Analysis Of Return And Beta In Sensex Component
1 M.P. Birla Institute of Management
A RESEARCH STUDY
On
“ANALYSIS OF RETU...
Analysis Of Return And Beta In Sensex Component
2 M.P. Birla Institute of Management
DECLARATION
I hereby declare that the...
Analysis Of Return And Beta In Sensex Component
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PRINCIPAL’S CERTIFICA...
Analysis Of Return And Beta In Sensex Component
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GUIDE’S CERTIFICATE
This is to certif...
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ACKNOWLEDGEMENT
I am thankful to Dr. ...
Analysis Of Return And Beta In Sensex Component
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CONTENTS
1. Research Extract
2. Intro...
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RESEARCH EXTRACT
In partial fulfillme...
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INTRODUCTION
It is widely believed th...
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PROBLEM STATEMENT
To assess the retur...
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LIMITATIONS OF THE RESEARCH
• The sa...
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LITERATURE REVIEW
AND
THEORETICAL BA...
Analysis Of Return And Beta In Sensex Component
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LITERATURE REVIEW
Sharpe (1963) deve...
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model for 2,090 firms for the period...
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Economic Factors and Stock Returns:
...
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gold, could all alter the outlook fo...
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Capital Market. The second factor re...
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BETA
Beta is a measure of a stock's ...
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risk and contemplates that The long ...
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• Beta between 0 and 1 - Companies w...
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BETA AND RISK
Of course, there is mo...
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The beta movement should be distingu...
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almost certainly mean falling equity...
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Intuitively, it makes plenty of sens...
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stock will lose some or all of its v...
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SENSEX
Established in 1875, BSE is n...
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one. Till the decade of eighties, th...
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SENSEX Calculation Methodology
SENSE...
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delicate balance between frequent re...
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2. Trading Frequency: The scrip shou...
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Analysis of Indian stock market BSE ...
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3000, February 29, 1992 - On Februar...
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11,000, March 27, 2006 - The Sensex ...
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during this record bull run that the...
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RESEARCH METHODALOGY
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RESEARCH DESIGN
Study Type: The stud...
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Sample description : to assessing th...
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ANALYSIS
AND
INTERPRETATION
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Table1: show that ranking of index s...
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INTERPRETATION:
the above table stat...
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Table2: show that ranking of index s...
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INTERPRETATION:
The above table show...
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Table3: show that top 10 ranking ind...
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Table4: show that top 20 and below 2...
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Table5: show that top 10 ranking ind...
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Table6: show that top 20 and below 2...
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Table7: show that top 10 ranking ind...
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Table8: show that top 20 and below 2...
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Table9: show that top 10 ranking ind...
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Table10: show that top 20 and below ...
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Table11: show that top 10 ranking in...
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Table12: show that top 10 ranking in...
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Table13: show that top 10 ranking in...
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Table14: show that top 20 and below ...
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Table15: show that top 10 ranking in...
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Table16: show that top 20 and below ...
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Table17: show that top 10 ranking in...
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Table18: show that top 20 and below ...
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SUMMARY OF FINDINGS
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SUMMARY OF FINDINGS:
Infrastructure ...
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CONCLUSION
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CONCLUSION
In India the investors be...
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BIBLIOGRAPHY
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WEBSITES:
• www.google.com
• www.Cap...
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ANNEXURE
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2001
NAME OF STOCK op cs return % Ra...
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2002
NAME OF STOCK op cs return % ra...
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2003
NAME OF STOCK op cs return % ra...
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2004
NAME OF STOCK op cs return % ra...
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2005
NAME OF STOCK op cs return % ra...
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2006
NAME OF STOCK op cs returns % r...
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2007
NAME OF STOCK op cs return% ran...
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2008
NAME OF STOCK op cs return rank...
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  1. 1. Analysis Of Return And Beta In Sensex Component 1 M.P. Birla Institute of Management A RESEARCH STUDY On “ANALYSIS OF RETURN AND BETA IN SENSEX COMPONENT” Submitted in partial fulfillment of the requirements for MBA Degree of Bangalore University Submitted By KIRAN M K 06XQCM6035 Under the Guidance and Supervision Of Dr. NAGESH S MALAVALLI M.P.BIRLA INSTITUTE OF MANAGEMENT Associate Bharatiya Vidya Bhavan # 43, Race Course Road Bangalore-560001 2006 – 08
  2. 2. Analysis Of Return And Beta In Sensex Component 2 M.P. Birla Institute of Management DECLARATION I hereby declare that the report entitled. “A Study on ANALYSIS OF RETURN AND BETA IN SENSEX COMPONENT” is prepared under the guidance of Dr Nagesh S Malavalli ( Principal, M P BIRLA INSTITUTE OF MANAGEMENT) .I also declare that this project report has not been submitted to any other University / Institute for the award of any other degree, diploma, fellowship or other similar title or prizes. Date: Kiran M K Place: Bangalore (O6XQCM6035)                                     
  3. 3. Analysis Of Return And Beta In Sensex Component 3 M.P. Birla Institute of Management                 PRINCIPAL’S CERTIFICATE This is to certify that this report titled. “A ANALYSIS OF RETURN AND BETA IN SENSEX COMPONENT " is the result of project work undergone by Kiran M K, bearing the Register Number 06XQCM6035, under the guidance of Dr Nagesh S Mallavalli . This has not formed a basis for the award of any Degree/Diploma for any other University. Place: Bangalore Dr. Nagesh.S.Malavalli Date :
  4. 4. Analysis Of Return And Beta In Sensex Component 4 M.P. Birla Institute of Management GUIDE’S CERTIFICATE This is to certify that Mr. Kiran M K student of M.P.BIRLA INSTITUTE OF MANAGEMENT Associate Bharatiya Vidya Bhavan, Bangalore, has successfully completed the research work entitled “A Study on ANALYSIS OF RETURN AND BETA IN SENSEX COMPONENT” for the partial fulfilment of the requirements of MASTER OF BUSINESS ADMINISTRATION degree of BANGALORE UNIVERSITY, under my guidance and supervision. Date: Dr. Nagesh S Malavalli Place: Bangalore (Internal guide)
  5. 5. Analysis Of Return And Beta In Sensex Component 5 M.P. Birla Institute of Management ACKNOWLEDGEMENT I am thankful to Dr. Nagesh malavalli, Principal M.P. Birla Institute of Management, Bangalore, who has given his valuable support during the Study and who has guided me to do this project by giving valuable suggestions and advice. My gratitude will not be complete without thanking God and I am most grateful to my beloved parents who have been a constant source of aspiration and blessings in my pursuit for studies. Finally, I express my sincere gratitude to all my friends and well wishers who helped me to do this project Kiran M K
  6. 6. Analysis Of Return And Beta In Sensex Component 6 M.P. Birla Institute of Management CONTENTS 1. Research Extract 2. Introduction Statement Of Problem Objective of the study Hypothesis Limitations of the Research 3. Literature Review Theoretical background: Beta Beta and risk Sensex 4. Research Methodology Research Design 5. Data Analysis and Interpretation 6. Summary of Findings 7. Conclusion 8. Bibliography 9. Annexure
  7. 7. Analysis Of Return And Beta In Sensex Component 7 M.P. Birla Institute of Management RESEARCH EXTRACT In partial fulfillment of MBA degree of Bangalore University, I took up a project titled “ANALYSIS OF RETURN AND BETA IN SENSEX COMPONENT” Hence, I thought it would be a right time to take such a project and present the findings of what impact it has made. I have also specified in the end of the project the road for further study, which other interested persons, can take up a project and augment to the findings of this project. The following research has been conducted to find out index stock follows a particular trend. If stocks of a particular sector gave their investor huge return for one particular year does it the stock follow the same trend for the next years. In order to find out the trend the opening price and closing price for a period of eight year from 2001 to 2008 of Sensex index stocks considered. Based on the return arrived each 30 stocks are ranked using simple ranking method and analyzed for the presence of any particular trend. It has been found that the Sensex index stock does not follow any particular trend.
  8. 8. Analysis Of Return And Beta In Sensex Component 8 M.P. Birla Institute of Management INTRODUCTION It is widely believed that stock market is related to macroeconomic fundamentals of an economy, as companies that are listed for trading in stock exchanges are the Ones who contribute significantly to the economy's growth .Ever since the turn of the century; world stock markets have been very volatile. In other words there have been significant movements (up or down) in share prices. This phenomenon has been evidenced by the collapse in recent years of the share prices of the companies. The current world political situation is probably the worst it is for many years. World markets are falling at a rapid pace. What does beta factor analysis teach us about an investment strategy in this situation? Firstly, however good a company is it likely that in such circumstances most will encounter falls in their share price. The beta of an investment is a relative measure of the systematic risk of an investment. In other words it measures the specific risk of the company's shares relative to the market as a whole. In general, the sign of the beta indicates whether, on average, the investment's returns move with the market or in the opposite direction to the market. The scale or value of the beta indicates the relative volatility of the particular stock. However during this time a number of alternative investments that have negative beta factors have appreciated in value. The prime example of this is gold. However in the past few years it is noticeable that in the political uncertainty that has arisen in the world that the price of gold has shown material gains at a time when equity markets have recorded sharp falls.
  9. 9. Analysis Of Return And Beta In Sensex Component 9 M.P. Birla Institute of Management PROBLEM STATEMENT To assess the return and beta from Sensex index stocks and analyzing the behavior of stocks. On the basis of this problem statement, the following specific objectives have been crystallized OBJECTIVE OF THE STUDY • To study the index stocks behavior from past eight years. • To know the performance of index stocks in Sensex. • To find out whether index stocks return having any relationships. Need of the study: In Sensex market, index stocks beta factor can have a major influence on the investment strategies of investors but this factor doesn’t have any specific format. If the analysis is to be believed then in times of a bull market investors should hold stocks with a high positive beta factor since they should outperform the market. Hypothesis: Null hypothesis (H0): There is no specific format in index stocks in Sensex. Alternative hypothesis (Ha): There is a specific format in index stocks in Sensex.
  10. 10. Analysis Of Return And Beta In Sensex Component 10 M.P. Birla Institute of Management LIMITATIONS OF THE RESEARCH • The sample consider for research is only stocks from BSE index. • Ideally, the research should have been done throughout the cross Section of the equity stocks in India, but this would have been beyond my scope of study due to limited resources.
  11. 11. Analysis Of Return And Beta In Sensex Component 11 M.P. Birla Institute of Management LITERATURE REVIEW AND THEORETICAL BACKGROUND
  12. 12. Analysis Of Return And Beta In Sensex Component 12 M.P. Birla Institute of Management LITERATURE REVIEW Sharpe (1963) developed a simplified single-index model to predict security returns. The major characteristic, and the primary shortcoming, of the single index model is that the only factor influencing a security’s return is its sensitivity to changes in the market portfolio return (Martin and Klemkosky (1976)). King (1966) published the first important study proving that stock prices for firms in the same industry exhibit a common movement that goes beyond the market effect. Employing monthly closing stock prices for 63 firms in six industries during the June 1927 to December 1960 period, his study documents that while 50% of stock price movements could be explained by movements in the market index, 20% of the residual variance was accounted for by industry affiliation. Meyers (1973) and Livingston (1977) in similar studies confirmed King’s findings. The Meyers study involved 60 of the same companies used by King and 60 additional companies, using data through December 1967. Meyers concluded that although there were strong industries effects, King may have overstated the percent of residual variance explained by industry association. Livingston used 50 companies in 10 industry groups and studied monthly returns from January 1966 through June 1970. He also found strong co movement among stocks in the same industry, and concluded that 18% of residual variance was accounted for by industry effects. The recognition that factors other than movement in the market index affect security returns led to the development of multi-index models. Several subsequent studies attempted to determine factors other than the market index which affect security prices. Sharpe (1982) studied monthly returns for stocks of 2,197 firms from 1931 through 1979. His findings showed that the R2 for a regression model was significantly improved using dividend yield, company size, and bond beta in addition to a market index. Pari and Chen (1984) conducted a test of an Arbitrage Pricing Theory (APT)
  13. 13. Analysis Of Return And Beta In Sensex Component 13 M.P. Birla Institute of Management model for 2,090 firms for the period 1975 to 1980. Using this model, they found that factors such as the general market index, price volatility of energy, and interest rate risk, influence stock price. Chen, Roll, and Ross (1986) tested an APT model for significance of several factors in explaining security returns. Using monthly data for the period 1953- 1983, their results indicate that the following factors are significant in explaining the variability of a security return: spread between long and short interest rates, expected and unexpected inflation. Beginning in the early 1980’s, researchers began applying multi-index An Empirical Analysis Of Market And Industry Factors In Stock Returns Of U.S. Aerospace Industry 87 CAPMs to identify which factors influenced stock returns. These studies tend to cover stocks in various industries, mainly focusing on utility industry, and show that various factors have significant influence on stock returns. In particular, the CAPM approach has been widely used in the utility industry for determining its cost of capital and the utility’s rate structure. Theoretical Background: Economists have long been fascinated by what influences aggregate stock Market returns. For example, a distinguished literature has examined the role of Inflation (e.g. Fama, 1981 Feldstein, 1982; Lintner, 1976; Modigliani and Cohn, 1979; and Stulz, 1986), while recent research has drawn attention to the possible Influence of a exhaustive list of macroeconomic variables (e.g. Campbell and Hamao, 1989: Engel and Rodrigues, 1988; Giovannini and Jorion, 1989; and Keim and Stambaugh, 1986). On the other hand financial economists Investigating the pricing of risky securities have largely focused on factor Models; the (single factor) CAPM due to Sharpe (1964) Lintner (1965), and Others, and estimated by, for example, Blume and Friend (1973), and Fama and Macbeth (1973); and the multi-factor analytic methods which have been used to Estimate multiple measures of systmatic risk (Roll and Ross, 1980). Typically it Has not been possible to identify economic variables with those factors (other Than the market index itself).
  14. 14. Analysis Of Return And Beta In Sensex Component 14 M.P. Birla Institute of Management Economic Factors and Stock Returns: Economic variable which influences expected dividends or the discount rate will affect stock prices. Which affect future anticipated cash flows, and those influences the discount rate, though such a distinction will be somewhat arbitrary if one considers a complete structural model of the economy. Expected dividends will be affected by anything, which influences cash flows. Changes in the expected rate of inflation would affect both nominal cash flows and interest rates. Clearly changes in industrial production would influence profits and hence dividends. Fama (1981) finds a correlation between stock market returns and future growth rates of output. There is extensive evidence that relative prices change with inflation and hence sectoral and aggregate performance may change, (see Fischer, 1981: and Driffill, Mizonand Ulph, 1989). Changes in exchange rate will affect the value of foreign earnings and export performance. Default risk referred to a ‘market risk’ by Chen, Roll and Ross(CRR) may be captured by the spread between the yield on a corporate debentures and loan price index and the yield on long government bonds. The use of interest differential between government stocks and below-investment grade corporate bond as a measure of risk aversion implicit in the market’s pricing of stocks, though one could argue that such a variable simply reflects financial leverage. This is the most important variable (statistically) in the analysis of CCH and CRR. Other indicators of economic activity like unemployment, stock market turnover, bank lending, and the trade balance might also have an influence upon expected future cash flows expected cash flows. Finally, oil price changes also observed to influence industry costs, and via induced macro policy responses, possibly output and hence revenues. The appropriate discount rate in equation is constructed from the prevailing risk-free rate and a risk premium, and an average of rate over time; the changes in the ‘safe’ rate and yield curve are likely to influence the stock prices. Further, ‘surprises’ in the current account balance, exchange rates, the money supply, output, oil prices, or even the price of
  15. 15. Analysis Of Return And Beta In Sensex Component 15 M.P. Birla Institute of Management gold, could all alter the outlook for interest rates, and hence the discount rate. To the extent that the ‘market risk’ variables capture perceptions of equity market risk, and unanticipated changes in these will also influence returns. One of the difficulties of empirically studying the APT is that it does not offer any theoretical or empirical grounds for identifying the economic nature of the factors. An alternative to the use of artificially devised factors and their corresponding sensitivities is to identify factors a priori. Chen, Roll and Ross (1986) adopted this approach using macro-economic factors. Returns on securities are influenced by various macro economic activities. Nevertheless, individual economic variables cannot be taken directly as common factors in the generating process. First, economic variables are not totally independent of each other. Including this economic variable in equation to estimate loadings will introduce multicollinearity. Second, there is a lack of prior knowledge which economic variables should be included as factors that determine asset returns. The factors estimated from all economic activities eliminate multicollinearity among independent variables and reduce the dimension of independent variables entering the return generating process. These estimated economic factors preserve most of the relevant information. King (1966) and Cohen and Pogue (1967), who investigate mainly the industry related impact on asset returns also use a similar specification of the return generating process. Although these studies have enhanced the understanding of non-market components of asset returns, the equilibrium asset-pricing model is not used and major economic variables are not considered. In India. A total of 30scrip considered in the construction of BSE30 form the basic sample stocks. While establishing the CAPM, APT and Economic Factor Models, these 30 scrip have been grouped into 15 portfolios of with two assets each,. The first factor composed of a wide variety of factors from different sectors like Industrial production, Money Banking and Interest rate, Inflation, External Transactions and select indicators of
  16. 16. Analysis Of Return And Beta In Sensex Component 16 M.P. Birla Institute of Management Capital Market. The second factor represents primarily the inflation factor and the last factor represents the select sectors of Industrial Production. Next the systematic risks (beta coefficients) corresponding to these factors are estimated for each stock using the three factors by regressing the individual stock return relatives against the factor scores obtained from Factor Analysis. The macro economic factor model is based on the general hypothesis that returns are influenced by three classes of factors – real domestic activity, money and stock market activity and foreign variables and any change in them are expected to change the investor’s perceptions of future expected cash flows and likely to affect current asset prices. While inflation is the most common factor; it was found to be significant in Chen, Roll and Ross (1986) and Mc Elroy and Burmeister (1988) and others. Interest rates were also prevalent amongst priced factors in almost all studies. While monetary variables are found to be less common the foreign influences (exchange rates or balance of payments) found to play their own role. As the macro economic factor model is trying to explain the cross sectional variations in average security returns, the results of this model has been compared with that of the APT. But it should be noted that the APT and economic factors are not directly comparable to each other because of the differences in the scope and nature of the factors considered in the analysis.
  17. 17. Analysis Of Return And Beta In Sensex Component 17 M.P. Birla Institute of Management BETA Beta is a measure of a stock's volatility in relation to the market. By definition, the market has a beta of 1.0, and individual stocks are ranked according to how much they deviate from the market. A stock that swings more than the market over time has a beta above 1.0. If a stock moves less than the market, the stock's beta is less than 1.0. High- beta stocks are supposed to be riskier but provide a potential for higher returns; low-beta stocks pose less risk but also lower returns. Beta measures a stock's volatility, the degree to which its price fluctuates in relation to the overall market. In other words, it gives a sense of the stock's market risk compared to the greater market. Beta is used also to compare a stock's market risk to that of other stocks. Investment analysts use the Greek letter 'ß' to represent beta. Beta is a key component for the capital asset pricing model (CAPM), which is used to calculate cost of equity. Recall that the cost of capital represents the discount rate used to arrive at the present value of a company's future cash flows. All things being equal, the higher a company's beta is, the higher its cost of capital discount rate. The higher the discount rate, the lower the present value placed on the company's future cash flows. In short, beta can impact a company's share valuation. The beta of an investment is a relative measure of the systematic risk of an investment. In other words it measures the specific risk of the company's shares relative to the market as a whole. In general, the sign of the beta (+/-) indicates whether, on average, the investment's returns move with the market or in the opposite direction to the market. The scale or value of the beta indicates the relative volatility of the particular stock. Indian Capital Market since liberalizations has undergone tremendous Changes and has evolved as a vibrant system of investment flows. A dynamic Capital market is an important segment of the financial system of any country as it plays a significant role in mobilizing savings and channeling them for Productive purposes. The efficient fund allocation depends on the stock market Efficiency in pricing the different securities traded in it. The modern financial Theory focuses upon systematic factors as sources of
  18. 18. Analysis Of Return And Beta In Sensex Component 18 M.P. Birla Institute of Management risk and contemplates that The long run return on an individual asset must reflect the changes in such Systematic factors. An enquiry into such systematic factors through different Methodologies suggested in finance literature would help the policy makers, Investors, to design their investment strategies meaningfully. BETA FACTORS: This measure is calculated using regression analysis. A beta of 1 indicates that the security's price tends to move with the market. A beta greater than 1 indicates that the security's price tends to be more volatile than the market, and a beta less than 1 means it tends to be less volatile than the market. Many utility stocks have a beta of less than 1, and, conversely, many high-tech NASDAQ-listed stocks have a beta greater than 1. Essentially, beta expresses the fundamental tradeoff between minimizing risk and maximizing return. Let's give an illustration. Say a company has a beta of 2. This means it is two times as volatile as the overall market. Let's say we expect the market to provide a return of 10% on an investment. We would expect the company to return 20%. On the other hand, if the market were to decline and provide a return of -6%, investors in that company could expect a return of -12% (a loss of 12%). If a stock had a beta of 0.5, we would expect it to be half as volatile as the market: a market return of 10% would mean a 5% gain for the company. Here is a basic guide to various betas: • Negative beta - A beta less than 0 - which would indicate an inverse relation to the market - is possible but highly unlikely. Some investors used to believe that gold and gold stocks should have negative betas because they tended to do better when the stock market declined, but this hasn't proved to be true over the long term. • Beta of 0 - Basically, cash has a beta of 0. In other words, regardless of which way the market moves, the value of cash remains unchanged (given no inflation).
  19. 19. Analysis Of Return And Beta In Sensex Component 19 M.P. Birla Institute of Management • Beta between 0 and 1 - Companies with volatilities lower than the market have a beta of less than 1 (but more than 0). As we mentioned earlier, many utilities fall in this range. • Beta of 1 - A beta of 1 represents the volatility of the given index used to represent the overall market, against which other stocks and their betas are measured. The S&P 500 is such an index. If a stock has a beta of one, it will move the same amount and direction as the index. So, an index fund that mirrors the S&P 500 will have a beta close to 1. • Beta greater than 1 - This denotes a volatility that is greater than the broad-based index. Again, as we mentioned above, many technology companies on the NASDAQ have a beta higher than 1. Beta greater than 100 - This is impossible as it essentially denotes a volatility that is 100 times greater than the market. If a stock had a beta of 100, it would be expected to go to 0 on any decline in the stock market. If you ever see a beta of over 100 on a research site it is usually the result of a statistical error, or the given stock has experienced large swings due to low liquidity, such as an over-the-counter stock. For the most part, stocks of well- known companies rarely ever have a beta higher than 4. A beta of +0.25 for instance, would indicate that on average, the investment's returns move one quarter as much as the markets do in the same direction. If the market rose by 10%, the investment would be expected to rise by 2.5% but on the other hand if the market fell by 10% the investment would be expected to fall by only 2.5%. A beta of -0.1 would indicate that on average, the investment's returns move one tenth as much as the market's do, but in the opposite direction. If the market rose by 10%, the investment would be expected to fall by 1%. Hence we can summaries a number of situations:
  20. 20. Analysis Of Return And Beta In Sensex Component 20 M.P. Birla Institute of Management BETA AND RISK Of course, there is more to it than that. Risk also implies return. Stocks with a high beta should have a higher return than the market. If you are accepting more risk, you should expect more reward. For example, if the market with a beta of 1 is expected to return 8%, a stock with a beta of 1.5 should return 12%. If you don’t see that level of return, then the stock is not a good investment possibility. Stocks with a beta below 1 may be a safer investment (at least by this one measure) and you should expect a lower return. Beta seems to be a great way to measure the risk of any stock. If you look a young, technology stocks, they will always carry high betas. Many utilities on the other hand, carry betas below 1. Problems with Beta While the may seem to be a good measure of risk, there are some problems with relying on beta scores alone for determining the risk of an investment. • Beta looks backward and history is not always an accurate predictor of the future. • Beta also doesn’t account for changes that are in the works, such as new lines of business or industry shifts. • Beta suggests a stock’s price volatility relative to the whole market, but that volatility can be upward as well as downward movement. In a sustained advancing market, a stock that is outperforming the whole market would have a beta greater than 1. Beta is also referred to as financial elasticity or correlated relative volatility, and can be referred to as a measure of the asset's 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. On a portfolio level, measuring beta is thought to separate a manager's skill from his or her willingness to take risk.
  21. 21. Analysis Of Return And Beta In Sensex Component 21 M.P. Birla Institute of Management The beta movement should be distinguished from the actual returns of the stocks. For example, a sector may be performing well and may have good prospects, but the fact that its movement does not correlate well with the broader market index may decrease its beta. However, it should not be taken as a reflection on the overall attractiveness or the loss of it for the sector, or stock as the case may be. Beta is a measure of risk and not to be confused with the attractiveness of the investment. 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). USING BETA FACTORS IN THE PRESENT SITUATION: The current world political situation is probably the worst it is for many years. World markets are falling at a rapid pace. What does beta factor analysis teach us about an investment strategy in this situation? Firstly, however good a company is it likely that in such circumstances most will encounter falls in their share prices. However during this time a number of alternative investments that have negative beta factors have appreciated in value. The prime example of this is gold. Over the past twenty years when there was a strong equity bull market, However in the past few years it is noticeable that in the political uncertainty that has arisen in the world that the price of gold has shown material gains at a time when equity markets have recorded sharp falls. Beta factor analysis is a useful technique that has enabled many international investors to achieve satisfactory returns in the past. If one looks at the trends in world markets then one can see that in a bull market those investors that have followed a selective aggressive portfolio (i.e. including shares with beta factors of over 1 times) have generally outperformed the market. The current political uncertainty has made things extremely difficult for investors especially in India. Should they get out of world markets since a conflict will
  22. 22. Analysis Of Return And Beta In Sensex Component 22 M.P. Birla Institute of Management almost certainly mean falling equity prices. Or should investors move to alternative investments with negative beta factors such as gold and oil? After all in case of a conflict these commodities will almost certainly rise and will probably go against the trend of equity prices. The beta is a measure of a stock’s price volatility in relation to the rest of the market. How to Use Beta Investors can find the best use of the beta ratio in short-term decision-making, where price volatility is important. If you are planning to buy and sell within a short period, beta is a good measure of risk. However, as a single predictor of risk for a long-term investor, the beta has too many flaws. Careful consideration of a company’s fundamentals will give you a much better picture of the potential long-term risk. Beta is a measure of the market risk or volatility of investing in a stock. It helps investors pick stocks that fall in their risk comfort zone. But what does it really tell you about a stock and what mixed signals do investors get when three different Web sites report three different betas for the same stock? The last part of than question came from a reader, Dan R., who wondered why three Web sites gave him three different answers to the same question about a stock’s beta and one answer was apparently much different from the other two. Advantages of Beta To followers of CAPM, beta is a useful measure. A stock's price variability is important to consider when assessing risk. Indeed, if you think about risk as the possibility of a stock losing its value, beta has appeal as a proxy for risk.
  23. 23. Analysis Of Return And Beta In Sensex Component 23 M.P. Birla Institute of Management Intuitively, it makes plenty of sense. Think of an early-stage technology stock with a price that bounces up and down more than the market. It's hard not to think that stock will be riskier than, say, a safe-haven utility industry stock with a low beta. Besides, beta offers a clear, quantifiable measure, which makes it easy to work with. Sure, there are variations on beta depending on things such as the market index used and the time period measured, but broadly speaking, the notion of beta is fairly straightforward to understand. It's a convenient measure that can be used to calculate the costs of equity used in a valuation method that discounts cash flows. Disadvantages of Beta. For starters, beta doesn't incorporate new information. Consider the electrical utility company American Electric Power (AEP). Historically, AEP has been considered a defensive stock with a low beta. But when it entered the merchant energy business and assumed high debt levels, AEP's historic beta no longer captured the substantial risks the company took on. At the same time, many technology stocks, such as Google, are so new to the market they have insufficient price history to establish a reliable beta. Another troubling factor is that past price movements are very poor predictors of the future. Betas are merely rear-view mirrors, reflecting very little of what lies ahead. Furthermore, the beta measure on a single stock tends to flip around over time, which makes it unreliable. Granted, for traders looking to buy and sell stocks within short time periods, beta is a fairly good risk metric. But for investors with long-term horizons, it's less useful. In investing, beta does not refer to fraternities, product testing or VHS' old competition - in investing, beta is a measurement of market risk, or volatility. It is because of this risk that some people don't want to invest in stocks. These risk-averse investors can't stomach stocks' greater tendency to fluctuate in price. Sure, there is always the possibility that a
  24. 24. Analysis Of Return And Beta In Sensex Component 24 M.P. Birla Institute of Management stock will lose some or all of its value, but volatility also makes it possible for investors to make a great deal of money - if they make the right choices. Why You Should Know What Beta Is Are you prepared to take a loss on your investments? Many people are not and therefore opt for investments with low volatility. Other people are willing to take on additional risk because with it they receive the possibility of increased reward. It is very important that investors not only have a good understanding of their risk tolerance, but also know which investments match their risk preferences. And, by using beta to measure volatility, you can better choose those securities that meet your criteria for risk. Investors who are very risk averse should put their money into investments with low betas such as utility stocks and Treasury bills. Those investors who are willing to take on more risk may want to invest in stocks with higher betas. Many brokerage firms calculate the betas of securities they trade and then publish their calculations in a beta book. These books offer estimates of the beta for almost any publicly-traded company. The problem is that most of us don't have access to these brokerage books, and the calculation for beta can often be confusing, even for experienced investors
  25. 25. Analysis Of Return And Beta In Sensex Component 25 M.P. Birla Institute of Management SENSEX Established in 1875, BSE is not only the oldest stock exchange in India, but is also the oldest in Asia. It accounts for over one-third of the total trading volume in the country. The National Stock Exchange (NSE), located in Bombay, was set up in 1993 to encourage stock exchange reform through system modernization and competition. It opened for trading in mid-1994. Since then the NSE has made major strides and is now the dominant stock exchange in the country. Most other studies on Indian market use the BSE Sensex index to compute market returns. With NSE being an equally prominent stock exchange in India, we also use the S&P CNX Nifty index to compute returns. Between the two exchanges, NSE being demutualized provides a better market quality. With lower execution cost, lower price volatility and higher liquidity compared to BSE, NSE has emerged to be superior by providing improved market quality and high standards of investor protection. BSE Sensex is a basket of 30 constituent stocks representing a sample of large, liquid and representative companies. The base year of SENSEX is 1978-79 and the base value is 100. The index is widely reported in both domestic and international markets through print as well as electronic media. The Index was initially calculated based on the .Full market capitalization. Methodology but was shifted to the .Free-float methodology with effect from September 1, 2003. SENSEX: THE BAROMETER OF INDIAN ECONOMY For the premier Stock Exchange that pioneered the stock broking activity in India, 128 years of experience seems to be a proud milestone. A lot has changed since 1875 when 318 persons became members of what today is called "The Stock Exchange, Mumbai" by paying a princely amount of Re1.Since then, the country's capital markets have passed through both good and bad periods. The journey in the 20th century has not been an easy
  26. 26. Analysis Of Return And Beta In Sensex Component 26 M.P. Birla Institute of Management one. Till the decade of eighties, there was no scale to measure the ups and downs in the Indian stock market. The Stock Exchange, Mumbai (BSE) in 1986 came out with a stock index that subsequently became the barometer of the Indian stock market. SENSEX is not only scientifically designed but also based on globally accepted construction and review methodology. First compiled in 1986, SENSEX is a basket of 30 constituent stocks representing a sample of large, liquid and representative companies. The base year of SENSEX is 1978-79 and the base value is 100. The index is widely reported in both domestic and international markets through print as well as electronic media. The Index was initially calculated based on the "Full Market Capitalization" methodology but was shifted to the free-float methodology with effect from September 1, 2003. The "Free-float Market Capitalization" methodology of index construction is regarded as an industry best practice globally. All major index providers like MSCI, FTSE, STOXX, S&P and Dow Jones use the Free-float methodology. Due to is wide acceptance amongst the Indian investors; SENSEX is regarded to be the pulse of the Indian stock market. As the oldest index in the country, it provides the time series data over a fairly long period of time (From 1979 onwards). Small wonder, the SENSEX has over the years become one of the most prominent brands in the country. The growth of equity markets in India has been phenomenal in the decade gone by. Right from early nineties the stock market witnessed heightened activity in terms of various bull and bear runs. The SENSEX captured all these events in the most judicial manner. One can identify the booms and busts of the Indian stock market through SENSEX.
  27. 27. Analysis Of Return And Beta In Sensex Component 27 M.P. Birla Institute of Management SENSEX Calculation Methodology SENSEX is calculated using the "Free-float Market Capitalization" methodology. As per this methodology, the level of index at any point of time reflects the Free-float market value of 30 component stocks relative to a base period. The market capitalization of a company is determined by multiplying the price of its stock by the number of shares issued by the company. This market capitalization is further multiplied by the free-float factor to determine the free-float market capitalization. The base period of SENSEX is 1978-79 and the base value is 100 index points. This is often indicated by the notation 1978-79=100. The calculation of SENSEX involves dividing the Free-float market capitalization of 30 companies in the Index by a number called the Index Divisor. The Divisor is the only link to the original base period value of the SENSEX. It keeps the Index comparable over time and is the adjustment point for all Index adjustments arising out of corporate actions, replacement of scrips etc. During market hours, prices of the index scrips, at which latest trades are executed, are used by the trading system to calculate SENSEX every 15 seconds and disseminated in real time. Maintenance of SENSEX One of the important aspects of maintaining continuity with the past is to update the base year average. The base year value adjustment ensures that replacement of stocks in Index, additional issue of capital and other corporate announcements like 'rights issue' etc. do not destroy the historical value of the index. The beauty of maintenance lies in the fact that adjustments for corporate actions in the Index should not per se affect the index values. The Index Cell of the exchange does the day-to-day maintenance of the index within the road index policy framework set by the Index Committee. The Index Cell ensures that SENSEX and all the other BSE indices maintain their benchmark properties by striking a
  28. 28. Analysis Of Return And Beta In Sensex Component 28 M.P. Birla Institute of Management delicate balance between frequent replacements in index and maintaining its historical continuity. The Index Committee of the Exchange comprises of experts on capital markets from all major market segments. They include Academicians, Fund-managers from leading Mutual Funds, Finance-Journalists, Market Participants, Independent Governing Board members, and Exchange administration. On-Line Computation of the Index During market hours, prices of the index scrips, at which trades are executed, are automatically used by the trading computer to calculate the SENSEX every 15 seconds and continuously updated on all trading workstations connected to the BSE trading computer in real time. Adjustment for Bonus, Rights and Newly issued Capital: The arithmetic calculation involved in calculating SENSEX is simple, but problem arises when one of the component stocks pays a bonus or issues rights shares. If no adjustments were made, a discontinuity would arise between the current value of the index and its previous value despite the non-occurrence of any economic activity of substance. At the Index Cell of the Exchange, the base value is adjusted, which is used to alter market capitalization of the component stocks to arrive at the SENSEX value. The Index Cell of the Exchange keeps a close watch on the events that might affect the index on a regular basis and carries out daily maintenance of all the 14 Indices. Qualification Criteria: The general guidelines for selection of constituent scrips in SENSEX are as follows: A. Quantitative Criteria: 1. Final Rank: The scrip should figure in the top 100 companies listed by Final Rank. The final rank is arrived at by assigning 75% weightage to the rank on the basis of six- month average full market capitalisation and 25% weightage to the liquidity rank based on six-month average daily turnover & six-month average impact cost.
  29. 29. Analysis Of Return And Beta In Sensex Component 29 M.P. Birla Institute of Management 2. Trading Frequency: The scrip should have been traded on each and every trading day for the last six months. Exceptions can be made for extreme reasons like scrip suspension etc. 3. Market Capitalization Weightage: The weight of each scrip in SENSEX based on six-month average Free-Float market capitalization should be at least 0.5% of the Index. 4. Industry Representation: Scrip selection would take into account a balanced representation of the listed companies in the universe of BSE. The index companies should be leaders in their industry group. 5. Listed History: The scrip should have a listing history of at least 3 months on BSE. However, the Committee may relax the criteria under exceptional circumstances. B. Qualitative Criteria: Track Record In the opinion of the Committee, the company should have an acceptable track record. Index Review Frequency: The Index Committee meets every quarter to review all BSE indices. However, every review meeting need not necessarily result in a change in the index constituents. In case of a revision in the Index constituents, the announcement of the incoming and outgoing scrips is made six weeks in advance of the actual implementation of the revision of the Index.
  30. 30. Analysis Of Return And Beta In Sensex Component 30 M.P. Birla Institute of Management Analysis of Indian stock market BSE Sensex Index The BSE SENSEX is not only scientifically designed but also based on globally accepted construction and review methodology. First compiled in 1986, SENSEX is a basket of 30 constituent stocks representing a sample of large, liquid and representative companies. The base year of SENSEX is 1978-79 and the base value is 100. The index is widely reported in both domestic and international markets through print as well as electronic media. The Index was initially calculated based on the "Full Market Capitalization" methodology but was shifted to the free-float methodology with effect from September 1, 2003. The "Free-float Market Capitalization" methodology of index construction is regarded as an industry best practice globally. All major index providers like MSCI, FTSE, STOXX, S&P and Dow Jones use the Free-float methodology. Due to is wide acceptance amongst the Indian investors; SENSEX is regarded to be the pulse of the Indian stock market. As the oldest index in the country, it provides the time series data over a fairly long period of time (From 1979 onwards). Small wonder, the SENSEX has over the years become one of the most prominent brands in the country. SENSEX MILESTONES Rise of the Sensex through Indian stock market history. 1000, July 25, 1990 - On July 25, 1990, the Sensex touched the four-digit figure for the first time and closed at 1,001 in the wake of a good monsoon and excellent corporate results. 2000, January 15, 1992 - On January 15, 1992, the Sensex crossed the 2,000-mark and closed at 2,020 followed by the liberal economic policy initiatives undertaken by the then finance minister and current Prime Minister Dr Manmohan Singh.
  31. 31. Analysis Of Return And Beta In Sensex Component 31 M.P. Birla Institute of Management 3000, February 29, 1992 - On February 29, 1992, the Sensex surged past the 3000 mark in the wake of the market-friendly Budget announced by the then Finance Minister, Dr Manmohan Singh. 4000, March 30, 1992 - On March 30, 1992, the Sensex crossed the 4,000-mark and closed at 4,091 on the expectations of a liberal export-import policy. It was then that the Harshad Mehta scam hit the markets and Sensex witnessed unabated selling. 5000, October 11, 1999 - On October 8, 1999, the Sensex crossed the 5,000-mark as the BJP-led coalition won the majority in the 13th Lok Sabha election. 6000, February 11, 2000 - On February 11, 2000, the infotech boom helped the Sensex to cross the 6,000-mark and hit and all time high of 6,006. 7000, June 21, 2005 - On June 20, 2005, the news of the settlement between the Ambani brothers boosted investor sentiments and the scrips of RIL, Reliance Energy, Reliance Capital and IPCL made huge gains. This helped the Sensex crossed 7,000 points for the first time. 8000, September 8, 2005 - On September 8, 2005, the Bombay Stock Exchange's benchmark 30-share index -- the Sensex -- crossed the 8000 level following brisk buying by foreign and domestic funds in early trading. 9000, December 09, 2005 - The Sensex on November 28, 2005 crossed 9000 to touch 9000.32 points during mid-session at the Bombay Stock Exchange on the back of frantic buying spree by foreign institutional investors and well supported by local operators as well as retail investors. 10,000, February 7, 2006 - The Sensex on February 6, 2006 touched 10,003 points during mid-session. The Sensex finally closed above the 10K-mark on February 7, 2006.
  32. 32. Analysis Of Return And Beta In Sensex Component 32 M.P. Birla Institute of Management 11,000, March 27, 2006 - The Sensex on March 21, 2006 crossed 11,000 and touched a peak of 11,001 points during mid-session at the Bombay Stock Exchange for the first time. However, it was on March 27, 2006 that the Sensex first closed at over 11,000 points. 12,000, April 20, 2006 - The Sensex on April 20, 2006 crossed 12,000 and touched a peak of 12,004 points during mid-session at the Bombay Stock Exchange for the first time. 13,000, October 30, 2006 - The Sensex on October 30, 2006 crossed 13,000 and still riding high at the Bombay Stock Exchange for the first time. It took 135 days to reach 13,000 from 12,000. And 124 days to reach 13,000 from 12,500. On 30th October 2006 it touched a peak of 13,039.36 & closed at 13,024.26. 14,000, December 5, 2006 - The Sensex on December 5, 2006 crossed 14,000 and touched a peak of 14028 at 9.58AM (IST) while opening for the day December 5, 2006. 15,000, July 6, 2007- The Sensex on July 6, 2007 crossed another milestone and reached a magic figure of 15,000. it took almost 7 month and 1 day to touch such a historic milestone. 16,000, September 19, 2007- The Sensex on September 19, 2007 crossed the 16,000 mark and reached a historic peak of 16322 while closing. The bull hits because of the rate cut of 50 bps in the discount rate by the Fed chief Ben Bernanke in US. 17,000, September 26, 2007- The Sensex on September 26, 2007 crossed the 17,000 mark for the first time, creating a record for the second fastest 1000 point gain in just 5 trading sessions. It failed however to sustain the momentum and closed below 17000. The Sensex closed above 17000 for the first time on the following day. Reliance group has been the main contributor in this bull run, contributing 256 points. This also helped Mukesh Ambani's net worth to grow to over $50 billion or Rs.2 trillion. It was also
  33. 33. Analysis Of Return And Beta In Sensex Component 33 M.P. Birla Institute of Management during this record bull run that the Sensex for the first time zoomed ahead of the Nikkei of Japan. 18,000, October 9, 2007- The Sensex crossed the 18k mark for the first time on October 9, 2007. The journey from 17k to 18k took just 8 trading sessions which is the third fastest 1000 point rise in the history of the Sensex. The Sensex closed at 18,280 at the end of day. This 788 point gain on 9th October was the second biggest single day absolute gains. 19,000, October 15, 2007- The Sensex crossed the 19k mark for the first time on October 15th 2007. It took just 4 days to reach from 18k to 19k. This is the fastest 1000 points rally ever and also the 640 point rally was the second highest single day rally in absolute terms. This made it a record 3000 point rally in 17 trading sessions overall. 20,000, October 29, 2007- The Sensex crossed the 20k mark for the first time with a massive 734.5 point gain but closed below the 20k mark. It took 11 days to reach from 19k to 20k. The journey of the last 10,000 points was covered in just 869 sessions as against 7,297 sessions taken to touch the 10,000 mark from 1,000 levels. In 2007 alone, there were six 1,000-point rallies for the Sensex.
  34. 34. Analysis Of Return And Beta In Sensex Component 34 M.P. Birla Institute of Management RESEARCH METHODALOGY
  35. 35. Analysis Of Return And Beta In Sensex Component 35 M.P. Birla Institute of Management RESEARCH DESIGN Study Type: The study type is analytical, quantitative and historical. Analytical because facts and existing information is used for the analysis, Quantitative as relationship is examined by expressing variables in measurable terms and also Historical as the historical information is used for analysis and interpretation. Sampling frame: Sampling Frame would be 30 stocks of SENSEX INDEX STOCKS. Sampling technique: simple random sampling is used because only index stocks units are selected from the sampling frame. Such a selection is undertaken as these units represent the population in a better way and reflect better relationship with the other variable. Data gathering procedures and instruments: Data: Historical yearly share prices of index stocks from 2001 to 2008 Data Source: Historical share prices of the sample companies and the index points for the period has been taken from the database of capitaline.com Sensex has been taken because BSE Sensex is considered as trust worthy indices of India.
  36. 36. Analysis Of Return And Beta In Sensex Component 36 M.P. Birla Institute of Management Sample description : to assessing the beta following list of index stocks to be taken Name of company Name of industries Acc Cement industries Ambuja cement ltd Cement industries Bharthi airtell telecommunication Cipla Pharmaceutical industries DLF Infrastructure development Grasim Textile industries HDFC Banking Hindalco Ltd Iron and steel industries ICICI Bank Banking industries Jaiprakash Consulting and broking L & T Infrastructure development Maruthi Suzuki Automobile industries Reliance com Information technology Reliance energy Oil and power SBI Banking industries Satym Information technology TATA Steel Iron and steel industries TCS Information technology M & M Automobile industries Infosys Information technology TATA MOTARS Auto mobile industries BHEL Power HUL Marketing NTPC power and fuel RANBAXY Pharmaceutical industries WIPRO Information technology ITC FMCG Reliance Industries Ltd Diversified HDFC Bank Banking ONGC Oil and power
  37. 37. Analysis Of Return And Beta In Sensex Component 37 M.P. Birla Institute of Management ANALYSIS AND INTERPRETATION
  38. 38. Analysis Of Return And Beta In Sensex Component 38 M.P. Birla Institute of Management Table1: show that ranking of index stocks according to returns (%). YEAR/returns (%) NAME OF INDEX STOCKS 1ST year ranks 2ND year ranks 3RD year ranks 4TH year ranks 5TH year ranks 6TH year ranks 7TH year ranks 8TH year ranks Acc 11 14 19 9 9 1 24 21 Ambuja cement ltd 2 21 15 11 12 6 21 18 Bharthi airtel 24 1 1 8 4 13 8 Cipla 5 23 21 19 15 16 28 3 DLF 8 29 Grasim 13 11 3 12 26 2 16 25 HDFC 1 15 17 20 10 19 10 7 Hindalco Ltd 15 20 8 26 25 25 17 12 ICICI Bank 23 4 12 7 11 11 15 22 Jaiprakash 3 1 3 3 30 L & T 10 13 7 2 2 10 2 27 Maruthi Suzuki 9 17 17 14 20 24 Reliance com 9 12 19 Reliance energy 9 12 10 24 24 29 1 28 sbi 12 5 14 18 16 18 7 17 Satym 18 9 22 23 5 20 25 5 TATA Steel 21 2 4 14 27 22 6 14 TCS 16 22 15 26 16 M & M 22 7 2 8 3 5 23 23 infosys 19 10 23 5 13 13 30 6 TATA MOTARS 3 3 6 22 20 17 29 13 BHEL 16 8 5 4 4 8 5 26 HUL 6 22 24 28 18 27 22 1 NTPC 15 21 24 9 20 RANBAXY 7 6 16 21 28 28 19 2 WIPRO 20 16 25 13 23 21 27 9 ITC 17 17 20 10 7 23 18 4 Reliance Industries Ltd 14 19 13 27 6 7 4 10 HDFC Bank 8 18 18 6 19 12 11 11 ongc 4 1 11 25 14 26 14 15
  39. 39. Analysis Of Return And Beta In Sensex Component 39 M.P. Birla Institute of Management INTERPRETATION: the above table states that , in year 2001 HDFC got 1st rank (22.33%). but later it started to vary like 1,15,17,20,10,19,10,7 rank according to year 2002,2003,2004,2005,2006,2007,2008 respectively. Ranking is based on percentage of return. So that, it states proper format is not there in index stocks and also there is no relationship with past ranking. Ambuja cement ltd having a second rank in 2001 but in 2002, rank 21st so that it indicate that past ranking not influencing the future ranks In 2006, ACC ranked 1st with a return of 101.775% and year 2007,ranked 24th with a negative return of 6.63%, it indicates that ranking of post rank will not influence future rank in index stocks. This table shows that there is no specific format in index stocks rank so that portfolio manager and investor not invest according the past rank in index stock. According to research, in BSE 30 there is no proper format in index stocks and in this company who had 1st rank may not be same for the future years. So that by using simple ranking technique null hypothesis is accepted.
  40. 40. Analysis Of Return And Beta In Sensex Component 40 M.P. Birla Institute of Management Table2: show that ranking of index stocks according to Beta of stock. YEAR/beta NAME OF INDEX STOCKS 1ST year ranks 2ND year ranks 3RD year ranks 4TH year ranks 5TH year ranks 6TH year ranks 7TH year ranks 8TH year ranks Acc 4 8 9 16 12 14 12 12 Ambuja cement ltd 15 13 18 14 27 17 27 27 Bharthi airtel 14 22 15 9 22 10 26 Cipla 18 24 24 22 17 25 28 27 DLF 3 4 Grasim 12 12 13 20 22 5 20 19 HDFC 23 23 25 28 26 28 24 23 Hindalco Ltd 22 21 19 21 13 4 14 3 ICICI Bank 5 11 15 18 Jaiprakash 3 5 2 4 1 L & T 7 16 14 27 18 8 7 9 Maruthi Suzuki 4 8 8 7 13 28 Reliance com 3 6 6 Reliance energy 17 22 10 1 10 18 1 2 sbi 13 12 12 4 3 24 2 13 Satym 1 1 1 16 1 12 19 20 TATA Steel 8 7 5 2 6 1 8 10 TCS 19 19 23 14 M & M 9 4 6 12 14 16 16 22 infosys 3 2 3 19 7 20 22 15 TATA MOTARS 10 3 7 5 4 6 15 21 BHEL 11 9 17 2 15 10 5 11 HUL 16 10 11 24 20 13 26 24 NTPC 13 23 26 18 5 RANBAXY 14 17 21 26 21 23 25 25 WIPRO 2 6 2 7 2 9 17 16 ITC 19 18 20 23 24 11 29 18 Reliance Industries Ltd 6 5 8 9 11 15 9 7 HDFC Bank 20 20 23 25 25 27 21 17 ONGC 21 15 16 10 16 21 11 8
  41. 41. Analysis Of Return And Beta In Sensex Component 41 M.P. Birla Institute of Management INTERPRETATION: The above table shows that ranking of sensex index stocks according to beta of stocks. This analysis prove that no specific format there in index stocks. Because this research revels that if index stocks having higher Beta (1st rank) in previous year but it may have low ranking in current year. In this analysis also states that specific format is not there. Beta analysis reveals that all the index stocks having a beta more than 0.5. Beta analysis reveals that there is no consistency in Volatility of index stocks example: in 2001, M&M having 0.993 Beta and 2002 it will 1.2, in 2003 it will 1.2262, in 2004 it will 1.05, in 2005 it will 0.97. In 2001, 30% of index stocks having Beta more than 1. In 2002, 32% of index stocks having Beta more than 1. In 2003, 40% of index stocks having beta more than 1 and in2007, it will increase to 50%. This states that volatility of index stocks don’t have any consistency. According to research, in BSE 30 there is no proper format in index stocks and in this 1st rank may not be same for future years. So that by using simple ranking technique null hypothesis is accepted.
  42. 42. Analysis Of Return And Beta In Sensex Component 42 M.P. Birla Institute of Management Table3: show that top 10 ranking index stocks in 2001 1st year Return (%) Beta Ranks Ambuja cement ltd 17.322835 0.738 2 Cipla 8.4047619 0.6474 5 HDFC 22.335793 0.2866 1 L & T -2.84264 1.0422 10 Reliance energy -0.326633 0.6629 9 TATA MOTARS 11.63311 0.9925 3 HUL 7.7831325 0.73 6 RANBAXY 1.961433 0.83 7 HDFC Bank 0.8301548 0.5941 8 ONGC 10.16845 0.5691 4 -5 0 5 10 15 20 25 Ambujacementlt Cipla HDFC L& T Relianceenerg TATAMOTARS HULRANBAXYHDFC Bank ongc Series1 In 2001 out of 30 stocks, only 13.33% of index stocks giving more than 10% of return and 50 % index stocks giving negative return and HDFC giving more return and ranked 1 and. If you are invested in market in this period you can get negative return.
  43. 43. Analysis Of Return And Beta In Sensex Component 43 M.P. Birla Institute of Management Table4: show that top 20 and below 20 ranking index stocks in 2001 year 1 return % Beta ranks ICICI Bank -42.671 1.1162 23 TATA Steel -33.6861 1.04 21 M & M -40.4933 0.993 22 WIPRO -33.2216 2.2138 20 year 1st -50 -40 -30 -20 -10 0 ICICI Bank TATA Steel M & M WIPRO index stocks return (%) Series1
  44. 44. Analysis Of Return And Beta In Sensex Component 44 M.P. Birla Institute of Management Table5: show that top 10 ranking index stocks in 2002 2nd year Return (%) Beta Ranks ICICI Bank 56.166667 0.8766 4 SBI 54.459632 0.8204 5 Satym 18.964041 2.0251 9 TATA Steel 71.475221 1.12 2 M & M 25.222222 1.2 7 Infosys 17.08155 1.3617 10 TATA MOTARS 59.673429 1.2568 3 BHEL 22.846975 0.9588 8 RANBAXY 35.90049 0.709 6 ONGC 153.47826 0.7956 1 0 20 40 60 80 100 120 140 160 180 ICICIBank sbi Satym TATASteel M & M infosysTATAMOTARS BHELRANBAXY ongc Series1
  45. 45. Analysis Of Return And Beta In Sensex Component 45 M.P. Birla Institute of Management Table6: show that top 20 and below 20 ranking index stocks in 2002 year 2 return % Beta ranks Ambuja cement ltd -14.0828 0.8113 21 Bharthi airtel -58.3636 0.8065 24 Cipla -22.132 0.237 23 Hindalco Ltd -7.51174 0.377 20 HUL -18.6801 0.9464 22 2nd year -70 -60 -50 -40 -30 -20 -10 0 Ambuja cement ltd Bharthi airtel Cipla Hindalco Ltd HUL index stocks return(%) Series1
  46. 46. Analysis Of Return And Beta In Sensex Component 46 M.P. Birla Institute of Management Table7: show that top 10 ranking index stocks in 2003 3 rd year Return (%) Beta Ranks Bharthi airtell 347.23404 0.5418 1 Grasim 217.80627 0.9572 3 Hindalco Ltd 142.75243 0.6722 8 L & T 146.77585 0.92 7 Maruthi Suzuki 137.56313 1.3526 9 Reliance energy 130.55054 1.0677 10 TATA Steel 191.94376 1.3 4 M & M 244.11817 1.2262 2 TATA MOTARS 180.14865 1.2113 6 BHEL 191.93103 0.8968 5 0 20 40 60 80 100 120 AccBharthiairtelICICIBankJaiprakash L& T M & M infosys BHEL ITC HDFC Bank Series1
  47. 47. Analysis Of Return And Beta In Sensex Component 47 M.P. Birla Institute of Management Table8: show that top 20 and below 20 ranking index stocks in 2003 year 3 return % Beta ranks Cipla 45.7135 0.5109 21 Satym 31.15316 1.9873 22 Infosys 16.83494 1.5784 23 HUL 12.28744 0.9962 24 WIPRO 5.670291 1.7877 25 ITC 48.30547 0.6616 20 3 rd year 0 10 20 30 40 50 60 Cipla Satym infosys HUL WIPRO ITC index stocks return(%) Series1
  48. 48. Analysis Of Return And Beta In Sensex Component 48 M.P. Birla Institute of Management Table9: show that top 10 ranking index stocks in 2004 4 th year Return (%) Beta Ranks Acc 37.738918 1.0873 9 Bharthi airtell 102.91765 1.0346 1 ICICI Bank 42.760878 0.9693 7 Jaiprakash 62.350427 1.4335 3 L & T 85.283019 0.49 2 M & M 38.903061 1.0563 8 Infosys 49.080114 0.9167 5 BHEL 50.371094 1.3626 4 ITC 31.763996 0.7584 10 HDFC Bank 43.328729 0.6697 6 0 20 40 60 80 100 120 AccBharthiairtelICICIBankJaiprakash L& T M & M infosys BHEL ITC HDFC Bank Series1
  49. 49. Analysis Of Return And Beta In Sensex Component 49 M.P. Birla Institute of Management Table10: show that top 20 and below 20 ranking index stocks in 2004 year 4 return % Beta ranks HDFC 18.13416 0.4293 20 Hindalco Ltd 0.14177 0.7719 26 Reliance energy 1.83513 1.4851 24 Satym 10.78378 1.0202 23 TATA MOTARS 11.02198 1.3794 22 HUL -30.3567 0.7058 28 RANBAXY 13.7533 0.5373 21 Reliance Industries Ltd -6.51617 1.201 27 ONGC 1.217117 1.1246 25 4 th year -40 -30 -20 -10 0 10 20 30 HDFC Reliance energy TATA MOTARS RANBAXY ongc index stocks return(%) Series1
  50. 50. Analysis Of Return And Beta In Sensex Component 50 M.P. Birla Institute of Management Table11: show that top 10 ranking index stocks in 2005 5 th year Return (%) Beta Ranks Acc 57.279552 1.0433 9 Bharthi airtell 57.925994 1.0845 8 HDFC 56.742523 0.4678 10 Jaiprakash 109.1129 1.1597 1 L & T 86.527764 0.8942 2 Satym 79.07767 1.32 5 M & M 86.267734 0.9746 3 BHEL 79.800259 0.9723 4 ITC 60.815402 0.7751 7 Reliance Industries Ltd 71.067383 1.0525 6 0 20 40 60 80 100 120 Acc Bharthi airtel HDFC Jaiprakash L&T Satym M &M BHEL ITC Reliance Industries Ltd Series1
  51. 51. Analysis Of Return And Beta In Sensex Component 51 M.P. Birla Institute of Management Table12: show that top 10 ranking index stocks in 2005 year 5 return % Beta ranks Grasim 4.213483 0.7923 26 Hindalco Ltd 5.869324 0.9848 25 Reliance energy 15.14286 1.0602 24 TATA Steel -2.73751 1.12 27 TCS 26.12683 0.8586 22 TATA MOTARS 28.10201 1.17 20 NTPC 27.98635 0.792 21 RANBAXY -42.1166 0.799 28 WIPRO 23.09429 1.12 23 5 th year -50 -40 -30 -20 -10 0 10 20 30 40 G rasimHindalco Ltd Reliance energyTATA Steel TCS TATA M O TAR S NTPC RANBAXY W IPRO index stocks return(%) Series1
  52. 52. Analysis Of Return And Beta In Sensex Component 52 M.P. Birla Institute of Management Table13: show that top 10 ranking index stocks in 2006 6 th year Return (%) Beta Ranks Acc 101.77509 1.0429 1 Ambuja cement ltd 76.625 0.977 6 Bharthi airtell 80.237891 0.84 4 Grasim 100.51042 1.21 2 Jaiprakash 87.216495 1.3876 3 L & T 56.417344 1.14 10 Reliance com 62.517241 1.3041 9 M & M 76.923828 0.9867 5 BHEL 64.860832 1.08 8 Reliance Industries Ltd 74.8878 1.0399 7 0 20 40 60 80 100 120 Acc Am buja cem entltdBharthiairtel Grasim Jaiprakash L & TReliance com M & M BHEL Reliance Industries Ltd Series1
  53. 53. Analysis Of Return And Beta In Sensex Component 53 M.P. Birla Institute of Management Table14: show that top 20 and below 20 ranking index stocks in 2006 year 6 return % Beta ranks Hindalco Ltd 17.63514 1.25 25 Reliance energy -14.374 0.9632 29 Satym 30.67369 1.052 20 TATA Steel 26.25437 1.479 22 HUL 9.923858 1.05 27 NTPC 21.78571 0.7682 24 RANBAXY 7.532931 0.8291 28 WIPRO 30.29095 0.8294 21 ITC 23.47368 1.0978 23 ONGC 11.06927 0.8571 26 6th year -20 -15 -10 -5 0 5 10 15 20 25 30 35 Hindalco Ltd Reliance energy Satym TATA Steel HU L NTPC RANBAXY W IPRO ITC ongc index stocks return(%) Series1
  54. 54. Analysis Of Return And Beta In Sensex Component 54 M.P. Birla Institute of Management Table15: show that top 10 ranking index stocks in 2007 7th year Return (%) Beta Ranks DLF 84.364261 1.233 8 HDFC 77.860681 1.2166 10 Jaiprakash 192.43599 1.2 3 L & T 197.98929 1.3115 2 Reliance energy 308.14532 1.2519 1 SBI 90.136583 1.188 7 TATA Steel 118.53376 1.21 6 BHEL 124.52215 0.834 5 NTPC 81.854545 0.6241 9 Reliance Industries Ltd 130.01477 1.099 4 0 50 100 150 200 250 300 350 DLF HD FCJaiprakash L & T Reliance energy sbi TATA Steel BHEL NTPC Reliance Industries Ltd Series1
  55. 55. Analysis Of Return And Beta In Sensex Component 55 M.P. Birla Institute of Management Table16: show that top 20 and below 20 ranking index stocks in 2007 year 7 return % Beta ranks Acc -6.82439 1.0302 24 Ambuja cement ltd 0.828729 0.5531 21 Cipla -16.101 1.0043 28 Maruthi Suzuki 6.217144 0.8251 20 TCS -13.332 0.7124 26 M & M -5.61404 0.908 23 Infosys -21.124 0.71 30 TATA MOTARS -17.5824 0.5422 29 HUL -1.88073 0.57 22 WIPRO -13.5384 0.89 27 7 th year -25 -20 -15 -10 -5 0 5 10 Acc Ambujacementlt CiplaMaruthiSuzuk TCS M & M infosysTATAMOTARS HUL WIPRO index stocks return%) Series1
  56. 56. Analysis Of Return And Beta In Sensex Component 56 M.P. Birla Institute of Management Table17: show that top 10 ranking index stocks in 2008 8th year Return (%) Beta Ranks Bharthi airtel -8.386139 0.6216 8 Cipla 4.3255814 0.5417 3 HDFC -7.897436 0.6924 7 Satym -0.313901 0.738 5 Infosys -4.069966 0.8109 6 HUL 16.596639 0.6808 1 RANBAXY 11.348837 0.6452 2 WIPRO -10.68966 0.8 9 ITC 0.3537736 0.79 4 Reliance Industries Ltd -11.0339 1.1618 10 -15 -10 -5 0 5 10 15 20 Bharthiairtel Cipla HD FC Satym infosys HU LRANBAXY W IPRO ITC Reliance Industries Ltd Series1
  57. 57. Analysis Of Return And Beta In Sensex Component 57 M.P. Birla Institute of Management Table18: show that top 20 and below 20 ranking index stocks in 2008 year 8 return % Beta Ranks Acc -24.372 0.9892 21 DLF -36.3762 1.4226 29 Grasim -26.9269 0.7827 25 ICICI Bank -25.8178 * 22 Jaiprakash -42.8605 1.76 30 L & T -29.1016 1.0462 27 Maruthi Suzuki -26.6418 0.4284 24 Reliance energy -36.3394 1.7464 28 M & M -26.2471 0.7015 23 BHEL -27.7872 1.02266 26 NTPC -24.1732 1.3381 20 8 th year -50 -40 -30 -20 -10 0 Acc DLF Grasim IC IC IBankJaiprakash L & T M aruthiSuzuki Reliance energy M & M BHEL N TPC index stocks return(%) Series1
  58. 58. Analysis Of Return And Beta In Sensex Component 58 M.P. Birla Institute of Management SUMMARY OF FINDINGS
  59. 59. Analysis Of Return And Beta In Sensex Component 59 M.P. Birla Institute of Management SUMMARY OF FINDINGS: Infrastructure industries, power and fuel industries, pharmaceutical industries, and automobile industries stocks in sensex index giving more returns. Important finding in research is, in index stocks there is no specific format or trend in return of index stocks that is if the company having 1st rank may not be the same for next years. There is no consistency in the return of the stocks for example in 2001 HDFC giving 22.3% of return and 2002 it will 6.23%. in 2003. Bharthi airtell giving 350% of return and in 2004 it will 102.9% and also Beta of this scrip is also varying from 0.5413 to 1.034. So that study indicates that there is no trend or format in index stocks. All the index stocks are more volatile because most of index stocks having a beta more than 1.
  60. 60. Analysis Of Return And Beta In Sensex Component 60 M.P. Birla Institute of Management CONCLUSION
  61. 61. Analysis Of Return And Beta In Sensex Component 61 M.P. Birla Institute of Management CONCLUSION In India the investors being irrational play a lot with the numbers when comes to investing decisions rather than analyzing the various factors that affect the stock prices. Because of this investment decisions they are losing a lot of money. According to the research we can conclude that there is no specific format or trend when comes to Beta and returns in the BSE Index. So being a portfolio manager one has to analyze and to do various fundamental and technical analysis to come up being rational than to speculate by being considering historical status for investing decisions. Because of the volatility and varying nature of the stock market proper analysis should be done for investing approach From our research we can conclude that the Infrastructure, Banking, Iron and Steel, Information Technology and Automobile sectors doing wonderfully well with good returns but has beta more than one which indicates that it also difficult to assess its stock prices as it is very much volatile Finally we can conclude from the research is that there is no specific format or trend in BSE Index stocks.
  62. 62. Analysis Of Return And Beta In Sensex Component 62 M.P. Birla Institute of Management BIBLIOGRAPHY
  63. 63. Analysis Of Return And Beta In Sensex Component 63 M.P. Birla Institute of Management WEBSITES: • www.google.com • www.Capitaline.com • www.moneycontrol.com • www.jstor.com • www.wikipedia.com BOOKS: • FINANCIAL MANAGEMENT: Prof Prasanna Chandra • SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT: Prof Prasanna Chandra.
  64. 64. Analysis Of Return And Beta In Sensex Component 64 M.P. Birla Institute of Management ANNEXURE
  65. 65. Analysis Of Return And Beta In Sensex Component 65 M.P. Birla Institute of Management 2001 NAME OF STOCK op cs return % Rank Beta Acc 160 151.8 -5.125 11 1.464 Ambuja cement ltd 21.59 25.33 17.32283 2 0.738 Bharthi airtel 0 Cipla 84 91.06 8.404762 5 0.6474 DLF 0 Grasim 290.5 274.6 -5.47332 13 0.9123 HDFC 271 331.53 22.33579 1 0.2866 Hindalco Ltd 70.06 60.8 -13.2172 15 0.4359 ICICI Bank 153.5 88 -42.671 23 1.1169 Jaiprakash 0 L & T 98.5 95.7 -2.84264 10 1.0422 Maruthi Suzuki 0 Reliance com 0 Reliance energy 199 198.35 -0.32663 9 0.6629 Sbi 182.1 172.24 -5.41461 12 0.8451 Satym 159.85 118.15 -26.087 18 2.3433 TATA Steel 77.48 51.38 -33.6861 21 1.04 TCS 0 M & M 75 44.63 -40.4933 22 0.993 infosys 714.88 509.2 -28.7713 19 1.9598 TATA MOTARS 89.4 99.8 11.63311 3 0.9925 BHEL 81.25 70.3 -13.4769 16 0.9153 HUL 207.5 223.65 7.783133 6 0.73 NTPC 0 RANBAXY 211.58 215.73 1.961433 7 0.83 WIPRO 399.83 267 -33.2216 20 2.2138 ITC 59.94 45.12 -24.7247 17 0.6208 Reliance Industries Ltd 276.38 248.09 -10.2359 14 1.1028 HDFC Bank 222.85 224.7 0.830155 8 0.5941 ONGC 81.33 89.6 10.16845 4 0.5691 sensex 3990.65 3262.33 -18.2507
  66. 66. Analysis Of Return And Beta In Sensex Component 66 M.P. Birla Institute of Management 2002 NAME OF STOCK op cs return % ranks Beta Acc 152 165.1 8.618421 14 1.1039 Ambuja cement ltd 25.35 21.78 -14.0828 21 0.8113 Bharthi airtel 55 22.9 -58.3636 24 0.8065 Cipla 92.4 71.95 -22.132 23 0.237 DLF 0 Grasim 276 315.25 14.22101 11 0.5904 HDFC 335 358.2 6.925373 15 0.2386 Hindalco Ltd 59.64 55.16 -7.51174 20 0.3777 ICICI Bank 90 140.55 56.16667 4 0.8766 Jaiprakash 0 L & T 96.4 106.78 10.76763 13 0.76 Maruthi Suzuki 0 Reliance com 0 Reliance energy 198.8 222.25 11.79577 12 0.3701 Sbi 172.66 266.69 54.45963 5 0.8204 Satym 116.8 138.95 18.96404 9 2.0251 TATA Steel 52.06 89.27 71.47522 2 1.12 TCS 0 M & M 45 56.35 25.22222 7 1.2 infosys 509.38 596.39 17.08155 10 1.3617 TATA MOTARS 101.05 161.35 59.67343 3 1.2568 BHEL 70.25 86.3 22.84698 8 0.9588 HUL 223.5 181.75 -18.6801 22 0.9464 NTPC 0 RANBAXY 218.27 296.63 35.90049 6 0.709 WIPRO 265.21 271.77 2.473512 16 1.1204 ITC 44.71 44.03 -1.52091 17 0.6396 Reliance Industries Ltd 249.59 242.03 -3.02897 19 1.17 HDFC Bank 224.6 219 -2.49332 18 0.513 ONGC 92 233.2 153.4783 1 0.7956 sensex 3262.01 3377.28 3.533711
  67. 67. Analysis Of Return And Beta In Sensex Component 67 M.P. Birla Institute of Management 2003 NAME OF STOCK op cs return % ranks Beta Acc 165.5 245.55 48.36858 19 1.1255 Ambuja cement ltd 21.87 40.51 85.23091 15 0.8361 Bharthi airtel 23.5 105.1 347.234 1 0.5418 Cipla 72.32 105.38 45.7135 21 0.5109 DLF 0 Grasim 315.9 1003.95 217.8063 3 0.9572 HDFC 358 644.35 79.98603 17 0.2939 Hindalco Ltd 54.57 132.47 142.7524 8 0.6727 ICICI Bank 141.7 295.7 108.6803 12 0.914 Jaiprakash 0 L & T 106.85 263.68 146.7759 7 0.92 Maruthi Suzuki 158.4 376.3 137.5631 9 1.3526 Reliance com 0 Reliance energy 221.6 510.9 130.5505 10 1.0677 Sbi 267.02 508.09 90.28163 14 0.9902 Satym 140.05 183.68 31.15316 22 1.9873 TATA Steel 89.62 261.64 191.9438 4 1.3 TCS 0 M & M 56.53 194.53 244.1182 2 1.2262 infosys 595.25 695.46 16.83494 23 1.5784 TATA MOTARS 161.45 452.3 180.1487 6 1.2113 BHEL 87 253.98 191.931 5 0.8968 HUL 182.3 204.7 12.28744 24 0.9962 NTPC 0 RANBAXY 298.9 549.1 83.70693 16 0.6508 WIPRO 274.06 289.6 5.670291 25 1.7877 ITC 44.26 65.64 48.30547 20 0.6616 Reliance Industries Ltd 243.9 465.85 91.00041 13 1.187 HDFC Bank 219.775 366.65 66.82971 18 0.5222 ONGC 234.97 533 126.8375 11 0.9131 sensex 3383.85 5838.96 72.55375
  68. 68. Analysis Of Return And Beta In Sensex Component 68 M.P. Birla Institute of Management 2004 NAME OF STOCK op cs return % ranks Beta Acc 245.9 338.7 37.73892 9 1.0873 Ambuja cement ltd 40.81 53.54 31.19333 11 1.0357 Bharthi airtel 106.25 215.6 102.9176 1 1.0346 Cipla 107.12 126.9 18.46527 19 0.7709 DLF 0 Grasim 1010 1322.35 30.92574 12 0.9124 HDFC 648.5 766.1 18.13416 20 0.4293 Hindalco Ltd 134.02 134.21 0.14177 26 0.7719 ICICI Bank 259.7 370.75 42.76088 7 0.9693 Jaiprakash 23.4 37.99 62.35043 3 1.4335 L & T 265 491 85.28302 2 0.49 Maruthi Suzuki 376 461.25 22.67287 17 1.3146 Reliance com 0 Reliance energy 514.95 524.4 1.83513 24 1.4851 Sbi 510.35 615.6 20.6231 18 1.4293 Satym 185 204.95 10.78378 23 1.0202 TATA Steel 265.14 340.66 28.48307 14 1.438 TCS 538 667.75 24.1171 16 1.01 M & M 196 272.25 38.90306 8 1.0563 infosys 700.63 1044.5 49.08011 5 0.9167 TATA MOTARS 455 505.15 11.02198 22 1.3794 BHEL 256 384.95 50.37109 4 1.3626 HUL 206.05 143.5 -30.3567 28 0.7058 NTPC 70 87.35 24.78571 15 1.0473 RANBAXY 550.05 625.7 13.7533 21 0.5373 WIPRO 290.73 374 28.6417 13 1.3237 ITC 66.27 87.32 31.764 10 0.7584 Reliance Industries Ltd 464.23 433.98 -6.51617 27 1.201 HDFC Bank 362 518.85 43.32873 6 0.6697 ONGC 539.8 546.37 1.217117 25 1.1246 sensex 5872.48 6602.69 12.43444
  69. 69. Analysis Of Return And Beta In Sensex Component 69 M.P. Birla Institute of Management 2005 NAME OF STOCK op cs return % ranks Beta Acc 339.65 534.2 57.27955 9 1.0433 Ambuja cement ltd 54 79.6 47.40741 12 0.09557 Bharthi airtel 218.9 345.7 57.92599 8 1.0845 Cipla 128 177.36 38.5625 15 0.8952 DLF 0 Grasim 1335 1391.25 4.213483 26 0.7923 HDFC 769 1205.35 56.74252 10 0.4678 Hindalco Ltd 135.45 143.4 5.869324 25 0.9848 ICICI Bank 374.85 584.7 55.98239 11 Jaiprakash 37.2 77.79 109.1129 1 1.1597 L & T 494.35 922.1 86.52776 2 0.8942 Maruthi Suzuki 461 636.5 38.06941 17 1.1034 Reliance com 0 Reliance energy 525 604.5 15.14286 24 1.0602 Sbi 618.01 856.2 38.54145 16 1.2292 Satym 206 368.9 79.07767 5 1.32 TATA Steel 345.57 336.11 -2.73751 27 1.11 TCS 674.9 851.23 26.12683 22 0.8586 M & M 274.9 512.05 86.26773 3 0.9746 Infosys 1049.5 1498.38 42.77084 13 1.1085 TATA MOTARS 509.75 653 28.10201 20 1.1752 BHEL 385.5 693.13 79.80026 4 0.9726 HUL 144.2 197.25 36.78918 18 0.8578 NTPC 87.9 112.5 27.98635 21 0.792 RANBAXY 626 362.35 -42.1166 28 0.7995 WIPRO 376.5 463.45 23.09429 23 1.2961 ITC 88.3 142 60.8154 7 0.7751 Reliance Industries Ltd 422.81 723.29 71.06738 6 1.0525 HDFC Bank 522 707.45 35.52682 19 0.6942 ONGC 551.94 783.3 41.9176 14 0.9194 sensex 6626.49 9397.93 41.82365
  70. 70. Analysis Of Return And Beta In Sensex Component 70 M.P. Birla Institute of Management 2006 NAME OF STOCK op cs returns % ranks Beta Acc 538 1085.55 101.7751 1 1.0429 Ambuja cement ltd 80 141.3 76.625 6 0.97701 Bharthi airtel 348.9 628.85 80.23789 4 0.84 Cipla 178 250.7 40.8427 16 0.7983 DLF 0 Grasim 1391 2789.1 100.5104 2 1.21 HDFC 1212 1624.55 34.03878 19 0.5776 Hindalco Ltd 148 174.1 17.63514 25 1.25 ICICI Bank 586.25 890.4 51.8806 11 Jaiprakash 77.6 145.28 87.21649 3 1.3876 L & T 922.5 1442.95 56.41734 10 1.14 Maruthi Suzuki 634.9 927.35 46.06237 14 1.1497 Reliance com 290 471.3 62.51724 9 1.3041 Reliance energy 607 519.75 -14.374 29 0.9632 Sbi 858.41 1175.53 36.94272 18 0.8074 Satym 370.35 483.95 30.67369 20 1.052 TATA Steel 337.62 426.26 26.25437 22 1.479 TCS 853.5 1218.6 42.7768 15 0.9273 M & M 512 905.85 76.92383 5 0.9867 infosys 1500 2240.5 49.36667 13 0.9085 TATA MOTARS 650 900.25 38.5 17 1.1802 BHEL 697 1149.08 64.86083 8 1.08 HUL 197 216.55 9.923858 27 1.0514 NTPC 112 136.4 21.78571 24 0.7682 RANBAXY 364.4 391.85 7.532931 28 0.8294 WIPRO 464 604.55 30.29095 21 1.0978 ITC 142.5 175.95 23.47368 23 1.0683 Reliance Industries Ltd 726.38 1270.35 74.8878 7 1.0399 HDFC Bank 710.9 1069.75 50.47827 12 0.715 ONGC 783.34 870.05 11.06927 26 0.8571 sensex 9422.7 13786.91 46.31592
  71. 71. Analysis Of Return And Beta In Sensex Component 71 M.P. Birla Institute of Management 2007 NAME OF STOCK op cs return% ranks Beta Acc 1099 1024 -6.82439 24 1.0302 Ambuja cement ltd 144.8 146 0.828729 21 0.5531 Bharthi airtel 635 994.55 56.62205 13 1.0834 Cipla 253.4 212.6 -16.101 28 0.5486 DLF 582 1073 84.36426 8 1.233 Grasim 2800 3651.6 30.41429 16 0.8 HDFC 1615 2872.45 77.86068 10 0.649 Hindalco Ltd 175.4 214.85 22.49145 17 0.9593 ICICI Bank 899 1232.4 37.08565 15 Jaiprakash 145.69 426.05 192.436 3 1.2166 L & T 1400 4171.85 197.9893 2 1.2 Maruthi Suzuki 932.1 990.05 6.217144 20 1.0043 Reliance com 471 746.5 58.49257 12 1.2007 Reliance energy 523 2134.6 308.1453 1 1.3115 Sbi 1176.57 2237.09 90.13658 7 1.2519 Satym 486 449.16 -7.58025 25 0.8251 TATA Steel 427.76 934.8 118.5338 6 1.188 TCS 1250 1083.35 -13.332 26 0.7124 M & M 912 860.8 -5.61404 23 0.908 infosys 2242 1768.4 -21.124 30 0.7182 TATA MOTARS 900.9 742.5 -17.5824 29 0.9422 BHEL 1151 2584.25 124.5222 5 1.21 HUL 218 213.9 -1.88073 22 0.57 NTPC 137.5 250.05 81.85455 9 0.834 RANBAXY 393 425.95 8.384224 19 0.6241 WIPRO 607.9 525.6 -13.5384 27 0.89 ITC 177.9 210.3 18.21248 18 0.5433 Reliance Industries Ltd 1252.55 2881.05 130.0148 4 1.0995 HDFC Bank 1070 1727.8 61.47664 11 787 ONGC 878 1236.5 40.83144 14 1.0374 sensex 13827.77 20286.99 46.71194
  72. 72. Analysis Of Return And Beta In Sensex Component 72 M.P. Birla Institute of Management 2008 NAME OF STOCK op cs return ranks Beta Acc 1035 782.75 -24.372 21 0.9892 Ambuja cement ltd 147.55 114.8 -22.1959 18 0.3595 Bharthi airtel 1010 925.3 -8.38614 8 0.6216 Cipla 215 224.3 4.325581 3 0.5417 DLF 1051.1 668.75 -36.3762 29 1.4226 Grasim 3625 2648.9 -26.9269 25 0.7827 HDFC 2925 2694 -7.89744 7 0.6924 Hindalco Ltd 218.9 189 -13.6592 12 1.4325 ICICI Bank 1235 916.15 -25.8178 22 Jaiprakash 430 245.7 -42.8605 30 1.76 L & T 4191 2971.35 -29.1016 27 1.0462 Maruthi Suzuki 1005 737.25 -26.6418 24 0.4284 Reliance com 749.7 577.05 -23.0292 19 1.2276 Reliance energy 2134.6 1358.9 -36.3394 28 1.7464 Sbi 2246.52 1750.1 -22.0973 17 0.8558 Satym 446 444.6 -0.3139 5 0.738 TATA Steel 938 803.3 -14.3603 14 1.038 TCS 1065.1 889.8 -16.4585 16 0.8149 M & M 862 635.75 -26.2471 23 0.7015 infosys 1758 1686.45 -4.06997 6 0.8109 TATA MOTARS 742.5 639.1 -13.9259 13 0.7206 BHEL 2585 1866.7 -27.7872 26 1.0266 HUL 214.2 249.75 16.59664 1 0.6808 NTPC 254 192.6 -24.1732 20 1.3381 RANBAXY 430 478.8 11.34884 2 0.6452 WIPRO 522 466.2 -10.6897 9 0.8 ITC 212 212.75 0.353774 4 0.7951 Reliance Industries Ltd 2950 2624.5 -11.0339 10 1.1618 HDFC Bank 1728 1498.1 -13.3044 11 0.7982 ONGC 1248 1055 -15.4647 15 1.0625 sensex 20325.27 17125.98 -15.7405

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