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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 + βjM (Risk Premium on Market Portfolio) Mankhush Jagawat 8/19/2011

Calculation of Beta in Stock Markets

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Page 1: 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 + βjM (Risk Premium on Market Portfolio)

Mankhush Jagawat

8/19/2011

Page 2: Calculation of Beta in Stock Markets

Contents

1. 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

2. 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

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

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

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

6.3. Hotel Sector.........................................................................................................................14

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

7. APPENDIX....................................................................................................................................15

8. REFERENCES................................................................................................................................35

1. INTRODUCTION

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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).

αa is called the asset's alpha and βa 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.

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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 β and required return is plotted on

the security market line (SML) which shows expected return

as a function of β. The 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 (β), the relative volatility of the security (σ), the correlation of returns (ρ) and

the market volatility (σm) 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):

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The Security Market Line

Page 6: Calculation of Beta in Stock Markets

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,

there can be considerable variance about that average; the higher the correlation, the less variance;

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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 (βE) which, in turn, is a function of both leverage and asset risk (βA):

KE = RF + βE(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:

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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 y-intercept

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 line—this 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.

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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,

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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

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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.

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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

company’s 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)}

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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

Company Levered Beta Expected ReturnsKingfisher 1.948 12.19%Jet Airways 1.702 11.72%SpiceJet 1.566 11.46%

Page | 13

Kingfisher SpiceJet Jet AirwaysLevered Beta 1.9482 1.5664 1.7023Unlevered Beta 1.9482 1.5664 0.1435Business Risk Beta 0.9095 0.9347 0.0884Debt Equity Ratio 0.00 0.00 16.46Fixed Cost 3428.38 3428.38 4273.63Variable Cost 3001.90 3001.90 6862.31

Page 14: Calculation of Beta in Stock Markets

6.2. Cement Sector

The Companies selected are:

ACC

Ambuja Cements

India Cements Ltd.

ACC Ambuja India CementsLevered Beta 1.6797 0.8715 1.0030Unlevered Beta 1.5411 0.8602 0.7631Business Risk Beta 0.8903 0.4965 0.4147Debt Equity Ratio 0.09 0.02 0.48Fixed Cost 2626.55 2395.95 1405.29Variable Cost 3593.38 3271.02 1673.15

Company Levered Beta Expected ReturnsACC 0.753 9.89%Ambuja 0.872 10.12%India Cements 1.003 10.37%

6.3. Hotels Sector

The Companies selected are:

EIH

Indian Hotels

Leela Venture

EIH Indian Hotels Leela VentureLevered Beta 0.4714 1.1502 1.0587Unlevered Beta 0.2965 0.7368 0.2967Business Risk Beta 0.0490 0.1536 0.0641Debt Equity Ratio 0.59 0.85 3.89Fixed Cost 680.09 954.37 290.69Variable Cost 134.74 251.44 80.02

Company Levered Beta Expected ReturnsEIH 0.943 10.26%Indian Hotels 1.150 10.66%Leela Venture 1.059 10.48%

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6.4. Oil and Refineries Sector

The Companies selected are:

IOCL

BPCL

RIL

IOCL BPCL RILLevered Beta 0.0601 0.7440 0.9849Unlevered Beta 0.0308 0.3484 0.6849Business Risk Beta 0.0293 0.3282 0.6533Debt Equity Ratio 0.95 1.72 0.66Fixed Cost 12649.83 7082.69 9855.07Variable Cost 249478.85 114746.57 203552.99

Company Levered Beta Expected ReturnsIOCL 0.990 10.35%BPCL 0.744 9.87%RIL 0.985 10.34%

7. APPENDIX

Kingfisher Airlines

DateAdj 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 40.1 18845.87 1.85% -5.65%May-11 42.5 18503.28 -3.31% -2.52%Apr-11 43.6 19135.96 -1.59% 9.27%

Mar-11 39.9 19445.22 9.10% 5.70%

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Feb-11 37.75 17823.4 -2.75% -25.40%

Jan-11 50.6 18327.76 -10.64% -23.56%Dec-10 66.2 20509.09 5.06% -0.82%Nov-10 66.75 19521.25 -2.55% -12.29%Oct-10 76.1 20032.34 -0.18% 2.70%Sep-10 74.1 20069.12 11.67% 24.85%Aug-10 59.35 17971.12 0.58% 12.09%

Jul-10 52.95 17868.29 0.95% 6.86%Jun-10 49.55 17700.9 4.46% 10.48%

May-10 44.85 16944.63 -3.50% -9.58%Apr-10 49.6 17558.71 0.18% 6.10%

Mar-10 46.75 17527.77 6.68% -5.46%Feb-10 49.45 16429.55 0.44% -9.02%Jan-10 54.35 16357.96 -6.34% -14.00%Dec-09 63.2 17464.81 3.18% 20.50%Nov-09 52.45 16926.22 6.48% 17.08%Oct-09 44.8 15896.28 -7.18% -20.07%Sep-09 56.05 17126.84 9.32% 16.29%Aug-09 48.2 15666.64 -0.02% -6.04%

Jul-09 51.3 15670.31 8.12% 2.29%Jun-09 50.15 14493.84 -0.90% -20.14%

May-09 62.8 14625.25 28.26% 63.33%Apr-09 38.45 11403.25 17.46% 15.12%

Mar-09 33.4 9708.5 9.19% 3.41%Feb-09 32.3 8891.61 -5.65% -7.85%Jan-09 35.05 9424.24 -2.31% -13.88%Dec-08 40.7 9647.31 6.10% 48.00%Nov-08 27.5 9092.72 -7.10% -14.73%Oct-08 32.25 9788.06 -23.89% -46.34%Sep-08 60.1 12860.43 -11.70% -24.26%Aug-08 79.35 14564.53 1.45% 0.19%

Jul-08 79.2 14355.75 6.64% 32.33%Jun-08 59.85 13461.6 -17.99% -48.34%

May-08 115.85 16415.57 -5.04% -19.16%Apr-08 143.3 17287.31 10.50% 17.41%

Mar-08 122.05 15644.44 -11.00% -28.08%Feb-08 169.7 17578.72 -0.40% -2.42%Jan-08 173.9 17648.71 -13.00% -37.20%Dec-07 276.9 20286.99 4.77% 14.00%Nov-07 242.9 19363.19 -2.39% 59.07%Oct-07 152.7 19837.99 14.73% 4.41%Sep-07 146.25 17291.1 12.88% 3.80%Aug-07 140.9 15318.6 -1.49% -0.07%

Jul-07 141 15550.99 6.15% 2.43%Jun-07 137.65 14650.51 0.73% -5.85%

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May-07 146.2 14544.46 4.84% 40.92%Apr-07 103.75 13872.37 6.12% 12.47%

Mar-07 92.25 13072.1 1.04% -26.32%Feb-07 125.2 12938.09 -8.18% -13.63%Jan-07 144.95 14090.92 2.21% 6.23%Dec-06 136.45 13786.91 0.66% -1.66%Nov-06 138.75 13696.31 5.67% 23.83%Oct-06 112.05 12961.9 4.07% 9.00%Sep-06 102.8 12454.42 6.46% 24.68%Aug-06 82.45 11699.05

Spice Jet

DateAdj 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 18845.87 32.9 1.85% -19.16%May-11 18503.28 40.7 -3.31% -0.73%

Apr-11 19135.96 41 -1.59% 7.05%Mar-11 19445.22 38.3 9.10% 0.79%Feb-11 17823.4 38 -2.75% -37.60%

Jan-11 18327.76 60.9 -10.64% -24.72%Dec-10 20509.09 80.9 5.06% -1.52%Nov-10 19521.25 82.15 -2.55% -2.95%Oct-10 20032.34 84.65 -0.18% 13.17%Sep-10 20069.12 74.8 11.67% 4.47%Aug-10 17971.12 71.6 0.58% 14.74%

Jul-10 17868.29 62.4 0.95% 6.94%Jun-10 17700.9 58.35 4.46% 2.46%

May-10 16944.63 56.95 -3.50% -9.46%Apr-10 17558.71 62.9 0.18% 7.89%

Mar-10 17527.77 58.3 6.68% 4.76%Feb-10 16429.55 55.65 0.44% 0.09%Jan-10 16357.96 55.6 -6.34% -2.03%Dec-09 17464.81 56.75 3.18% 21.26%Nov-09 16926.22 46.8 6.48% 26.32%Oct-09 15896.28 37.05 -7.18% 3.93%Sep-09 17126.84 35.65 9.32% 34.78%

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Page 18: Calculation of Beta in Stock Markets

Aug-09 15666.64 26.45 -0.02% 25.36%Jul-09 15670.31 21.1 8.12% 9.33%

Jun-09 14493.84 19.3 -0.90% -18.67%May-09 14625.25 23.73 28.26% 66.18%Apr-09 11403.25 14.28 17.46% 6.01%

Mar-09 9708.5 13.47 9.19% -2.60%Feb-09 8891.61 13.83 -5.65% -1.21%Jan-09 9424.24 14 -2.31% -11.95%Dec-08 9647.31 15.9 6.10% 30.11%Nov-08 9092.72 12.22 -7.10% 8.14%Oct-08 9788.06 11.3 -23.89% -48.64%Sep-08 12860.43 22 -11.70% -19.41%Aug-08 14564.53 27.3 1.45% -2.33%

Jul-08 14355.75 27.95 6.64% 12.25%Jun-08 13461.6 24.9 -17.99% -23.38%

May-08 16415.57 32.5 -5.04% -25.03%Apr-08 17287.31 43.35 10.50% 6.25%

Mar-08 15644.44 40.8 -11.00% -37.28%Feb-08 17578.72 65.05 -0.40% -10.83%Jan-08 17648.71 72.95 -13.00% -16.10%Dec-07 20286.99 86.95 4.77% 65.46%Nov-07 19363.19 52.55 -2.39% -4.63%Oct-07 19837.99 55.1 14.73% -5.97%Sep-07 17291.1 58.6 12.88% 2.27%Aug-07 15318.6 57.3 -1.49% -2.96%

Jul-07 15550.99 59.05 6.15% 7.07%Jun-07 14650.51 55.15 0.73% -9.59%

May-07 14544.46 61 4.84% 37.23%Apr-07 13872.37 44.45 6.12% -0.78%

Mar-07 13072.1 44.8 1.04% -8.38%Feb-07 12938.09 48.9 -8.18% -16.98%Jan-07 14090.92 58.9 2.21% 6.51%Dec-06 13786.91 55.3 0.66% 4.93%Nov-06 13696.31 52.7 5.67% 16.34%Oct-06 12961.9 45.3 4.07% 3.19%Sep-06 12454.42 43.9 6.46% 0.92%Aug-06 11699.05 43.5

Jet Airways

DateAdj 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%

Page | 18

Page 19: Calculation of Beta in Stock Markets

Jul-11 18197.2 446.3 -3.44% -6.95%Jun-11 18845.87 479.65 1.85% 7.17%

May-11 18503.28 447.55 -3.31% -6.40%Apr-11 19135.96 478.15 -1.59% 6.93%

Mar-11 19445.22 447.15 9.10% 7.63%Feb-11 17823.4 415.45 -2.75% -25.29%Jan-11 18327.76 556.1 -10.64% -27.10%Dec-10 20509.09 762.85 5.06% -5.09%Nov-10 19521.25 803.8 -2.55% -0.82%Oct-10 20032.34 810.45 -0.18% -0.55%Sep-10 20069.12 814.9 11.67% 13.39%Aug-10 17971.12 718.7 0.58% 5.87%

Jul-10 17868.29 678.85 0.95% 27.99%Jun-10 17700.9 530.4 4.46% 3.93%

May-10 16944.63 510.35 -3.50% -5.11%Apr-10 17558.71 537.85 0.18% 12.04%

Mar-10 17527.77 480.05 6.68% 19.09%Feb-10 16429.55 403.1 0.44% -21.79%Jan-10 16357.96 515.4 -6.34% -6.82%Dec-09 17464.81 553.15 3.18% 22.28%Nov-09 16926.22 452.35 6.48% 19.26%Oct-09 15896.28 379.3 -7.18% 15.20%Sep-09 17126.84 329.25 9.32% 25.14%Aug-09 15666.64 263.1 -0.02% 2.27%

Jul-09 15670.31 257.25 8.12% 14.08%Jun-09 14493.84 225.5 -0.90% -25.49%

May-09 14625.25 302.65 28.26% 56.05%Apr-09 11403.25 193.95 17.46% 14.16%

Mar-09 9708.5 169.9 9.19% 20.03%Feb-09 8891.61 141.55 -5.65% -20.83%Jan-09 9424.24 178.8 -2.31% -11.73%Dec-08 9647.31 202.55 6.10% 56.47%Nov-08 9092.72 129.45 -7.10% -17.23%Oct-08 9788.06 156.4 -23.89% -60.94%Sep-08 12860.43 400.45 -11.70% -15.23%Aug-08 14564.53 472.4 1.45% 1.37%

Jul-08 14355.75 466 6.64% 8.26%Jun-08 13461.6 430.45 -17.99% -19.95%

May-08 16415.57 537.7 -5.04% -2.76%Apr-08 17287.31 552.95 10.50% -0.61%

Mar-08 15644.44 556.35 -11.00% -24.55%Feb-08 17578.72 737.35 -0.40% -2.37%Jan-08 17648.71 755.25 -13.00% -24.26%Dec-07 20286.99 997.2 4.77% 20.04%Nov-07 19363.19 830.75 -2.39% -5.19%

Page | 19

Page 20: Calculation of Beta in Stock Markets

Oct-07 19837.99 876.25 14.73% -3.43%Sep-07 17291.1 907.35 12.88% 12.95%Aug-07 15318.6 803.3 -1.49% 11.27%

Jul-07 15550.99 721.94 6.15% -10.86%Jun-07 14650.51 809.86 0.73% 5.96%

May-07 14544.46 764.31 4.84% 7.10%Apr-07 13872.37 713.64 6.12% 13.62%

Mar-07 13072.1 628.11 1.04% 6.05%Feb-07 12938.09 592.29 -8.18% -21.73%Jan-07 14090.92 756.71 2.21% 23.77%Dec-06 13786.91 611.37 0.66% -8.68%Nov-06 13696.31 669.48 5.67% 13.26%Oct-06 12961.9 591.1 4.07% -8.13%Sep-06 12454.42 643.4 6.46% 20.73%Aug-06 11699.05 532.93

ACC

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of ACC

Aug-11 16839.63 999.9 -7.46% -1.39%Jul-11 18197.2 1014 -3.44% 6.67%

Jun-11 18845.87 950.6 1.85% -7.80%

May-11 18503.28 1031 -3.31% -7.13%Apr-11 19135.96 1110.1 -1.59% 2.84%

Mar-11 19445.22 1079.4 9.10% 8.10%Feb-11 17823.4 998.5 -2.75% 0.96%Jan-11 18327.76 989 -10.64% -8.00%Dec-10 20509.09 1075 5.06% 9.46%Nov-10 19521.25 982.05 -2.55% -0.01%Oct-10 20032.34 982.15 -0.18% -1.29%Sep-10 20069.12 995 11.67% 13.59%Aug-10 17971.12 875.95 0.58% 5.87%

Jul-10 17868.29 827.35 0.95% -4.75%Jun-10 17700.9 868.65 4.46% 7.20%

May-10 16944.63 810.34 -3.50% -9.89%Apr-10 17558.71 899.23 0.18% -3.90%

Mar-10 17527.77 935.7 6.68% 3.98%Feb-10 16429.55 899.9 0.44% -3.05%Jan-10 16357.96 928.17 -6.34% 8.79%Dec-09 17464.81 853.2 3.18% 10.28%Nov-09 16926.22 773.64 6.48% 6.23%Oct-09 15896.28 728.3 -7.18% -8.93%

Page | 20

Page 21: Calculation of Beta in Stock Markets

Sep-09 17126.84 799.72 9.32% 2.38%Aug-09 15666.64 781.15 -0.02% -9.08%

Jul-09 15670.31 859.14 8.12% 15.28%Jun-09 14493.84 745.27 -0.90% -1.23%

May-09 14625.25 754.52 28.26% 19.54%Apr-09 11403.25 631.18 17.46% 13.91%

Mar-09 9708.5 554.09 9.19% 14.22%Feb-09 8891.61 485.12 -5.65% 7.45%Jan-09 9424.24 451.48 -2.31% 6.30%Dec-08 9647.31 424.71 6.10% 17.53%Nov-08 9092.72 361.36 -7.10% -17.85%Oct-08 9788.06 439.88 -23.89% -20.48%Sep-08 12860.43 553.19 -11.70% 9.96%Aug-08 14564.53 503.09 1.45% -2.78%

Jul-08 14355.75 517.5 6.64% 13.46%Jun-08 13461.6 456.11 -17.99% -21.33%

May-08 16415.57 579.78 -5.04% -12.88%Apr-08 17287.31 665.52 10.50% -7.01%

Mar-08 15644.44 715.67 -11.00% 3.57%Feb-08 17578.72 690.98 -0.40% 4.67%Jan-08 17648.71 660.18 -13.00% -25.44%Dec-07 20286.99 885.49 4.77% -6.24%Nov-07 19363.19 944.41 -2.39% 1.02%Oct-07 19837.99 934.88 14.73% -9.93%Sep-07 17291.1 1037.98 12.88% 12.70%Aug-07 15318.6 921.01 -1.49% 0.96%

Jul-07 15550.99 912.22 6.15% 13.79%Jun-07 14650.51 801.69 0.73% 9.88%

May-07 14544.46 729.58 4.84% 1.39%Apr-07 13872.37 719.59 6.12% 14.14%

Mar-07 13072.1 630.45 1.04% -16.82%Feb-07 12938.09 757.96 -8.18% -11.60%Jan-07 14090.92 857.45 2.21% -6.09%Dec-06 13786.91 913.03 0.66% -3.76%Nov-06 13696.31 948.7 5.67% 16.78%Oct-06 12961.9 812.41 4.07% -2.68%Sep-06 12454.42 834.8 6.46% 9.20%Aug-06 11699.05 764.47

Ambuja

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of Ambuja

Aug-11 16839.63 130.55 -7.46% 0.81%

Page | 21

Page 22: Calculation of Beta in Stock Markets

Jul-11 18197.2 129.5 -3.44% -3.00%Jun-11 18845.87 133.5 1.85% -3.96%

May-11 18503.28 139 -3.31% -10.75%

Apr-11 19135.96 155.75 -1.59% 6.31%Mar-11 19445.22 146.5 9.10% 23.11%Feb-11 17823.4 119 -2.75% -6.30%Jan-11 18327.76 127 -10.64% -11.06%Dec-10 20509.09 142.8 5.06% 1.71%Nov-10 19521.25 140.4 -2.55% -0.60%Oct-10 20032.34 141.25 -0.18% 0.53%Sep-10 20069.12 140.5 11.67% 11.82%Aug-10 17971.12 125.65 0.58% 8.26%

Jul-10 17868.29 116.06 0.95% 1.96%Jun-10 17700.9 113.83 4.46% 5.51%

May-10 16944.63 107.89 -3.50% -9.24%Apr-10 17558.71 118.88 0.18% 0.42%

Mar-10 17527.77 118.38 6.68% 12.29%Feb-10 16429.55 105.42 0.44% -0.65%Jan-10 16357.96 106.11 -6.34% 3.29%Dec-09 17464.81 102.73 3.18% 14.08%Nov-09 16926.22 90.05 6.48% 3.26%Oct-09 15896.28 87.21 -7.18% -10.50%Sep-09 17126.84 97.44 9.32% 0.45%Aug-09 15666.64 97 -0.02% -8.33%

Jul-09 15670.31 105.81 8.12% 23.64%Jun-09 14493.84 85.58 -0.90% -3.28%

May-09 14625.25 88.48 28.26% 13.46%Apr-09 11403.25 77.98 17.46% 13.94%

Mar-09 9708.5 68.44 9.19% 12.22%Feb-09 8891.61 60.99 -5.65% -8.96%Jan-09 9424.24 66.99 -2.31% 1.36%Dec-08 9647.31 66.09 6.10% 36.44%Nov-08 9092.72 48.44 -7.10% -17.00%Oct-08 9788.06 58.36 -23.89% -21.36%Sep-08 12860.43 74.21 -11.70% -2.85%Aug-08 14564.53 76.39 1.45% 1.42%

Jul-08 14355.75 75.32 6.64% 5.92%Jun-08 13461.6 71.11 -17.99% -20.26%

May-08 16415.57 89.18 -5.04% -16.41%Apr-08 17287.31 106.69 10.50% -5.98%

Mar-08 15644.44 113.48 -11.00% 1.85%Feb-08 17578.72 111.42 -0.40% 2.42%Jan-08 17648.71 108.79 -13.00% -20.49%

Page | 22

Page 23: Calculation of Beta in Stock Markets

Dec-07 20286.99 136.82 4.77% -1.53%Nov-07 19363.19 138.95 -2.39% 2.92%Oct-07 19837.99 135.01 14.73% 0.84%Sep-07 17291.1 133.89 12.88% 8.05%Aug-07 15318.6 123.91 -1.49% 3.58%

Jul-07 15550.99 119.63 6.15% 5.54%Jun-07 14650.51 113.35 0.73% 9.79%

May-07 14544.46 103.24 4.84% -3.86%Apr-07 13872.37 107.38 6.12% 10.54%

Mar-07 13072.1 97.14 1.04% -7.86%Feb-07 12938.09 105.43 -8.18% -15.13%Jan-07 14090.92 124.23 2.21% -2.66%Dec-06 13786.91 127.62 0.66% -2.32%Nov-06 13696.31 130.65 5.67% 24.45%Oct-06 12961.9 104.98 4.07% 0.56%Sep-06 12454.42 104.4 6.46% 4.00%Aug-06 11699.05 100.38

India Cements Ltd.

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of India Cements

Aug-11 16839.63 71.9 -7.46% 3.08%

Jul-11 18197.2 69.75 -3.44% -1.76%Jun-11 18845.87 71 1.85% -15.78%

May-11 18503.28 84.3 -3.31% -15.06%Apr-11 19135.96 99.25 -1.59% 3.82%

Mar-11 19445.22 95.6 9.10% 11.29%Feb-11 17823.4 85.9 -2.75% -12.97%Jan-11 18327.76 98.7 -10.64% -8.31%Dec-10 20509.09 107.65 5.06% 1.70%Nov-10 19521.25 105.85 -2.55% -4.38%Oct-10 20032.34 110.7 -0.18% -4.73%Sep-10 20069.12 116.2 11.67% 8.60%Aug-10 17971.12 107 0.58% 0.38%

Jul-10 17868.29 106.6 0.95% 0.68%Jun-10 17700.9 105.88 4.46% -0.05%

May-10 16944.63 105.93 -3.50% -14.05%Apr-10 17558.71 123.25 0.18% -4.70%

Mar-10 17527.77 129.33 6.68% 12.22%Feb-10 16429.55 115.25 0.44% 5.47%Jan-10 16357.96 109.27 -6.34% -9.72%

Page | 23

Page 24: Calculation of Beta in Stock Markets

Dec-09 17464.81 121.04 3.18% 10.58%Nov-09 16926.22 109.46 6.48% 1.13%Oct-09 15896.28 108.24 -7.18% -17.99%Sep-09 17126.84 131.98 9.32% 0.00%Aug-09 15666.64 131.98 -0.02% -3.97%

Jul-09 15670.31 137.43 8.12% 8.59%Jun-09 14493.84 126.56 -0.90% -15.01%

May-09 14625.25 148.91 28.26% 33.82%Apr-09 11403.25 111.28 17.46% 8.59%

Mar-09 9708.5 102.48 9.19% 9.00%Feb-09 8891.61 94.02 -5.65% -4.70%Jan-09 9424.24 98.66 -2.31% 4.67%Dec-08 9647.31 94.26 6.10% 12.08%Nov-08 9092.72 84.1 -7.10% -0.12%Oct-08 9788.06 84.2 -23.89% -29.51%Sep-08 12860.43 119.45 -11.70% -10.70%Aug-08 14564.53 133.77 1.45% -3.48%

Jul-08 14355.75 138.59 6.64% 5.87%Jun-08 13461.6 130.91 -17.99% -14.31%

May-08 16415.57 152.77 -5.04% -6.79%Apr-08 17287.31 163.9 10.50% -8.11%

Mar-08 15644.44 178.36 -11.00% -10.96%Feb-08 17578.72 200.32 -0.40% 0.96%Jan-08 17648.71 198.42 -13.00% -33.03%Dec-07 20286.99 296.29 4.77% 5.12%Nov-07 19363.19 281.87 -2.39% 4.59%Oct-07 19837.99 269.5 14.73% -3.42%Sep-07 17291.1 279.05 12.88% 19.14%Aug-07 15318.6 234.22 -1.49% 12.47%

Jul-07 15550.99 208.25 6.15% 5.52%Jun-07 14650.51 197.35 0.73% 15.47%

May-07 14544.46 170.91 4.84% 0.70%Apr-07 13872.37 169.72 6.12% 10.12%

Mar-07 13072.1 154.12 1.04% -9.52%Feb-07 12938.09 170.34 -8.18% -18.18%Jan-07 14090.92 208.2 2.21% -6.91%Dec-06 13786.91 223.66 0.66% -0.13%Nov-06 13696.31 223.94 5.67% 9.67%Oct-06 12961.9 204.2 4.07% -3.14%Sep-06 12454.42 210.82 6.46% 10.61%Aug-06 11699.05 190.6

EIH

Page | 24

Page 25: Calculation of Beta in Stock Markets

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of EIH

Page | 25

Page 26: Calculation of Beta in Stock Markets

Aug-11 16839.63 85.3 -7.46% -11.19%Jul-11 18197.2 96.05 -3.44% 10.53%

Jun-11 18845.87 86.9 1.85% 5.33%

May-11 18503.28 82.5 -3.31% -4.57%Apr-11 19135.96 86.45 -1.59% 6.99%

Mar-11 19445.22 80.8 9.10% -0.74%Feb-11 17823.4 81.4 -2.75% -23.21%Jan-11 18327.76 106 -10.64% -7.75%Dec-10 20509.09 114.9 5.06% 8.81%Nov-10 19521.25 105.6 -2.55% -15.15%Oct-10 20032.34 124.45 -0.18% -8.69%Sep-10 20069.12 136.3 11.67% -3.54%Aug-10 17971.12 141.3 0.58% 10.68%

Jul-10 17868.29 127.67 0.95% 7.42%Jun-10 17700.9 118.85 4.46% 2.43%

May-10 16944.63 116.03 -3.50% -8.72%Apr-10 17558.71 127.12 0.18% 6.51%

Mar-10 17527.77 119.35 6.68% -0.82%Feb-10 16429.55 120.34 0.44% -11.48%Jan-10 16357.96 135.94 -6.34% -1.00%Dec-09 17464.81 137.32 3.18% -0.36%Nov-09 16926.22 137.82 6.48% 12.44%Oct-09 15896.28 122.57 -7.18% -0.04%Sep-09 17126.84 122.62 9.32% 5.82%Aug-09 15666.64 115.88 -0.02% -0.93%

Jul-09 15670.31 116.97 8.12% -4.93%Jun-09 14493.84 123.03 -0.90% 3.29%

May-09 14625.25 119.11 28.26% 7.71%Apr-09 11403.25 110.58 17.46% 31.00%

Mar-09 9708.5 84.41 9.19% -13.90%Feb-09 8891.61 98.04 -5.65% 2.00%Jan-09 9424.24 96.12 -2.31% -20.93%Dec-08 9647.31 121.56 6.10% 28.50%Nov-08 9092.72 94.6 -7.10% 14.88%Oct-08 9788.06 82.35 -23.89% -34.61%Sep-08 12860.43 125.93 -11.70% -12.62%Aug-08 14564.53 144.11 1.45% 24.05%

Jul-08 14355.75 116.17 6.64% 3.59%Jun-08 13461.6 112.14 -17.99% -9.01%

May-08 16415.57 123.25 -5.04% -14.08%Apr-08 17287.31 143.44 10.50% 8.48%

Mar-08 15644.44 132.23 -11.00% -37.87%Feb-08 17578.72 212.84 -0.40% -0.59%Jan-08 17648.71 214.1 -13.00% -30.31%Dec-07 20286.99 307.22 4.77% -4.19%

Page | 26

Page 27: Calculation of Beta in Stock Markets

Nov-07 19363.19 320.67 -2.39% -2.48%Oct-07 19837.99 328.83 14.73% 4.60%Sep-07 17291.1 314.37 12.88% 15.88%Aug-07 15318.6 271.28 -1.49% 7.97%

Jul-07 15550.99 251.26 6.15% 2.22%Jun-07 14650.51 245.8 0.73% 8.97%

May-07 14544.46 225.57 4.84% 3.07%Apr-07 13872.37 218.85 6.12% 24.83%

Mar-07 13072.1 175.32 1.04% -28.69%Feb-07 12938.09 245.84 -8.18% -13.66%Jan-07 14090.92 284.72 2.21% -8.24%Dec-06 13786.91 310.28 0.66% -8.15%Nov-06 13696.31 337.83 5.67% 14.99%Oct-06 12961.9 293.79 4.07% -6.03%Sep-06 12454.42 312.63 6.46% 22.07%Aug-06 11699.05 256.11

Indian Hotels

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of Indian Hotels

Aug-11 16839.63 72.2 -7.46% -4.87%Jul-11 18197.2 75.9 -3.44% -1.87%

Jun-11 18845.87 77.35 1.85% -3.97%May-11 18503.28 80.55 -3.31% -2.95%Apr-11 19135.96 83 -1.59% -2.47%

Mar-11 19445.22 85.1 9.10% 9.03%Feb-11 17823.4 78.05 -2.75% -13.04%Jan-11 18327.76 89.75 -10.64% -7.24%Dec-10 20509.09 96.75 5.06% 6.44%Nov-10 19521.25 90.9 -2.55% -9.28%Oct-10 20032.34 100.2 -0.18% 1.31%Sep-10 20069.12 98.9 11.67% -3.56%Aug-10 17971.12 102.55 0.58% 3.53%

Jul-10 17868.29 99.05 0.95% -5.20%Jun-10 17700.9 104.48 4.46% 0.38%

May-10 16944.63 104.08 -3.50% -2.82%Apr-10 17558.71 107.1 0.18% 5.82%

Mar-10 17527.77 101.21 6.68% 13.81%Feb-10 16429.55 88.93 0.44% -13.53%Jan-10 16357.96 102.84 -6.34% 0.82%Dec-09 17464.81 102 3.18% 19.70%Nov-09 16926.22 85.21 6.48% 18.36%

Page | 27

Page 28: Calculation of Beta in Stock Markets

Oct-09 15896.28 71.99 -7.18% -5.59%Sep-09 17126.84 76.25 9.32% 18.00%Aug-09 15666.64 64.62 -0.02% -4.25%

Jul-09 15670.31 67.49 8.12% 3.75%Jun-09 14493.84 65.05 -0.90% -0.90%

May-09 14625.25 65.64 28.26% 34.54%Apr-09 11403.25 48.79 17.46% 26.10%

Mar-09 9708.5 38.69 9.19% 8.59%Feb-09 8891.61 35.63 -5.65% -11.39%Jan-09 9424.24 40.21 -2.31% -9.33%Dec-08 9647.31 44.35 6.10% 11.10%Nov-08 9092.72 39.92 -7.10% -12.63%Oct-08 9788.06 45.69 -23.89% -30.81%Sep-08 12860.43 66.04 -11.70% -13.21%Aug-08 14564.53 76.09 1.45% -10.29%

Jul-08 14355.75 84.82 6.64% 12.49%Jun-08 13461.6 75.4 -17.99% -31.70%

May-08 16415.57 110.39 -5.04% -3.16%Apr-08 17287.31 113.99 10.50% 5.36%

Mar-08 15644.44 108.19 -11.00% -10.97%Feb-08 17578.72 121.52 -0.40% -5.75%Jan-08 17648.71 128.94 -13.00% -16.64%Dec-07 20286.99 154.68 4.77% 17.97%Nov-07 19363.19 131.12 -2.39% -8.61%Oct-07 19837.99 143.48 14.73% 7.24%Sep-07 17291.1 133.79 12.88% 8.41%Aug-07 15318.6 123.41 -1.49% -8.71%

Jul-07 15550.99 135.19 6.15% -6.56%Jun-07 14650.51 144.68 0.73% 4.14%

May-07 14544.46 138.93 4.84% 2.08%Apr-07 13872.37 136.1 6.12% -2.74%

Mar-07 13072.1 139.93 1.04% 2.42%Feb-07 12938.09 136.62 -8.18% -6.22%Jan-07 14090.92 145.68 2.21% -1.75%Dec-06 13786.91 148.27 0.66% 2.72%Nov-06 13696.31 144.34 5.67% 6.13%Oct-06 12961.9 136 4.07% 2.43%Sep-06 12454.42 132.77 6.46% 7.31%Aug-06 11699.05 123.72

Leela Venture

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of Leela Venture

Page | 28

Page 29: Calculation of Beta in Stock Markets

Aug-11 16839.63 40.15 -7.46% -12.72%Jul-11 18197.2 46 -3.44% 11.25%

Jun-11 18845.87 41.35 1.85% 3.25%May-11 18503.28 40.05 -3.31% -3.26%Apr-11 19135.96 41.4 -1.59% 6.98%

Mar-11 19445.22 38.7 9.10% 6.76%Feb-11 17823.4 36.25 -2.75% -10.82%Jan-11 18327.76 40.65 -10.64% -14.06%Dec-10 20509.09 47.3 5.06% 8.24%Nov-10 19521.25 43.7 -2.55% -14.98%Oct-10 20032.34 51.4 -0.18% -2.74%Sep-10 20069.12 52.85 11.67% 2.62%Aug-10 17971.12 51.5 0.58% 6.49%

Jul-10 17868.29 48.36 0.95% 0.10%Jun-10 17700.9 48.31 4.46% 6.72%

May-10 16944.63 45.27 -3.50% -7.71%Apr-10 17558.71 49.05 0.18% 0.39%

Mar-10 17527.77 48.86 6.68% 7.46%Feb-10 16429.55 45.47 0.44% -9.42%Jan-10 16357.96 50.2 -6.34% 3.38%Dec-09 17464.81 48.56 3.18% 22.19%Nov-09 16926.22 39.74 6.48% 18.38%Oct-09 15896.28 33.57 -7.18% -11.89%Sep-09 17126.84 38.1 9.32% 14.52%Aug-09 15666.64 33.27 -0.02% -0.66%

Jul-09 15670.31 33.49 8.12% 6.93%Jun-09 14493.84 31.32 -0.90% -3.36%

May-09 14625.25 32.41 28.26% 49.42%Apr-09 11403.25 21.69 17.46% 18.27%

Mar-09 9708.5 18.34 9.19% 3.32%Feb-09 8891.61 17.75 -5.65% -0.56%Jan-09 9424.24 17.85 -2.31% -4.49%Dec-08 9647.31 18.69 6.10% 8.60%Nov-08 9092.72 17.21 -7.10% -38.60%Oct-08 9788.06 28.03 -23.89% -0.53%Sep-08 12860.43 28.18 -11.70% -11.44%Aug-08 14564.53 31.82 1.45% 4.29%

Jul-08 14355.75 30.51 6.64% -5.98%Jun-08 13461.6 32.45 -17.99% -20.80%

May-08 16415.57 40.97 -5.04% -14.81%Apr-08 17287.31 48.09 10.50% 23.82%

Mar-08 15644.44 38.84 -11.00% -21.30%Feb-08 17578.72 49.35 -0.40% 18.92%Jan-08 17648.71 41.5 -13.00% -41.18%Dec-07 20286.99 70.56 4.77% 11.73%Nov-07 19363.19 63.15 -2.39% 35.84%

Page | 29

Page 30: Calculation of Beta in Stock Markets

Oct-07 19837.99 46.49 14.73% -5.24%Sep-07 17291.1 49.06 12.88% 17.37%Aug-07 15318.6 41.8 -1.49% -11.93%

Jul-07 15550.99 47.46 6.15% -6.56%Jun-07 14650.51 50.79 0.73% -8.68%

May-07 14544.46 55.62 4.84% 5.40%Apr-07 13872.37 52.77 6.12% -2.15%

Mar-07 13072.1 53.93 1.04% -1.44%Feb-07 12938.09 54.72 -8.18% -8.57%Jan-07 14090.92 59.85 2.21% -1.82%Dec-06 13786.91 60.96 0.66% -5.58%Nov-06 13696.31 64.56 5.67% 5.42%Oct-06 12961.9 61.24 4.07% -4.71%Sep-06 12454.42 64.27 6.46% -48.05%Aug-06 11699.05 123.72

IOCL

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of IOCL

Aug-11 16839.63 323.5 -7.46% 2.68%Jul-11 18197.2 315.05 -3.44% -6.69%

Jun-11 18845.87 337.65 1.85% 3.26%May-11 18503.28 327 -3.31% -3.82%Apr-11 19135.96 340 -1.59% 1.72%

Mar-11 19445.22 334.25 9.10% 11.79%Feb-11 17823.4 299 -2.75% -11.12%Jan-11 18327.76 336.4 -10.64% -1.92%Dec-10 20509.09 343 5.06% -0.91%Nov-10 19521.25 346.15 -2.55% -17.30%Oct-10 20032.34 418.55 -0.18% 0.01%Sep-10 20069.12 418.5 11.67% 5.16%Aug-10 17971.12 397.95 0.58% 13.43%

Jul-10 17868.29 350.83 0.95% -10.11%Jun-10 17700.9 390.29 4.46% 14.04%

May-10 16944.63 342.25 -3.50% 19.82%Apr-10 17558.71 285.64 0.18% -0.71%

Mar-10 17527.77 287.68 6.68% -6.62%Feb-10 16429.55 308.08 0.44% 5.47%Jan-10 16357.96 292.09 -6.34% -1.63%Dec-09 17464.81 296.93 3.18% 5.90%Nov-09 16926.22 280.4 6.48% -7.91%Oct-09 15896.28 304.49 -7.18% -53.85%Sep-09 17126.84 659.74 9.32% 19.17%

Page | 30

Page 31: Calculation of Beta in Stock Markets

Aug-09 15666.64 553.63 -0.02% 5.74%Jul-09 15670.31 523.57 8.12% 2.82%

Jun-09 14493.84 509.22 -0.90% -12.68%May-09 14625.25 583.15 28.26% 37.37%Apr-09 11403.25 424.52 17.46% 14.51%

Mar-09 9708.5 370.73 9.19% -10.76%Feb-09 8891.61 415.42 -5.65% -2.76%Jan-09 9424.24 427.2 -2.31% 4.72%Dec-08 9647.31 407.96 6.10% 4.12%Nov-08 9092.72 391.83 -7.10% 20.96%Oct-08 9788.06 323.93 -23.89% -16.46%Sep-08 12860.43 387.76 -11.70% 0.92%Aug-08 14564.53 384.22 1.45% 0.70%

Jul-08 14355.75 381.56 6.64% 21.37%Jun-08 13461.6 314.38 -17.99% -21.89%

May-08 16415.57 402.47 -5.04% -7.66%Apr-08 17287.31 435.87 10.50% 3.38%

Mar-08 15644.44 421.63 -11.00% -20.51%Feb-08 17578.72 530.44 -0.40% 16.66%Jan-08 17648.71 454.7 -13.00% -39.50%Dec-07 20286.99 751.52 4.77% 46.70%Nov-07 19363.19 512.28 -2.39% 12.39%Oct-07 19837.99 455.79 14.73% 2.39%Sep-07 17291.1 445.14 12.88% 21.55%Aug-07 15318.6 366.23 -1.49% -3.05%

Jul-07 15550.99 377.74 6.15% -9.09%Jun-07 14650.51 415.53 0.73% -5.00%

May-07 14544.46 437.42 4.84% 5.98%Apr-07 13872.37 412.72 6.12% 10.16%

Mar-07 13072.1 374.65 1.04% -3.47%Feb-07 12938.09 388.1 -8.18% -16.43%Jan-07 14090.92 464.38 2.21% 10.06%Dec-06 13786.91 421.95 0.66% 1.29%Nov-06 13696.31 416.56 5.67% -13.37%Oct-06 12961.9 480.83 4.07% -2.03%Sep-06 12454.42 490.81 6.46% 5.75%Aug-06 11699.05 464.14

BPCL

DateAdj Closing BSE Index

Adj Closing Price (Rs.)

Returns of BSE Sensex

Returns of BPCL

Aug-11 16839.63 690.15 -7.46% 4.58%

Page | 31

Page 32: Calculation of Beta in Stock Markets

Jul-11 18197.2 659.9 -3.44% 1.63%Jun-11 18845.87 649.3 1.85% 2.58%

May-11 18503.28 632.95 -3.31% 0.92%Apr-11 19135.96 627.15 -1.59% 2.59%

Mar-11 19445.22 611.3 9.10% 10.73%Feb-11 17823.4 552.05 -2.75% -10.35%Jan-11 18327.76 615.8 -10.64% -6.41%Dec-10 20509.09 657.95 5.06% -2.71%Nov-10 19521.25 676.25 -2.55% -7.39%Oct-10 20032.34 730.2 -0.18% -2.65%Sep-10 20069.12 750.1 11.67% 0.46%Aug-10 17971.12 746.66 0.58% 18.43%

Jul-10 17868.29 630.49 0.95% -3.06%Jun-10 17700.9 650.37 4.46% 13.93%

May-10 16944.63 570.86 -3.50% 12.31%Apr-10 17558.71 508.29 0.18% 0.22%

Mar-10 17527.77 507.16 6.68% -8.13%Feb-10 16429.55 552.07 0.44% 3.85%Jan-10 16357.96 531.6 -6.34% -14.41%Dec-09 17464.81 621.12 3.18% 7.15%Nov-09 16926.22 579.7 6.48% 15.97%Oct-09 15896.28 499.85 -7.18% -11.25%Sep-09 17126.84 563.21 9.32% 12.85%Aug-09 15666.64 499.06 -0.02% 9.01%

Jul-09 15670.31 457.82 8.12% 9.98%Jun-09 14493.84 416.29 -0.90% -7.50%

May-09 14625.25 450.03 28.26% 20.61%Apr-09 11403.25 373.13 17.46% 2.35%

Mar-09 9708.5 364.56 9.19% -3.19%Feb-09 8891.61 376.56 -5.65% -0.68%Jan-09 9424.24 379.13 -2.31% 4.19%Dec-08 9647.31 363.88 6.10% 6.17%Nov-08 9092.72 342.73 -7.10% 23.72%Oct-08 9788.06 277.01 -23.89% -20.61%Sep-08 12860.43 348.93 -11.70% 20.20%Aug-08 14564.53 290.29 1.45% -7.32%

Jul-08 14355.75 313.21 6.64% 41.47%Jun-08 13461.6 221.39 -17.99% -35.32%

May-08 16415.57 342.3 -5.04% -12.67%Apr-08 17287.31 391.96 10.50% -0.40%

Mar-08 15644.44 393.54 -11.00% -10.59%Feb-08 17578.72 440.15 -0.40% 26.52%Jan-08 17648.71 347.9 -13.00% -30.56%Dec-07 20286.99 501.01 4.77% 35.57%Nov-07 19363.19 369.57 -2.39% 12.64%

Page | 32

Page 33: Calculation of Beta in Stock Markets

Oct-07 19837.99 328.09 14.73% -3.65%Sep-07 17291.1 340.53 12.88% 18.21%Aug-07 15318.6 288.08 -1.49% -3.10%

Jul-07 15550.99 297.3 6.15% -5.60%Jun-07 14650.51 314.94 0.73% -5.49%

May-07 14544.46 333.23 4.84% 7.94%Apr-07 13872.37 308.73 6.12% 10.29%

Mar-07 13072.1 279.93 1.04% -2.80%Feb-07 12938.09 287.99 -8.18% -13.60%Jan-07 14090.92 333.32 2.21% 8.63%Dec-06 13786.91 306.85 0.66% -2.31%Nov-06 13696.31 314.1 5.67% -13.34%Oct-06 12961.9 362.46 4.07% 9.22%Sep-06 12454.42 331.87 6.46% 1.09%Aug-06 11699.05 328.3

RIL

DateAdj 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 18197.2 827.7 -3.44% -7.79%Jun-11 18845.87 897.6 1.85% -5.69%

May-11 18503.28 951.75 -3.31% -3.08%Apr-11 19135.96 981.95 -1.59% -6.28%

Mar-11 19445.22 1047.8 9.10% 8.59%Feb-11 17823.4 964.95 -2.75% 4.97%Jan-11 18327.76 919.25 -10.64% -13.13%Dec-10 20509.09 1058.25 5.06% 7.24%Nov-10 19521.25 986.8 -2.55% -9.95%Oct-10 20032.34 1095.8 -0.18% 11.10%Sep-10 20069.12 986.35 11.67% 7.35%Aug-10 17971.12 918.85 0.58% -8.99%

Jul-10 17868.29 1009.6 0.95% -7.11%Jun-10 17700.9 1086.9 4.46% 4.00%

May-10 16944.63 1045.05 -3.50% 1.91%Apr-10 17558.71 1025.51 0.18% -3.92%

Mar-10 17527.77 1067.37 6.68% 9.88%

Page | 33

Page 34: Calculation of Beta in Stock Markets

Feb-10 16429.55 971.38 0.44% -6.55%Jan-10 16357.96 1039.46 -6.34% -3.93%Dec-09 17464.81 1082.02 3.18% 2.50%Nov-09 16926.22 1055.6 6.48% -44.97%Oct-09 15896.28 1918.17 -7.18% -11.74%Sep-09 17126.84 2173.21 9.32% 9.84%Aug-09 15666.64 1978.61 -0.02% 2.40%

Jul-09 15670.31 1932.21 8.12% -3.27%Jun-09 14493.84 1997.62 -0.90% -11.16%

May-09 14625.25 2248.54 28.26% 26.34%Apr-09 11403.25 1779.77 17.46% 18.35%

Mar-09 9708.5 1503.83 9.19% 20.41%Feb-09 8891.61 1248.96 -5.65% -4.54%Jan-09 9424.24 1308.35 -2.31% 7.72%Dec-08 9647.31 1214.6 6.10% 8.72%Nov-08 9092.72 1117.21 -7.10% -17.45%Oct-08 9788.06 1353.32 -23.89% -29.57%Sep-08 12860.43 1921.6 -11.70% -8.91%Aug-08 14564.53 2109.58 1.45% -3.15%

Jul-08 14355.75 2178.14 6.64% 5.40%Jun-08 13461.6 2066.63 -17.99% -12.84%

May-08 16415.57 2371.11 -5.04% -7.71%Apr-08 17287.31 2569.08 10.50% 15.47%

Mar-08 15644.44 2224.87 -11.00% -7.88%Feb-08 17578.72 2415.23 -0.40% -0.86%Jan-08 17648.71 2436.1 -13.00% -13.94%Dec-07 20286.99 2830.63 4.77% 1.06%Nov-07 19363.19 2800.86 -2.39% 2.45%Oct-07 19837.99 2733.85 14.73% 21.18%Sep-07 17291.1 2256.01 12.88% 17.18%Aug-07 15318.6 1925.2 -1.49% 3.55%

Jul-07 15550.99 1859.18 6.15% 11.29%Jun-07 14650.51 1670.54 0.73% -3.40%

May-07 14544.46 1729.39 4.84% 12.83%Apr-07 13872.37 1532.8 6.12% 14.01%

Mar-07 13072.1 1344.4 1.04% 1.48%Feb-07 12938.09 1324.85 -8.18% -0.73%Jan-07 14090.92 1334.63 2.21% 7.42%Dec-06 13786.91 1242.45 0.66% 2.04%Nov-06 13696.31 1217.65 5.67% 1.53%Oct-06 12961.9 1199.27 4.07% 4.71%Sep-06 12454.42 1145.33 6.46% 4.78%Aug-06 11699.05 1093.05

Page | 34

Page 35: Calculation of Beta in Stock Markets

To calculate CAPM following were the obtained rates:

Monthly Market Return 0.83% Taken for a period of 5 yearsAnnualised Market Return 10.37%  Risk-free Rate 8.44% 10 year GOI Bond

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)

Josée 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 Firm-

Specific 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