Capm Assignment

F-102 QUANTITATIVE METHODS ASSIGNMENT

CAPM

SUBMITTED TO

Prof. Pankaj Sinha FMS, UNIVERSITY OF DELHI

SUBMITTED BY ASHISH NEGI MBA 1ST YEAR ROLL NO 161

SUMMARY OUTPUT

GODREJ

Regression Statistics Multiple R 0.17048 R Square 0.029063 Adjusted R Square 0.02711 Standard Error 1.603361 Observation s 499 ANOVA df Regression

SS 1

38.24484

497 498

1277.671 1315.916

Coefficien ts

Standard Error

Intercept

2.021317

0.503955

X Variable 1

0.231487

0.060017

Residual Total

MS 38.2448 4 2.57076 7

t Stat 4.01090 6 3.85704 8

F 14.8768 2

Significan ce F 0.00013

Lower 95%

P-value 6.98E05

1.031172

0.00013

0.113569

Upper 95% 3.01146 2 0.34940 4

Lower 95.0% 1.03117 2 0.11356 9

Upper 95.0% 3.01146 2 0.34940 4

Test if CAPM is Valid at 5% at 5% significance level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025 Significance Level T-Statistic @ 0.975 Significance Level Reject H0 if t > 1.9647 or t < -1.9647

-1.9647

1.9647

Standard Error

0.060016589

Estimated Hypothesis

0.231486858

T-Statistic

3.857047902

Ho is rejected, and hence beta is significant enough

SUMMARY OUTPUT

HUL

Regression Statistics Multiple R 0.338926 R Square 0.114871 Adjusted R Square 0.11309 Standard Error 1.329274 Observation s 499 ANOVA df Regression Residual Total

Intercept X Variable 1

SS 1

113.9693

497 498

878.1838 992.1531

Coefficien ts

Standard Error

0.12366

0.059527

0.408978

0.050924

MS 113.969 3 1.76696 9

F 64.4998 8

t Stat 2.07739 6 8.03118 2

P-value 0.03827 8 7.05E15

Significan ce F 7.05E-15

Lower 95% 0.006706 0.308926

Upper 95% 0.24061 5 0.50903 1

Lower 95.0% 0.00670 6 0.30892 6

Upper 95.0% 0.24061 5 0.50903 1

Test if CAPM is Valid at 5% at 5% significance level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025 Significance Level T-Statistic @ 0.975 Significance Level Reject H0 if t > 1.9647 or t < -1.9647

-1.9647

1.9647

Standard Error

0.050923781

Estimated Hypothesis

0.408978139

T-Statistic

8.031181769

Ho is rejected, and hence beta is significant enough

SUMMARY OUTPUT

BRITANIA

Regression Statistics Multiple R 0.246206 R Square 0.060617 Adjusted R Square 0.058727 Standard Error 1.375204 Observation s 499 ANOVA df Regression

SS 1

60.65217

497 498

939.92 1000.572

Coefficien ts

Standard Error

Intercept

0.029328

0.061583

X Variable 1

0.298352

0.052683

Residual Total

MS 60.6521 7 1.89118 7

F 32.0709 5

t Stat 0.47623 6 5.66312 2

P-value 0.63411 6 2.52E08

Significan ce F 2.52E-08

Lower 95% -0.09167 0.194843

Upper 95% 0.15032 4 0.40186 2

Lower 95.0% 0.09167 0.19484 3

Upper 95.0% 0.15032 4 0.40186 2

Test if CAPM is Valid at 5% at 5% significance level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025 Significance Level

T-Statistic @ 0.975 Significance Level Reject H0 if t > 1.9647 or t < -1.9647

-1.9647

1.9647

Standard Error Estimated Hypothesis

0.052683347

T-Statistic

5.663121901

0.298352219

Ho is rejected, and hence beta is significant enough

SUMMARY OUTPUT

NESTLE

Regression Statistics Multiple R 0.22058 R Square 0.048655 Adjusted R Square 0.046741 Standard Error 1.389475 Observatio ns 499 ANOVA df Regression

1

Residual

497

Total

498

Intercept X Variable 1

SS 49.073 99 959.52 86 1008.6 03

Standa Coefficients rd Error 0.0622 0.054016 23 0.0532 0.268369 3

MS 49.0739 9 1.93064 1

t Stat 0.86811 8 5.04167 6

F 25.4185

P-value 0.38574 9 6.48E07

Significanc eF 6.48E-07

Lower 95% -0.06824 0.163785

Upper 95% 0.17626 8 0.37295 2

Lower 95.0% 0.06824 0.16378 5

Upper 95.0% 0.17626 8 0.37295 2

Test if CAPM is Valid at 5% at 5% significance level Two Tailed Test H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025 Significance Level

-1.9647

T-Statistic @ 0.975 Significance Level Reject H0 if t > 1.9647 or t < -1.9647 Standard Error

1.9647

0.05323005

Estimated Hypothesis

0.268368675

T-Statistic

5.041676132

Ho is rejected, and hence beta is significant enough

SUMMARY OUTPUT

DABUR

Regression Statistics Multiple R 0.26315 R Square 0.069248 Adjusted R Square 0.067375 Standard Error 1.392119 Observation s 499 ANOVA df Regression Residual Total

Intercept X Variable 1

SS 1

71.66098

497 498

963.1838 1034.845

Coefficien ts

Standard Error

MS 71.6609 8 1.93799 6

F 36.9768 6

P-value 0.48436 5 2.39E09

0.043628

0.062341

t Stat 0.69982 3

0.3243

0.053331

6.08086

Significan ce F 2.39E-09

Lower 95% -0.07886 0.219518

Upper 95% 0.16611 2 0.42908 3

Lower 95.0% 0.07886 0.21951 8

Upper 95.0% 0.16611 2 0.42908 3

Test if CAPM is Valid at 5% at 5% significance level

Two Tailed Test

H0

b2=0

Ha

b2!=0

T-Statistic @ 0.025 Significance Level T-Statistic @ 0.975 Significance Level Reject H0 if t > 1.9647 or t < -1.9647

-1.9647 1.9647

Standard Error

0.053331341

Estimated Hypothesis

0.324300408

T-Statistic

6.080859785

Ho is rejected, and hence beta is significant enough