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    Saeed Agha Ahmadzai
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    The regression analysis shows a weak positive linear relationship between the stock returns (Ri) of Attock Cement Pakistan Ltd and market returns (Rm). The multiple R is 0.229, R-squared is 0.053, and the slope coefficient is 0.553, indicating that approximately 5% of the variation in stock returns is explained by the market index. However, the F-statistic shows the relationship is not statistically significant. Based on the regression results, the stock appears to be overvalued relative to the market.

    Original Description:

    CApm operationalization on two Pakistani companies

    Original Title

    asssignment 1

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    The regression analysis shows a weak positive linear relationship between the stock returns (Ri) of Attock Cement Pakistan Ltd and market returns (Rm). The multiple R is 0.229, R-squared is 0.053, and the slope coefficient is 0.553, indicating that approximately 5% of the variation in stock returns is explained by the market index. However, the F-statistic shows the relationship is not statistically significant. Based on the regression results, the stock appears to be overvalued relative to the market.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    10 views8 pages

    Asssignment 1

    Uploaded by

    Saeed Agha Ahmadzai
    The regression analysis shows a weak positive linear relationship between the stock returns (Ri) of Attock Cement Pakistan Ltd and market returns (Rm). The multiple R is 0.229, R-squared is 0.053, and the slope coefficient is 0.553, indicating that approximately 5% of the variation in stock returns is explained by the market index. However, the F-statistic shows the relationship is not statistically significant. Based on the regression results, the stock appears to be overvalued relative to the market.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 8

    SUMMARY OUTPUT

    Regression Statistics
    Multiple R
    0.2295057765
    R Square
    0.0526729015
    Adjusted R Square
    -0.052585665
    Standard Error
    0.1642665767
    Observations
    11

    2 method

    ANOVA
    df
    Regression
    Residual
    Total

    Intercept
    Rm-Rf

    SS
    MS
    F
    1 0.013503 0.013503 0.500414
    9 0.242852 0.026984
    10 0.256355

    Coefficients Standard Error t Stat


    P-value
    -0.0176598862 0.050097 -0.352515 0.732566
    0.5532171243 0.782043
    0.7074 0.497226

    CAPM is Valid

    y = a + bx

    Significance F
    0.497226

    Lower 95%Upper 95%


    Lower 95.0%
    Upper 95.0%
    -0.130987 0.095667 -0.130987 0.095667
    -1.215887 2.322322 -1.215887 2.322322

    5%

    Attock Cement Pakistan Ltd

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

    Market Index
    10524
    11456
    11486
    11342
    9801
    9841
    10498
    10640
    10512
    11328
    10619
    10041
    Sum

    Rf
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074
    0.0074

    Closing Prices
    90.00
    79.50
    112.00
    108.00
    88.50
    91.00
    98.00
    87.85
    87.00
    81.00
    69.10
    67.50

    0.0890

    (Ri) = + (Rm-Rf)

    Ri
    -0.11667
    0.40881
    -0.03571
    -0.18056
    0.02825
    0.07692
    -0.10357
    -0.00968
    -0.06897
    -0.14691
    -0.02315

    Ri= ( Price Current Price previous) / Price previo


    Rm= (Index Current Index previous) / Index pre

    kistan Ltd
    Independent
    variable (X).

    Dependent
    variable (Y).

    Ri-Rf

    Rm
    0.08856
    0.00262
    -0.01254
    -0.13587
    0.00408
    0.06676
    0.01353
    -0.01203
    0.07763
    -0.06259
    -0.05443

    Rm-Rf
    0.08114
    -0.00480
    -0.01995
    -0.14328
    -0.00334
    0.05934
    0.00611
    -0.01945
    0.07021
    -0.07000
    -0.06185

    Ri-Rf
    -0.12408
    0.40139
    -0.04313
    -0.18797
    0.02083
    0.06951
    -0.11099
    -0.01709
    -0.07638
    -0.15433
    -0.03057

    0.50000
    0.40000
    0.30000
    0.20000
    0.10000

    0.00000
    f(x) = 0.5532171243x
    - 0.0176598862
    -0.20000 -0.15000 -0.10000 -0.05000 0.00000 0.05000 0.10
    -0.10000
    -0.20000
    -0.30000

    -0.10586
    1 Method Slope

    RRR
    AR

    0.553217124
    0.553217124
    0.553217124

    0.0304346454 Or 3.04%
    -0.8015299

    RRR>AR
    RRR<AR
    RRR=AR

    Overvalued
    Undervalued
    Fair valued

    ce previous) / Price previous


    ndex previous) / Index previous

    Ri-Rf

    0.50000

    0.40000

    0.30000

    Ri-Rf

    0.20000

    Linear (Ri-Rf)

    0.10000

    0.00000
    43x - 0.0176598862
    000 0.00000 0.05000 0.10000
    0.10000

    0.20000

    0.30000

    Overvalued.

    Date
    Jan-00
    Feb-00
    Mar-00
    Apr-00
    May-00
    Jun-00
    Jul-00
    Aug-00
    Sep-00
    Oct-00
    Nov-00
    Dec-00
    Jan-01
    Feb-01
    Mar-01
    Apr-01
    May-01
    Jun-01
    Jul-01
    Aug-01
    Sep-01
    Oct-01
    Nov-01
    Dec-01
    Jan-02
    Feb-02
    Mar-02
    Apr-02
    May-02
    Jun-02
    Jul-02
    Aug-02
    Sep-02
    Oct-02
    Nov-02
    Dec-02

    Market Index Value


    Date
    Index Value
    Index Value
    Jan-03
    1773
    2545
    Feb-03
    1931
    2399
    Mar-03
    2000
    2744
    Apr-03
    1901
    2902
    May-03
    1537
    3009
    Jun-03
    1521
    3402
    Jul-03
    1555
    3933
    Aug-03
    1518
    4461
    Sep-03
    1563
    4027
    Oct-03
    1488
    3781
    Nov-03
    1276
    4068
    Dec-03
    1508
    4472
    Jan-04
    1462
    4841
    Feb-04
    1423
    4840
    Mar-04
    1324
    5107
    Apr-04
    1367
    5430
    May-04
    1378
    5498
    Jun-04
    1366
    5279
    Jul-04
    1229
    5290
    Aug-04
    1258
    5346
    Sep-04
    1133
    5196
    Oct-04
    1406
    5332
    Nov-04
    1358
    5568
    Dec-04
    1273
    6218
    Jan-05
    1620
    6747
    Feb-05
    1744
    8260
    Mar-05
    1852
    7770
    Apr-05
    1899
    7105
    May-05
    1663
    6858
    Jun-05
    1770
    7450
    Jul-05
    1788
    7179
    Aug-05
    1975
    7797
    Sep-05
    2019
    8226
    Oct-05
    2279
    8247
    Nov-05
    2286
    9026
    Dec-05
    2701
    9557

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

    Index Value
    10524
    11456
    11486
    11342
    9801
    9841
    10498
    10640
    10512
    11328
    10619
    10041
    11272
    11180
    11272
    12370
    12961
    13773
    13739
    12215
    13352
    14320
    13999
    14076
    14017
    14934
    15125
    15122
    12130
    12289
    10583
    9208
    9179
    9050

    T-Bill Rates
    Year
    Avg. rate
    2002
    5.20%
    2003
    6.50%
    2004
    7.50%
    2005
    8.75%
    2006
    8.90%
    2007
    9.22%
    2008
    10.61%

    90.00
    79.50
    112.00
    108.00
    88.50
    91.00
    98.00
    87.85
    87.00
    81.00
    69.10
    67.50

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