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    Prem Bhandari
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    The document contains the output of regression analyses conducted on two datasets, showing the regression statistics, ANOVA tables, and coefficient values. It also includes monthly stock price data for Tata Steel, JSW Steel, and the S&P BSE Sensex index from April 2019 to March 2021 along with the corresponding log returns. The final section shows additional calculations for Tata Steel including average return, risk-free return, expected return using CAPM, correlation with the index, beta values, and portfolio calculations.

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    The document contains the output of regression analyses conducted on two datasets, showing the regression statistics, ANOVA tables, and coefficient values. It also includes monthly stock price data for Tata Steel, JSW Steel, and the S&P BSE Sensex index from April 2019 to March 2021 along with the corresponding log returns. The final section shows additional calculations for Tata Steel including average return, risk-free return, expected return using CAPM, correlation with the index, beta values, and portfolio calculations.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    14 views5 pages

    Analysis

    Uploaded by

    Prem Bhandari
    The document contains the output of regression analyses conducted on two datasets, showing the regression statistics, ANOVA tables, and coefficient values. It also includes monthly stock price data for Tata Steel, JSW Steel, and the S&P BSE Sensex index from April 2019 to March 2021 along with the corresponding log returns. The final section shows additional calculations for Tata Steel including average return, risk-free return, expected return using CAPM, correlation with the index, beta values, and portfolio calculations.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    of 5

    SUMMARY OUTPUT

    Regression Statistics
    Multiple R 0.850571
    R Square 0.723472
    Adjusted R 0.710304
    Standard E 0.07963
    Observatio 23

    ANOVA
    df SS MS F Significance F
    Regression 1 0.348382 0.348382 54.94162 2.737E-07
    Residual 21 0.13316 0.006341
    Total 22 0.481542

    Coefficients
    Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
    Upper 95.0%
    Intercept 0.001371 0.016758 0.081805 0.935576 -0.03348 0.036222 -0.03348 0.036222
    X Variable 1.626839 0.219479 7.412262 2.737E-07 1.170406 2.083271 1.170406 2.083271
    SUMMARY OUTPUT

    Regression Statistics
    Multiple R 0.805612
    R Square 0.649011
    Adjusted R 0.632297
    Standard E 0.096849
    Observatio 23

    ANOVA
    df SS MS F Significance F
    Regression 1 0.364221 0.364221 38.83097 3.511E-06
    Residual 21 0.196973 0.00938
    Total 22 0.561194

    Coefficients
    Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
    Upper 95.0%
    Intercept 0.001019 0.020382 0.050004 0.960592 -0.041368 0.043406 -0.041368 0.043406
    X Variable 1.663409 0.266938 6.23145 3.511E-06 1.108282 2.218537 1.108282 2.218537
    TATA STEEL JSW STEEL S&P BSE SENSEX
    Month Close Price Log return Month Close Price Log return Month
    Apr-19 307.9 Apr-19 34.3 Apr-19
    May-19 271.55 -0.1256288 May-19 30.4 -0.120703 May-19
    Jun-19 276.5 0.01806454 Jun-19 29.8 -0.019934 Jun-19
    Jul-19 237.25 -0.1530964 Jul-19 26.45 -0.119252 Jul-19
    Aug-19 217.3 -0.0878356 Aug-19 21.3 -0.216549 Aug-19
    Sep-19 230.05 0.05701779 Sep-19 22.35 0.048119 Sep-19
    Oct-19 227.85 -0.0096092 Oct-19 23.85 0.064958 Oct-19
    Nov-19 261.25 0.13679029 Nov-19 26.95 0.122199 Nov-19
    Dec-19 269.9 0.03257372 Dec-19 29.8 0.100525 Dec-19
    Jan-20 250.75 -0.0735951 Jan-20 28 -0.062304 Jan-20
    Feb-20 235.55 -0.0625332 Feb-20 23.8 -0.162519 Feb-20
    Mar-20 146.45 -0.4752391 Mar-20 16.45 -0.36936 Mar-20
    Apr-20 180.9 0.21126032 Apr-20 18.2 0.101096 Apr-20
    May-20 183.95 0.01671959 May-20 17.75 -0.025036 May-20
    Jun-20 189.6 0.03025261 Jun-20 20.5 0.144039 Jun-20
    Jul-20 220.2 0.14961963 Jul-20 21.85 0.063776 Jul-20
    Aug-20 269.9 0.2035153 Aug-20 24.35 0.108331 Aug-20
    Sep-20 277.7 0.02848987 Sep-20 20.95 -0.150393 Sep-20
    Oct-20 308.9 0.10647621 Oct-20 24.85 0.170719 Oct-20
    Nov-20 350.5 0.12634311 Nov-20 35.3 0.351025 Nov-20
    Dec-20 387.3 0.09983888 Dec-20 39.8 0.119984 Dec-20
    Jan-21 368 -0.0511166 Jan-21 37.7 -0.054207 Jan-21
    Feb-21 395.8 0.07282609 Feb-21 45.8 0.194624 Feb-21
    Mar-21 467.85 0.1672387 Mar-21 52.15 0.12984 Mar-21
    S&P BSE SENSEX
    Close Price Log return
    39031.55
    39714.2 0.017339 TATA STEEL
    39394.64 -0.008079 Average Return 0.018
    37481.12 -0.049792 Risk free return monthly 0.523
    37332.79 -0.003965 Expected rate of return using CAPM -0.311
    38667.33 0.035123 Risk 0.148
    40129.05 0.037105 correlation 0.813
    40793.81 0.01643 Beta 1.627
    41253.74 0.011211 Beta difference 0.037
    40723.49 -0.012937 co -efficent of variation 8.13
    38297.29 -0.061426 Portfolio Return -0.321
    29468.49 -0.262058 portfolio beta 1.645
    33717.62 0.134699 portfolio Risk 0.021
    32424.1 -0.039119
    34915.8 0.074037
    37606.89 0.074248
    38628.29 0.026798
    38067.93 -0.014613
    39614.07 0.039812 Risk-free return of Indian market 6.28% p.a
    44149.72 0.108402
    47751.33 0.07842
    46285.77 -0.031172
    49099.99 0.059024
    49509.15 0.008299
    JSW STEEL S&P BSE SENSEX weight
    0.018 0.010 0.5
    0.5
    -0.330
    0.160 0.077

    1.663

    8.77

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