable Cost
Fixed Cost
Business Beta
35 | P a g e
24967.08
2885.44
0.772509009

Business Risk Beta= Unlevered Beta/(1+(Fixed Cost/Variable Cost))
BPCL
Date
201108
201107
201106
201105
201104
201103
201102
201101
201012
201011
201010
201009
201008
201007
201006
201005
201004
201003
201002
201001
200912
200911
200910
200909
200908
200907
200906
200905
200904
200903
200902
200901
200812
200811
200810
200809
200808
200807
200806
NSE
Returns
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
36 | P a g e
Adj
Close
688.8
658
647.95
633.2
627
610.1
557
608.6
657
675.85
728.9
750.25
750.4
628.2
650.18
576.62
510.41
507.47
549.52
592.08
623.78
584.12
499.61
568.32
499.61
458.8
416.16
450.08
373.62
362.73
378.46
379.43
364.91
351.36
276.83
347.34
289.03
312
211.7
BPCL
Return
4.68%
1.55%
2.33%
0.99%
2.77%
9.53%
-8.48%
-7.37%
-2.79%
-7.28%
-2.85%
-0.02%
19.45%
-3.38%
12.76%
12.97%
0.58%
-7.65%
-7.19%
-5.08%
6.79%
16.92%
-12.09%
13.75%
8.89%
10.25%
-7.54%
20.46%
3.00%
-4.16%
-0.26%
3.98%
3.86%
26.92%
-20.30%
20.17%
-7.36%
47.38%
-38.89%

200805
200804
200803
200802
200801
200712
200711
200710
200709
200708
200707
200706
200705
200704
200703
200702
200701
200612
200611
200610
200609
200608
200607
200606
200605
Beta
D/E
Tax
Unlivered
Beta
37 | P a g e
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
1.86%
-13.68%
346.45
391.43
386.65
446.8
341.67
495.75
372.29
331.04
346.45
288.08
297.63
315.36
334.59
308.69
280.44
288.32
333.84
308.03
313.73
362.82
331.51
327.21
282.77
302.73
373.19
394.36
-11.49%
1.24%
-13.46%
30.77%
-31.08%
33.16%
12.46%
-4.45%
20.26%
-3.21%
-5.62%
-5.75%
8.39%
10.07%
-2.73%
-13.64%
8.38%
-1.82%
-13.53%
9.44%
1.31%
15.72%
-6.59%
-18.88%
-5.37%
0.808180238
1.7
30%
0.369032072

Regression Beta
SUMMARY OUTPUT
Multiple R
0.488382999
R Square
0.238517954
Adjusted R Square
0.226235986
Standard Error
0.126695384
Observations
64
ANOVA
df
Regression
SS
MS
F
19.420173
0.3117272
0.3117272
Residual
62
0.9952067
0.0160517
Total
63
1.3069339
Coefficients
Standard
Error
Significance
F
4.238E-05
t Stat
P-value
Lower 95%
Upper
95%
Lower
95.0%
Upper
95.0%
Intercept
0.011309953
0.0159301
0.709974
0.4803821
-0.0205339
0.0431538
0.0205339
0.04315376
NSE Returns
0.821008496
0.1863035
4.4068325
4.238E-05
0.448593
1.193424
0.448593
1.19342396
Beta Coeffecient
0.821008496
Business Risk
Beta
0.348361356
Variable Cost
Fixed Cost
145880.32
8656.1
38 | P a g e

KINGFISHER
Date
201108
201107
201106
201105
201104
201103
201102
201101
201012
201011
201010
201009
201008
201007
201006
201005
201004
201003
201002
201001
200912
200911
200910
200909
200908
200907
200906
200905
200904
200903
200902
39 | P a g e
Avg.
Price
28.9
34.6
39.85
42.25
43.9
40.45
37.7
50.6
66.3
66.95
76.5
73.9
59.2
52.7
49.8
44.7
49.8
46.8
49.3
62.5
63.55
52.5
44.55
55.85
48.3
51.3
50.3
62.8
38.3
33.25
32.15
NIFTY
5072.95
5482
5647.4
5560.15
5749.5
5833.75
5333.25
5505.9
6134.5
5862.7
6017.7
6029.95
5402.4
5367.6
5312.5
5086.3
5278
5249.1
4922.3
4882.05
5201.05
5032.7
4711.7
5083.95
4662.1
4636.45
4291.1
4448.95
3473.95
3020.95
2763.65
Stock Price
return
-16.47%
-13.17%
-5.68%
-3.76%
8.53%
7.29%
-25.49%
-23.68%
-0.97%
-12.48%
3.52%
24.83%
12.33%
5.82%
11.41%
-10.24%
6.41%
-5.07%
-21.12%
-1.65%
21.05%
17.85%
-20.23%
15.63%
-5.85%
1.99%
-19.90%
63.97%
15.19%
3.42%
-8.40%
NSE
Returns
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%

200901
200812
200811
200810
200809
200808
200807
200806
200805
200804
200803
200802
200801
200712
200711
200710
200709
200708
200707
200706
200705
200704
200703
200702
200701
200612
200611
200610
200609
200608
200607
200606
35.1
40.6
28
32.25
60.8
80
79.8
60
115.65
143.9
121.4
169.3
167.15
277.1
242.6
152.2
146.1
140
140.95
137.5
146.2
104
92.25
125.6
145.35
136.45
139
112.6
103.2
82.25
74.85
85.8
2874.8
2959.15
2755.1
2885.6
3921.2
4360
4332.95
4040.55
4870.1
5165.9
4734.5
5223.5
5137.45
6138.6
5762.75
5900.65
5021.35
4464
4528.85
4318.3
4295.8
4087.9
3821.55
3745.3
4082.7
3966.4
3954.5
3744.1
3588.4
3413.9
3143.2
-13.55%
45.00%
-13.18%
-46.96%
-24.00%
0.25%
33.00%
-48.12%
-19.63%
18.53%
-28.29%
1.29%
-39.68%
14.22%
59.40%
4.18%
4.36%
-0.67%
2.51%
-5.95%
40.58%
12.74%
-26.55%
-13.59%
6.52%
-1.83%
23.45%
9.11%
25.47%
9.89%
-12.76%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
3128.2
Leela Hotel
Beta
Debt/Equity Ratio
Tax Rate
40 | P a g e
1.906632252
3.28
30%

Unlevered Beta
0.578468523

SUMMARY
OUTPUT
Multiple R
0.748441953
R Square
0.560165357
Adjusted R Square
0.55283478
Standard Error
0.14717047
Observations
62
ANOVA
df
SS
Regression
MS
F
76.414903
1.65508162
1.6550816
Residual
60
1.299548829
0.0216591
Total
61
2.954630449
Significance
F
2.693E-12
Standard
Error
t Stat
P-value
Lower 95%
Upper
95%
Lower
95.0%
Upper
95.0%
-0.015582828
0.018861751
0.8261602
0.4119864
-0.0533119
0.0221463
0.0533119
0.0221463
NSE Returns
1.937888518
0.221686761
8.7415618
2.693E-12
1.494449
2.3813281
1.494449
2.3813281
Beta Coeffecient
1.937888518
Coefficients
Intercept
Variable Cost
Fixed Cost
Business Risk
41 | P a g e
2952.7
4273.89
0.236355461

JET AIRWAYS
Date
Avg.
Price
NIFTY
201108
373.5
444.95
476
446.6
480.25
449
415.8
551.5
764
804.1
818.95
816.9
721
679.35
531.15
512
538.55
480
404.8
507.2
558
451.5
375
329
264
257
223.95
305
195
170.8
141.5
177.75
201.15
127.5
156
405
5072.95
201107
201106
201105
201104
201103
201102
201101
201012
201011
201010
201009
201008
201007
201006
201005
201004
201003
201002
201001
200912
200911
200910
200909
200908
200907
200906
200905
200904
200903
200902
200901
200812
200811
200810
200809
42 | P a g e
5482
5647.4
5560.15
5749.5
5833.75
5333.25
5505.9
6134.5
5862.7
6017.7
6029.95
5402.4
5367.6
5312.5
5086.3
5278
5249.1
4922.3
4882.05
5201.05
5032.7
4711.7
5083.95
4662.1
4636.45
4291.1
4448.95
3473.95
3020.95
2763.65
2874.8
2959.15
2755.1
2885.6
3921.2
Stock Price
return
-16.06%
-6.52%
6.58%
-7.01%
6.96%
7.98%
-24.61%
-27.81%
-4.99%
-1.81%
0.25%
13.30%
6.13%
27.90%
3.74%
-4.93%
12.20%
18.58%
-20.19%
-9.10%
23.59%
20.40%
13.98%
24.62%
2.72%
14.76%
-26.57%
56.41%
14.17%
20.71%
-20.39%
-11.63%
57.76%
-18.27%
-61.48%
-14.02%
NSE
Returns
-7.46%
-2.93%
1.57%
-3.29%
-1.44%
9.38%
-3.14%
-10.25%
4.64%
-2.58%
-0.20%
11.62%
0.65%
1.04%
4.45%
-3.63%
0.55%
6.64%
0.82%
-6.13%
3.35%
6.81%
-7.32%
9.05%
0.55%
8.05%
-3.55%
28.07%
15.00%
9.31%
-3.87%
-2.85%
7.41%
-4.52%
-26.41%
-10.06%

200808
200807
200806
200805
200804
200803
200802
200801
200712
200711
200710
200709
200708
200707
200706
200705
200704
200703
200702
200701
200612
200611
200610
200609
200608
200607
200606
200605
200604
471.05
485
415.05
539
549
559.4
734.55
740
993
831
878.9
907.6
802.69
727.88
813.22
764.29
713.03
629.04
593.77
758.33
613.29
669.32
591.83
643.19
532.78
503.97
585.87
757.64
928.16
Beta
Debt/Equity Ratio
Tax Rate
Unlevered Beta
43 | P a g e
4360
4332.95
4040.55
4870.1
5165.9
4734.5
5223.5
5137.45
6138.6
5762.75
5900.65
5021.35
4464
4528.85
4318.3
4295.8
4087.9
3821.55
3745.3
4082.7
3966.4
3954.5
3744.1
3588.4
3413.9
3143.2
3128.2
3071.05
-2.88%
16.85%
-23.00%
-1.82%
-1.86%
-23.84%
-0.74%
-25.48%
19.49%
-5.45%
-3.16%
13.07%
10.28%
-10.49%
6.40%
7.19%
13.35%
5.94%
-21.70%
23.65%
-8.37%
13.09%
-7.99%
20.72%
5.72%
-13.98%
-22.67%
-18.37%
0.62%
7.24%
-17.03%
-5.73%
9.11%
-9.36%
1.67%
-16.31%
6.52%
-2.34%
17.51%
12.49%
-1.43%
4.88%
0.52%
5.09%
6.97%
2.04%
-8.26%
2.93%
0.30%
5.62%
4.34%
5.11%
8.61%
0.48%
1.86%
-13.68%
3557.6
Leela Hotel
1.697657256
5.18
30%
0.366981681


SUMMARY OUTPUT
Multiple R
0.747416595
R Square
0.558631567
Adjusted R
Square
0.551512722
Standard
Error
0.132388674
Observations
64
ANOVA
df
Regression
Residual
Total
1
62
63
SS
1.375363711
1.086659189
2.4620229
MS
1.375364
0.017527
F
78.47221
Significance
F
1.3E-12
Lower 95%
Coefficients
Standard
Error
t Stat
P-value
Intercept
NSE Returns
0.009463767
1.724604197
0.016645862
0.194684552
-0.56854
8.858454
0.571725
1.3E-12
Beta
Coeffecient
1.724604197
Variable
Cost
Fixed Cost
Business
Risk
-0.04274
1.335435
Upper
95%
Lower
95.0%
Upper
95.0%
0.023811
2.113773
-0.04274
1.335435
0.0238108
2.1137731
413656
702436
0.136014033
44 | P a g e

References:
Websites:
1)
2)
3)
4)
5)
6)
http://www.moneychimp.com/articles/risk/regression.htm
http://finance.yahoo.com/
http://www.moneycontrol.com
http://www.capitaline.com
www.fundmanagersoftware.com/help/def_beta_calculation.html
http://www.traderji.com/technical-analysis/20267-beta-calculation.html
Journals & Books:

1) Investments by Zvi Bodie and Alex Kane
2) BETA-Wiley Risk Mgmt book
45 | P a g e

SAPM Ass 3

Transféré par

Informations du document

Description originale:

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

SAPM Ass 3

Transféré par

Droits d'auteur :

Formats disponibles

Security & Portfolio Management

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Security market line

nominal risk-free rate available for the market, while

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

The Preliminaries & Calculation

Name: Ghoutham.U (2010C23)

Beta = COVAR (E2:E99,D2:D99)/VAR(D2:D99)

Name: Ghoutham.U (2010C23)

The Bottom Line

Beta and Risk

Name: Ghoutham.U (2010C23)

How to Use Beta

Regression, Alpha, R-Squared

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

WORKINGS & DATA:

Name: Ghoutham.U (2010C23)

Adjus ted R Squa re

Obs erva tions

Coefficients Standard Error

Lower 95% Upper 95% Lower 95.0% Upper 95.0%

0.0005467 -385.18255 -117.83764 -385.18255 -117.83764

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Adjus ted R Squa re

Obs erva tions

Upper 95% Lower 95.0% Upper 95.0%

Business Risk Beta

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Unlivered Beta/(1+(Fixed Cost/ Variable Cost))

direct risk beta

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Adjus ted R Squa re

Obs erva tions

Hotel LEELA VENTURES

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Adjus ted R Squa re

Sta nda rd Error

Obs erva ti ons

Business risk Beta

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Business Risk Beta

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

Name: Ghoutham.U (2010C23)

CoefficientsStandard Error t Stat

Name: Ghoutham.U (2010C23)