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    Ricky Kalra
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    The document contains monthly stock return data for SBI bank and TATA motors from December 2009 to October 2010. It calculates the beta for each stock's returns compared to the market index returns over the same period. SBI bank was found to have a beta of 1.147579, while TATA motors had a higher beta of 1.239023, indicating that TATA motors' returns were more volatile than the overall market.

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    The document contains monthly stock return data for SBI bank and TATA motors from December 2009 to October 2010. It calculates the beta for each stock's returns compared to the market index returns over the same period. SBI bank was found to have a beta of 1.147579, while TATA motors had a higher beta of 1.239023, indicating that TATA motors' returns were more volatile than the overall market.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    11 views8 pages

    Afm Project

    Uploaded by

    Ricky Kalra
    The document contains monthly stock return data for SBI bank and TATA motors from December 2009 to October 2010. It calculates the beta for each stock's returns compared to the market index returns over the same period. SBI bank was found to have a beta of 1.147579, while TATA motors had a higher beta of 1.239023, indicating that TATA motors' returns were more volatile than the overall market.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 8

    Market Portfolio from DEC'09 to SEP'10

    (Rm)
    Beginning End Return
    DEC 5122 5201.05 1.54
    JAN 5232.2 4882.05 -6.69
    FEB 4899.7 4922.3 0.46
    MARCH 5017 5249.1 4.62
    APR 5290.5 5278 -0.23
    MAY 5222.75 5086.3 -2.61
    JUN 4970.2 5312.5 6.89
    JULY 5251.4 5367.6 2.21
    AUG 5431.65 5402.4 -0.54
    SEP 5471.85 6029.95 10.2
    Share price of SBI bank from DEC'09 to JAN'10

    (Rj)
    Beginning End Return
    DEC 2308.95 2269 -1.760688
    JAN 2291.2 2056.6 -11.40718
    FEB 2021.25 1974.3 -2.378058
    MAR 1986.65 2078.2 4.405255
    APR 2102.6 2300.7 8.610423
    MAY 2297.15 2268.8 -1.249559
    JUN 2209.65 2302 4.011729
    JULY 2262.25 2502.9 9.614847
    AUG 2586.35 2766.4 6.508459
    SEP 2773.4 3240.45 14.41312
    CALCULATION OF BETA

    Months Rj Rm Rj - R‾j Rm - R‾m (Rm-R‾m)(Rj-R‾j) (Rm-R‾m)(Rm-R‾m)


    DEC -1.76 1.54 -4.837 -0.05 0.24185 0.0025
    JAN -11.4 -6.69 -14.477 -8.28 119.8696 68.5584
    FEB -2.38 0.46 -5.457 -1.13 6.16641 1.2769
    MAR 4.41 4.62 1.333 3.03 4.03899 9.1809
    APR 8.61 -0.23 5.533 -1.82 -10.07006 3.3124
    JUN -1.25 -2.61 -4.327 -4.2 18.1734 17.64
    JULY 4.01 6.89 0.933 5.3 4.9449 28.09
    AUG 9.61 2.21 6.533 0.62 4.05046 0.3844
    SEP 6.51 -0.54 3.433 -2.13 -7.31229 4.5369
    OCT 14.41 10.2 11.333 8.61 97.57713 74.1321
    237.6804 207.1145
    26.40893 23.01272

    R‾j= 3.077R‾m= 1.59 Cov(Rj,Rm)=26.40 Var(Rm)=23.01

    Beta 1.147579

    Alpha 1.2485
    sbi
    Share price of TATA motors from DEC'09 to OCT'10

    (Rj)
    Beginning End Return
    DEC 700.75 792.6 11.58844
    JAN 827.4 694.35 -19.16181
    FEB 719.05 711.05 -1.125097
    MAR 797.1 755.7 -5.478364
    APR 775.9 872.85 11.10729
    JUN 855.55 754.65 -13.37044
    JULY 725.65 778.35 6.770733
    AUG 762.95 846.15 9.832772
    SEP 847.6 1007.45 15.86679
    OCT 1008.55 1097.3 8.088034
    09 to OCT'10
    CALCULATION OF BETA

    Months Rj Rm Rj - R‾j Rm - R‾m (Rj - R‾j)(Rm - R‾m) (Rm - R‾m)(Rm - R‾m)


    JAN 11.59 1.54 9.178 -0.05 -0.4589 0.0025
    FEB -19.16 -6.69 -21.572 -8.28 178.6162 68.5584
    MAR -1.13 0.46 -3.542 -1.13 4.00246 1.2769
    APR -5.48 4.62 -7.892 3.03 -23.91276 9.1809
    MAY 11.11 -0.23 8.698 -1.82 -15.83036 3.3124
    JUN -13.37 -2.61 -15.782 -4.2 66.2844 17.64
    JULY 6.77 6.89 4.358 5.3 23.0974 28.09
    AUG 9.83 2.21 7.418 0.62 4.59916 0.3844
    SEP 15.87 -0.54 13.458 -2.13 -28.66554 4.5369
    OCT 8.09 10.2 5.678 8.61 48.88758 74.1321
    256.6196 207.1145

    28.51329 23.01272

    R‾j=2.412 R‾m=1.59 Cov(Rj,Rm) Var(Rm)=23.01

    Beta 1.239023

    Alpha 0.4404
    tata

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