CALCULATION OF BETA

IN STOCK MARKETS
[Type the document subtitle]
The capital asset pricing model, with assumptions
about no transactions cost or private information,
concludes that the marginal investor hold a portfolio
that includes every traded asset in the market, and
that the risk of any investment is the risk added on to
this "market portfolio". The expected return from the
model is:
Expected Return = Risk-free Rate + jM (Risk Premium
on Market Portfolio)

Mankhush Jagawat
8/19/2011

Contents
1.

2.

INTRODUCTION ............................................................................................................................... 4
1.1.

Beta Definition: ....................................................................................................................... 4

1.2.

Security Market Line ............................................................................................................... 5

1.3.

Beta, volatility and correlation................................................................................................ 5

1.4.

Choice of benchmark .............................................................................................................. 6

1.5.

Investing .................................................................................................................................. 6

1.6.

Academic theory ..................................................................................................................... 7

1.7.

Multiple beta model ............................................................................................................... 8

1.8.

Estimation of beta ................................................................................................................... 8

HOW TO CALCULATE BETA? ............................................................................................................ 9

2.1.

Choice of a Market Index ........................................................................................................ 9

2.2.

Choice of a Time Period .......................................................................................................... 9

2.3.

Choice of a Return Interval ..................................................................................................... 9

3. LIMITATIONS OF REGRESSION BETAS .............................................................................................. 10

3.1. The Problem of Firms changing over time ................................................................................. 10
3.2. The Index Problem ..................................................................................................................... 10
3.3. The Noise Problem ..................................................................................................................... 10
4.

ALTERNATIVES TO REGRESSION BETA .......................................................................................... 10

4.1. Modified Regression Betas ........................................................................................................ 11
4.2. Accounting Betas ....................................................................................................................... 11
4.3 Bottom-Up Betas......................................................................................................................... 12
4.3.1.

Nature of the Business .................................................................................................. 12

4.3.2.

Operating Leverage ....................................................................................................... 12

4.3.3.

Financial Leverage ......................................................................................................... 12

5.

SELECTION CRITERIA FOR THE COMPANIES.................................................................................. 13

6.

BETA DETERMINATION ................................................................................................................. 13

Page | 2

6.1. Airlines Sector ......................................................................................................................... 13

6.2. Cement Sector ......................................................................................................................... 14
6.3.

Hotel Sector ............................................................................. Error! Bookmark not defined.

6.4.

Oil and Refineries Sector ....................................................................................................... 15

7.

APPENDIX ...................................................................................................................................... 15

8.

REFERENCES .................................................................................................................................. 35

Page | 3

1. INTRODUCTION
1.1. Beta 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.
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.
Page | 4

1.2. 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

The Security Market Line

intercept is the 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.

1.3. Beta, volatility and correlation

A misconception about beta is that it measures the volatility of a security relative to the volatility of
the market. If this were true, then a security with a beta of 1 would have the same volatility of
returns as the volatility of market returns. In fact, this is not the case, because beta also incorporates
the correlation of returns between the security and the market. By the definition of beta, the
formula relating beta (), the relative volatility of the security (), the correlation of returns () and
the market volatility (m) is

For example, if one stock has low volatility and high correlation, and the other stock has low
correlation and high volatility, beta can compare their correlated volatility.
This also leads to an inequality (because |\rho| is not greater than one):
Page | 5

In other words, beta sets a floor on volatility. For example, if market volatility is 10%, any stock (or
fund) with a beta of 1 must have volatility of at least 10%.
Another way of distinguishing between beta and correlation is to think about direction and
magnitude. If the market is always up 10% and a stock is always up 20%, the correlation is one
(correlation measures direction, not magnitude). However, beta takes into account both direction
and magnitude, so in the same example the beta would be 2 (the stock is up twice as much as the
market).

1.4. Choice of benchmark

Published betas typically use a stock market index such as S&P 500 as a benchmark. The benchmark
should be chosen to be similar to the other assets chosen by the investor. Other choices may be an
international index such as the MSCI EAFE. The ideal index would match the portfolio; for example,
for a person who owns S&P 500 index funds and gold bars, the index would combine the S&P 500
and the price of gold. In practice a standard index is used. The choice of the index need not reflect
the portfolio under question; e.g., beta for gold bars compared to the S&P 500 may be low or
negative carrying the information that gold does not track stocks and may provide a mechanism for
reducing risk. The restriction to stocks as a benchmark is somewhat arbitrary. A model portfolio may
be stocks plus bonds. Sometimes the market is defined as "all investable assets" (see Roll's critique);
unfortunately, this includes lots of things for which returns may be hard to measure.

1.5. Investing
By definition, the market itself has a beta of 1.0, and individual stocks are ranked according to how
much they deviate from the macro market (for simplicity purposes, the S&P 500 is sometimes used
as a proxy for the market as a whole). A stock whose returns vary more than the market's returns
over time can have a beta whose absolute value is greater than 1.0 (whether it is, in fact, greater
than 1.0 will depend on the correlation of the stock's returns and the market's returns). A stock
whose returns vary less than the market's returns has a beta with an absolute value less than 1.0.
A stock with a beta of 2 has returns that change, on average, by twice the magnitude of the overall
market's returns; when the market's return falls or rises by 3%, the stock's return will fall or rise
(respectively) by 6% on average. (However, because beta also depends on the correlation of returns,
Page | 6

there can be considerable variance about that average; the higher the correlation, the less variance;
the lower the correlation, the higher the variance.) Beta can also be negative, meaning the stock's
returns tend to move in the opposite direction of the market's returns. A stock with a beta of -3
would see its return decline 9% (on average) when the market's return goes up 3%, and would see its
return climb 9% (on average) if the market's return falls by 3%.
Higher-beta stocks tend to be more volatile and therefore riskier, but provide the potential for
higher returns. Lower-beta stocks pose less risk but generally offer lower returns. Some[3] have
challenged this idea, claiming that the data show little relation between beta and potential reward,
or even that lower-beta stocks are both less risky and more profitable (contradicting CAPM). In the
same way a stock's beta shows its relation to market shifts, it is also an indicator for required returns
on investment (ROI). Given a risk-free rate of 2%, for example, if the market (with a beta of 1) has
an expected return of 8%, a stock with a beta of 1.5 should return 11% (= 2% + 1.5(8% - 2%)).

1.6. Academic theory

Academic theory claims that higher-risk investments should have higher returns over the long-term.
Wall Street has a saying that "higher return requires higher risk", not that a risky investment will
automatically do better. Some things may just be poor investments (e.g., playing roulette). Further,
highly rational investors should consider correlated volatility (beta) instead of simple volatility
(sigma). Theoretically, a negative beta equity is possible; for example, an inverse ETF should have
negative beta to the relevant index. Also, a short position should have opposite beta.
This expected return on equity, or equivalently, a firm's cost of equity, can be estimated using
the Capital Asset Pricing Model (CAPM). According to the model, the expected return on equity is a
function of a firm's equity beta (E) which, in turn, is a function of both leverage and asset risk (A):
KE = RF + E(RM RF)
where:
KE = firm's cost of equity
RF = risk-free rate (the rate of return on a "risk free investment"; e.g., U.S. Treasury Bonds)
RM = return on the market portfolio

because:
Page | 7

and
Firm Value (V) = Debt Value (D) + Equity Value (E)
An indication of the systematic riskiness attaching to the returns on ordinary shares. It equates to
the asset Beta for an ungeared firm, or is adjusted upwards to reflect the extra riskiness of shares in
a geared firm., i.e. the Geared Beta.[4]

1.7. Multiple beta model

The arbitrage pricing theory (APT) has multiple betas in its model. In contrast to the CAPM that has
only one risk factor, namely the overall market, APT has multiple risk factors. Each risk factor has a
corresponding beta indicating the responsiveness of the asset being priced to that risk factor.
Multiple-factor models contradict CAPM by claiming that some other factors can return, therefore
one may find two stocks (or funds) with equal beta, but one may be a better investment.

1.8. Estimation of beta

To estimate beta, one needs a list of returns for the asset and returns for the index; these returns
can be daily, weekly or any period. Then one uses standard formulas from linear regression. The
slope of the fitted line from the linear least-squares calculation is the estimated Beta. The yintercept is the alpha.
Myron Scholes and Joseph Williams (1977) provided a model for estimating betas from
nonsynchronous data.[5]
Beta is commonly misexplained as asset volatility relative to market volatility. If that were the case it
should simply be the ratio of these volatilities. In fact, the standard estimation uses the slope of the
least squares regression linethis gives a slope which is less than the volatility ratio. Specifically it
gives the volatility ratio multiplied by the correlation of the plotted data. To take an extreme
example, something may have a beta of zero even though it is highly volatile, provided it is
uncorrelated with the market. Tofallis (2008) provides a discussion of this,[6] together with a real
example involving AT&T. The graph showing monthly returns from AT&T is visibly more volatile than
the index and yet the standard estimate of beta for this is less than one.
Page | 8

The relative volatility ratio described above is actually known as Total Beta (at least by appraisers
who practice business valuation). Total Beta is equal to the identity: Beta/R or the standard
deviation of the stock/standard deviation of the market (note: the relative volatility). Total Beta
captures the security's risk as a stand-alone asset (because the correlation coefficient, R, has been
removed from Beta), rather than part of a well-diversified portfolio. Because appraisers frequently
value closely-held companies as stand-alone assets, Total Beta is gaining acceptance in the business
valuation industry. Appraisers can now use Total Beta in the following equation: Total Cost of Equity
(TCOE) = risk-free rate + Total Beta*Equity Risk Premium. Once appraisers have a number of TCOE
benchmarks, they can compare/contrast the risk factors present in these publicly-traded
benchmarks and the risks in their closely-held company to better defend/support their valuations.

2. HOW TO CALCULATE BETA?

The beta for an asset can be estimated by regressing the returns on any asset against returns on an
index representing the market portfolio, over a reasonable time period. But the beta calculated by
above methodology has various issues:

2.1. Choice of a Market Index

In practice, there are no indices that measure or even come close to the market portfolio. Instead,
we have equity market indices and fixed income market indices that measure the returns on subsets
of securities in each market. Further, in case the index data may be available only on weekly or a
monthly basis, which further cause bias in the beta calculation.

2.2. Choice of a Time Period

By going back further in time, we get the advantage of having more observations in the regression,
but this could be offset by the fact that the firm itself might have changed its characteristics, in
terms of business mix and leverage, over that period. The shorter time period reduces the points
available for regression as well as may not cover all the economic cycles.

2.3. Choice of a Return Interval

The final choice that can affects beta estimates is the return interval, used to measure returns
historically. Using shorter return intervals increases the number of observations in the regression,
Page | 9

for any given time period, but it does come with a cost. Assets do not trade on a continuous basis,
and when there is non-trading on the asset, the beta estimated can be affected.

3. LIMITATIONS OF REGRESSION BETAS

3.1. The Problem of Firms changing over time
Even if a stock does not dominate the index, and the regression beta has a low standard error, there
is a final problem with regression beta estimates. They are based upon historical data, and firms
change over time. Thus, the regression reflects the firm's characteristics, on average, over the period
of the estimation rather than the firm as it exists today.

3.2. The Index Problem

The beta will vary widely depending upon how the regression is set up and run. This problem is
exacerbated when we estimate betas for companies in emerging markets. Since the index for
emerging markets consist of few large companies, this causes the beta of smaller companies with
higher risk profile to have higher beta, while larger company will have higher beta.
Further, the beta should be calculated with the perspective of investor. If the marginal investor is a
US investor, the right index might be the S&P 500. If the marginal investor is a global investor, a
more relevant measure of risk may emerge by using the global index.

3.3. The Noise Problem

The beta estimate from the regression is noisy, and the range that emerges for the beta is large
which renders the beta useless.

4. ALTERNATIVES TO REGRESSION BETA

There are three basic alternatives to simple regression betas.
Modified Regression Betas
Accounting Betas
Bottom Up Betas
Page | 10

4.1. Modified Regression Betas

Regression beta can be modified according to the needs and company specific fundamental
parameters; such as market capital, dividend yield etc. to estimate a beta for future time periods.
Rosenberg and Marathe suggest that fundamental information about a firm can be used in
conjunction with historical beta estimates to provide superior predictors of future betas. This
approach can be generalized and updated to estimate modified betas for all firms.
This approach has two basic limitations. The first is that the initial beta estimates need to reasonably
good, though they can be noisy, for the estimation to work. The second is that the regression of
betas against financial fundamentals has a low R-squared. Thus, while modified betas may reflect
more of the firm's current characteristics, it does not really solve the noise problem of large
standard errors.

4.2. Accounting Betas

Another approach to estimate the relative risk parameters from accounting earnings rather than
from traded prices. Thus, changes in earnings at a division or a firm, on a quarterly or annual basis,
can be regressed against changes in earnings for the market, in the same periods, to arrive at an
estimate of a market beta to use in the CAPM.
While the approach has some intuitive appeal, it suffers from three potential pitfalls. First,
accounting earnings tend to be smoothed out relative to the underlying value of the company,
resulting in betas that are biased down, especially for risky firms, or biased up, for safer firms. In
other words, betas are likely to be closer to one for all firms using accounting data. Second,
accounting earnings can be influenced by non-operating factors, such as changes in depreciation or
inventory methods, and by allocations of corporate expenses at the divisional level. Finally,
accounting earnings are measured, at most, once every quarter, and often only once every year,
resulting in regressions with few observations and not much power.

Page | 11

4.3 Bottom-Up Betas

Every business entity has a different structure with respect to its operating model and capital
structuring. The bottom up approach considers this difference. This is the main factor which makes
bottom up beta superior than the regression beta.
Bottom-up beta can be computed by examining:
The nature of the business
Operating leverage of the company
Financial leverage of the company

4.3.1. Nature of the Business

The business of the company plays a fundamental role in determining the beta of the stock. If the
companys products are discretionary nature i.e., if the consumer can live without the product or can
delay its purchase, the beta of such a company will usually be on the higher side. On the other hand,
a company which is engaged in the business of providing basic necessities such as food and clothing
will generally have a lower beta for its stock.

4.3.2. Operating Leverage

The operating leverage refers to the cost structure of the company. It is the measure of the
proportion of fixed cost to the overall cost. Generally if the fixed cost component is higher, the stock
will tend to have a higher beta. By having a larger proportion of fixed cost, a company creates a
fixed charge on their profit and loss account. In the good times, even with high fixed costs a
company can remain profitable, but during a downturn it would find it difficult to sustain its profits.

4.3.3. Financial Leverage

The financial leverage refers to the debt taken on by the firm. A company with high borrowing tends
to have a higher beta. By taking on debt, even a relatively safe business can end up having a high
beta. The moment a company takes on debt it creates a fixed cost in the form of interest payment.
The very nature of these interest payments is that they have to be made not only during the good
times, but even when the company is facing a downturn. This will lead to volatility in earnings, and
therefore the company would end up with a higher beta.
Un-leveraged beta = Regression beta/ {1+ (1-tax-rate)*debt-equity ratio}
Business beta = Unlevered beta/ {1+ (fixed to variable-ratio)}
Page | 12

5. SELECTION CRITERIA FOR THE COMPANIES

The companies have been selected based on the following criteria:
Market Capital of the Company
Liquidity of the Stock
Historical Data Availability

6. BETA DETERMINATION
6.1. Airlines Sector
The Companies selected are:
Kingfisher
Spicejet
Jet Airways

Levered Beta
Unlevered Beta
Business Risk Beta
Debt Equity Ratio
Fixed Cost
Variable Cost

Company
Kingfisher
Jet Airways
SpiceJet

Kingfisher
SpiceJet Jet Airways
1.9482
1.5664
1.7023
1.9482
1.5664
0.1435
0.9095
0.9347
0.0884
0.00
0.00
16.46
3428.38 3428.38
4273.63
3001.90 3001.90
6862.31

Levered Beta
Expected Returns
1.948
12.19%
1.702
11.72%
1.566
11.46%

Page | 13

6.2. Cement Sector

The Companies selected are:
ACC
Ambuja Cements
India Cements Ltd.

Levered Beta
Unlevered Beta
Business Risk Beta
Debt Equity Ratio
Fixed Cost
Variable Cost
Company
ACC
Ambuja
India Cements

ACC
Ambuja India Cements
1.6797
0.8715
1.0030
1.5411
0.8602
0.7631
0.8903
0.4965
0.4147
0.09
0.02
0.48
2626.55 2395.95
1405.29
3593.38 3271.02
1673.15
Levered Beta Expected Returns
0.753
9.89%
0.872
10.12%
1.003
10.37%

6.3. Hotels Sector

The Companies selected are:
EIH
Indian Hotels
Leela Venture

EIH
Levered Beta
Unlevered Beta
Business Risk Beta
Debt Equity Ratio
Fixed Cost
Variable Cost
Company
EIH
Indian Hotels
Leela Venture

0.4714
0.2965
0.0490
0.59
680.09
134.74

Indian Hotels Leela Venture

1.1502
1.0587
0.7368
0.2967
0.1536
0.0641
0.85
3.89
954.37
290.69
251.44
80.02

Levered Beta Expected Returns

0.943
10.26%
1.150
10.66%
1.059
10.48%

Page | 14

6.4. Oil and Refineries Sector

The Companies selected are:
IOCL
BPCL
RIL

Levered Beta
Unlevered Beta
Business Risk Beta
Debt Equity Ratio
Fixed Cost
Variable Cost

Company
IOCL
BPCL
RIL

IOCL
BPCL
RIL
0.0601
0.7440
0.9849
0.0308
0.3484
0.6849
0.0293
0.3282
0.6533
0.95
1.72
0.66
12649.83
7082.69
9855.07
249478.85 114746.57 203552.99

Levered Beta Expected Returns

0.990
10.35%
0.744
9.87%
0.985
10.34%

7. APPENDIX
Kingfisher Airlines

Date

Adj Closing
Price (Rs.)

Adj Closing BSE

Index

Returns
of BSE
Sensex

Returns
of KF
Airlines

Aug-11

28.85

16839.63

-7.46%

-16.62%

Jul-11

34.6

18197.2

-3.44%

-13.72%

Jun-11
May-11
Apr-11
Mar-11

40.1
42.5
43.6
39.9

18845.87
18503.28
19135.96
19445.22

1.85%
-3.31%
-1.59%
9.10%

-5.65%
-2.52%
9.27%
5.70%
Page | 15

Feb-11

37.75

17823.4

-2.75%

-25.40%

Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07

50.6
66.2
66.75
76.1
74.1
59.35
52.95
49.55
44.85
49.6
46.75
49.45
54.35
63.2
52.45
44.8
56.05
48.2
51.3
50.15
62.8
38.45
33.4
32.3
35.05
40.7
27.5
32.25
60.1
79.35
79.2
59.85
115.85
143.3
122.05
169.7
173.9
276.9
242.9
152.7
146.25
140.9

18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6

-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%
12.88%
-1.49%

-23.56%
-0.82%
-12.29%
2.70%
24.85%
12.09%
6.86%
10.48%
-9.58%
6.10%
-5.46%
-9.02%
-14.00%
20.50%
17.08%
-20.07%
16.29%
-6.04%
2.29%
-20.14%
63.33%
15.12%
3.41%
-7.85%
-13.88%
48.00%
-14.73%
-46.34%
-24.26%
0.19%
32.33%
-48.34%
-19.16%
17.41%
-28.08%
-2.42%
-37.20%
14.00%
59.07%
4.41%
3.80%
-0.07%
Page | 16

Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

141
137.65
146.2
103.75
92.25
125.2
144.95
136.45
138.75
112.05
102.8
82.45

15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

6.15%
0.73%
4.84%
6.12%
1.04%
-8.18%
2.21%
0.66%
5.67%
4.07%
6.46%

2.43%
-5.85%
40.92%
12.47%
-26.32%
-13.63%
6.23%
-1.66%
23.83%
9.00%
24.68%

Spice Jet

Date

Adj Closing BSE

Index

Adj
Closing
Price (Rs.)

Returns
of BSE
Sensex

Returns
of
SpiceJet

Aug-11

16839.63

28.15

-7.46%

-10.92%

Jul-11

18197.2

31.6

-3.44%

-3.95%

Jun-11
May-11

18845.87
18503.28

32.9
40.7

1.85%
-3.31%

-19.16%
-0.73%

Apr-11
Mar-11
Feb-11

19135.96
19445.22
17823.4

41
38.3
38

-1.59%
9.10%
-2.75%

7.05%
0.79%
-37.60%

Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09

18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81

60.9
80.9
82.15
84.65
74.8
71.6
62.4
58.35
56.95
62.9
58.3
55.65
55.6
56.75

-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%

-24.72%
-1.52%
-2.95%
13.17%
4.47%
14.74%
6.94%
2.46%
-9.46%
7.89%
4.76%
0.09%
-2.03%
21.26%
Page | 17

Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

46.8
37.05
35.65
26.45
21.1
19.3
23.73
14.28
13.47
13.83
14
15.9
12.22
11.3
22
27.3
27.95
24.9
32.5
43.35
40.8
65.05
72.95
86.95
52.55
55.1
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

6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%
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%

26.32%
3.93%
34.78%
25.36%
9.33%
-18.67%
66.18%
6.01%
-2.60%
-1.21%
-11.95%
30.11%
8.14%
-48.64%
-19.41%
-2.33%
12.25%
-23.38%
-25.03%
6.25%
-37.28%
-10.83%
-16.10%
65.46%
-4.63%
-5.97%
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%

Jet Airways

Page | 18

Date

Adj Closing
BSE Index

Adj Closing
Price (Rs.)

Returns of
BSE Sensex

Returns of
Jet
Airways

Aug-11

16839.63

375.85

-7.46%

-15.79%

Jul-11
Jun-11
May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08

18197.2
18845.87
18503.28
19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57

446.3
479.65
447.55
478.15
447.15
415.45
556.1
762.85
803.8
810.45
814.9
718.7
678.85
530.4
510.35
537.85
480.05
403.1
515.4
553.15
452.35
379.3
329.25
263.1
257.25
225.5
302.65
193.95
169.9
141.55
178.8
202.55
129.45
156.4
400.45
472.4
466
430.45
537.7

-3.44%
1.85%
-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-7.10%
-23.89%
-11.70%
1.45%
6.64%
-17.99%
-5.04%

-6.95%
7.17%
-6.40%
6.93%
7.63%
-25.29%
-27.10%
-5.09%
-0.82%
-0.55%
13.39%
5.87%
27.99%
3.93%
-5.11%
12.04%
19.09%
-21.79%
-6.82%
22.28%
19.26%
15.20%
25.14%
2.27%
14.08%
-25.49%
56.05%
14.16%
20.03%
-20.83%
-11.73%
56.47%
-17.23%
-60.94%
-15.23%
1.37%
8.26%
-19.95%
-2.76%
Page | 19

Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

552.95
556.35
737.35
755.25
997.2
830.75
876.25
907.35
803.3
721.94
809.86
764.31
713.64
628.11
592.29
756.71
611.37
669.48
591.1
643.4
532.93

10.50%
-11.00%
-0.40%
-13.00%
4.77%
-2.39%
14.73%
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%

-0.61%
-24.55%
-2.37%
-24.26%
20.04%
-5.19%
-3.43%
12.95%
11.27%
-10.86%
5.96%
7.10%
13.62%
6.05%
-21.73%
23.77%
-8.68%
13.26%
-8.13%
20.73%

Returns of
BSE Sensex

Returns of
ACC

ACC

Date

Adj Closing
BSE Index

Adj Closing
Price (Rs.)

Aug-11
Jul-11
Jun-11

16839.63
18197.2
18845.87

999.9
1014
950.6

-7.46%
-3.44%
1.85%

-1.39%
6.67%
-7.80%

May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10

18503.28
19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63

1031
1110.1
1079.4
998.5
989
1075
982.05
982.15
995
875.95
827.35
868.65
810.34

-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%

-7.13%
2.84%
8.10%
0.96%
-8.00%
9.46%
-0.01%
-1.29%
13.59%
5.87%
-4.75%
7.20%
-9.89%
Page | 20

Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06

17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42

899.23
935.7
899.9
928.17
853.2
773.64
728.3
799.72
781.15
859.14
745.27
754.52
631.18
554.09
485.12
451.48
424.71
361.36
439.88
553.19
503.09
517.5
456.11
579.78
665.52
715.67
690.98
660.18
885.49
944.41
934.88
1037.98
921.01
912.22
801.69
729.58
719.59
630.45
757.96
857.45
913.03
948.7
812.41
834.8

0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%
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%

-3.90%
3.98%
-3.05%
8.79%
10.28%
6.23%
-8.93%
2.38%
-9.08%
15.28%
-1.23%
19.54%
13.91%
14.22%
7.45%
6.30%
17.53%
-17.85%
-20.48%
9.96%
-2.78%
13.46%
-21.33%
-12.88%
-7.01%
3.57%
4.67%
-25.44%
-6.24%
1.02%
-9.93%
12.70%
0.96%
13.79%
9.88%
1.39%
14.14%
-16.82%
-11.60%
-6.09%
-3.76%
16.78%
-2.68%
9.20%

Page | 21

Aug-06

11699.05

764.47

Ambuja

Date

Adj Closing
BSE Index

Adj Closing
Price (Rs.)

Returns of
BSE Sensex

Returns of
Ambuja

Aug-11

16839.63

130.55

-7.46%

0.81%

Jul-11
Jun-11

18197.2
18845.87

129.5
133.5

-3.44%
1.85%

-3.00%
-3.96%

May-11

18503.28

139

-3.31%

-10.75%

Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08

19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72

155.75
146.5
119
127
142.8
140.4
141.25
140.5
125.65
116.06
113.83
107.89
118.88
118.38
105.42
106.11
102.73
90.05
87.21
97.44
97
105.81
85.58
88.48
77.98
68.44
60.99
66.99
66.09
48.44

-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-7.10%

6.31%
23.11%
-6.30%
-11.06%
1.71%
-0.60%
0.53%
11.82%
8.26%
1.96%
5.51%
-9.24%
0.42%
12.29%
-0.65%
3.29%
14.08%
3.26%
-10.50%
0.45%
-8.33%
23.64%
-3.28%
13.46%
13.94%
12.22%
-8.96%
1.36%
36.44%
-17.00%
Page | 22

Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

58.36
74.21
76.39
75.32
71.11
89.18
106.69
113.48
111.42
108.79
136.82
138.95
135.01
133.89
123.91
119.63
113.35
103.24
107.38
97.14
105.43
124.23
127.62
130.65
104.98
104.4
100.38

-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%
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%

-21.36%
-2.85%
1.42%
5.92%
-20.26%
-16.41%
-5.98%
1.85%
2.42%
-20.49%
-1.53%
2.92%
0.84%
8.05%
3.58%
5.54%
9.79%
-3.86%
10.54%
-7.86%
-15.13%
-2.66%
-2.32%
24.45%
0.56%
4.00%

India Cements Ltd.

Adj Closing
BSE Index

Date

Adj Closing
Price (Rs.)

Returns of
BSE Sensex

Returns of
India
Cements

Aug-11

16839.63

71.9

-7.46%

3.08%

Jul-11
Jun-11
May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10

18197.2
18845.87
18503.28
19135.96
19445.22
17823.4
18327.76
20509.09

69.75
71
84.3
99.25
95.6
85.9
98.7
107.65

-3.44%
1.85%
-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%

-1.76%
-15.78%
-15.06%
3.82%
11.29%
-12.97%
-8.31%
1.70%
Page | 23

Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07

19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1

105.85
110.7
116.2
107
106.6
105.88
105.93
123.25
129.33
115.25
109.27
121.04
109.46
108.24
131.98
131.98
137.43
126.56
148.91
111.28
102.48
94.02
98.66
94.26
84.1
84.2
119.45
133.77
138.59
130.91
152.77
163.9
178.36
200.32
198.42
296.29
281.87
269.5
279.05
234.22
208.25
197.35
170.91
169.72
154.12

-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%
12.88%
-1.49%
6.15%
0.73%
4.84%
6.12%
1.04%

-4.38%
-4.73%
8.60%
0.38%
0.68%
-0.05%
-14.05%
-4.70%
12.22%
5.47%
-9.72%
10.58%
1.13%
-17.99%
0.00%
-3.97%
8.59%
-15.01%
33.82%
8.59%
9.00%
-4.70%
4.67%
12.08%
-0.12%
-29.51%
-10.70%
-3.48%
5.87%
-14.31%
-6.79%
-8.11%
-10.96%
0.96%
-33.03%
5.12%
4.59%
-3.42%
19.14%
12.47%
5.52%
15.47%
0.70%
10.12%
-9.52%
Page | 24

Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

170.34
208.2
223.66
223.94
204.2
210.82
190.6

-8.18%
2.21%
0.66%
5.67%
4.07%
6.46%

-18.18%
-6.91%
-0.13%
9.67%
-3.14%
10.61%

EIH
Adj Closing
BSE Index

Date

Adj Closing
Price (Rs.)

Returns of
BSE Sensex

Returns of
EIH

Aug-11
Jul-11
Jun-11

16839.63
18197.2
18845.87

85.3
96.05
86.9

-7.46%
-3.44%
1.85%

-11.19%
10.53%
5.33%

May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09

18503.28
19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5

82.5
86.45
80.8
81.4
106
114.9
105.6
124.45
136.3
141.3
127.67
118.85
116.03
127.12
119.35
120.34
135.94
137.32
137.82
122.57
122.62
115.88
116.97
123.03
119.11
110.58
84.41

-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%

-4.57%
6.99%
-0.74%
-23.21%
-7.75%
8.81%
-15.15%
-8.69%
-3.54%
10.68%
7.42%
2.43%
-8.72%
6.51%
-0.82%
-11.48%
-1.00%
-0.36%
12.44%
-0.04%
5.82%
-0.93%
-4.93%
3.29%
7.71%
31.00%
-13.90%
Page | 25

Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

98.04
96.12
121.56
94.6
82.35
125.93
144.11
116.17
112.14
123.25
143.44
132.23
212.84
214.1
307.22
320.67
328.83
314.37
271.28
251.26
245.8
225.57
218.85
175.32
245.84
284.72
310.28
337.83
293.79
312.63
256.11

-5.65%
-2.31%
6.10%
-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%
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%

2.00%
-20.93%
28.50%
14.88%
-34.61%
-12.62%
24.05%
3.59%
-9.01%
-14.08%
8.48%
-37.87%
-0.59%
-30.31%
-4.19%
-2.48%
4.60%
15.88%
7.97%
2.22%
8.97%
3.07%
24.83%
-28.69%
-13.66%
-8.24%
-8.15%
14.99%
-6.03%
22.07%

Indian Hotels

Date
Aug-11
Jul-11
Jun-11
May-11
Apr-11
Mar-11

Adj Closing
BSE Index
16839.63
18197.2
18845.87
18503.28
19135.96
19445.22

Adj Closing
Price (Rs.)
72.2
75.9
77.35
80.55
83
85.1

Returns of
BSE Sensex
-7.46%
-3.44%
1.85%
-3.31%
-1.59%
9.10%

Returns of
Indian
Hotels
-4.87%
-1.87%
-3.97%
-2.95%
-2.47%
9.03%
Page | 26

Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07

17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99

78.05
89.75
96.75
90.9
100.2
98.9
102.55
99.05
104.48
104.08
107.1
101.21
88.93
102.84
102
85.21
71.99
76.25
64.62
67.49
65.05
65.64
48.79
38.69
35.63
40.21
44.35
39.92
45.69
66.04
76.09
84.82
75.4
110.39
113.99
108.19
121.52
128.94
154.68
131.12
143.48
133.79
123.41
135.19

-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%
12.88%
-1.49%
6.15%

-13.04%
-7.24%
6.44%
-9.28%
1.31%
-3.56%
3.53%
-5.20%
0.38%
-2.82%
5.82%
13.81%
-13.53%
0.82%
19.70%
18.36%
-5.59%
18.00%
-4.25%
3.75%
-0.90%
34.54%
26.10%
8.59%
-11.39%
-9.33%
11.10%
-12.63%
-30.81%
-13.21%
-10.29%
12.49%
-31.70%
-3.16%
5.36%
-10.97%
-5.75%
-16.64%
17.97%
-8.61%
7.24%
8.41%
-8.71%
-6.56%
Page | 27

Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

144.68
138.93
136.1
139.93
136.62
145.68
148.27
144.34
136
132.77
123.72

0.73%
4.84%
6.12%
1.04%
-8.18%
2.21%
0.66%
5.67%
4.07%
6.46%

4.14%
2.08%
-2.74%
2.42%
-6.22%
-1.75%
2.72%
6.13%
2.43%
7.31%

Returns of
BSE Sensex

Returns of
Leela
Venture

Leela Venture
Adj Closing
BSE Index

Date
Aug-11
Jul-11
Jun-11
May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09

16839.63
18197.2
18845.87
18503.28
19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31

Adj Closing
Price (Rs.)
40.15
46
41.35
40.05
41.4
38.7
36.25
40.65
47.3
43.7
51.4
52.85
51.5
48.36
48.31
45.27
49.05
48.86
45.47
50.2
48.56
39.74
33.57
38.1
33.27
33.49

-7.46%
-3.44%
1.85%
-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%

-12.72%
11.25%
3.25%
-3.26%
6.98%
6.76%
-10.82%
-14.06%
8.24%
-14.98%
-2.74%
2.62%
6.49%
0.10%
6.72%
-7.71%
0.39%
7.46%
-9.42%
3.38%
22.19%
18.38%
-11.89%
14.52%
-0.66%
6.93%
Page | 28

Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

31.32
32.41
21.69
18.34
17.75
17.85
18.69
17.21
28.03
28.18
31.82
30.51
32.45
40.97
48.09
38.84
49.35
41.5
70.56
63.15
46.49
49.06
41.8
47.46
50.79
55.62
52.77
53.93
54.72
59.85
60.96
64.56
61.24
64.27
123.72

-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%
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%

-3.36%
49.42%
18.27%
3.32%
-0.56%
-4.49%
8.60%
-38.60%
-0.53%
-11.44%
4.29%
-5.98%
-20.80%
-14.81%
23.82%
-21.30%
18.92%
-41.18%
11.73%
35.84%
-5.24%
17.37%
-11.93%
-6.56%
-8.68%
5.40%
-2.15%
-1.44%
-8.57%
-1.82%
-5.58%
5.42%
-4.71%
-48.05%

IOCL
Adj Closing
BSE Index

Date
Aug-11
Jul-11
Jun-11

16839.63
18197.2
18845.87

Adj Closing
Price (Rs.)
323.5
315.05
337.65

Returns of
BSE Sensex
-7.46%
-3.44%
1.85%

Returns of
IOCL
2.68%
-6.69%
3.26%
Page | 29

May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07

18503.28
19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99

327
340
334.25
299
336.4
343
346.15
418.55
418.5
397.95
350.83
390.29
342.25
285.64
287.68
308.08
292.09
296.93
280.4
304.49
659.74
553.63
523.57
509.22
583.15
424.52
370.73
415.42
427.2
407.96
391.83
323.93
387.76
384.22
381.56
314.38
402.47
435.87
421.63
530.44
454.7
751.52
512.28
455.79

-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%

-3.82%
1.72%
11.79%
-11.12%
-1.92%
-0.91%
-17.30%
0.01%
5.16%
13.43%
-10.11%
14.04%
19.82%
-0.71%
-6.62%
5.47%
-1.63%
5.90%
-7.91%
-53.85%
19.17%
5.74%
2.82%
-12.68%
37.37%
14.51%
-10.76%
-2.76%
4.72%
4.12%
20.96%
-16.46%
0.92%
0.70%
21.37%
-21.89%
-7.66%
3.38%
-20.51%
16.66%
-39.50%
46.70%
12.39%
2.39%
Page | 30

Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

445.14
366.23
377.74
415.53
437.42
412.72
374.65
388.1
464.38
421.95
416.56
480.83
490.81
464.14

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%

21.55%
-3.05%
-9.09%
-5.00%
5.98%
10.16%
-3.47%
-16.43%
10.06%
1.29%
-13.37%
-2.03%
5.75%

BPCL
Adj Closing
BSE Index

Date

Adj Closing
Price (Rs.)

Returns of
BSE Sensex

Returns of
BPCL

Aug-11

16839.63

690.15

-7.46%

4.58%

Jul-11
Jun-11
May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09

18197.2
18845.87
18503.28
19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28

659.9
649.3
632.95
627.15
611.3
552.05
615.8
657.95
676.25
730.2
750.1
746.66
630.49
650.37
570.86
508.29
507.16
552.07
531.6
621.12
579.7
499.85

-3.44%
1.85%
-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%

1.63%
2.58%
0.92%
2.59%
10.73%
-10.35%
-6.41%
-2.71%
-7.39%
-2.65%
0.46%
18.43%
-3.06%
13.93%
12.31%
0.22%
-8.13%
3.85%
-14.41%
7.15%
15.97%
-11.25%
Page | 31

Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08
May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6
16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

563.21
499.06
457.82
416.29
450.03
373.13
364.56
376.56
379.13
363.88
342.73
277.01
348.93
290.29
313.21
221.39
342.3
391.96
393.54
440.15
347.9
501.01
369.57
328.09
340.53
288.08
297.3
314.94
333.23
308.73
279.93
287.99
333.32
306.85
314.1
362.46
331.87
328.3

9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-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%
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%

12.85%
9.01%
9.98%
-7.50%
20.61%
2.35%
-3.19%
-0.68%
4.19%
6.17%
23.72%
-20.61%
20.20%
-7.32%
41.47%
-35.32%
-12.67%
-0.40%
-10.59%
26.52%
-30.56%
35.57%
12.64%
-3.65%
18.21%
-3.10%
-5.60%
-5.49%
7.94%
10.29%
-2.80%
-13.60%
8.63%
-2.31%
-13.34%
9.22%
1.09%

RIL
Page | 32

Date

Adj Closing
BSE Index

Adj Closing
Price (Rs.)

Returns of
BSE Sensex

Returns of
Reliance
Industries
Ltd.

Aug-11

16839.63

760.8

-7.46%

-8.08%

Jul-11
Jun-11
May-11
Apr-11
Mar-11
Feb-11
Jan-11
Dec-10
Nov-10
Oct-10
Sep-10
Aug-10
Jul-10
Jun-10
May-10
Apr-10
Mar-10
Feb-10
Jan-10
Dec-09
Nov-09
Oct-09
Sep-09
Aug-09
Jul-09
Jun-09
May-09
Apr-09
Mar-09
Feb-09
Jan-09
Dec-08
Nov-08
Oct-08
Sep-08
Aug-08
Jul-08
Jun-08

18197.2
18845.87
18503.28
19135.96
19445.22
17823.4
18327.76
20509.09
19521.25
20032.34
20069.12
17971.12
17868.29
17700.9
16944.63
17558.71
17527.77
16429.55
16357.96
17464.81
16926.22
15896.28
17126.84
15666.64
15670.31
14493.84
14625.25
11403.25
9708.5
8891.61
9424.24
9647.31
9092.72
9788.06
12860.43
14564.53
14355.75
13461.6

827.7
897.6
951.75
981.95
1047.8
964.95
919.25
1058.25
986.8
1095.8
986.35
918.85
1009.6
1086.9
1045.05
1025.51
1067.37
971.38
1039.46
1082.02
1055.6
1918.17
2173.21
1978.61
1932.21
1997.62
2248.54
1779.77
1503.83
1248.96
1308.35
1214.6
1117.21
1353.32
1921.6
2109.58
2178.14
2066.63

-3.44%
1.85%
-3.31%
-1.59%
9.10%
-2.75%
-10.64%
5.06%
-2.55%
-0.18%
11.67%
0.58%
0.95%
4.46%
-3.50%
0.18%
6.68%
0.44%
-6.34%
3.18%
6.48%
-7.18%
9.32%
-0.02%
8.12%
-0.90%
28.26%
17.46%
9.19%
-5.65%
-2.31%
6.10%
-7.10%
-23.89%
-11.70%
1.45%
6.64%
-17.99%

-7.79%
-5.69%
-3.08%
-6.28%
8.59%
4.97%
-13.13%
7.24%
-9.95%
11.10%
7.35%
-8.99%
-7.11%
4.00%
1.91%
-3.92%
9.88%
-6.55%
-3.93%
2.50%
-44.97%
-11.74%
9.84%
2.40%
-3.27%
-11.16%
26.34%
18.35%
20.41%
-4.54%
7.72%
8.72%
-17.45%
-29.57%
-8.91%
-3.15%
5.40%
-12.84%
Page | 33

May-08
Apr-08
Mar-08
Feb-08
Jan-08
Dec-07
Nov-07
Oct-07
Sep-07
Aug-07
Jul-07
Jun-07
May-07
Apr-07
Mar-07
Feb-07
Jan-07
Dec-06
Nov-06
Oct-06
Sep-06
Aug-06

16415.57
17287.31
15644.44
17578.72
17648.71
20286.99
19363.19
19837.99
17291.1
15318.6
15550.99
14650.51
14544.46
13872.37
13072.1
12938.09
14090.92
13786.91
13696.31
12961.9
12454.42
11699.05

2371.11
2569.08
2224.87
2415.23
2436.1
2830.63
2800.86
2733.85
2256.01
1925.2
1859.18
1670.54
1729.39
1532.8
1344.4
1324.85
1334.63
1242.45
1217.65
1199.27
1145.33
1093.05

-5.04%
10.50%
-11.00%
-0.40%
-13.00%
4.77%
-2.39%
14.73%
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%

-7.71%
15.47%
-7.88%
-0.86%
-13.94%
1.06%
2.45%
21.18%
17.18%
3.55%
11.29%
-3.40%
12.83%
14.01%
1.48%
-0.73%
7.42%
2.04%
1.53%
4.71%
4.78%

To calculate CAPM following were the obtained rates:

Monthly Market Return
Annualised Market
Return
Risk-free Rate

0.83% Taken for a period of 5 years

10.37%
8.44% 10 year GOI Bond

Page | 34

8. REFERENCES
http://www.wikipedia .com
http://capitaline.com
http://bseindia.com
Mohamad A. Almisher and Richard J. Kish, Accounting Betas An Ex Anti Proxy for Risk
Within The IPO Market, Journal of Financial and Strategic Decisions (2000)
Jose St-Pierre and Moujib Bahri The use of the accounting beta as an overall risk indicator
for unlisted companies, Journal of Small Business and Enterprise Development (1994)
Tobias Schlueter and Soenke Sievers, Determinants of Market Beta: The Impacts of FirmSpecific Accounting Figures and Market Conditions (2011)
Haribhakti Group, Bottom-up Beta - A focused approach to risk reward relationship (2008)
Aswath Damodaran, Estimating Risk Parameters (1997)
Nancy L. Beneda, Estimating Cost of Capital Using Bottom-up Betas, The CPA Journal (2003)

Page | 35