INTRODUCTION

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 CHAPTER1

INTRODUCTION
1.1 INTRODUCTION TO THE TOPIC
This study deals with the relationship between share prices and share
dividends. Most financial textbooks point out that in a well-functioning capital market
these two variables should be related (e.g. Brealey and Myers, 1986); the present
value of the share should be equal to the dividend stream discounted by the return
earned on securities of comparable risk. Of course, this simple relationship only holds
in a world of certainty where investors have access to perfect information.
Nevertheless, Shiller (1981) demonstrates that a similar relationship should hold in a
world of uncertainty where investors have rational expectations.

1.2 SUBJECT BACKGROUND OF THE RESEARCH TOPIC

A substantive body of empirical research supports the view that share prices
are influenced by changes in company dividends. For example, questionnaire surveys
of investors indicate that dividend information plays an important part in their
assessment of the current value of a share (Arnold and Moizer, 1984; Pike,
Meerjanssan and Chadwick, 1993) while interviews with financial managers suggest
that companies take a great deal of care when setting their dividend level (Lintner,
1956). For example, Arnold and Moizer (1984) reported that 87% of the 202
investment analysts in their survey “almost always” estimated future dividend yields
when valuing shares. In Pike et al. (1993) dividend information was ranked third
behind price/earnings ratios and net assets per share, in terms of usefulness for share
valuation.

In addition, stock market studies demonstrate that share prices respond to

dividend news; dividend increases tend to be associated with share price increases
while dividend cuts are usually associated with share price falls (Pettit, 1972; Ahrony
and Swary, 1980; Abeyrathna et al., 1996). A small minority of authors has suggested
that dividend cuts may not be seen as bad news by investors; instead, they may
indicate that a company has profitable investments which it wishes to fund from
internal cash resources. For example, Woolridge and Ghosh (1984) cite the example

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of Gould Inc. where the share price increased by 2% on news of a 60% cut in
dividends; the authors suggested that Gould’s management had convinced the market
that the reduction in dividends was to be used to fund innovative investment.
Researchers such as Watts (1973), Johnson and Jensen (1995) and De Angelo, De
Angelo and Skinner (1996) argue that dividends do not act as a signal to investors
about the future prospects of the firm. These authors point out that dividend changes
tend not to be followed by earnings changes of the same sign. For example, they
demonstrate that dividend cuts usually indicate that the firm has already experienced
several years of financial pressure and are usually followed by earnings increases.

Once a company makes a profit, they must decide on what to do with those
profits. They could continue to retain the profits within the company, or they could
pay out the profits to the owners of the firm in the form of dividends. Once the
company decides on whether to pay dividends, they may establish a somewhat
permanent dividend policy, which may in turn impact on investors and perceptions of
the company in the financial markets. What they decide depends on the situation of
the company now and in the future. It also depends on the preferences of investors
and potential investors.

Dividends are payments made by a company to its shareholders. When

a company earns a profit, that money can be put to two uses: it can either be re-
invested in the business (called retained earnings), or it can be paid to the
shareholders of the company as a dividend. Many companies retain a portion of their
earnings and pay the remainder to their shareholders. Publicly-traded companies
usually pay dividends on a fixed schedule, commonly annually, bi-annually or
quarterly; however, they may declare a dividend at any time.

Dividends are usually paid in cash. Sometimes dividends instead take the form
of shares in the company (either newly-created shares or existing shares bought in the
market). Exceptionally, dividends might take the form of shares in other companies or
other assets.

The profits of a company can either be reinvested in the business or paid to its
shareholders as a beverage. The frequency of these varies by country. In the United
States dividends of publicly-traded companies are usually declared quarterly by the

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board of directors. In some other countries dividends are paid biannually, as an
interim dividend shortly after the company announces its interim results and a final
dividend typically following its annual general meeting. In other countries, the board
of directors will propose the payment of a dividend to shareholders at the annual
meeting who will then vote on the proposal.

Where a company makes a loss during a year, it may opt to continue paying
dividends from the retained earnings from previous years or to suspend the dividend.
Where a company receives a non-recurring gain, e.g. from the sale of some assets, and
has no plans to reinvest the proceeds, the money is often returned to shareholders in
the form of a special dividend.

Dividends are payments made by a company to its shareholders. When a

company earns a profit, that money can be put to two uses: it can either be re-invested
in the business (called retained earnings), or it can be paid to the shareholders of the
company as a dividend. Many companies retain a portion of their earnings and pay the
remainder to their shareholders. Publicly-traded companies usually pay dividends on a
fixed schedule, commonly annually, bi-annually or quarterly; however, they may
declare a dividend at any time.

Forms of payment

Cash

Cash dividends (most common) are those paid out in form of real cash. Such
dividends are a form of investment income and are usually taxable to the recipient in
the year they are paid. This is the most common method of sharing corporate profits
with the shareholders of the company.

Stock

Stock or scrip dividends are those paid out in form of additional stock shares
of the issuing corporation, or other corporation (e.g., its subsidiary corporation). They
are usually issued in proportion to shares owned (e.g., for every 100 shares of stock
owned, 5% stock dividend will yield 5 extra shares). This is very similar to a stock
split in that it increases the total number of shares while lowering the price of each

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share and does not change the market capitalization or the total value of the shares
held.

Property

Property dividends or dividends in specie (Latin for "in kind") are those paid
out in form of assets from the issuing corporation or another corporation, such as a
subsidiary corporation. They are relatively rare and most frequently are securities of
other companies owned by the issuer, however they can take other forms, e.g.
products or services provided by the corporation.

Dates

Dividends must be "declared" (approved) by a company’s Board of Directors

each time they are paid. There are four important dates to remember regarding
dividends. These are discussed in detail with examples at the Securities and Exchange
Commission site

Declaration date

The declaration date is the day the Board of Directors announces its intention
to pay a dividend. On this day, a liability is created and the company records that
liability on its books; it now owes the money to the stockholders. On the declaration
date, the Board will also announce a date of record and a payment date.

Ex-dividend date

The ex-dividend date is the day after which all shares bought and sold no
longer come attached with the right to be paid the most recently declared dividend.
This is an important date for any company that has many stockholders, including
those that trade on exchanges, as it makes reconciliation of who is to be paid the
dividend easier. Prior to this date, the stock is said to be cum dividend ('with
dividend'): existing holders of the stock and anyone who buys it will receive the
dividend, whereas any holders selling the stock lose their right to the dividend. On
and after this date the stock becomes ex dividend: existing holders of the stock will
receive the dividend even if they now sell the stock, whereas anyone who now buys
the stock now will not receive the dividend.

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Record date

Shareholders who properly registered their ownership on or before the date of

record will receive the dividend. Shareholders who are not registered as of this date
will not receive the dividend. Registration in most countries is essentially automatic
for shares purchased before the ex-dividend date.

Payment date

The payment date is the day when the dividend checks will actually be mailed
to the shareholders of a company or credited to brokerage accounts.

Dividends may affect capital structure.

• Retaining earnings increases common equity relative to debt.

• Financing with retained earnings is cheaper than issuing new common equity.

Dividend Policy and Stock Value

There are various theories that try to explain the relationship of a firm's
dividend policy and common stock value.

Dividend Irrelevance Theory

This theory purports that a firm's dividend policy has no effect on either its
value or its cost of capital. Investors value dividends and capital gains equally.

Optimal Dividend Policy

Proponents believe that there is a dividend policy that strikes a balance

between current dividends and future growth that maximizes the firm's stock price.

Dividend Relevance Theory

The value of a firm is affected by its dividend policy. The optimal dividend
policy is the one that maximizes the firm's value.

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 Dividend policy remains a source of controversy despite years of theoretical
and empirical research, including one aspect of dividend policy: the linkage between
dividend policy and stock price risk (Allen and Rachim, 1996). Paying large
dividends reduces risk and thus influence stock price (Gordon, 1963) and is a proxy
for the future earnings (Baskin, 1989). A number of theoretical mechanisms have
been suggested that cause dividend yield and payout ratios to vary inversely with
common stock volatility. These are duration effect, rate of return effect, arbitrage
pricing effect and information effect. Duration effect implies that high dividend yield
provides more near term cash flow. If dividend policy is stable high dividend stocks
will have a shorter duration. Gordon Growth Model can be used to predict that high-
dividend will be less sensitive to fluctuations in discount rates and thus ought to
display lower price volatility.

Agency cost argument, as developed by Jensen and Meckling (1976) proposed

that dividend payments reduce costs and increase cash flow, that is payment of
dividends motivates managers to disgorge cash rather than investing at below the cost
of capital or wasting it on organizational inefficiencies (Rozeff, 1982 and Easterbrook
1984). Some authors have stressed the importance of information content of dividend
(Asquith and Mullin, 1983; Born, Moser and officer 1983). Miller and Rock (1985)
suggested that dividend announcements provide the missing pieces of information
about the firm and allows the market to estimate the firm’s current earnings. Investors
may have greater confidence that reported earnings reflect economic profits when
announcements are accompanied by ample dividends. If investors are more certain in
their opinions, they may react less to questionable sources of information and their
expectation of value may be insulated from irrational influence.

Rate of return effect, as discussed by Gordon (1963), is that a firm with low
payout and low dividend yield may tend to be valued more in terms of future
investment opportunities (Donaldson, 1961). Consequently, its stock price may be
more sensitive to changing estimates of rates of return over distant time periods. Thus
expanding firms although may have lower payout ratio and dividend yield, exhibit
price stability. This may be because dividend yields and payout ratio serves as proxies
for the amount of projected growth opportunities. If forecasts of profits from growth
opportunities are less reliable than forecasts of returns on assets in place, firms with
low payout and low dividend yield may have greater price volatility. According to

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duration effect and arbitrage effect, the dividend yield and not the payout ratio is the
relevant measure. The rate of return effect implies that both dividend yield and payout
ratio matters. Dividend policy may serve as a proxy for growth and investment
opportunities. Both the duration effect and the rate of return effect assume
differentials in the timing of the underlying cash flow of the business. If the
relationship between risk and dividend policy remains after controlling for growth,
this would suggest evidence of either the arbitrage or information effect.

1.3THEORETICAL/FRAMEWORK/AND/MODEL/SPECIFICATION

Control variables:

Share price volatility should be related to the basic risks encountered in the
firm's product markets. Market risk may also have impact on the firm's dividend
policy. Therefore include a control variable to account for the variability in the firm's
earnings stream. Given operating risk, there should be a direct link between stock
price volatility and leverage. Under conditions of asymmetric information there is also
likely to be a link between borrowing and dividend policy. A control variable was
included to reflect corporate leverage. There are potential links between size and
volatility. Small firms are likely to be less diversified in their activities and less
subject to investor scrutiny. Institutions appear to concentrate their research activities
and investment policies on larger listed companies. The market in the stocks of small
listed firms could conceivably be less informed, more illiquid, and as a consequence
subject to greater price volatility. Baskin (1989) suggests that firms with a more
dispersed body of shareholders may be more disposed towards using dividend policy
as a signaling device. The latter may also be a function of size and thus a size control
was required.

Dividend payout policy could be inversely linked to growth and investment

opportunities. The previously mentioned duration and rate of return effects assume
timing differentials in the firm's underlying cash flows. A variable to reflect growth
was also included. The suggestion is that any remaining link between dividend policy
and stock price volatility, after controlling for the influence of growth, would be
suggestive of either the arbitrage or information effect. It is also possible that
systematic differences in market conditions, cost structures, regulatory restrictions
etc., may lead to differences in dividend policy.

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Variable definition

Price volatility (PV)

The dependent variable in the regression is derived by following the

Parkinson's (1980) extreme value estimate or estimating variance of the rate of return.
In this case, for each year, the annual range of stock prices will be divided by the
average of the high and low stock prices and then raised to the second power. These
average measures of variance for all available years can be transformed to a standard
deviation by using a square root transformation. Parkinson (1980) describes how this
method is far superior to the traditional method of estimation, which uses closing and
opening prices only.

Dividend yield (DY)

The variable was calculated by summing all the annual cash dividends paid to
common stock holders and then dividing this sum by the average market value of the
stock in the year. The average for all available years was utilized.

Earning volatility (EV)

In order to develop this variable, the first step is to obtain an average of

available years of the ratio of operating earnings (before taxes and interest) to total
assets. The next step is to calculate an average of the squared deviation from the
overall average. A square root transformation is then applied to the mean squared
deviation to obtain estimates of standard deviation.

Payout Ratio (POR)

To begin, total cumulative individual company earnings and dividends were

calculated for all years. Payout is the ratio of total dividends to total earnings. The use
of this procedure controls the problem of extreme values in individual years
attributable to low or possibly negative net income. The payout ratio is set to one in
cases where a total dividend exceeds total cumulative profits.

Size (SZ)

The variable size was constructed in a form that reflects the order of
magnitude in real terms. The variable was constructed by taking the average market

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value of common stocks. The value of real size (Rs. milllion) was averaged over the
period

Long-term Debt (DA)

The ratio of the sum of all the long-term debt (debt with maturity more than a
year) to total assets is taken. An average is taken over all available years.

Growth in Assets (ASg)

The yearly growth rate was calculated by taking the ratio of the change in total assets
in a year. Then the ratio was averaged over the years.

1.4 FACTORS RESPONSIBLE FOR PRICE FLUCTUATIONS

In a securities market, prices or returns show fluctuations for a variety of
reasons: changes in fundamental factors of firms, investors ‘endowments, tastes or
alternatively the attitudes towards risk, correct or incorrect anticipations or
expectations of investor and other market participants, differences in information and
mode of evaluation, transient imbalances between demand for and supply of
securities, and the nature and number of stabilizing forces, among others, cause prices
to fluctuate either from one point of equilibrium to another or above and below an
equilibrium point. The changes in fundamental factors cause prices or returns to shift
from one point of equilibrium to another. For instance, information regarding changes
in the economy, changes in policies, including industrial policy, as also the political
situation, and the social situation, influence the over all price behavior of a market.

Apart from fundamental factors, the transitory imbalances between supply of

and demand for securities may also cause price fluctuations. For instance, in the
absence of stabilizing forces, excess supply (demand) of securities in the short- run
causes the price to fall (rise). In the presence of stabilizing forces, such as traditional
speculators and value based investors, the extent of fluctuations tend to be small, as
these stabilizing forces act as buyers (sellers), when there is excess of supply
(demand), thus, arresting the magnitude of a fall (rise) in the price. However, the
stabilizing forces may not completely mitigate the price change; as such acts may not
bestow any benefit on them. These forces require a minimum extent of price change

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in order to undertake the act of stabilization of prices, which would give them scope
to earn a responsible reward.

The expectations and foresight of investors as well as speculators determine

the magnitude of price fluctuations to a large extent. If market participants anticipate
changes.

In either fundamental factors or other factors correctly, and if the change or

anticipated change comes about gradually, the prices move in a smooth fashion from
one point of equilibrium to another. On the contrary, when the anticipations prove to
be either too optimistic or too pessimistic, or the changes in these factors or
anticipations about them, undergo a sudden change, the prices move erratically, rather
than move in a smooth fashion resulting in greater price fluctuations.

The numbers of speculations in relation to other traders also influences the

extent of fluctuations. The traditional role of a speculator is to act as a buyer when
there is excess supply and as a seller when there is excess demand.

Changes in fundamental and other factors as well as corrector incorrect

anticipations also determine the short- term and the long- term price changes. If the
changes takes place gradually and anticipations prove to be correct, the short-term
fluctuations tend to be similar in magnitude as that of average long-term fluctuations,
as in this case, the short-term fluctuations or price changes tend to be one direction,
which add up to determine long- term fluctuations. On the contrary, if the
anticipations are not correct, irrespective of mode of arrival of information- whether
gradual or not gradual the average long-term fluctuations tend to be smaller than the
short-term fluctuations.

It is clear that the fluctuation of prices or price volatility is influenced by the

arrival of information- gradual or otherwise- and the correct or incorrect anticipation
of market participants. Further, the role played by speculators either corrects the
situation by minimizing the extent of fluctuations, or further accentuates fluctuations
and thereby destabilizes prices.

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RESEARCH DESIGN

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 CHAPTER 2
RESEARCH DESIGN

2.1 TITLE
A study on the correlation between the equity price movement and
dividend declaration.
2.2 BRIEF BACKGROUND
The dividend policy of a firm determines what proportion of earning is paid to
shareholders by way of dividends and what proportion is ploughed back in the firm
for reinvestment purposes.
If a firm’s capital budgeting decision is independent of its dividend policy, a
higher dividend payment will entail a greater dependence on external financing. Thus
the dividend policy has a bearing on the choice of financing. On the other hand, if a
firm’s capital budgeting decision on its dividend decision, a higher dividend payment
will cause shrinkage of its capital budget and vice versa. In such a case, the dividend
policy has a bearing on the capital budgeting decision.
A firm’s dividend payout ratio obviously depends on how earnings are
measured. For the sake of simplicity, we look at the accounting measure of earnings
and do not truly reflect a firm’s capacity to pay dividends.

2.3 STATEMENT OF PROBLEM

A number of studies have been conducted on correlation between equity price
movements and dividend declaration. It is not surprising that correlation between
equity price movement and dividend declaration have become an important area in
financial research considering its strong implications for corporate policy.
The principal objective of corporate financial management is to maximize the
market value of equity shares the key question of interest to general public is: What is
the relationship between dividend policy and market value of equity shares? This is
the most controversial and unresolved question in corporate finance.

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2.4 OBJECTIVES OF THE STUDY
• To identify the correlation between price movement of equities corresponding
with dividend declaration.
• To find out the good dividend yield companies for best investors
• To help investors to made wise investment strategy
• To show the beta and volatility calculation for measuring the risk and
variability of different companies share.

2.5 RESEARCH METHODOLOGY

. It covers the type of research used in this project, sample size chosen, sample
description, data collection. Each will be described separately under the following
headings.

Type of research

Research design is purely and simply the framework for a study that guides
the collection and analysis of data.

Sellitz and others (1962) define the research design as the arrangement of data
collection and analysis of data in a manner that aims to combine relevance to the
research purpose with economy in procedure. It is a conceptual structure within which
research is conducted.

This study is basically an exploratory research. Exploratory research is a study

undertaken to define nature of problem & opportunity and to gain a better
understanding of the environment within which the problem &opportunity has
occurred.
Population
Population of the present study consists of all listed equity shares in the
secondary market in India. The size of the population is 9871.

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Sample size

Determination of sample size is very important because if sample size is too

small, it may not represent the population and may not serve to achieve the objectives.
Similarly, if sample size is too large, it may incur huge costs and waste resources.
Therefore, the sample size must be of an optimum i.e. it should neither be excessively
large nor too small.
Samples are drawn from the following sectors: oil, construction, cement, IT
and banking. Convenient sampling is used to pick two companies from said sectors.

Convenient Sampling
Under this method researcher is conveniently drawing the sample. Researcher
is conveniently picking samples from companies with track trend of consistency in
dividend declaration

Statistical Tools used for calculation of volatility

Beta

Beta measures the non diversifiable risk. Beta shows how the price of a
security responds to market forces. In effect, the more responsive the price of a
security is to changes in the market, the higher will be its Beta. Beta is calculated by
relating the returns on a security with the return for the market. It can be positive or
negative.

Beta for each stock calculated using daily opening and closing share price
each company and corresponding daily National Stock Exchange Sensex. First, rate of
returns of companies and National Stock Exchange Sensex are calculated. The
calculation as follows:

Rate of Return = share price in the closing – share price at the opening

Share price in the opening

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 Computation of Beta:

β= N ∑XY − (∑X )(∑Y )

N ∑X − (∑ X )
2 2

Standard Deviation

This is the most commonly used measure of risk in fiancé. Its square
also is widely used to find out the risk associated with a security.

∑ ( Ri − R )
n
2
Computation of Variance =
i =1

n −1

Standard Deviation = σ 2

Coefficient of Correlation

Coefficient of correlation is a statistical technique, which measures the degree

or extent to which two or more variables fluctuate with reference to one another.
Correlation analysis helps in determining the degree of relationship between two
variables but correlation does not always imply cause and effect relationship

The coefficient of correlation is essentially the covariance taken not as an

absolute value but relative to the standard deviations of the individual securities. It
indicates, in effect, how much x and y vary together as a proportion of their combined
individual variations, measured by SD of x multiplied by SD of Y

Ν ∑ Χ Υ− ∑ ( Χ ) ∑ ( Υ )
Coefficient of correlation =
[{( Ν∑ Υ ) − ( ∑ Υ ) }{Ν∑ Χ
2 2 2
− ( ∑ Χ) }]
2 1/ 2

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Other software tools used foe data analysis
Basically whole data analysis has been performed using spreadsheet in Excel by
using different statistical functions inbuilt in Excel. The following statistical functions
have been employed during the data analysis.
• Average: Calculates the average of a given data.
Sigma: Calculates the summation of data.

2.6 REVIEW OF LITERATURE

In this project work, secondary data are used as a basis of analysis. In this

study, Beta and Volatility calculations and different types of trading strategies are

analyzed. The current study has been undertaken to measure the risk and variability

of different company’s shares at different point of time. It is also helpful for analyzing

the company’s performance in the share market at the time of dividend declaration. So

the progress in the share market is high and we can see the investors are in the right

path or they are achieving their objectives.

Methods of Review

In this project work, the researcher used the one month share prices of ten

different company’s before dividend declaration, after dividend declaration till ex date

and after ex date for the purpose of calculating the Beta values, correlation coefficient

and Volatility values and trading strategy analysis. In order to get the Beta values

Nifty is the base for all the ten different companies. The data collected for the purpose

of calculations are mainly from the websites like nseindia.com and corresponding

company’s websites.

Benefits from the Literature

The monthly prices of the shares were the main source for the Beta, coefficient

of correlation and Volatility calculation and for analyzing the different strategies.

Without these secondary sources, it is not able to do the same; the web site is one of

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the much useful sources of secondary data for getting information about the share

prices and dividend declaration. Thus this secondary data played an important role in

completing this project.

2.7 SCOPE OF THE STUDY

The study is confined to very few sectors like oil, construction, cement, IT and

Banking. The study is undertaken to know beta values, coefficient of correlation and

Volatility of ten companies from the said industries. They are:

1. ICICI

2. SBI

3. ACC

4. GUJARAT AMBUJA CEMENTS

5. GAMMON INDIA LIMITED

6. NAGARJUNA CONSTRUCTION COMPANY LIMITED

7. INFOSYS

8. TCS

9. IOC

10. ONGC

2.8 LIMITATIONS
Since the study is confined to five sectors that itself selective few companies, a
universally applicable results cannot be drawn. The trend in dividend declaration
cannot be expected to continue in the same manner.

2.9 EXPECTED CONTRIBUTION

This study will be useful from the point of view of investors and portfolio
managers as tool for identifying the market volatility

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PROFILE OF THE
COMPANY

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 CHAPTER 3
PROFILE OF THE COMPANY

GEOJIT FINANCIAL SERVICES LIMITED

3.1 INTRODUCTION

Geojit Financial Services Ltd was born out of a vision to explore the vast
investment opportunities in the Indian capital market to benefit the investing public.
Mr. C.J. George and Mr. Ranajit Kanjilal founded Geojit as a partnership firm in the
year 1987. In 1993, Mr. Ranajit Kanjilal retired from the firm and Geojit became a
proprietary concern of Mr. C .J. George.
In 1994, Geojit became a Public Limited Company by the name Geojit
Securities Ltd. The Kerala State Industrial Development Corporation Ltd. (KSIDC),
in 1995, became a co-promoter of Geojit by acquiring 24% stake in the company, the
only instance in India of a government entity participating in the equity of a stock
broking company.
Geojit was listed at The Stock Exchange, Mumbai (BSE) in the year 2000. In
2003, the Company was renamed as Geojit Financial Services Ltd. (GFSL). The
board of the company consists of professional directors; including a Kerala
government nominee with 2/3rd of the board members being Independent Directors.
With effect from July 2005, the company is also listed at The National Stock
Exchange (NSE). Geojit is a charter member of the Financial Planning Standards
Board of India and is one of the largest/DP/brokers/in/the/country.
In 2006 November Geojit Securities renamed Geojit BNP Paribas Financial
services because BNP Paribas S.A. has become the single largest shareholder in
Geojit Financial Services through a preferential allotment of 5.68 crore shares and
2.28 crore warrants.

3.2 OVERSEAS JOINT VENTURES

Barjeel Geojit Securities, LLC, Dubai, is a joint venture of Geojit with Al

Saud Group belonging to Sultan bin Saud Al Qassemi having diversified interests in
the area of equity markets, real estates and trading. Barjeel Geojit is a financial

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intermediary and the first licensed brokerage company in UAE. It has facilities for
off-line and on-line trading in Indian capital market and also in US, European and
Far-Eastern capital markets. It also provides Depository services and deals in Indian
and International Funds. An associate company, Global Financial Investments
S.A.O.G provides similar services in Oman.

Doha Bank-Geojit in Qatar: Geojit has a tie up with Doha Bank in Qatar,
which offers capital market services from the India Desk

Board of Directors

Mr. A. P. Kurian Non - Executive & Independent Chairman

Mr. C. J. George Managing Director & Chief Promoter

Mr. Jiji Thomson Non - Executive & Independent Director

Mr. P. C. Cyriac Non - Executive & Independent Director

Mr. Mahesh Vyas Non - Executive & Independent Director

Mr. Rakesh Jhunjhunwala Non - Executive Director

Mr. Ramanathan Bupathy Non - Executive & Independent Director

Mr. Punnoose George Non - Executive Director

Management

Mr. C. J. George Managing Director

Mr. Punnose George Director

Mr. Satish Menon Chief Operating Officer

Mr. Binoy .V.Samuel Chief Financial Officer

Mr. A. Balakrishnan Chief Technology Officer

Mrs. Jaya Jacob Alexander Chief, Human Resources

Mr. K. Venkitesh Head - Channel Sales and Distribution

Ms. Farzana Khan Head-Online Products, Services and Operations

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3.3 MILESTONES

The company crossed the following milestones to reach its present position/as/a
leading retail broking house in India.
1986
• Geojit becomes a member of the Cochin Stock Exchange.
1994
• The Kerala State Industrial Development Corporation (KSIDC), an arm of the
Government of Kerala, becomes a co-promoter of the company by acquiring
24% equity stake in Geojit Financial Services Ltd., based on the evaluation
report of Ernst&Young.
1995
• Geojit comes out with a small Initial Public Offer (IPO) of Rs.9.5 million,
which was oversubscribed by 15 times. Geojit's issued and subsribed equity
capital increased to Rs.30 million and KSIDC's equity stake comes down to
17%.
• Geojit becomes a member of the National Stock Exchange (NSE) and installs
its first trading terminal in Cochin, Kerala.
1996
• The Company launches Portfolio Management Services after obtaining
required registration/from/Securities/Exchange/Board/of/India/(SEBI).

1997
• Geojit becomes a Depository Participant under National Securities Depository
Limited (NSDL) and begins providing Depository Services through its
branches.
1999
• Geojit becomes a member of The Stock Exchange, Mumbai (BSE) and
activates Bombay Online Terminals (BOLT) in different branches.
• The customer base of Geojit crosses the 50,000 mark.
2000
• Geojit becomes the first broking firm in the country to offer online trading
facility. The then SEBI Chairman, Mr. D.R.Mehta inaugurates the facility on
1st February, 2000.

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 • Commences Derivative Trading after obtaining registration as a Clearing and
Trading Member in NSE.
• Establishes the first Bank Gateway in the country for Internet Trading.
2001
• Geojit's customer base crosses 100,000.
• Becomes India's first DP to launch depository transactions through Internet.
• Establishes Joint Ventures in the UAE for serving NRI clients.
• The company issues bonus shares in the ratio of 1:1.
2002
• Geojit ties up with MetLife for the marketing and distribution of insurance
products across the country.
• The company becomes the first online brokerage house to launch integrated
internet trading system for both cash and derivatives segments.
2003
• Geojit Commodities Limited, a wholly owned subsidiary of Geojit, becomes
member of National Multi-Commodity Exchange of India Ltd., National
Commodity & Derivatives Exchange Ltd., Multi Commodity Exchange and
launches Commodity Futures Trading in rubber, pepper, gold, wheat and rice.
• Geojit Commodities Limited launches Online Futures Trading in multiple
commodities namely, agri-commodities, precious metals like gold and silver,
other metals like steel, aluminium, etc. and energy futures namely, crude oil
and furnace oil.
2005
• Customer base of Geojit crosses 250,000.
• Geojit's reach spreads through a network of more than 300 branches.
• The company issues bonus shares in the ratio of 1:1.
• Geojit Credits, a subsidiary of Geojit Financial Services Ltd. registers with
Reserve Bank of India as a Non-Banking Financial Company (NBFC).
• The company gets listed on National Stock Exchange of India Limited.
• The company implements Employees Stock Option Scheme.
• The company opens a first of its kind - all women's branch in Cochin.
2006
• Geojit relaunched Internet trading on Reuters TIB Mercury Platform.

23
2007
• Geojit Securities renamed Geojit BNP Paribas Financial services

3.4 DEPOSITORY PARTICIPANT

A depository can be compared to a bank. It holds securities such as shares,

debentures, bonds, government securities, units etc. of investors in electronic form.
There are two depositories in India, The National Securities Depository Limited
(NSDL) and Central Depository Services Limited (CDSL). An individual who desires
to avail the depository services can approach a Depository Participant (DP). Banks,
financial institutions, custodians, brokers or any other entity eligible as per SEBI
(Depositories and Participants) Regulations, 1996 can apply to the Depository to
become a Depository Participant. As on 31st December, 2005 there were 221
Depository Participants in India.

Geojit, is a depository participant of NSDL. Investors can open demat

accounts with NSDL through Geojit.One can approach the nearest branch of Geojit
for opening an account. Agreement charges (statutory charges) along with Annual
Maintenance Charge (AMC) are collected upfront while opening an account. It takes
two to three days to open a demat account. Upon activation of the demat account, a
Welcome Letter is sent to the customer/along/with/the/Delivery/Instruction/Slip/book.

DP facilities offered by Geojit

• De-materialization: Investors can convert their physical shares into electronic
form by surrendering the shares for dematerialization at the Geojit branch.
• Re-materialization: Re-materialization enables to convert the dematerialized
shares into physical form.
• Repurchase: This facility helps to submit the units of open-ended Mutual
Funds in case of re-purchase.
• Pledge: Investors can pledge securities to avail a loan.
• Transfer: Investors can transfer securities from one demat account to another.

24
 • IPOs: In case investors have applied for an IPO and receive an allotment then
the securities are transferred directly to their demat account. The same applies
for bonus and rights issues.
• Commodity De-mat Account: If investors are a commodity player, they may
need to open a commodity de-mat account with Geojit.
• Speed-e: If an investor registers for Speed-e services, then transfer
instructions can be placed online over the internet to pre-notified Clearing
Members Pool a/c. This does away with the need to submit a physical delivery
instruction slip.
• Internet Services: If an investor has access to Internet then they can register
with us to view there demat account over the Internet. This is very beneficial
as they can avail of a host of services at no extra cost. Investors will be able to
view there holdings, reports and ledger and will have free access to our
research reports at any time.

3.5 SUBSIDIARY SERVICES

Geojit/Commodities/Limited
Geojit Commodities, a subsidiary of Geojit Financial Services Limited is
mainly engaged in the business of Commodities Futures Trading. Geojit Commodities
is a member of:
• National Multi – Commodity Exchange of India limited (NMCE)
• National Commodity & Derivatives Exchange Limited (NCDEX)
• Multi – Commodity Exchange (MCX)
• India Pepper and Spice Trade Association (IPSTA)
• Singapore Commodity Exchange (SICOM)
• Dubai Gold Commodity Exchange (DGCX).

Geojit.Technologies.(P).Limited
Geojit Technologies a subsidiary of Geojit Commodities Ltd. is engaged in
providing software solutions using open computing and web standards where
possible. Geojit Technologies has strong domain expertise in financial services such
as Broking, Depository, Derivatives, Banking, etc. It also offers development,
procurement assistance,/implementation,/guidance/and/support/services.

25
Geojit.Financial.Distribution.(P).Limited
This is a subsidiary of Geojit Commodities Limited, engaged in the
distribution/of/Mutual.Funds.and/Insurance/products.

Geojit/Financial/Management/Services/(P)/Limited
This is a subsidiary of Geojit Commodities Limited, engaged in providing
wealth management services.
Geojit/Credits/(P)/Limited
Geojit Credits, a subsidiary of Geojit Financial Services Ltd. is registered with
Reserve Bank of India as an NBFC. It is engaged in the business of margin funding
for securities trading, loan against shares, loan against commodity futures, etc.

Barjeel/Geojit/Securities/L.L.C.
Barjeel Geojit Securities LLC is a joint venture between Geojit Financial
Services Ltd and Al Saud Group. Al Saud is a Sharjah based company having
diversified interest in the area of Construction, Real Estate and Investments and
belongs to the family of Sheikh Sultan Bin Saud Al Qassemi from the royal family of
Sharjah. Barjeel Geojit Securities offers online and offline trading services to NRI
clients.
DISTRIBUTION
Geojit undertakes the distribution of variety financial instruments such as
mutual funds, bonds, life insurance products, fixed deposits etc. The wealth centre
team understands the universe of investment options analyzes the risk and return from
these options and recommends investment options to clients to help them achieve
their/financial.goals.
Geojit has a tie up with all the Mutual Funds across the country. Geojit offers
life insurance products of the following life insurance companies:
• Metlife India Life Insurance Company
• LIC of India
• ICICI Prudential

For general insurance, Geojit has partnered with the following:

• Bajaj Allianz General Insurance Company
• National Insurance Company Ltd

26
 Geojit also helps its customers in investing in 8% RBI taxable bonds, Capital
gain bonds (Sec 54 EC bonds), fixed deposits (KPFC, KTDFC) etc. through its tie- up
with the required organizations.

3.6 PROFILE OF THE SELECTED COMPANIES

ICICI BANK

ICICI Bank was originally promoted in 1994 by ICICI Limited, an Indian

financial institution, and was its wholly-owned subsidiary. ICICI's shareholding in
ICICI Bank was reduced to 46% through a public offering of shares in India in fiscal
1998, an equity offering in the form of ADRs listed on the NYSE in fiscal 2000,
ICICI Bank's acquisition of Bank of Madura Limited in an all-stock amalgamation in
fiscal 2001, and secondary market sales by ICICI to institutional investors in fiscal
2001 and fiscal 2002. ICICI was formed in 1955 at the initiative of the World Bank,
the Government of India and representatives of Indian industry.
The principal objective was to create a development financial institution for
providing medium-term and long-term project financing to Indian businesses. In the
1990s, ICICI transformed its business from a development financial institution
offering only project finance to a diversified financial services group offering a wide
variety of products and services, both directly and through a number of subsidiaries
and affiliates like ICICI Bank. In 1999, ICICI become the first Indian company and
the first bank or financial institution from non-Japan Asia to be listed on the NYSE.
ICICI Bank has a network of 741 branches (including 48 extension counters)
and over 3300 ATMs in India and presence in 30 International locations. ICICI Bank
offers a wide range of banking products and financial services to corporate and retail
customers through a variety of delivery channels and through its specialised
subsidiaries and affiliates in the areas of investment banking, life and non-life
insurance, venture capital and.asset.management.

STATE BANK OF INDIA

State Bank of India (SBI) (LSE: SBID) is the largest bank in India. It is also,
measured by the number of branch offices and employees, the largest bank in the
world. Established in 1806 as Bank of Bengal, it remains the oldest commercial bank
in the Indian Subcontinent and also the most successful one providing various

27
domestic, international and NRI products and services, through its vast network in
India and overseas. With an asset base of $126 billion and its reach, it is a regional
banking behemoth. The government nationalized the bank in 1955, with the Reserve
Bank of India taking a 60% ownership stake. In recent years the bank has focused on
reducing its huge staff through Golden handshake schemes and computerizing its
operations

The roots to the State Bank of India are traceable to the first decade of 19th
century, when the Bank of Calcutta, later renamed the Bank of Bengal, was
established on 2 June 1806. The government amalgamated Bank of Bengal and two
other Presidency banks, namely, the Bank of Bombay (incorporated on 15 April
1840) and the Bank of Madras on 27 January 1921, and named the reorganized
banking entity the Imperial Bank of India. All these Presidency banks were
incorporated as joint stock companies, and were the result of the royal charters. The
Imperial Bank of India continued to remain a joint stock company. Until the
establishment of a central bank in India the Imperial Bank and its early predecessors
served as the nation's central bank printing currency.

There are seven other associate banks that fall under SBI. They all use the
"State Bank of" name followed by the regional headquarters' name. These were
originally banks belonging to princely states before the government nationalized them
in 1959. In tune with the first Five Year Plan, emphasizing the development of rural
India, the government integrated these banks with the State Bank of India to expand
its rural outreach. The State Bank group refers to the seven associates and the parent
bank. All the banks use the same logo of a blue keyhole. There has been a proposal to
merge all the associate banks into SBI to create a "mega bank" and streamline
operations.

ACC LIMITED

ACC (ACC Limited) is India's foremost manufacturer of cement and concrete.

ACC's operations are spread throughout the country with 14 modern cement factories,
19 Ready mix concrete plants, 19 sales offices, and several zonal offices. ACC has
made significant contributions to the nation building process by way of quality
products, services and sharing its expertise.

28
 In the 70 years of its existence, ACC has been a pioneer in the manufacture of
cement and concrete and a trendsetter in many areas of cement and concrete
technology including improvements in raw material utilization, process improvement,
energy conservation and development of high performance concretes.

ACC’s brand name is synonymous with cement and enjoys a high level of
equity in the Indian market. It is the only cement company that figures in the list of
Consumer Super Brands of India.

ACC has rich experience in mining, being the largest user of limestone, and it
is also one of the principal users of coal. As the largest cement producer in India, it is
one of the biggest customers of the Indian Railways, and the foremost user of the road
transport network services for inward and outward movement of materials and
products.

ACC has also extended its services overseas to the Middle East, Africa, and
South America, where it has provided technical and managerial consultancy to a
variety of consumers, and also helps in the operation and maintenance of cement
plants abroad.

ACC is among the first companies in India to include commitment to

environmental protection as one of its corporate objectives, long before pollution
control laws came into existence. The company installed pollution control equipment
and high efficiency sophisticated electrostatic precipitators for cement kilns, raw
mills, coal mills, power plants and coolers as far back as 1966. Every factory has
state-of-the art pollution control equipment and devices.

GUJARAT AMBUJA CEMENTS

Ambuja Cements was set up in 1986. In the last decade the company has
grown tenfold. The total cement capacity of the company is 16 million tonnes.Its
plants are some of the most efficient in the world. With environment protection
measures that are on par with the finest in the developed world.
The company's most distinctive attribute, however, is its approach to the
business. Ambuja follows a unique homegrown philosophy of giving people the
authority to set their own targets, and the freedom to achieve their goals. This simple

29
vision has created an environment where there are no limits to excellence, no limits to
efficiency. And has proved to be a powerful engine of growth for the company. As a
result, Ambuja is the most profitable cement company in India, and the lowest cost
producer of cement in the world.

GAMMON INDIA LIMITED

Gammon India Limited is one of the leading Construction companies in India

to-day. The company was established by late Mr. J.C.Gammon in 1919 as a firm of
Civil Engineers & Contractor which in 1922 was incorporated as a Private Limited
Company under the name of J. C. Gammon (Bombay) Pvt. Ltd. The firm went public
in/1962/and/was,rechristened,as..Gammon.India,Limited.

The first work carried out by Mr. J. C. Gammon was the construction of
reinforced concrete pile foundations for Gateway of India. Since then, the Company
has executed many multifarious civil engineering works from Cotton Godowns to
Bridges/flyovers, Marine Structures, Cooling Towers, Chimneys, Tunnels and Dams
in India and in the middle-east. Gammon is the pioneers of prestressed concrete in
India. Today, the Company can claim for the largest numbers of bridges and flyovers
built in India. With over 80 years of tradition in the field of construction, Gammon is
a name that is inextricably woven into the fabric of India. The only construction
Company in India to have been accredited with ISO 9001: 1994 certifications in all
fields of Civil Engineering including design.

Gammon India Limited, the only Indian Construction Company to have been
accredited with ISO 9001 certification for all fields of Civil Engineering Works
including design, stands out as gateway for Technological and Engineering excellence
in Civil Engineering fields. Gammon's dedicated and experienced team of planners,
designers and construction engineers are ever ready to contribute their expertise
together and turn vision into reality.

NAGARJUNA CONSTRUCTION COMPANY LIMITED

Nagarjuna Construction Company Limited (NCC) is one of the leading

professionally managed public limited construction company in India. The company
has successfully completed 28 years of construction excellence in executing Turnkey

30
Projects, Industrial Buildings, Multistoried/Commercial Structures, Townships, Roads
& Bridges, Pipelines, etc.

NCC is the brainchild of this visionary. Having achieved a high-caliber

standing under his able steering, the company rededicates itself with renewed vigor
and commitment to the cause of elevating the Indian infrastructure industry to
international standards of excellence. To place it on par with the best in the world,
will always be the company's endeavor.

Behind every progressive company is a dynamic team that propels it to reach

higher and greater echelons of success. NCC's governing body is a veritable treasure
trove of experience and expertise. Each of the members has made invaluable
contribution in their chosen fields of activity. From the innovating new construction
and cost saving methodologies, to identifying new areas of contribution, and ensuring
an uninterrupted flow of day-to-day activities, they have been instrumental in making
NCC a formidable force in the Indian construction sector.

NCC has made concrete contribution to nation building by fusing tremendous

engineering knowledge with unique innovative skills. It aims at offering best value
solutions by acquiring total expertise in infrastructure building for the country. In
keeping with its mission of contributing effectively to economic development, NCC
has taken up the cudgels to provide long lasting buildings and industrial structures at
optimum cost and in minimal time. Construction of large factory and workshop
structures has been made speedier and more economical by the use of modern
construction methods including folded plate and shell roofs, precast and prestressed
roof/elements/etc.

INFOSYS

Infosys was established in the year 1981 and successfully completed IPO in
India in the year 1993. In 1999 the company crossed $100 Million in annual revenue.
In 2000 Infosys crossed $200 Million in annual revenue. Infosys was ranked No. 1 in
the "Best Employers in India 2002" survey conducted by Hewitt Associates for the
second consecutive year.

31
 In 2004 the company crossed US $1 Billion in annual revenue. Infosys has
crossed crosses $ 2 billion in revenue in the year 2005. Infosys Technologies Ltd.
(NASDAQ: INFY) provides consulting and IT services to clients globally - as
partners to conceptualize and realize technology driven business transformation
initiatives. With over 52,000 employees worldwide, we use a low-risk Global
Delivery Model (GDM) to accelerate schedules with a high degree of time and cost
predictability.

The services provides by Infosys are Application Development and

Maintenance, Corporate Performance Management, Independent Validation Services,
Infrastructure Services, Packaged Application Services, Product Engineering,
Systems Integration.

TATA CONSULTANCY SERVICES

TCS commenced operations in 1968, when the IT services industry didn’t

exist as it does today. Now, with a presence in 34 countries across 6 continents, & a
comprehensive range of services across diverse industries, TCS is one of the world's
leading Information Technology companies. Six of the Fortune Top 10 companies are
among their valued customers.

Tata Consultancy Services Limited (TCS) is the world-leading information

technology consulting, services, and business process outsourcing organization that
envisioned and pioneered the adoption of the flexible global business practices that
today enable companies to operate more efficiently and produce more value.

TCS is a part of one of Asia's largest conglomerates - the TATA Group

- which, with its interests in Energy, Telecommunications, Financial Services,
Chemicals, Engineering & Materials, provides them with a grounded understanding of
specific business challenges facing global companies.

32
INDIAN OIL CORPORATION LTD

Indian Oil Corporation Ltd. (Indian Oil) was formed in 1964 through the
merger of Indian Oil Company Ltd. (Estd. 1959) and Indian Refineries Ltd. (Estd.
1958).It is currently India’s largest company by sales with a turnover of Rs. 1,83,204
crore (US $ 41 billion) and profits of Rs. 4,915 crore (US $ 1.10 billion) for fiscal
2005.

Indian Oil is also the highest ranked Indian company in the prestigious
Fortune ‘Global 500’ listing, having moved up 17 places to the153rd position this
year based on fiscal 2005 performance. It is also the 21st largest petroleum company
in the world and the No 1 petroleum trading companies among the National Oil
Companies in the Asia-Pacific region.

Indian Oil and its subsidiaries account for 47% petroleum products market
share among public sector oil companies, 43.5% national refining capacity and 74%
petroleum products pipeline capacity. The Indian Oil Group of companies owns and
operates 10 of India’s 18 refineries with a combined refining capacity of 60.20 million
tones per annum (1.2 million barrels per day). These include two refineries of
subsidiary Chennai Petroleum Corporation Ltd. (CPCL) and one of Bongaigaon
Refinery and Petrochemicals Limited (BRPL).The Company’s cross-country crude oil
and product pipelines network spanning over 9,000 km meets the vital energy needs
of the country.

As the flagship national oil company in the downstream sector, Indian Oil,
together with its marketing subsidiary, IBP Co. Ltd., reaches precious petroleum
products to millions of people everyday through a countrywide network of over
30,000 sales points. They are backed for supplies by 183 bulk storage terminals and
depots, 97 aviation fuel stations and 88 Indane LPG bottling plants.

OIL AND NATURAL GAS CORPORATION

In 1955, Government of India developed the oil and natural gas resources in
the various regions of the country as part of the Public Sector development. With this
objective, an Oil and Natural Gas Directorate was set up towards the end of 1955, as a

33
subordinate office under the then Ministry of Natural Resources and Scientific
Research. The department was constituted with a nucleus of geoscientists from the
Geological survey of India.

ONGC is placed at the top of all Indian Corporates listed in Forbes 400 Global
Corporates (rank 133rd) and Financial Times Global 500 (rank 326th), by Market
Capitalization. ONGC is the only Indian company to have earned a Net Profit of over
Rs 10,000 crores (2002-03).

Oil and Natural Gas Corporation Limited (ONGC) is India’s Most Valuable
Company, having a market share of above 80% in India’s Crude Oil and Natural Gas
Exploration and Production. ONGC registered the highest profit among all Indian
companies at US $ 1.92 billion (Rs. 8664.4 Crore) in the year 2003-04. Its production
of Crude Oil in 2003-04 was 26.7 MMT and of Natural Gas 25.70 Billion Cubic
Meters. ONGC also produce Value-Added Products (VAP) like C2-C3; LPG;
Naphtha and SKO.

34
 ANALYSIS AND
INTERPRETATION OF
DATA

35
 CHAPTER 4
ANALYSIS AND INTERPRETATION OF DATA

CALCULATION OF BETA, COEFFICIENT OF CORRELATION

AND VOLATILITY

Formula used for the calculation of Beta and Standard Deviation Correlation
Coefficient
This chapter provides the beta, coefficient of correlation and Volatility of

shares of ten companies.

Computation of standard deviation:

Rate of Return = share price in the closing – share price at the opening

Share price in the opening

∑ ( Ri − R )
n
2
Computation of Variance =
i =1

n −1

Standard Deviation = σ 2

Computation of Beta:

β= N ∑XY − (∑X )(∑Y )

N ∑X − (∑ X )
2 2

Market Return (X) = (Adj close – Open) / Open *100 (of sensex price)

Stock Return (Y) = (Adj close – open)/ Open *100 (of stock price)

36
 Table 4.1: Calculation of Beta, Coefficient of Correlation and
volatility of ICICI before dividend declaration
Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,573.0
21-Apr-06 3,576.75 5 592.00 591.60 -0.1034 -0.0676 0.0070 0.0107 0.0046
3,548.9
24-Apr-06 3,572.80 0 593.00 569.05 -0.6689 -4.0388 2.7017 0.4475 16.3118
3,462.6
25-Apr-06 3,548.80 5 571.00 559.80 -2.4276 -1.9615 4.7616 5.8932 3.8474
3,555.7
26-Apr-06 3,462.65 5 560.00 567.50 2.6887 1.3393 3.6009 7.2291 1.7937
3,508.1
27-Apr-06 3,554.70 0 568.00 566.15 -1.3109 -0.3257 0.4270 1.7186 0.1061
3,508.3
28-Apr-06 3,507.45 5 551.00 576.80 0.0257 4.6824 0.1201 0.0007 21.9248
3,557.6
29-Apr-06 3,508.35 0 580.00 591.75 1.4038 2.0259 2.8439 1.9706 4.1041
3,605.4
02-May-06 3,557.55 5 600.10 621.95 1.3464 3.6411 4.9024 1.8129 13.2573
3,634.2
03-May-06 3,604.40 5 625.85 649.10 0.8282 3.7149 3.0766 0.6858 13.8008
3,648.4
04-May-06 3,630.65 0 615.10 659.90 0.4889 7.2834 3.5608 0.2390 53.0475
3,663.9
05-May-06 3,649.45 5 660.10 638.20 0.3973 -3.3177 -1.3182 0.1579 11.0070
3,693.1
08-May-06 3,668.65 5 648.95 634.55 0.6678 -2.2190 -1.4819 0.4460 4.9238
3,720.5
09-May-06 3,694.65 5 642.00 639.15 0.7010 -0.4439 -0.3112 0.4914 0.1971
3,754.2
10-May-06 3,720.75 5 640.00 660.75 0.9004 3.2422 2.9191 0.8106 10.5118
3,701.0
11-May-06 3,755.80 5 658.00 662.55 -1.4577 0.6915 -1.0080 2.1250 0.4782
3,650.0
12-May-06 3,704.15 5 655.10 636.05 -1.4605 -2.9080 4.2471 2.1331 8.4562
3,502.9
15-May-06 3,651.00 5 640.00 619.30 -4.0551 -3.2344 13.1156 16.4435 10.4612
3,523.3
16-May-06 3,502.95 0 615.00 618.60 0.5809 0.5854 0.3401 0.3375 0.3427
3,635.1
17-May-06 3,525.05 0 625.00 626.05 3.1219 0.1680 0.5245 9.7465 0.0282
3,388.9
18-May-06 3,636.45 0 626.00 593.75 -6.8075 -5.1518 35.0704 46.3416 26.5406
3,246.9
19-May-06 3,391.85 0 600.00 555.45 -4.2735 -7.4250 31.7306 18.2626 55.1306
3,081.3
22-May-06 3,254.30 5 585.00 553.15 -5.3145 -5.4444 28.9345 28.2440 29.6420
3,199.3
23-May-06 3,068.60 5 559.90 577.35 4.2609 3.1166 13.2796 18.1553 9.7134
3,115.5
24-May-06 3,203.50 5 577.35 568.90 -2.7454 -1.4636 4.0182 7.5374 2.1421

37
 3,177.7
25-May-06 3,114.70 0 558.10 558.95 2.0227 0.1523 0.3081 4.0912 0.0232
3,209.6
26-May-06 3,177.70 0 572.00 563.75 1.0039 -1.4423 -1.4479 1.0078 2.0803
3,214.9
29-May-06 3,207.25 0 567.00 569.30 0.2385 0.4056 0.0968 0.0569 0.1645
3,185.3
30-May-06 3,215.50 0 580.75 580.75 -0.9392 0.0000 0.0000 0.8821 0.0000
3,071.0
31-May-06 3,181.95 5 568.70 537.50 -3.4853 -5.4862 19.1210 12.1472 30.0984
2,962.2
01-Jun-06 3,072.55 5 542.00 534.30 -3.5899 -1.4207 5.1000 12.8870 2.0183
179.240 202.312
TOTAL -17.9625 -15.3018 4 5 332.1574

Beta 0.8879
Variance 11.1846

S.D 3.3443

Coefficient of Correlation 0.6823

38
 Table 4.2: Calculation of Beta, Coefficient of Correlation and
volatility of ICICI from Dividend declaration till Ex-Date
Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
2,961.5 3,091.3
02-Jun-06 0 5 532.00 551.95 4.3846 3.7500 16.4423 19.2247 14.0625
3,092.6 3,016.6
05-Jun-06 0 5 553.00 538.10 -2.4559 -2.6944 6.6171 6.0313 7.2598
3,015.0 2,937.3
06-Jun-06 5 0 532.00 542.70 -2.5787 2.0113 -5.1865 6.6498 4.0452
2,935.2 2,860.4
07-Jun-06 5 5 524.10 533.25 -2.5483 1.7459 -4.4490 6.4940 3.0480
2,856.9 2,724.3
09-Jun-06 0 5 496.00 500.35 -4.6396 0.8770 -4.0690 21.5263 0.7692
2,721.2 2,866.3
12-Jun-06 0 0 502.00 474.20 5.3322 -5.5378 -29.5290 28.4324 30.6678
2,867.6 2,776.8
13-Jun-06 5 5 465.00 459.65 -3.1664 -1.1505 3.6430 10.0258 1.3237
2,773.6 2,663.3
14-Jun-06 0 0 465.00 451.20 -3.9768 -2.9677 11.8021 15.8148 8.8075
2,665.0 2,632.8
15-Jun-06 5 0 464.05 482.55 -1.2101 3.9866 -4.8243 1.4644 15.8933
2,634.1 2,798.8
16-Jun-06 0 0 490.00 506.70 6.2526 3.4082 21.3099 39.0951 11.6156
2,799.8 2,890.3
19-Jun-06 5 5 498.00 501.00 3.2323 0.6024 1.9472 10.4479 0.3629
2,892.0 2,916.9
20-Jun-06 0 0 493.00 490.45 0.8610 -0.5172 -0.4453 0.7413 0.2675
2,919.0 2,861.3
21-Jun-06 0 0 494.70 494.40 -1.9767 -0.0606 0.1199 3.9074 0.0037
2,861.4 2,923.4
22-Jun-06 0 5 499.90 512.25 2.1685 2.4705 5.3573 4.7025 6.1033
2,923.7 2,994.7
23-Jun-06 5 5 509.00 508.05 2.4284 -0.1866 -0.4532 5.8971 0.0348
2,993.5 3,042.7
25-Jun-06 5 0 514.00 507.20 1.6419 -1.3230 -2.1721 2.6957 1.7502
3,043.1 3,050.3
26-Jun-06 5 0 507.00 490.75 0.2350 -3.2051 -0.7531 0.0552 10.2728
3,051.8 2,943.2
27-Jun-06 0 0 500.00 498.60 -3.5586 -0.2800 0.9964 12.6633 0.0784
2,943.6 2,982.4
28-Jun-06 0 5 497.00 488.90 1.3198 -1.6298 -2.1510 1.7419 2.6562
2,982.2 2,981.1
28-Jun-06 0 0 498.00 498.00 -0.0369 0.0000 0.0000 0.0014 0.0000
2,982.9 2,997.9
29-Jun-06 0 0 493.00 479.05 0.5029 -2.8296 -1.4229 0.2529 8.0067
2,993.5 3,128.2
30-Jun-06 0 0 494.40 487.90 4.4997 -1.3147 -5.9159 20.2477 1.7285
3,128.7 3,150.9
03-Jul-06 5 5 499.00 489.10 0.7095 -1.9840 -1.4077 0.5035 3.9361
3,151.0 3,138.6
04-Jul-06 5 5 495.40 490.35 -0.3935 -1.0194 0.4011 0.1549 1.0391

39
 3,136.9 3,197.1
05-Jul-06 5 0 492.00 499.90 1.9175 1.6057 3.0789 3.6767 2.5782
3,197.5 3,156.4
06-Jul-06 0 0 494.00 485.55 -1.2854 -1.7105 2.1987 1.6522 2.9259
TOTAL 7.6590 -7.9536 11.1346 224.1001 139.2371

Beta 0.0608
Variance 5.4722

S.D. 2.3393

0.077
Coefficient of Correlation 4

40
 Table 4.3: Calculation of Beta, Coefficient of Correlation and
volatility of ICICI after Ex-Date

Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,157.9 3,075.8
07-Jul-06 5 5 491.20 498.95 -2.5998 1.5778 -4.1019 6.7589 2.4894
3,077.1 3,142.0
10-Jul-06 0 0 496.00 493.00 2.1091 -0.6048 -1.2757 4.4484 0.3658
3,145.3 3,116.1
11-Jul-06 0 5 490.50 487.95 -0.9268 -0.5199 0.4818 0.8589 0.2703
3,124.9 3,195.9
12-Jul-06 5 0 485.00 488.30 2.2704 0.6804 1.5448 5.1549 0.4630
3,196.3 3,169.3
13-Jul-06 0 0 488.00 495.75 -0.8447 1.5881 -1.3415 0.7136 2.5221
3,166.2 3,123.3
14-Jul-06 5 5 482.20 485.90 -1.3549 0.7673 -1.0396 1.8358 0.5888
3,123.6 3,007.5 13.814
17-Jul-06 5 5 500.00 477.25 -3.7168 -4.5500 16.9115 6 20.7025
3,007.1 2,993.6
18-Jul-06 5 5 477.00 472.60 -0.4489 -0.9224 0.4141 0.2015 0.8509
2,995.8 2,932.7
19-Jul-06 5 5 476.10 467.75 -2.1062 -1.7538 3.6940 4.4363 3.0759
2,943.6 3,023.0
20-Jul-06 5 5 477.20 492.05 2.6973 3.1119 8.3938 7.2756 9.6839
3,025.1 2,945.0
21-Jul-06 0 0 491.40 484.75 -2.6478 -1.3533 3.5833 7.0111 1.8314
2,944.9 2,985.8
24-Jul-06 0 5 486.00 514.85 1.3905 5.9362 8.2545 1.9336 35.2386
2,989.5 3,040.5
25-Jul-06 0 0 519.95 542.40 1.7060 4.3177 7.3659 2.9103 18.6427
3,040.4 3,110.1
26-Jul-06 5 5 545.00 540.50 2.2924 -0.8257 -1.8928 5.2552 0.6818
3,109.8 3,156.1
27-Jul-06 5 5 541.00 543.60 1.4888 0.4806 0.7155 2.2166 0.2310
3,158.0 3,130.8
28-Jul-06 0 0 532.30 542.55 -0.8613 1.9256 -1.6585 0.7418 3.7080
3,131.3 3,143.2
31-Jul-06 5 0 544.90 553.85 0.3784 1.6425 0.6216 0.1432 2.6978
3,128.2 3,147.8
01-Aug-06 0 0 554.00 549.65 0.6266 -0.7852 -0.4920 0.3926 0.6165
3,129.4 3,182.1
02-Aug-06 5 0 550.00 548.00 1.6824 -0.3636 -0.6118 2.8305 0.1322
3,182.5 3,190.0
03-Aug-06 5 0 552.00 557.60 0.2341 1.0145 0.2375 0.0548 1.0292
3,189.7 3,176.7
04-Aug-06 0 5 557.60 547.00 -0.4060 -1.9010 0.7718 0.1648 3.6138
3,176.7 3,151.1
07-Aug-06 0 0 552.00 567.85 -0.8059 2.8714 -2.3139 0.6494 8.2448
3,151.5 3,212.4
08-Aug-06 5 0 570.00 595.55 1.9308 4.4825 8.6547 3.7280 20.0924
3,211.5 3,254.6
09-Aug-06 5 0 591.50 590.30 1.3405 -0.2029 -0.2719 1.7969 0.0412
3,254.6 3,260.1
10-Aug-06 0 0 592.00 599.25 0.1690 1.2247 0.2070 0.0286 1.4998

41
 3,260.0 3,274.3
11-Aug-06 5 5 600.00 584.50 0.4386 -2.5833 -1.1332 0.1924 6.6736
3,274.9 3,313.1
14-Aug-06 5 0 584.50 576.75 1.1649 -1.3259 -1.5446 1.3570 1.7581
3,314.7 3,356.0
16-Aug-06 5 5 585.00 590.70 1.2459 0.9744 1.2140 1.5524 0.9494
3,359.7 3,353.9
17-Aug-06 0 0 593.00 591.50 -0.1726 -0.2530 0.0437 0.0298 0.0640
3,354.5 3,356.7
18-Aug-06 0 5 592.00 588.35 0.0671 -0.6166 -0.0414 0.0045 0.3801

Beta 0.5499
Variance 4.9163

S.D. 2.2173

Coefficient of Correlation 0.4045

42
 6/ 4/
2/ 21
20 /2

0.0000
2.0000
4.0000
6.0000
8.0000

-8.0000
-6.0000
-4.0000
-2.0000
10.0000

-10 .0000

0.0000
2.0000
4.0000
6.0000
8.0000

-8.0000
-6.0000
-4.0000
-2.0000
4/ 00
6/ 06 23 6
4/ /2
20 4/ 00
25 6
6/ 06 /2
6/ 4/ 00
20 27 6
6/ 06 /
8/ 4/ 200
2 29 6
/2
6/ 006
10 0
5/ 06
Stock R eturn

/2
Market Return

1/

Stock Return
20

M arket Return
6/ 006 5/ 06
12 3/
/2 2
6/ 006 5/ 006
14 5/
/2 20
6/ 006 5/ 06
16 7/
20
/2 5/ 06
9/
6/ 006
18 2
/2 5/ 006
11
6/ 006 /2
20 5/ 00
/2 13 6
/2
6/ 006 5/ 00
22 15 6

43
/2 /2
6/ 006 5/ 00
24 17 6
/2 /2
5/ 00

Graph 4.2
Graph 4.1

till Ex-Date
19 6
Declaration

6/ 006 /2
26
/2 5/ 00
21 6
6/ 006
28 /
/2 5/ 200
23 6
6/ 006 /2
30 5/ 00
/2 25 6
0 /2
7/ 06 5/ 00
2/ 27 6
20 /2
5/ 00
7/ 06 29 6
4/ /2
20 5/ 00
31 6
7/ 06 /2
6/2 00
00 6
6
Market Return Vs Stock Return of ICICI before the Dividend

Market Return Vs Stock Return of ICICI from Dividend declaration

 Market Return Vs Stock Return of ICICI after Ex-Date

8.0000
Market R eturn
Stock R eturn
6.0000

4.0000

2.0000

0.0000
7/ 006

11 6

8/ 006
8/ 006
8/ 006

10 6
13 6
15 6
17 6
19 6
21 6
23 6
25 6
27 6
29 6
31 6
8/ 006

16 6
18 6
6
12 6
14 6
-2.0000
7/ 200

8/ 200
7/ 200
7/ 200
7/ 200
7/ 200
7/ 200
7/ 200
7/ 200
7/ 200
7/ 200
7/ 200

8/ 200
8/ 200
8/ 200
8/ 200
00
2

2
2
2

/2
/2
7/
9/

/
/
/
/
/
/
/

2/
4/
6/
8/

/
/
/
/
/

/
/
7/

-4.0000

-6.0000

Graph 4.3

INTERPRETATION
If the Beta value falls between 0 and 1 the risk associated with the investment

is very low. Here from the above tables it is clear that ICICI is having beta value

between 0 and 1 which indicates risk less investment at different point of time.

ICICI announced the dividend @1.5% on the share price. But from the

above tables it shows that the ICICI is having the greater variance during the period

before the dividend declaration. The greater the variance in value of the underlying

asset, the greater the value of shares, all other things the same.

The graph 4.2 shows that the stock return of ICICI always below the market

return This means that there is no factor affected the share price.

44
 Table 4.4: Calculation of Beta, Coefficient of Correlation and
volatility of SBI before dividend declaration
Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,473.1 3,483.1
04-Apr-06 0 5 985.00 996.75 0.2894 1.1929 0.3452 0.0837 1.4230
3,483.1 3,510.9 1,002.0 1,007.0
05-Apr-06 5 0 0 5 0.7967 0.5040 0.4015 0.6347 0.2540
3,525.6 3,454.8 1,014.8
07-Apr-06 0 0 5 979.65 -2.0082 -3.4685 6.9653 4.0327 12.0304
3,455.0 3,478.4
10-Apr-06 0 5 989.90 964.30 0.6787 -2.5861 -1.7553 0.4607 6.6880
3,479.1 3,380.0
12-Apr-06 0 0 968.00 937.85 -2.8484 -3.1147 8.8719 8.1136 9.7012
3,380.4 3,345.5
13-Apr-06 0 0 937.00 918.35 -1.0324 -1.9904 2.0549 1.0659 3.9617
3,342.1 3,425.1
17-Apr-06 5 5 920.00 931.65 2.4834 1.2663 3.1448 6.1674 1.6035
3,429.0 3,518.1
18-Apr-06 0 0 935.55 943.20 2.5984 0.8177 2.1247 6.7518 0.6686
3,523.6 3,535.8
19-Apr-06 5 5 945.00 938.05 0.3462 -0.7354 -0.2546 0.1199 0.5409
3,539.8 3,573.5
20-Apr-06 0 0 944.60 937.50 0.9520 -0.7516 -0.7156 0.9064 0.5650
3,576.7 3,573.0
21-Apr-06 5 5 940.00 921.60 -0.1034 -1.9574 0.2025 0.0107 3.8316
3,572.8 3,548.9
24-Apr-06 0 0 925.00 915.05 -0.6689 -1.0757 0.7196 0.4475 1.1571
3,548.8 3,462.6
25-Apr-06 0 5 917.90 900.90 -2.4276 -1.8521 4.4960 5.8932 3.4301
3,462.6 3,555.7
26-Apr-06 5 5 904.85 909.70 2.6887 0.5360 1.4411 7.2291 0.2873
3,554.7 3,508.1
27-Apr-06 0 0 890.00 891.35 -1.3109 0.1517 -0.1989 1.7186 0.0230
3,507.4 3,508.3
28-Apr-06 5 5 885.00 882.85 0.0257 -0.2429 -0.0062 0.0007 0.0590
3,508.3 3,557.6
29-Apr-06 5 0 887.40 913.10 1.4038 2.8961 4.0655 1.9706 8.3874
3,557.5 3,605.4
02-May-06 5 5 920.00 937.65 1.3464 1.9185 2.5831 1.8129 3.6806
3,604.4 3,634.2
03-May-06 0 5 940.00 961.70 0.8282 2.3085 1.9118 0.6858 5.3292
3,630.6 3,648.4
04-May-06 5 0 930.00 958.95 0.4889 3.1129 1.5219 0.2390 9.6902
3,649.4 3,663.9
05-May-06 5 5 962.85 953.85 0.3973 -0.9347 -0.3714 0.1579 0.8737
3,668.6 3,693.1
08-May-06 5 5 967.00 956.90 0.6678 -1.0445 -0.6975 0.4460 1.0909
3,694.6 3,720.5
09-May-06 5 5 951.10 976.05 0.7010 2.6233 1.8390 0.4914 6.8816
3,720.7 3,754.2 1,002.1
10-May-06 5 5 977.50 5 0.9004 2.5217 2.2705 0.8106 6.3592
3,755.8 3,701.0 1,003.0
11-May-06 0 5 0 976.45 -1.4577 -2.6471 3.8587 2.1250 7.0069
3,704.1 3,650.0
12-May-06 5 5 971.00 958.65 -1.4605 -1.2719 1.8576 2.1331 1.6177

45
 3,651.0 3,502.9 15.248
15-May-06 0 5 960.00 923.90 -4.0551 -3.7604 7 16.4435 14.1407
3,502.9 3,523.3
16-May-06 5 0 924.95 923.95 0.5809 -0.1081 -0.0628 0.3375 0.0117
3,525.0 3,635.1 18.264
17-May-06 5 0 935.00 989.70 3.1219 5.8503 2 9.7465 34.2256
3,636.4 3,388.9 14.157
18-May-06 5 0 925.60 906.35 -6.8075 -2.0797 7 46.3416 4.3253
94.284
TOTAL -2.8848 -3.9214 0 127.3779 149.8451

Beta 0.7388
Variance 5.1494

S.D. 2.2692

0.681
Coefficient of Correlation 6

46
 Table 4.5: Calculation of Beta, Coefficient of Correlation and
volatility of SBI from Dividend declaration till Ex-Date

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,391.8 3,246.9
19-May-06 5 0 942.70 869.10 -4.2735 -7.8074 33.3646 18.2626 60.9549
3,254.3 3,081.3
22-May-06 0 5 870.00 859.80 -5.3145 -1.1724 6.2308 28.2440 1.3746
3,068.6 3,199.3
23-May-06 0 5 862.10 872.55 4.2609 1.2122 5.1649 18.1553 1.4693
3,203.5 3,115.5
24-May-06 0 5 880.00 867.85 -2.7454 -1.3807 3.7906 7.5374 1.9063
3,114.7 3,177.7
25-May-06 0 0 854.00 870.50 2.0227 1.9321 3.9080 4.0912 3.7329
3,177.7 3,209.6
26-May-06 0 0 882.00 874.45 1.0039 -0.8560 -0.8593 1.0078 0.7328
3,207.2 3,214.9
29-May-06 5 0 880.15 881.85 0.2385 0.1931 0.0461 0.0569 0.0373
3,215.5 3,185.3
30-May-06 0 0 883.85 860.25 -0.9392 -2.6701 2.5078 0.8821 7.1296
3,181.9 3,071.0
31-May-06 5 5 840.00 832.65 -3.4853 -0.8750 3.0496 12.1472 0.7656
3,072.5 2,962.2
01-Jun-06 5 5 840.00 818.75 -3.5899 -2.5298 9.0815 12.8870 6.3997
2,961.5 3,091.3
02-Jun-06 0 5 814.00 838.75 4.3846 3.0405 13.3316 19.2247 9.2449
3,092.6 3,016.6
05-Jun-06 0 5 840.00 813.95 -2.4559 -3.1012 7.6161 6.0313 9.6174
3,015.0 2,937.3
06-Jun-06 5 0 805.00 840.10 -2.5787 4.3602 -11.2439 6.6498 19.0118
2,935.2 2,860.4
07-Jun-06 5 5 821.25 806.65 -2.5483 -1.7778 4.5304 6.4940 3.1605
2,856.9 2,724.3
08-Jun-06 0 5 801.00 768.40 -4.6396 -4.0699 18.8829 21.5263 16.5642
2,721.2 2,866.3
09-Jun-06 0 0 770.05 771.60 5.3322 0.2013 1.0733 28.4324 0.0405
2,867.6 2,776.8
12-Jun-06 5 5 775.45 746.40 -3.1664 -3.7462 11.8618 10.0258 14.0341
2,773.6 2,663.3
13-Jun-06 0 0 734.00 750.55 -3.9768 2.2548 -8.9667 15.8148 5.0840
2,665.0 2,632.8
14-Jun-06 5 0 755.00 741.25 -1.2101 -1.8212 2.2038 1.4644 3.3167
2,634.1 2,798.8
15-Jun-06 0 0 769.00 772.15 6.2526 0.4096 2.5612 39.0951 0.1678
2,799.8 2,890.3
16-Jun-06 5 5 778.10 766.85 3.2323 -1.4458 -4.6734 10.4479 2.0904
2,892.0 2,916.9
19-Jun-06 0 0 765.00 753.30 0.8610 -1.5294 -1.3168 0.7413 2.3391
TOTAL -13.3349 -21.1790 102.144 269.219 169.1744

47
 8 3

Beta 0.3420
Variance 7.0850

S.D. 2.6618

Coefficient of Correlation 0.4531

48
Table 4.6: Calculation of Beta, Coefficient of Correlation and share
return and volatility of SBI after Ex-Date

49
 Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
2,919.0 2,861.3
20-Jun-06 0 0 752.10 736.75 -1.9767 -2.0410 4.0344 3.9074 4.1655
2,861.4 2,923.4
21-Jun-06 0 5 725.00 739.90 2.1685 2.0552 4.4567 4.7025 4.2237
2,923.7 2,994.7
22-Jun-06 5 5 751.90 773.45 2.4284 2.8661 6.9599 5.8971 8.2144
2,993.5 3,042.7
23-Jun-06 5 0 771.00 762.65 1.6419 -1.0830 -1.7782 2.6957 1.1729
3,043.1 3,050.3
25-Jun-06 5 0 770.10 754.10 0.2350 -2.0777 -0.4882 0.0552 4.3166
3,051.8 2,943.2 12.009
26-Jun-06 0 0 754.10 728.65 -3.5586 -3.3749 7 12.6633 11.3898
2,943.6 2,982.4
27-Jun-06 0 5 728.00 730.05 1.3198 0.2816 0.3717 1.7419 0.0793
2,982.2 2,981.1
28-Jun-06 0 0 720.00 714.60 -0.0369 -0.7500 0.0277 0.0014 0.5625
2,982.9 2,997.9
29-Jun-06 0 0 716.00 708.70 0.5029 -1.0196 -0.5127 0.2529 1.0395
2,993.5 3,128.2
30-Jun-06 0 0 720.00 727.75 4.4997 1.0764 4.8435 20.2477 1.1586
3,128.7 3,150.9
03-Jul-06 5 5 735.00 742.60 0.7095 1.0340 0.7337 0.5035 1.0692
3,151.0 3,138.6
04-Jul-06 5 5 745.00 755.75 -0.3935 1.4430 -0.5678 0.1549 2.0821
3,136.9 3,197.1
05-Jul-06 5 0 764.90 755.00 1.9175 -1.2943 -2.4818 3.6767 1.6752
3,197.5 3,156.4
06-Jul-06 0 0 750.00 748.30 -1.2854 -0.2267 0.2914 1.6522 0.0514
3,157.9 3,075.8 10.258
07-Jul-06 5 5 751.40 721.75 -2.5998 -3.9460 7 6.7589 15.5707
3,077.1 3,142.0
10-Jul-06 0 0 719.00 729.50 2.1091 1.4604 3.0801 4.4484 2.1327
3,145.3 3,116.1
11-Jul-06 0 5 731.35 728.55 -0.9268 -0.3829 0.3548 0.8589 0.1466
3,124.9 3,195.9
12-Jul-06 5 0 715.00 736.10 2.2704 2.9510 6.7002 5.1549 8.7087
3,196.3 3,169.3
13-Jul-06 0 0 713.40 731.25 -0.8447 2.5021 -2.1136 0.7136 6.2605
3,166.2 3,123.3
14-Jul-06 5 5 720.00 737.40 -1.3549 2.4167 -3.2744 1.8358 5.8403
3,123.6 3,007.5 11.048
17-Jul-06 5 5 730.00 708.30 -3.7168 -2.9726 6 13.8146 8.8364
3,007.1 2,993.6
18-Jul-06 5 5 701.30 701.20 -0.4489 -0.0143 0.0064 0.2015 0.0002
2,995.8 2,932.7
19-Jul-06 5 5 710.00 690.50 -2.1062 -2.7465 5.7848 4.4363 7.5431
2,943.6 3,023.0 10.018
20-Jul-06 5 5 700.00 726.00 2.6973 3.7143 7 7.2756 13.7959
3,025.1 2,945.0
21-Jul-06 0 0 726.50 715.80 -2.6478 -1.4728 3.8998 7.0111 2.1692
2,944.9 2,985.8
24-Jul-06 0 5 714.85 740.65 1.3905 3.6091 5.0187 1.9336 13.0260
2,989.5 3,040.5
25-Jul-06 0 0 742.00 748.35 1.7060 0.8558 1.4600 2.9103 0.7324
3,040.4 3,110.1
26-Jul-06 5 5 752.00 754.25 2.2924 0.2992 0.6859 5.2552 0.0895
3,109.8 3,156.1 1.4888
27-Jul-06 5 5 758.70 763.65 0.6524 0.9714 2.2166 0.4257
3,158.0 3,130.8 50 -0.8613
28-Jul-06 0 0 763.65 796.40 4.2886 -3.6938 0.7418 18.3922
78.106 123.719
TOTAL 6.6194 8.1039 0 4 144.8707
Beta 0.6242
Variance 4.9201

S.D. 2.2181

0.577
Coefficient of Correlation 8
Market Return Vs Stock Return of SBI before the Dividend
Declaration

8.0000
Market Return
6.0000 Stock Return

4.0000

2.0000

0.0000
4/ 0 6

4/ 0 6
4/ 006

5/ 0 6

5/ 0 6

5/ 0 6
5/ 006
4/ 006

4/ 006

4/ 006

4/ 006

4/ 006

4/ 006

4/ 006

4/ 006

4/ 006

4/ 006

5/ 06

5/ 006

5/ 006

5/ 006

5/ 006

6
00
-2.0000
20

20

20

20

20
0
2

/2

/2

/2

/2

/2

/2

2
/2

/2

/2

/2

/2

/2

/2

/2

/2

/2
4/

6/

8/

2/

4/

6/

8/
10

12

14

16

18

20

22

24

26

28

30

10

12

14

16

18
4/

-4.0000

-6.0000

-8.0000

Graph 4.4
Market Return Vs Stock Return of SBI from Dividend declaration
till Ex-Date

51
 6/ 5/1
20 9/
/2 20

0.0000
2.0000
4.0000
6.0000
8.0000

-8.0000
-6.0000
-4.0000
-2.0000

-10.0000

0 .0 0 0 0
1 .0 0 0 0
2 .0 0 0 0
3 .0 0 0 0
4 .0 0 0 0
5 .0 0 0 0

-5 .0 0 0 0
-4 .0 0 0 0
-3 .0 0 0 0
-2 .0 0 0 0
-1 .0 0 0 0
6/ 006 06
22 5/2
/2 1/
6/ 006 20
24 06
/2 5/2
6/ 006 3/
20
26 0 6
/2 5/2
6/ 006 5/
S tock Return

28 20
0
Market Return

/2 6

S to c k R e turn
6/ 006 5/2

Marke t R e turn
30 7/
/2 20
0 06
7/ 0 6 5/2
2/ 9/
20 20
7/ 06 06
4/ 5/3

INTERPRETATION
20 1/
20
7/ 06 06
6/
20 6/2
7/ 06 /2
00
8/
2 6
7/ 006 6/4
10 /2
/2 00
7/ 006 6
12 6/6
/2 /2

52
00
7/ 006 6
14 6/8
/2 /2
00

Graph 4.6
7/ 006
16 Graph 4.5 6/1 6
/2 0/
7/ 006 20
18 06
/2 6/1
7/ 006 2/
20 20
/2 0 6
7/ 006 6/1
22 4/
/2 20
0 6
7/ 006 6/1
24 6/
/2 20
7/ 006 0 6
26 6/1
/2 8/
7/ 006 20
28 06
/2
00
6
Market Return Vs Stock Return of SBI after Ex-Date
 If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that SBI is having beta value
between 0 and 1 which indicates risk less investment at different point of time.

SBI announced the dividend @1.6% on the share price. From the above
tables it shows that the SBI is having the greater variance during the period after the
dividend declaration and till the ex-date. The greater the variance in value of the
underlying asset, the greater the value of shares, all other things/the/same.

The graph 4.5 shows that the stock return of SBI always below the market
returns. This means that there is no factor affected the share price.

53
 Table 4.7: Calculation of Beta, Coefficient of Correlation and
volatility of ACC Limited before dividend declaration

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
1,040.0 1,060.4
15-Dec-06 3849.6 3888.65 0 0 1.0144 1.9615 1.9898 1.0290 3.8476
3,888.2 3,928.7 1,079.9 1,056.0
18-Dec-06 0 5 5 0 1.0429 -2.2177 -2.3128 1.0876 4.9182
3,928.8 3,832.0 1,079.9 1,056.0
18-Dec-06 5 0 5 0 -2.4651 -2.2177 5.4668 6.0767 4.9182
3,832.1 3,815.5 1,050.0 1,019.0
19-Dec-06 5 5 5 0 -0.4332 -2.9570 1.2809 0.1876 8.7439
3,814.7 3,833.5 1,034.0 1,024.0
20-Dec-06 5 0 0 5 0.4915 -0.9623 -0.4730 0.2416 0.9260
3,834.9 3,871.1 1,020.0 1,029.9
21-Dec-06 0 5 0 5 0.9453 0.9755 0.9221 0.8935 0.9516
3,871.3 3,940.5 1,050.2
22-Dec-06 0 0 989.95 0 1.7875 6.0862 10.8791 3.1952 37.0414
3,942.7 3,974.2 1,045.0 1,062.7
26-Dec-06 5 5 0 5 0.7989 1.6986 1.3570 0.6383 2.8851
3,974.2 3,970.5 1,068.5 1,073.3
27-Dec-06 0 5 0 5 -0.0918 0.4539 -0.0417 0.0084 0.2060
3,971.6 3,966.4 1,073.3 1,076.0
28-Dec-06 5 0 5 0 -0.1322 0.2469 -0.0326 0.0175 0.0610
3,966.2 4,007.4 1,083.0 1,086.5
29-Dec-06 5 0 0 5 1.0375 0.3278 0.3401 1.0764 0.1074
4,007.7 4,024.0 1,096.0 1,092.9
02-Jan-07 0 5 0 5 0.4080 -0.2783 -0.1135 0.1664 0.0774
4,027.3 3,988.8 1,080.0 1,054.7
05-Jan-07 0 0 0 0 -0.9560 -2.3426 2.2395 0.9139 5.4877
3,990.1 3,983.4 1,055.0 1,028.6
08-Jan-07 5 0 0 5 -0.1692 -2.4976 0.4225 0.0286 6.2382
3,983.3 3,933.4 1,035.0 1,025.5
09-Jan-07 0 0 0 0 -1.2527 -0.9179 1.1498 1.5693 0.8425
3,933.3 3,911.4 1,020.0 1,019.8
10-Jan-07 0 0 0 5 -0.5568 -0.0147 0.0082 0.3100 0.0002
3,910.9 3,850.3 1,025.0 1,048.8
11-Jan-07 5 0 0 0 -1.5508 2.3220 -3.6008 2.4049 5.3915
3,852.1 3,942.2 1,042.1 1,064.8
12-Jan-07 5 5 0 5 2.3390 2.1831 5.1062 5.4707 4.7659
3,944.5 4,052.4 1,062.0 1,084.9
15-Jan-07 5 5 0 0 2.7354 2.1563 5.8984 7.4825 4.6497
4,052.8 4,078.4 1,087.0 1,087.0
15-Jan-07 5 0 0 0 0.6304 0.0000 0.0000 0.3974 0.0000
4,090.7 4,080.5 1,087.9 1,101.6
16-Jan-07 0 0 0 0 -0.2493 1.2593 -0.3140 0.0622 1.5859
4,084.9 4,076.4 1,110.0 1,094.6
17-Jan-07 0 5 0 5 -0.2069 -1.3829 0.2861 0.0428 1.9124
4,075.2 4,109.0 1,095.0 1,095.9
18-Jan-07 0 5 0 0 0.8306 0.0822 0.0683 0.6900 0.0068
19-Jan-07 4,126.0 4,090.1 1,099.0 1,108.9 -0.8689 0.9008 -0.7827 0.7550 0.8115

54
 0 5 0 0
4,089.6 4,102.4 1,111.0 1,115.4
22-Jan-07 0 5 0 5 0.3142 0.4005 0.1259 0.0987 0.1604
4,102.6 4,066.1 1,095.0 1,037.7
23-Jan-07 5 0 0 5 -0.8909 -5.2283 4.6578 0.7937 27.3352
4,066.6 4,089.9 1,045.0 1,026.7
24-Jan-07 0 0 0 0 0.5730 -1.7512 -1.0034 0.3283 3.0667
4,092.0 4,147.7 1,038.5 1,039.9
25-Jan-07 5 0 0 5 1.3600 0.1396 0.1899 1.8495 0.0195
4,148.4 4,124.4 1,050.3 1,042.3
29-Jan-07 0 5 5 5 -0.5773 -0.7617 0.4397 0.3333 0.5801
4,123.8 4,082.7 1,052.0 1,020.4
31-Jan-07 5 0 0 0 -0.9979 -3.0038 2.9974 0.9957 9.0228
39.144
TOTAL 4.9096 -5.3394 37.1508 8 136.5607

Beta 0.9917
Variance 4.6762

S.D 2.1625

Coefficient of Correlation 0.5273

Table 4.8: Calculation of Beta, Coefficient of Correlation and
volatility of ACC Limited from Dividend declaration till Ex-Date
Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
4,083.4 4,137.2 1034.0 1034.6
01-Feb-07 0 0 0 5 1.3175 0.0629 0.0828 1.7359 0.0040
4,140.2 4,183.5 1040.0 1040.9
02-Feb-07 0 0 0 0 1.0458 0.0865 0.0905 1.0938 0.0075
4,193.1 4,215.3 1044.4 1040.4
05-Feb-07 5 5 0 5 0.5294 -0.3782 -0.2002 0.2803 0.1430
4,216.5 4,195.9 1044.0 1044.6
06-Feb-07 5 0 0 0 -0.4897 0.0575 -0.0281 0.2398 0.0033
4,198.2 4,224.2 1048.0 1062.3
07-Feb-07 0 5 0 0 0.6205 1.3645 0.8467 0.3850 1.8619
4,232.0 4,223.4 1065.0 1066.5
08-Feb-07 0 0 0 5 -0.2032 0.1455 -0.0296 0.0413 0.0212
4,223.5 4,187.4 1045.0 1035.0
09-Feb-07 0 0 0 5 -0.8547 -0.9522 0.8138 0.7306 0.9066
4,187.2 4,058.3 1035.0 1016.5
12-Feb-07 0 0 5 0 -3.0784 -1.7922 5.5171 9.4767 3.2119
4,069.1 4,044.5 1020.0 1010.3
13-Feb-07 0 5 0 5 -0.6033 -0.9461 0.5708 0.3640 0.8951
4,044.9 4,047.1 1019.4
14-Feb-07 0 0 998.20 0 0.0544 2.1238 0.1155 0.0030 4.5106
4,046.8 4,146.2 1031.0 1017.6
15-Feb-07 0 0 0 5 2.4563 -1.2949 -3.1805 6.0332 1.6767
4,149.2 4,164.5 1024.9 1015.8
19-Feb-07 5 5 0 0 0.3687 -0.8879 -0.3274 0.1360 0.7884
4,164.8 4,106.9 1025.0 1013.8
20-Feb-07 5 5 0 0 -1.3902 -1.0927 1.5191 1.9327 1.1940

55
 4,107.1 4,096.2 1024.9 1004.7
21-Feb-07 5 0 5 0 -0.2666 -1.9757 0.5267 0.0711 3.9034
4,096.6 4,040.0 1000.0
22-Feb-07 5 0 0 959.85 -1.3828 -4.0150 5.5521 1.9122 16.1202
4,046.0 3,938.9
23-Feb-07 0 5 975.00 914.45 -2.6458 -6.2103 16.4312 7.0004 38.5673
3,939.1 3,942.0
26-Feb-07 0 0 909.90 942.55 0.0736 3.5883 0.2642 0.0054 12.8759
3,948.0 3,893.9
27-Feb-07 5 0 945.00 960.85 -1.3716 1.6772 -2.3005 1.8812 2.8132
3,893.4 3,745.3
28-Feb-07 0 0 925.00 902.00 -3.8039 -2.4865 9.4583 14.4695 6.1826
3,745.4 3,811.2
01-Mar-07 0 0 902.05 876.30 1.7568 -2.8546 -5.0150 3.0864 8.1488
3,811.6 3,726.7
02-Mar-07 5 5 885.00 854.45 -2.2274 -3.4520 7.6889 4.9612 11.9161
3,726.5 3,576.5
05-Mar-07 0 0 859.00 811.40 -4.0252 -5.5413 22.3051 16.2024 30.7063
3,577.1 3,655.6
06-Mar-07 5 5 820.00 852.50 2.1945 3.9634 8.6977 4.8158 15.7087
3,661.5 3,626.8
07-Mar-07 5 5 864.00 810.50 -0.9477 -6.1921 5.8682 0.8981 38.3425
3,627.2 3,761.6
08-Mar-07 5 5 821.00 833.15 3.7053 1.4799 5.4835 13.7291 2.1901
3,761.8 3,718.0
09-Mar-07 5 0 840.00 781.15 -1.1656 -7.0060 8.1665 1.3587 49.0834
3,717.4 3,734.6
12-Mar-07 5 0 780.00 746.70 0.4613 -4.2692 -1.9696 0.2128 18.2263
3,735.2 3,770.5
13-Mar-07 5 5 769.00 749.35 0.9451 -2.5553 -2.4149 0.8931 6.5294
3,768.4 3,641.1
14-Mar-07 0 0 722.10 746.95 -3.3781 3.4414 -11.6252 11.4115 11.8429
105.361
TOTAL -12.31 -35.91 72.9076 3 288.3811

Beta 0.5759
Variance 8.7111

S.D. 2.9515

0.369
Coefficient of Correlation 0

56
 Table 4.9: Calculation of Beta, Coefficient of and volatility of ACC
Limited after Ex-Date
Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,644.9 3,643.6
15-Mar-07 0 0 750 731.8 -0.0357 -2.4267 0.0866 0.0013 5.8887
3,639.3 3,608.5
16-Mar-07 5 5 735.70 723.15 -0.8463 -1.7059 1.4437 0.7162 2.9100
3,611.3 3,678.9
19-Mar-07 0 0 730.00 739.35 1.8719 1.2808 2.3976 3.5040 1.6405
3,680.3 3,697.6
20-Mar-07 5 0 745.00 749.20 0.4687 0.5638 0.2642 0.2197 0.3178
3,697.7 3,764.5
21-Mar-07 0 5 752.00 752.75 1.8079 0.0997 0.1803 3.2684 0.0099
3,764.5 3,875.9
22-Mar-07 0 0 755.00 753.70 2.9592 -0.1722 -0.5095 8.7570 0.0296
3,876.7 3,861.0
23-Mar-07 5 5 755.00 746.30 -0.4050 -1.1523 0.4667 0.1640 1.3278
3,863.4 3,819.9
26-Mar-07 5 5 750.00 733.60 -1.1259 -2.1867 2.4620 1.2677 4.7815
3,818.7 3,761.1
28-Mar-07 5 0 732.85 734.70 -1.5097 0.2524 -0.3811 2.2791 0.0637
3,759.1 3,798.1
29-Mar-07 5 0 734.00 734.75 1.0361 0.1022 0.1059 1.0736 0.0104
3,788.8 3,821.5
30-Mar-07 5 5 738.80 735.25 0.8631 -0.4805 -0.4147 0.7449 0.2309
3,820.0 3,633.6 10.538 23.810
02-Apr-07 0 0 720.00 704.45 -4.8796 -2.1597 5 3 4.6644
3,633.8 3,690.6
03-Apr-07 5 5 708.00 704.30 1.5631 -0.5226 -0.8169 2.4432 0.2731
3,689.7 3,733.2
04-Apr-07 5 5 680.00 714.35 1.1789 5.0515 5.9554 1.3899 25.5174
3,735.2 3,752.0
05-Apr-07 0 0 714.70 721.80 0.4498 0.9934 0.4468 0.2023 0.9869
3,752.9 3,843.5
09-Apr-07 0 0 729.00 741.65 2.4141 1.7353 4.1891 5.8280 3.0111
3,844.1 3,848.1
10-Apr-07 5 5 743.00 747.30 0.1041 0.5787 0.0602 0.0108 0.3349
3,848.3 3,862.6
11-Apr-07 5 5 745.00 732.45 0.3716 -1.6846 -0.6260 0.1381 2.8378
3,861.8 3,829.8
12-Apr-07 5 5 728.00 726.35 -0.8286 -0.2266 0.1878 0.6866 0.0514
3,830.3 3,917.3
13-Apr-07 5 5 729.85 748.30 2.2713 2.5279 5.7417 5.1590 6.3904
3,920.5 4,013.3 11.113
16-Apr-07 0 5 750.10 785.30 2.3683 4.6927 8 5.6089 22.0215
4,014.4 3,984.9
17-Apr-07 0 5 790.00 808.70 -0.7336 2.3671 -1.7365 0.5382 5.6031
3,989.6 4,011.6
18-Apr-07 0 0 812.00 816.30 0.5514 0.5296 0.2920 0.3041 0.2804
3,998.5 3,997.6
19-Apr-07 0 5 813.70 788.75 -0.0213 -3.0662 0.0652 0.0005 9.4018
4,000.2 4,083.5
20-Apr-07 5 5 799.00 791.95 2.0824 -0.8824 -1.8374 4.3363 0.7785

57
 4,083.5 4,085.1
23-Apr-07 5 0 797.00 796.05 0.0380 -0.1192 -0.0045 0.0014 0.0142
4,085.1 4,141.8
24-Apr-07 0 0 796.05 816.95 1.3880 2.6255 3.6441 1.9265 6.8931
4,134.2 4,167.3
25-Apr-07 5 0 819.00 833.05 0.7994 1.7155 1.3714 0.6391 2.9430
4,170.0 4,177.8
26-Apr-07 5 5 835.15 830.85 0.1870 -0.5149 -0.0963 0.0350 0.2651
4,182.0 4,083.5
27-Apr-07 0 0 829.00 822.45 -2.3553 -0.7901 1.8610 5.5476 0.6243
46.451 80.601
TOTAL 12.0334 7.0255 1 6 110.1033

Beta 0.5758
Variance 5.1031

S.D 1.9339

0.481
Coefficient of Correlation 3

58
 12
/15/2
2/

0 .0 0 0 0
2 .0 0 0 0
4 .0 0 0 0
6 .0 0 0 0
8 .0 0 0 0
12 006

-6 .0 0 0 0
-4 .0 0 0 0
-2 .0 0 0 0
1/ /17
20 /

0.0000
2.0000
4.0000
6.0000

-8.0000
-6.0000
-4.0000
-2.0000
2/ 07 12 2006
3/ /19
20 /2
2/ 07 12 006
5/ /21
20 /
2/ 07 12 2006
7/ /23
/20

S to c k R e turn
20 12 0 6

M a rk e t R e turn
2/ 07 /25
9/
2 /2
2/ 00 12 00 6
/27

Stock Return
11 7 /

Market Return
/2 12 200 6
2/ 00 /29
13 7 /2
/2 12 006
/31
2/ 00 /20
15 7 0
/2 1/2 6
2/ 00 / 20
17 7
/2 0
1/4 7
2/ 00 /2 0
19 7
/2 1/6 07
/2 0
2/ 00 0
21 7 1/8 7
/2 /2 0
2/ 00
23 7 1/1 07
/2 0/ 2
2/ 00 1/1 007
25 7

59
/2 2/ 2
2/ 00 0
1/1 07
27 7 4/ 2
/2 0
1/1 07

Graph 4.8
Graph 4.7
3/ 007 6/ 2
1/
20 1/1 007
3/ 07 8/ 2
3/
20 0
1/2 07
3/ 07 0/ 2
Dividend Declaration

declaration till Ex-Date

5/ 1/2 07
20 2/ 2
3/ 07
7/ 0
20 1/2 07
4/2
3/ 07 1/2 007
9/
2 6/ 2
3/ 0 0
11 7 0
1/2 07
/2 8/ 2
3/ 00 0
13 7 1/3 07
/2 0/ 2
00 00
7 7
Market Return Vs Stock Return of ACC Limited before the

Market Return Vs Stock Return of ACC Limited from Dividend

 Market Return Vs Stock Return of ACC Limited after Ex-Date

6.0000
Market Return
Stock Return
4.0000

2.0000

0.0000

4/ 007
4/ 007
4/ 007
10 7
17 7
19 7
21 7
23 7
25 7
27 7
29 7
31 7
4/ 007

12 7
14 7
16 7
18 7
20 7
22 7
24 7
26 7
7
4/ 200
3/ /200
3/ /200
3/ /200
3/ /200
3/ /200
3/ /200
3/ /200
3/ /200

4/ /200
4/ /200
4/ /200
4/ /200
4/ /200
4/ /200
4/ /200
4/ /200
00
-2.0000

2
2
2
/2

/2
2/
4/
6/
8/
15
3/

-4.0000

-6.0000

Graph 4.9

INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that ACC Limited is having beta
value between 0 and 1 which indicates risk less investment at different point of time.

ACC Limited announced the dividend @1.5% on the share price. From the
above tables it shows that the ACC Limited is having the greater variance during the
period after the dividend declaration till the ex-date. The greater the variance in value
of the underlying asset, the greater the value of shares, all other things/the/same.

The graph 4.8 shows that most of the time the stock return of ACC Limited
below the market returns. This means that there is no factor affected the share price.

60
 Table 4.10: Calculation of Beta, Coefficient of Correlation and
volatility of Gujarat Ambuja Cements before dividend declaration

Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,888.2 3,928.7
18-Dec-06 0 5 140.15 139.50 1.0429 -0.4638 -0.4837 1.0876 0.2151
3,928.8 3,832.0
19-Dec-06 5 0 139.50 135.20 -2.4651 -3.0824 7.5985 6.0767 9.5014
3,832.1 3,815.5
20-Dec-06 5 5 137.40 134.05 -0.4332 -2.4381 1.0561 0.1876 5.9445
3,814.7 3,833.5
21-Dec-06 5 0 135.00 132.65 0.4915 -1.7407 -0.8556 0.2416 3.0302
3,834.9 3,871.1
22-Dec-06 0 5 133.50 136.65 0.9453 2.3596 2.2304 0.8935 5.5675
3,871.3 3,940.5
26-Dec-06 0 0 139.80 139.80 1.7875 0.0000 0.0000 3.1952 0.0000
3,942.7 3,974.2
27-Dec-06 5 5 139.80 141.85 0.7989 1.4664 1.1715 0.6383 2.1503
3,974.2 3,970.5
28-Dec-06 0 5 143.10 144.20 -0.0918 0.7687 -0.0706 0.0084 0.5909
3,971.6 3,966.4
29-Dec-06 5 0 144.20 141.05 -0.1322 -2.1845 0.2888 0.0175 4.7719
3,966.2 4,007.4
02-Jan-07 5 0 152.00 144.60 1.0375 -4.8684 -5.0510 1.0764 23.7015
4,007.7 4,024.0
03-Jan-07 0 5 146.50 145.05 0.4080 -0.9898 -0.4038 0.1664 0.9796
4,027.3 3,988.8
04-Jan-07 0 0 147.00 142.65 -0.9560 -2.9592 2.8289 0.9139 8.7568
3,990.1 3,983.4
05-Jan-07 5 0 142.50 138.30 -0.1692 -2.9474 0.4986 0.0286 8.6870
3,983.3 3,933.4
08-Jan-07 0 0 139.80 136.75 -1.2527 -2.1817 2.7331 1.5693 4.7598
3,933.3 3,911.4
09-Jan-07 0 0 138.50 139.10 -0.5568 0.4332 -0.2412 0.3100 0.1877
3,910.9 3,850.3
10-Jan-07 5 0 140.00 136.30 -1.5508 -2.6429 4.0985 2.4049 6.9847
3,852.1 3,942.2
11-Jan-07 5 5 137.90 139.55 2.3390 1.1965 2.7986 5.4707 1.4317
3,944.5 4,052.4
12-Jan-07 5 5 143.30 141.30 2.7354 -1.3957 -3.8178 7.4825 1.9479
4,052.8 4,078.4
15-Jan-07 5 0 141.90 144.05 0.6304 1.5152 0.9552 0.3974 2.2957
4,090.7 4,080.5
16-Jan-07 0 0 144.00 143.95 -0.2493 -0.0347 0.0087 0.0622 0.0012
4,084.9 4,076.4
17-Jan-07 0 5 143.90 144.55 -0.2069 0.4517 -0.0934 0.0428 0.2040
4,075.2 4,109.0
18-Jan-07 0 5 140.00 145.45 0.8306 3.8929 3.2335 0.6900 15.1543
4,126.0 4,090.1
19-Jan-07 0 5 146.00 148.95 -0.8689 2.0205 -1.7556 0.7550 4.0826
4,089.6 4,102.4
22-Jan-07 0 5 149.50 146.85 0.3142 -1.7726 -0.5570 0.0987 3.1420
4,102.6 4,066.1
23-Jan-07 5 0 146.10 137.00 -0.8909 -6.2286 5.5490 0.7937 38.7956

61
 4,066.6 4,089.9
24-Jan-07 0 0 141.50 137.75 0.5730 -2.6502 -1.5184 0.3283 7.0234
4,092.0 4,147.7
25-Jan-07 5 0 139.00 138.00 1.3600 -0.7194 -0.9784 1.8495 0.5176
4,148.4 4,124.4
29-Jan-07 0 5 138.00 134.25 -0.5773 -2.7174 1.5688 0.3333 7.3842
4,123.8 4,082.7
31-Jan-07 5 0 136.00 137.30 -0.9979 0.9559 -0.9538 0.9957 0.9137
4,083.4 4,137.2
01-Feb-07 0 0 137.90 139.30 1.3175 1.0152 1.3376 1.7359 1.0307
21.175 39.851
TOTAL 5.2128 -25.9417 5 7 169.7534

Beta 0.6595
Variance 5.0800

S.D. 2.2539

0.339
Coefficient of Correlation 1

62
 Table 4.11: Calculation of Beta, Coefficient of Correlation and
volatility of Gujarat Ambuja Cements from Dividend declaration till
Ex-Date

Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
4,140.2 4,183.5
02-Feb-07 0 0 140.20 142.85 1.0458 1.8902 1.9768 1.0938 3.5727
4,193.1 4,215.3
05-Feb-07 5 5 143.45 143.15 0.5294 -0.2091 -0.1107 0.2803 0.0437
4,216.5 4,195.9
06-Feb-07 5 0 142.60 142.60 -0.4897 0.0000 0.0000 0.2398 0.0000
4,198.2 4,224.2
07-Feb-07 0 5 143.85 141.60 0.6205 -1.5641 -0.9705 0.3850 2.4465
4,232.0 4,223.4
08-Feb-07 0 0 142.00 141.75 -0.2032 -0.1761 0.0358 0.0413 0.0310
4,223.5 4,187.4
09-Feb-07 0 0 142.80 138.85 -0.8547 -2.7661 2.3643 0.7306 7.6513
4,187.2 4,058.3 14.405
12-Feb-07 0 0 138.90 132.40 -3.0784 -4.6796 9 9.4767 21.8989
4,069.1 4,044.5
13-Feb-07 0 5 131.55 130.75 -0.6033 -0.6081 0.3669 0.3640 0.3698
4,044.9 4,047.1
14-Feb-07 0 0 129.25 132.05 0.0544 2.1663 0.1178 0.0030 4.6930
4,046.8 4,146.2
15-Feb-07 0 0 134.00 136.75 2.4563 2.0522 5.0408 6.0332 4.2117
4,149.2 4,164.5
19-Feb-07 5 5 137.70 132.60 0.3687 -3.7037 -1.3657 0.1360 13.7174
4,164.8 4,106.9
20-Feb-07 5 5 133.00 129.95 -1.3902 -2.2932 3.1881 1.9327 5.2589
4,107.1 4,096.2
21-Feb-07 5 0 130.00 131.15 -0.2666 0.8846 -0.2358 0.0711 0.7825
24.813 20.787
TOTAL -1.8111 -9.0068 6 5 64.6776

Beta 1.1472
Variance 4.8698

S.D. 2.2068

0.680
Coefficient of Correlation 1

63
 Table 4.12: Calculation of Beta, Coefficient of Correlation and
volatility of Gujarat Ambuja Cements after Ex-Date

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
4,096.6 4,040.0
22-Feb-07 5 0 131.55 125.90 -1.3828 -4.2949 5.9392 1.9122 18.4466
4,046.0 3,938.9
23-Feb-07 0 5 125.00 123.20 -2.6458 -1.4400 3.8100 7.0004 2.0736
3,939.1 3,942.0
26-Feb-07 0 0 121.00 127.45 0.0736 5.3306 0.3924 0.0054 28.4151
3,948.0 3,893.9
27-Feb-07 5 0 128.00 125.65 -1.3716 -1.8359 2.5181 1.8812 3.3707
3,893.4 3,745.3
28-Feb-07 0 0 124.00 115.80 -3.8039 -6.6129 25.1546 14.4695 43.7305
3,745.4 3,811.2
01-Mar-07 0 0 118.00 111.70 1.7568 -5.3390 -9.3796 3.0864 28.5047
3,811.6 3,726.7
02-Mar-07 5 5 108.00 109.80 -2.2274 1.6667 -3.7123 4.9612 2.7778
3,726.5 3,576.5
05-Mar-07 0 0 107.10 112.00 -4.0252 4.5752 -18.4161 16.2024 20.9321
3,577.1 3,655.6
06-Mar-07 5 5 113.00 113.30 2.1945 0.2655 0.5826 4.8158 0.0705
3,661.5 3,626.8
07-Mar-07 5 5 114.70 103.80 -0.9477 -9.5031 9.0059 0.8981 90.3080
3,627.2 3,761.6
08-Mar-07 5 5 103.00 112.85 3.7053 9.5631 35.4340 13.7291 91.4530
3,761.8 3,718.0
09-Mar-07 5 0 110.25 110.05 -1.1656 -0.1814 0.2115 1.3587 0.0329
3,717.4 3,734.6
12-Mar-07 5 0 111.50 105.40 0.4613 -5.4709 -2.5239 0.2128 29.9302
3,735.2 3,770.5
13-Mar-07 5 5 104.30 105.95 0.9451 1.5820 1.4950 0.8931 2.5026
3,768.4 3,641.1
14-Mar-07 0 0 102.90 106.15 -3.3781 3.1584 -10.6694 11.4115 9.9755
3,644.9 3,643.6
15-Mar-07 0 0 107.20 106.05 -0.0357 -1.0728 0.0383 0.0013 1.1508
3,639.3 3,608.5
16-Mar-07 5 5 107.00 103.80 -0.8463 -2.9907 2.5310 0.7162 8.9440
3,611.3 3,678.9
19-Mar-07 0 0 102.00 107.25 1.8719 5.1471 9.6348 3.5040 26.4922
3,680.3 3,697.6
20-Mar-07 5 0 107.05 110.85 0.4687 3.5497 1.6638 0.2197 12.6007
3,697.7 3,764.5
21-Mar-07 0 5 111.00 106.45 1.8079 -4.0991 -7.4107 3.2684 16.8026
3,764.5 3,875.9
22-Mar-07 0 0 107.00 108.00 2.9592 0.9346 2.7656 8.7570 0.8734
3,876.7 3,861.0
23-Mar-07 5 5 108.00 105.30 -0.4050 -2.5000 1.0124 0.1640 6.2500
3,863.4 3,819.9
26-Mar-07 5 5 105.00 104.30 -1.1259 -0.6667 0.7506 1.2677 0.4444
3,818.7 3,761.1
28-Mar-07 5 0 104.00 102.20 -1.5097 -1.7308 2.6129 2.2791 2.9956
29-Mar-07 3,759.1 3,798.1 102.80 104.50 1.0361 1.6537 1.7135 1.0736 2.7347

64
 5 0
3,788.8 3,821.5
30-Mar-07 5 5 102.10 106.70 0.8631 4.5054 3.8884 0.7449 20.2985
3,820.0 3,633.6
02-Apr-07 0 0 107.00 103.75 -4.8796 -3.0374 14.8212 23.8103 9.2257
3,633.8 3,690.6
03-Apr-07 5 5 104.00 105.55 1.5631 1.4904 2.3296 2.4432 2.2212
3,689.7 3,733.2
04-Apr-07 5 5 101.05 104.75 1.1789 3.6616 4.3168 1.3899 13.4070
3,735.2 3,752.0
05-Apr-07 0 0 105.00 105.95 0.4498 0.9048 0.4069 0.2023 0.8186
132.679
TOTAL -8.4149 -2.7869 80.9172 6 497.7833

Beta 0.6149
Variance 16.8183

S.D. 4.1010

Coefficient of Correlation 0.3147

Market Return Vs Stock Return of Gujarat Ambuja Cements before
the Dividend Declaration

6 .0 0 0 0
M a rk e t R e turn
S to c k R e turn
4 .0 0 0 0

2 .0 0 0 0

0 .0 0 0 0
1/3 7

1/5 7
07

1/9 7
1/1 7

1/1 07

1/1 07

1/1 07

1/2 07

1/2 07

1/2 07

1/2 07

7
1/1 07

1/2 07

1/3 07
12 006

12 006

12 006
12 006

12 06

12 06

1/1 6

0
0

-2 .0 0 0 0
00
0
/20

/20

/20

/20

/20

0
0

0
/20

/20

/20

1/2

5/2

7/2

9/2

1/2

3/2

7/2

1/2
3/2

5/2

9/2
/2

/2

/2
8/2

1/7
/20

/22

/24

/26

/28

/30
/1
12

-4 .0 0 0 0

-6 .0 0 0 0

-8 .0 0 0 0

Graph 4.10
Market Return Vs Stock Return of Gujarat Ambuja Cements from
Dividend declaration till Ex-Date

65
 3.0000
Market Return
2.0000 Stock Return
1.0000

0.0000

-1.0000
2/ 007
2/ 007
2/ 007
2/ 007
2/ 007
2/ 007
2/ 007

10 7
11 7
12 7
13 7
14 7
15 7
16 7
17 7
18 7
19 7
20 7
21 7
7
2/ 2 00
2/ 200
2/ 200
2/ 200
2/ 200
2/ 200
2/ 200
2/ 200
2/ 200
2/ 200
2/ 200
2/ 200
00
2
2
2
2
2
2
2

/2
2/
3/
4/
5/
6/
7/
8/
9/

/
/
/
/
/
/
/
/
/
/
/
-2.0000
2/

-3.0000

-4.0000

-5.0000

-6.0000

Graph 4.11
Market Return Vs Stock Return of Gujarat Ambuja Cements after
Ex-Date
15.0000
Market Return
Stock Return
10.0000

5.0000

0.0000
3/ 007
24 7
26 7
28 7
3/ 007
3/ 007
3/ 007

10 7
12 7
14 7
16 7
18 7
20 7
22 7
24 7
26 7
28 7
30 7
4/ 007
4/ 007
4/ 007
07
3/ 200

3/ 200
2/ 200
2/ 00
2/ 200

3/ 200
3/ 200
3/ 00
3/ 200
3/ 200
3/ 200

3/ 200
3/ 200
3/ 200

-5.0000
20
2
2
2

2
2
/2

/2

/2

/2
4/
6/

1/
/

2/

8/

/
/

3/
5/
/

/
/

/
/
22
2/

-10.0000

-15.0000

Graph 4.12

INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that Gujarat Ambuja Cements is

66
having beta value between 0 and 1 which indicates risk less investment before the
dividend declaration time and after the ex-date.
The Beta value should fall between 0 and 1 for risk less investment. Here from
the above tables it is clear that Gujarat Ambuja Cements is having beta value above 1
during the period from dividend declaration till ex-date which indicates high risky
investment.
Gujarat Ambuja Cements announced the dividend @2.4% on the share price.
But from the above tables it shows that the Gujarat Ambuja Cements is having the
greater variance during the period after ex-date. The greater the variance in value of
the underlying asset, the greater the value of shares, all other things/the/same.

The graph 4.11 shows that most of the time the stock return of Gujarat
Ambuja Cements below the market returns. This means that there is no factor affected
the share price.

67
 Table 4.13: Calculation of Beta, Coefficient of Correlation and
volatility of Gammon India Limited before dividend declaration

Marke
t Stock
Nifty Stock Return Return

Date Open Close Open Close X Y X*Y X^2 Y^2

3,391.8 3,246.9
19-May-06 5 0 510.00 503.60 -4.2735 -1.2549 5.3628 18.2626 1.5748
3,254.3 3,081.3
22-May-06 0 5 503.60 479.85 -5.3145 -4.7160 25.0635 28.2440 22.2411
3,068.6 3,199.3
23-May-06 0 5 478.00 493.00 4.2609 3.1381 13.3710 18.1553 9.8475
3,203.5 3,115.5
24-May-06 0 5 486.00 469.85 -2.7454 -3.3230 9.1232 7.5374 11.0426
3,114.7 3,177.7
25-May-06 0 0 451.95 451.30 2.0227 -0.1438 -0.2909 4.0912 0.0207
3,177.7 3,209.6
26-May-06 0 0 460.00 441.15 1.0039 -4.0978 -4.1137 1.0078 16.7922
3,207.2 3,214.9
29-May-06 5 0 449.00 443.85 0.2385 -1.1470 -0.2736 0.0569 1.3156
3,215.5 3,185.3
30-May-06 0 0 454.00 446.15 -0.9392 -1.7291 1.6239 0.8821 2.9897
3,181.9 3,071.0
31-May-06 5 5 420.00 425.85 -3.4853 1.3929 -4.8545 12.1472 1.9401
3,072.5 2,962.2
01-Jun-06 5 5 427.40 431.95 -3.5899 1.0646 -3.8217 12.8870 1.1333
2,961.5 3,091.3
02-Jun-06 0 5 410.00 417.30 4.3846 1.7805 7.8067 19.2247 3.1701
3,092.6 3,016.6
05-Jun-06 0 5 420.10 413.25 -2.4559 -1.6306 4.0044 6.0313 2.6587
3,015.0 2,937.3
06-Jun-06 5 0 396.10 403.95 -2.5787 1.9818 -5.1106 6.6498 3.9276
2,935.2 2,860.4
07-Jun-06 5 5 403.95 397.85 -2.5483 -1.5101 3.8482 6.4940 2.2804
2,856.9 2,724.3
08-Jun-06 0 5 380.00 384.30 -4.6396 1.1316 -5.2501 21.5263 1.2805
2,721.2 2,866.3
09-Jun-06 0 0 370.00 392.05 5.3322 5.9595 31.7771 28.4324 35.5152
2,867.6 2,776.8
12-Jun-06 5 5 400.00 373.35 -3.1664 -6.6625 21.0958 10.0258 44.3889
2,773.6 2,663.3
13-Jun-06 0 0 351.10 350.15 -3.9768 -0.2706 1.0760 15.8148 0.0732
2,665.0 2,632.8
14-Jun-06 5 0 355.00 338.95 -1.2101 -4.5211 5.4711 1.4644 20.4406
2,634.1 2,798.8
15-Jun-06 0 0 355.00 355.55 6.2526 0.1549 0.9687 39.0951 0.0240
2,799.8 2,890.3
16-Jun-06 5 5 365.00 373.00 3.2323 2.1918 7.0845 10.4479 4.8039
2,892.0 2,916.9
19-Jun-06 0 0 366.00 371.35 0.8610 1.4617 1.2586 0.7413 2.1367
2,919.0 2,861.3
20-Jun-06 0 0 360.30 354.50 -1.9767 -1.6098 3.1820 3.9074 2.5914
21-Jun-06 2,861.4 2,923.4 362.00 361.90 2.1685 -0.0276 -0.0599 4.7025 0.0008

68
 0 5
2,923.7 2,994.7
22-Jun-06 5 5 370.00 364.95 2.4284 -1.3649 -3.3144 5.8971 1.8629
2,993.5 3,042.7
23-Jun-06 5 0 364.50 358.10 1.6419 -1.7558 -2.8828 2.6957 3.0829
3,043.1 3,050.3
25-Jun-06 5 0 365.00 361.40 0.2350 -0.9863 -0.2317 0.0552 0.9728
3,051.8 2,943.2
26-Jun-06 0 0 362.00 340.15 -3.5586 -6.0359 21.4791 12.6633 36.4322
2,943.6 2,982.4
27-Jun-06 0 5 330.00 325.85 1.3198 -1.2576 -1.6598 1.7419 1.5815
2,982.2 2,981.1
28-Jun-06 0 0 316.15 315.65 -0.0369 -0.1582 0.0058 0.0014 0.0250
131.738 300.883
TOTAL -11.11 -23.95 9 7 236.1468

Beta 0.4140
Variance 7.4839

S.D 2.7357

Coefficient of Correlation 0.4841

69
 Table 4.14: Calculation of Beta, Coefficient of Correlation and
volatility of Gammon India Limited from Dividend declaration till
Ex-Date
Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
2,982.9 2,997.9
29-Jun-06 0 0 328.00 314.65 0.5029 -4.0701 -2.0467 0.2529 16.5659
2,993.5 3,128.2 26.340
30-Jun-06 0 0 328.00 347.20 4.4997 5.8537 0 20.2477 34.2653
3,128.7 3,150.9
03-Jul-06 5 5 355.00 342.95 0.7095 -3.3944 -2.4085 0.5035 11.5217
3,151.0 3,138.6
04-Jul-06 5 5 346.90 355.75 -0.3935 2.5512 -1.0039 0.1549 6.5085
3,136.9 3,197.1
05-Jul-06 5 0 360.20 353.40 1.9175 -1.8878 -3.6199 3.6767 3.5639
3,197.5 3,156.4
06-Jul-06 0 0 336.25 359.10 -1.2854 6.7955 -8.7348 1.6522 46.1794
3,157.9 3,075.8
07-Jul-06 5 5 360.00 350.05 -2.5998 -2.7639 7.1855 6.7589 7.6391
3,077.1 3,142.0
10-Jul-06 0 0 337.50 342.75 2.1091 1.5556 3.2809 4.4484 2.4198
3,145.3 3,116.1
11-Jul-06 0 5 341.00 337.55 -0.9268 -1.0117 0.9377 0.8589 1.0236
3,124.9 3,195.9
12-Jul-06 5 0 338.00 344.10 2.2704 1.8047 4.0975 5.1549 3.2571
3,196.3 3,169.3
13-Jul-06 0 0 333.00 343.60 -0.8447 3.1832 -2.6889 0.7136 10.1327
3,166.2 3,123.3
14-Jul-06 5 5 340.00 341.15 -1.3549 0.3382 -0.4583 1.8358 0.1144
3,123.6 3,007.5
17-Jul-06 5 5 333.25 327.00 -3.7168 -1.8755 6.9708 13.8146 3.5174
3,007.1 2,993.6
18-Jul-06 5 5 315.00 319.00 -0.4489 1.2698 -0.5701 0.2015 1.6125
2,995.8 2,932.7 17.832
19-Jul-06 5 5 326.00 298.40 -2.1062 -8.4663 0 4.4363 71.6775
2,943.6 3,023.0
20-Jul-06 5 5 307.90 298.60 2.6973 -3.0205 -8.1472 7.2756 9.1232
3,025.1 2,945.0
21-Jul-06 0 0 294.30 291.05 -2.6478 -1.1043 2.9241 7.0111 1.2195
2,944.9 2,985.8
24-Jul-06 0 5 291.00 290.85 1.3905 -0.0515 -0.0717 1.9336 0.0027
2,989.5 3,040.5
25-Jul-06 0 0 295.00 309.55 1.7060 4.9322 8.4142 2.9103 24.3266
3,040.4 3,110.1
26-Jul-06 5 5 319.00 312.75 2.2924 -1.9592 -4.4914 5.2552 3.8387
3,109.8 3,156.1
27-Jul-06 5 5 314.25 317.70 1.4888 1.0979 1.6345 2.2166 1.2053
3,158.0 3,130.8
28-Jul-06 0 0 320.00 321.85 -0.8613 0.5781 -0.4979 0.7418 0.3342
3,131.3 3,143.2
31-Jul-06 5 0 324.00 323.10 0.3784 -0.2778 -0.1051 0.1432 0.0772
3,128.2 3,147.8
01-Aug-06 0 0 326.95 313.10 0.6266 -4.2361 -2.6542 0.3926 17.9447

70
 3,129.4 3,182.1
02-Aug-06 5 0 314.90 320.35 1.6824 1.7307 2.9118 2.8305 2.9954
3,182.5 3,190.0
03-Aug-06 5 0 320.00 322.05 0.2341 0.6406 0.1500 0.0548 0.4104
3,189.7 3,176.7
04-Aug-06 0 5 324.30 312.90 -0.4060 -3.5153 1.4272 0.1648 12.3571
3,176.7 3,151.1
07-Aug-06 0 0 310.10 310.20 -0.8059 0.0322 -0.0260 0.6494 0.0010
3,151.5 3,212.4
08-Aug-06 5 0 317.00 311.30 1.9308 -1.7981 -3.4718 3.7280 3.2332
3,211.5 3,254.6 17.512
09-Aug-06 5 0 316.90 358.30 1.3405 13.0641 0 1.7969 170.6696
3,254.6 3,260.1
10-Aug-06 0 0 365.00 353.20 0.1690 -3.2329 -0.5463 0.0286 10.4515
3,260.0 3,274.3
11-Aug-06 5 5 350.00 347.85 0.4386 -0.6143 -0.2695 0.1924 0.3773
3,274.9 3,313.1
14-Aug-06 5 0 348.95 373.15 1.1649 6.9351 8.0787 1.3570 48.0955
3,314.7 3,356.0
16-Aug-06 5 5 378.80 361.85 1.2459 -4.4747 -5.5752 1.5524 20.0226
3,359.7 3,353.9
17-Aug-06 0 0 365.10 358.65 -0.1726 -1.7666 0.3050 0.0298 3.1210
3,354.5 3,356.7
18-Aug-06 0 5 363.00 353.15 0.0671 -2.7135 -0.1820 0.0045 7.3631
3,356.8 3,366.0
21-Aug-06 0 0 348.40 351.70 0.2741 0.9472 0.2596 0.0751 0.8972
3,369.6 3,364.6
22-Aug-06 0 0 355.40 357.75 -0.1484 0.6612 -0.0981 0.0220 0.4372
3,363.6 3,335.8
23-Aug-06 0 0 359.80 358.45 -0.8265 -0.3752 0.3101 0.6831 0.1408
3,336.6 3,370.4
24-Aug-06 5 0 358.00 352.30 1.0115 -1.5922 -1.6105 1.0231 2.5350
3,368.5 3,385.9
25-Aug-06 5 5 358.50 352.25 0.5165 -1.7434 -0.9005 0.2668 3.0394
3,386.0 3,401.1
28-Aug-06 0 0 345.60 350.50 0.4460 1.4178 0.6323 0.1989 2.0102
3,405.0 3,425.7
29-Aug-06 5 0 358.00 344.80 0.6065 -3.6872 -2.2361 0.3678 13.5951
3,425.8 3,430.3
30-Aug-06 0 5 347.00 335.35 0.1328 -3.3573 -0.4459 0.0176 11.2718
3,404.5 3,413.9
31-Aug-06 0 0 337.00 341.80 0.2761 1.4243 0.3933 0.0762 2.0287
3,414.0 3,435.4
01-Sep-06 0 5 345.15 344.50 0.6283 -0.1883 -0.1183 0.3948 0.0355
3,435.5 3,476.8
04-Sep-06 5 5 350.00 358.75 1.2021 2.5000 3.0053 1.4451 6.2500
3,471.4 3,473.7
05-Sep-06 0 5 362.00 390.50 0.0677 7.8729 0.5330 0.0046 61.9830
3,474.4 3,477.2
06-Sep-06 0 5 395.00 402.55 0.0820 1.9114 0.1568 0.0067 3.6534
3,477.1 3,454.5
07-Sep-06 5 5 400.00 393.40 -0.6500 -1.6500 1.0724 0.4224 2.7225
3,454.6 3,471.4
08-Sep-06 5 5 395.00 399.50 0.4863 1.1392 0.5540 0.2365 1.2979
3,470.3 3,366.1 23.082
11-Sep-06 5 5 393.50 363.25 -3.0026 -7.6874 1 9.0155 59.0964
3,363.3 3,389.9
12-Sep-06 0 0 365.25 362.20 0.7909 -0.8350 -0.6604 0.6255 0.6973
13-Sep-06 3,389.8 3,454.5 357.00 375.25 1.9086 5.1120 9.7570 3.6429 26.1330

71
 5 5
3,454.6 3,471.6
14-Sep-06 0 0 383.50 371.45 0.4921 -3.1421 -1.5462 0.2422 9.8729
3,471.6 3,478.6
15-Sep-06 5 0 374.60 371.35 0.2002 -0.8676 -0.1737 0.0401 0.7527
94.398 123.786
TOTAL 16.7861 -2.0112 5 8 765.6183

Beta 0.7577
Variance 13.9190

S.D. 3.7308

0.315
Coefficient of Correlation 1

72
 Table 4.15: Calculation of Beta, Coefficient of Correlation and
volatility of Gammon India Limited after Ex-Date

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,478.6 3,492.7
18-Sep-06 5 5 374.60 372.50 0.4053 -0.5606 -0.2272 0.1643 0.3143
3,493.5 3,457.3
19-Sep-06 0 5 375.10 363.75 -1.0348 -3.0259 3.1311 1.0708 9.1558
3,457.8 3,502.8
20-Sep-06 5 0 360.00 360.20 1.2999 0.0556 0.0722 1.6898 0.0031
3,506.7 3,553.0
21-Sep-06 0 5 368.00 361.65 1.3218 -1.7255 -2.2807 1.7470 2.9775
3,554.0 3,544.0
22-Sep-06 5 5 360.00 353.95 -0.2814 -1.6806 0.4729 0.0792 2.8243
3,545.1 3,523.4
25-Sep-06 0 5 355.00 354.40 -0.6107 -0.1690 0.1032 0.3730 0.0286
3,523.7 3,571.7
26-Sep-06 0 5 360.00 350.95 1.3636 -2.5139 -3.4280 1.8595 6.3196
3,571.7 3,579.3
27-Sep-06 5 0 354.70 350.40 0.2114 -1.2123 -0.2563 0.0447 1.4697
3,579.9 3,571.7
28-Sep-06 5 5 352.05 346.80 -0.2291 -1.4913 0.3416 0.0525 2.2239
3,572.1 3,588.4
29-Sep-06 5 0 347.00 365.45 0.4549 5.3170 2.4187 0.2069 28.2705
3,588.9 3,569.6
03-Oct-06 5 0 359.40 377.00 -0.5392 4.8971 -2.6403 0.2907 23.9811
3,570.9 3,515.3
04-Oct-06 5 5 380.00 371.80 -1.5570 -2.1579 3.3599 2.4243 4.6565
3,515.6 3,564.9
05-Oct-06 0 0 378.00 389.30 1.4023 2.9894 4.1921 1.9665 8.9366
3,565.4 3,569.7
06-Oct-06 5 0 391.25 403.90 0.1192 3.2332 0.3854 0.0142 10.4538
3,570.0 3,567.1
09-Oct-06 5 5 400.95 397.65 -0.0812 -0.8230 0.0669 0.0066 0.6774
3,567.4 3,571.0
10-Oct-06 5 5 400.00 398.75 0.1009 -0.3125 -0.0315 0.0102 0.0977
3,581.5 3,558.5
11-Oct-06 5 5 404.00 387.95 -0.6422 -3.9728 2.5512 0.4124 15.7829
3,562.5 3,621.0
12-Oct-06 5 5 391.00 386.75 1.6421 -1.0870 -1.7849 2.6964 1.1815
3,621.6 3,676.0
13-Oct-06 5 5 391.95 385.20 1.5021 -1.7222 -2.5868 2.2562 2.9658
3,668.9 3,723.9
16-Oct-06 0 5 389.90 380.90 1.5004 -2.3083 -3.4635 2.2513 5.3282
3,726.4 3,715.0
17-Oct-06 0 0 384.65 384.75 -0.3059 0.0260 -0.0080 0.0936 0.0007
3,715.2 3,710.6
18-Oct-06 0 5 376.50 375.70 -0.1225 -0.2125 0.0260 0.0150 0.0451
3,711.1 3,677.8
19-Oct-06 0 0 383.00 369.00 -0.8973 -3.6554 3.2800 0.8052 13.3616
3,678.7 3,676.8
20-Oct-06 5 5 377.95 369.15 -0.0516 -2.3284 0.1203 0.0027 5.4212

73
 3,680.8 3,683.5
21-Oct-06 5 0 374.70 372.95 0.0720 -0.4670 -0.0336 0.0052 0.2181
3,683.4 3,657.3
23-Oct-06 0 0 372.00 363.25 -0.7086 -2.3522 1.6667 0.5021 5.5326
3,656.2 3,677.5
26-Oct-06 0 5 367.00 365.20 0.5839 -0.4905 -0.2864 0.3410 0.2406
3,676.8 3,739.3
27-Oct-06 5 5 358.00 372.85 1.6998 4.1480 7.0509 2.8894 17.2063
3,739.3 3,769.1
30-Oct-06 5 0 375.00 388.30 0.7956 3.5467 2.8217 0.6330 12.5788
3,770.5 3,744.1
31-Oct-06 0 0 392.00 393.45 -0.7002 0.3699 -0.2590 0.4902 0.1368
25.393
TOTAL 6.7137 -9.6856 14.7746 8 182.3905

Beta 0.7091
Variance 6.1815

S.D. 2.4863

Coefficient of Correlation 0.2589

74
Market Return Vs Stock Return of Gammon India Limited before
the Dividend Declaration

8.00 00
M arket Re turn
6.00 00 S tock Return

4.00 00

2.00 00

0.00 00

-2.0000
6/4 6

6/6 6

6/8 6
6/1 006
06

06

5/2 06

5/2 06

5/2 06

5/3 06

6/2 06

6/1 06

6/1 06

6/1 06

6/1 06

6/2 06

6/2 06

6/2 06

6/2 06

6/2 06
06
00

00

00
20

20

20

20

20

20

20

20

20

20

20

20

20

20

20

20

20
/2

/2

/2

/2
9/

1/

3/

5/

7/

9/

1/

0/

2/

4/

6/

8/

0/

2/

4/

6/

8/
5/1

5/2

5/2

-4.0000

-6.0000

-8.0000

Graph 4.13
Market Return Vs Stock Return of Gammon India Limited from
Dividend declaration till Ex-Date

15.0000
Market Return
Stock Return
10.0000

5.0000

0.0000
06

6
6

06

06
00

00

00

00

00

00

00

00

00
20

20
20

/2

/2

/2

/2

/2

/2

/2

/2
2

-5.0000
/

6/

3/

7/
29

13

20

27

10

17

24

31

14
7/

8/

9/
6/

7/

7/

7/

8/

8/

8/

8/

9/

-10.0000

Graph 4.14

75
Market Return Vs Stock Return of Gammon India Limited after Ex-
Date

6.0000
M ark et Return

S tock Return

4.0000

2.0000

0.0000
20 6
22 6

4 6
26 6
28 6

0 6
/2 6
/4 6
/6 6
/8 6
/1 06
/1 06
/1 06
/1 06
/1 06
/2 06
/2 06
/2 06
/2 06
/2 06
/3 06
06
9/2 /200

9/3 /200

10 /200
9/ /200
9/ /200

9/ /200
9/ /200

10 /200
10 /200

10 /200

-2.0000

10 2/20
10 4/20

10 8/20
10 0/20

10 4/20

20
10 /20
10 0/20

10 6/20

10 2/20

10 6/20
10 8/20
0/
8
9/1

-4.0000

-6.0000

Graph 4.15

INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that Gammon India Limited is
having beta value between 0 and 1 which indicates risk less investment at different
point of time.

Gammon India Limited announced the dividend @0.9% on the share price.
From the above tables it shows that the Gammon India Limited is having the greater
variance during the period after the dividend declaration till the ex-date. The greater
the variance in value of the underlying asset, the greater the value of shares, all other
things/the/same.

76
 Table 4.16: Calculation of Beta, Coefficient of Correlation and
volatility of Nagarjuna Construction Company Limited before
dividend declaration

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,694.6 3,720.5
09-May-06 5 5 388.95 381.20 0.7010 -1.9925 -1.3968 0.4914 3.9702
3,720.7 3,754.2
10-May-06 5 5 382.15 373.45 0.9004 -2.2766 -2.0497 0.8106 5.1829
3,755.8 3,701.0
11-May-06 0 5 378.00 367.90 -1.4577 -2.6720 3.8950 2.1250 7.1394
3,704.1 3,650.0
12-May-06 5 5 365.25 360.50 -1.4605 -1.3005 1.8994 2.1331 1.6912
3,651.0 3,502.9
15-May-06 0 5 360.10 376.15 -4.0551 4.4571 -18.0738 16.4435 19.8657
3,502.9 3,523.3
16-May-06 5 0 386.00 364.10 0.5809 -5.6736 -3.2960 0.3375 32.1895
3,525.0 3,635.1
17-May-06 5 0 378.00 381.00 3.1219 0.7937 2.4777 9.7465 0.6299
3,636.4 3,388.9
18-May-06 5 0 381.00 359.30 -6.8075 -5.6955 38.7722 46.3416 32.4392
3,391.8 3,246.9
19-May-06 5 0 375.00 325.00 -4.2735 -13.3333 56.9797 18.2626 177.7778
3,254.3 3,081.3
22-May-06 0 5 330.00 313.95 -5.3145 -4.8636 25.8478 28.2440 23.6550
3,068.6 3,199.3
23-May-06 0 5 316.90 326.65 4.2609 3.0767 13.1094 18.1553 9.4660
3,203.5 3,115.5
24-May-06 0 5 328.10 334.95 -2.7454 2.0878 -5.7319 7.5374 4.3588
3,114.7 3,177.7
25-May-06 0 0 330.00 327.15 2.0227 -0.8636 -1.7468 4.0912 0.7459
3,177.7 3,209.6
26-May-06 0 0 331.60 343.10 1.0039 3.4680 3.4815 1.0078 12.0273
3,207.2 3,214.9
29-May-06 5 0 349.00 348.85 0.2385 -0.0430 -0.0103 0.0569 0.0018
3,215.5 3,185.3
30-May-06 0 0 362.10 355.25 -0.9392 -1.8917 1.7767 0.8821 3.5787
3,181.9 3,071.0
31-May-06 5 5 351.00 333.05 -3.4853 -5.1140 17.8236 12.1472 26.1526
3,072.5 2,962.2
01-Jun-06 5 5 337.80 319.50 -3.5899 -5.4174 19.4477 12.8870 29.3483
2,961.5 3,091.3
02-Jun-06 0 5 319.00 316.20 4.3846 -0.8777 -3.8486 19.2247 0.7704
3,092.6 3,016.6
05-Jun-06 0 5 318.00 312.25 -2.4559 -1.8082 4.4406 6.0313 3.2695
3,015.0 2,937.3
06-Jun-06 5 0 302.20 296.55 -2.5787 -1.8696 4.8213 6.6498 3.4955
2,935.2 2,860.4
07-Jun-06 5 5 295.00 262.25 -2.5483 -11.1017 28.2908 6.4940 123.2476
2,856.9 2,724.3
08-Jun-06 0 5 260.00 236.30 -4.6396 -9.1154 42.2921 21.5263 83.0902

77
 2,721.2 2,866.3
09-Jun-06 0 0 235.00 260.30 5.3322 10.7660 57.4063 28.4324 115.9058
2,867.6 2,776.8
12-Jun-06 5 5 259.40 240.55 -3.1664 -7.2668 23.0092 10.0258 52.8059
2,773.6 2,663.3
13-Jun-06 0 0 236.00 235.35 -3.9768 -0.2754 1.0953 15.8148 0.0759
2,665.0 2,632.8
14-Jun-06 5 0 234.00 210.80 -1.2101 -9.9145 11.9977 1.4644 98.2979
2,634.1 2,798.8
15-Jun-06 0 0 222.00 226.55 6.2526 2.0495 12.8150 39.0951 4.2007
2,799.8 2,890.3
16-Jun-06 5 5 228.00 236.40 3.2323 3.6842 11.9085 10.4479 13.5734
2,892.0 2,916.9
19-Jun-06 0 0 237.55 257.70 0.8610 8.4824 7.3033 0.7413 71.9515
354.737 347.648
TOTAL -21.8114 -54.5013 2 6 960.9044

Beta 0.9497
Variance 29.7204

S.D. 5.4516

Coefficient of Correlation 0.5893

Table 4.17: Calculation of Beta, Coefficient of Correlation and
volatility of Nagarjuna Construction Company Limited from
Dividend declaration till Ex-Date

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
2,919.0 2,861.3
20-Jun-06 0 0 255.00 255.50 -1.9767 0.1961 -0.3876 3.9074 0.0384
2,861.4 2,923.4
21-Jun-06 0 5 256.80 270.50 2.1685 5.3349 11.5688 4.7025 28.4611
2,923.7 2,994.7
22-Jun-06 5 5 274.45 267.15 2.4284 -2.6599 -6.4592 5.8971 7.0749
2,993.5 3,042.7
23-Jun-06 5 0 260.00 258.55 1.6419 -0.5577 -0.9157 2.6957 0.3110
3,043.1 3,050.3
25-Jun-06 5 0 266.00 263.80 0.2350 -0.8271 -0.1943 0.0552 0.6840
3,051.8 2,943.2
26-Jun-06 0 0 265.00 242.80 -3.5586 -8.3774 29.8113 12.6633 70.1801
2,943.6 2,982.4
27-Jun-06 0 5 248.00 239.90 1.3198 -3.2661 -4.3107 1.7419 10.6676
2,982.2 2,981.1
28-Jun-06 0 0 235.05 245.60 -0.0369 4.4884 -0.1656 0.0014 20.1458
2,982.9 2,997.9
29-Jun-06 0 0 250.00 250.65 0.5029 0.2600 0.1307 0.2529 0.0676
30-Jun-06 2,993.5 3,128.2 255.00 255.35 4.4997 0.1373 0.6176 20.2477 0.0188

78
 0 0
3,128.7 3,150.9
03-Jul-06 5 5 259.90 263.35 0.7095 1.3274 0.9419 0.5035 1.7621
3,151.0 3,138.6
04-Jul-06 5 5 269.90 270.35 -0.3935 0.1667 -0.0656 0.1549 0.0278
3,136.9 3,197.1
05-Jul-06 5 0 270.00 272.80 1.9175 1.0370 1.9885 3.6767 1.0754
3,197.5 3,156.4
06-Jul-06 0 0 270.00 265.80 -1.2854 -1.5556 1.9995 1.6522 2.4198
3,157.9 3,075.8
07-Jul-06 5 5 274.90 263.70 -2.5998 -4.0742 10.5921 6.7589 16.5992
3,077.1 3,142.0
10-Jul-06 0 0 268.20 264.40 2.1091 -1.4169 -2.9883 4.4484 2.0075
3,145.3 3,116.1
11-Jul-06 0 5 266.40 256.70 -0.9268 -3.6411 3.3745 0.8589 13.2579
3,124.9 3,195.9
12-Jul-06 5 0 256.00 260.60 2.2704 1.7969 4.0797 5.1549 3.2288
3,196.3 3,169.3
13-Jul-06 0 0 252.00 256.95 -0.8447 1.9643 -1.6593 0.7136 3.8584
3,166.2 3,123.3
14-Jul-06 5 5 251.50 255.75 -1.3549 1.6899 -2.2896 1.8358 2.8556
3,123.6 3,007.5
17-Jul-06 5 5 255.00 240.60 -3.7168 -5.6471 20.9890 13.8146 31.8893
3,007.1 2,993.6
18-Jul-06 5 5 243.70 221.90 -0.4489 -8.9454 4.0159 0.2015 80.0206
2,995.8 2,932.7
19-Jul-06 5 5 227.75 202.40 -2.1062 -11.1306 23.4438 4.4363 123.8908
2,943.6 3,023.0
20-Jul-06 5 5 208.10 205.20 2.6973 -1.3936 -3.7589 7.2756 1.9420
3,025.1 2,945.0
21-Jul-06 0 0 205.00 202.60 -2.6478 -1.1707 3.0999 7.0111 1.3706
2,944.9 2,985.8
24-Jul-06 0 5 198.00 208.00 1.3905 5.0505 7.0229 1.9336 25.5076
2,989.5 3,040.5
25-Jul-06 0 0 211.10 225.20 1.7060 6.6793 11.3947 2.9103 44.6130
3,040.4 3,110.1
26-Jul-06 5 5 225.00 237.80 2.2924 5.6889 13.0413 5.2552 32.3635
3,109.8 3,156.1
27-Jul-06 5 5 241.00 236.30 1.4888 -1.9502 -2.9035 2.2166 3.8033
3,158.0 3,130.8
28-Jul-06 0 0 237.15 250.40 -0.8613 5.5872 -4.8123 0.7418 31.2166
3,131.3 3,143.2
31-Jul-06 5 0 255.00 256.75 0.3784 0.6863 0.2597 0.1432 0.4710
3,128.2 3,147.8
01-Aug-06 0 0 257.00 254.45 0.6266 -0.9922 -0.6217 0.3926 0.9845
3,129.4 3,182.1
02-Aug-06 5 0 255.00 266.50 1.6824 4.5098 7.5873 2.8305 20.3383
3,182.5 3,190.0
03-Aug-06 5 0 269.20 275.60 0.2341 2.3774 0.5565 0.0548 5.6521
3,189.7 3,176.7
04-Aug-06 0 5 279.70 275.45 -0.4060 -1.5195 0.6169 0.1648 2.3088
3,176.7 3,151.1
07-Aug-06 0 0 276.00 275.65 -0.8059 -0.1268 0.1022 0.6494 0.0161
3,151.5 3,212.4
08-Aug-06 5 0 277.90 289.75 1.9308 4.2641 8.2332 3.7280 18.1828
3,211.5 3,254.6
09-Aug-06 5 0 289.00 288.45 1.3405 -0.1903 -0.2551 1.7969 0.0362
3,254.6 3,260.1
10-Aug-06 0 0 289.85 289.40 0.1690 -0.1553 -0.0262 0.0286 0.0241

79
 133.654 133.508
TOTAL 11.77 -6.36 5 1 609.3731

80
 Beta 1.0432
Variance 16.0089

S.D. 4.0011

Coefficient of Correlation 0.4822

Table 4.18: Calculation of Beta, Coefficient of Correlation and

volatility of Nagarjuna Construction Company Limited after Ex-
Date

Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,260.0 3,274.3
11-Aug-06 5 5 289.40 286.20 0.4386 -1.1057 -0.4850 0.1924 1.2227
3,274.9 3,313.1
14-Aug-06 5 0 289.85 291.55 1.1649 0.5865 0.6832 1.3570 0.3440
3,314.7 3,356.0
16-Aug-06 5 5 295.00 303.55 1.2459 2.8983 3.6111 1.5524 8.4002
3,359.7 3,353.9
17-Aug-06 0 0 306.80 301.45 -0.1726 -1.7438 0.3010 0.0298 3.0409
3,354.5 3,356.7
18-Aug-06 0 5 304.70 292.15 0.0671 -4.1188 -0.2763 0.0045 16.9646
3,356.8 3,366.0
21-Aug-06 0 0 294.00 294.15 0.2741 0.0510 0.0140 0.0751 0.0026
3,369.6 3,364.6
22-Aug-06 0 0 295.50 288.40 -0.1484 -2.4027 0.3565 0.0220 5.7730
3,363.6 3,335.8
23-Aug-06 0 0 288.90 278.65 -0.8265 -3.5479 2.9324 0.6831 12.5879
3,336.6 3,370.4
24-Aug-06 5 0 276.00 283.30 1.0115 2.6449 2.6753 1.0231 6.9956
3,368.5 3,385.9
25-Aug-06 5 5 284.00 288.25 0.5165 1.4965 0.7730 0.2668 2.2394
3,386.0 3,401.1
28-Aug-06 0 0 288.75 287.15 0.4460 -0.5541 -0.2471 0.1989 0.3070
3,405.0 3,425.7
29-Aug-06 5 0 289.90 289.25 0.6065 -0.2242 -0.1360 0.3678 0.0503
3,425.8 3,430.3
30-Aug-06 0 5 298.00 287.80 0.1328 -3.4228 -0.4546 0.0176 11.7157
3,404.5 3,413.9
31-Aug-06 0 0 290.00 291.55 0.2761 0.5345 0.1476 0.0762 0.2857
3,414.0 3,435.4
01-Sep-06 0 5 293.50 289.05 0.6283 -1.5162 -0.9526 0.3948 2.2988
3,435.5 3,476.8
04-Sep-06 5 5 295.00 298.75 1.2021 1.2712 1.5281 1.4451 1.6159
3,471.4 3,473.7
05-Sep-06 0 5 300.00 311.10 0.0677 3.7000 0.2505 0.0046 13.6900
3,474.4 3,477.2
06-Sep-06 0 5 311.00 313.35 0.0820 0.7556 0.0620 0.0067 0.5710

81
 3,477.1 3,454.5
07-Sep-06 5 5 312.00 306.25 -0.6500 -1.8429 1.1978 0.4224 3.3965
3,454.6 3,471.4
08-Sep-06 5 5 307.60 309.90 0.4863 0.7477 0.3636 0.2365 0.5591
3,470.3 3,366.1
11-Sep-06 5 5 310.00 305.80 -3.0026 -1.3548 4.0680 9.0155 1.8356
3,363.3 3,389.9
12-Sep-06 0 0 307.90 309.10 0.7909 0.3897 0.3082 0.6255 0.1519
3,389.8 3,454.5
13-Sep-06 5 5 309.00 313.30 1.9086 1.3916 2.6560 3.6429 1.9365
3,454.6 3,471.6
14-Sep-06 0 0 314.00 312.35 0.4921 -0.5255 -0.2586 0.2422 0.2761
3,471.6 3,478.6
15-Sep-06 5 0 312.70 315.90 0.2002 1.0233 0.2049 0.0401 1.0472
3,478.6 3,492.7
18-Sep-06 5 5 317.90 310.45 0.4053 -2.3435 -0.9499 0.1643 5.4920
3,493.5 3,457.3
19-Sep-06 0 5 312.00 296.20 -1.0348 -5.0641 5.2402 1.0708 25.6451
3,457.8 3,502.8
20-Sep-06 5 0 153.00 149.90 1.2999 -2.0261 -2.6339 1.6898 4.1053
3,506.7 3,553.0
21-Sep-06 0 5 153.00 150.70 1.3218 -1.5033 -1.9870 1.7470 2.2598
3,554.0 3,544.0
22-Sep-06 5 5 150.50 151.45 -0.2814 0.6312 -0.1776 0.0792 0.3985
18.815 26.694
TOTAL 8.9491 -15.1745 1 2 135.2088

Beta 0.9716
Variance 4.3977

S.D. 2.0971

0.421
Coefficient of Correlation 7

Market Return Vs Stock Return of Nagarjuna Construction

Company Limited before the Dividend Declaration

82
 5/
9/

0.0000
5.0000

-5.0000
10.0000
15.0000

-15.0000
-10.0000
5/ 2 00
11 6
/
5/ 200
13 6
/
5/ 200
15 6
/
5/ 200
17 6
/
5/ 200
Stock Return

19 6
/
M arket Return

5/ 200
21 6
/
5/ 200
23 6
/
5/ 200
25 6
/
5/ 200
27 6
/
5/ 200
29 6
/
5/ 200
31 6
/2
6/ 006
2/
2

83
6/ 006
4/
2
Graph 4.16 6/ 006
6/
2
6/ 006
8/
6/ 2 00
10 6
/
6/ 200
12 6
/
6/ 200
14 6
/
6/ 200
16 6
/
6/ 200
18 6
/2
00
6
 Market Return Vs Stock Return of Nagarjuna Construction
Company Limited from Dividend declaration till Ex-Date
8 .0 0 0 0 Marke t R e turn
S to ck R e turn
6 .0 0 0 0
4 .0 0 0 0
2 .0 0 0 0
0 .0 0 0 0
-2 .0 0 0 0
7/ 006
7/6 006
7/8 006

0 6

8/3 006
8/5 006
8/7 006
8/ 006
6
2 6
4 6
26 6
8 6
0/ 6
7/ 006

2 6
4 6
6 6
18 6
20 6
2 6
4 6
6 6
8 6
0/ 6
8/1 006
7/1 /200

00
6/2 /200
6/2 /200
6/ /200
6/2 /200
6/3 /200

7/1 /200
7/1 /200
7/1 /200
7/ /200
7/ /200
7/2 /200
7/2 /200
7/2 /200
7/2 /200
7/3 /200
-4 .0 0 0 0
2/ 2
4/ 2
/2

/2
/2
9/2
/2
/2
2

2
0
6/2

-6 .0 0 0 0
-8 .0 0 0 0
-1 0 .0 0 0 0
-1 2 .0 0 0 0
-1 4 .0 0 0 0

Graph 4.17

Market Return Vs Stock Return of Nagarjuna Construction

Company Limited after Ex-Date

5.0000
Market Return
4.0000 S tock Return
3.0000
2.0000
1.0000
0.0000
-1.0000
06

06

9/1 06
06
13 6

15 6
8/ 006

19 6
8/2 06

23 6

25 6

27 6

29 6

31 6
6

9/ 006

14 6
9/ 006

18 6

20 6
9/ 006

6
00

00

00

00

00

00

00

00

00
0

00

00

00

20
20

20

20
0
20
/2

/2

/2

/2
/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

-2.0000
2/

6/

8/
4/
1/

0/
11

17

12

16

22
9/

9/

9/

9/
8/

8/

8/

8/

8/

8/

8/

8/

8/

9/

9/

9/

-3.0000
-4.0000
-5.0000
-6.0000

Graph/4.18
.

84
INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that Nagarjuna Construction
Company Limited is having beta value between 0 and 1 which indicates risk less
investment before the dividend declaration period and after the ex-date period.

The Beta value should fall between 0 and 1 for risk less investment. Here from
the above tables it is clear that Nagarjuna Construction Company Limited is having
beta value above 1 during the period from dividend declaration till ex-date which
indicates high risky investment.

Nagarjuna Consruction Company Limited announced the dividend @0.6% on

the share price. But from the above tables it shows that the Nagarjuna Construction
Company Limited is having the greater variance during the period before dividend
declaration. The greater the variance in value of the underlying asset, the greater the
value of shares, all other things/the/same.

85
 Table 4.19: Calculation of Beta, Coefficient of Correlation and
volatility of Infosys before dividend declaration

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,067.9 3,074.7 2,858.5 2,828.9
28-Feb-06 0 0 5 5 0.2216 -1.0355 -0.2295 0.0491 1.0722
3,074.6 3,123.1 2,819.0 2,905.1
01-Mar-06 0 0 0 5 1.5774 3.0560 4.8207 2.4883 9.3394
3,124.2 3,150.7 2,910.0 2,854.3
02-Mar-06 5 0 0 0 0.8466 -1.9141 -1.6205 0.7167 3.6637
3,151.3 3,147.3 2,860.0 2,824.3
03-Mar-06 0 5 0 5 -0.1253 -1.2465 0.1562 0.0157 1.5538
3,147.2 3,190.4 2,824.0 2,855.0
06-Mar-06 5 0 0 0 1.3710 1.0977 1.5050 1.8797 1.2050
3,190.4 3,182.8 2,860.0 2,819.5
07-Mar-06 5 0 0 0 -0.2398 -1.4161 0.3395 0.0575 2.0053
3,183.4 3,116.7 2,825.0 2,801.1
08-Mar-06 5 0 0 5 -2.0968 -0.8442 1.7702 4.3965 0.7128
3,116.7 3,129.1 2,787.0 2,843.0
09-Mar-06 5 0 0 0 0.3962 2.0093 0.7962 0.1570 4.0374
3,129.0 3,183.9 2,860.0 2,913.5
10-Mar-06 5 0 0 0 1.7529 1.8706 3.2791 3.0728 3.4993
3,184.1 3,202.6 2,926.0 2,935.2
13-Mar-06 0 5 0 0 0.5826 0.3144 0.1832 0.3394 0.0989
3,197.2 3,195.3 2,997.4 2,932.4
14-Mar-06 0 5 0 5 -0.0579 -2.1669 0.1254 0.0033 4.6954
3,197.3 3,226.6 2,936.0 2,921.8
16-Mar-06 0 0 0 0 0.9164 -0.4837 -0.4432 0.8398 0.2339
3,226.9 3,234.0 2,949.0 2,877.9
17-Mar-06 0 5 0 5 0.2216 -2.4093 -0.5338 0.0491 5.8047
3,234.2 3,265.6 2,875.0 2,966.9
20-Mar-06 0 5 0 0 0.9724 3.1965 3.1084 0.9456 10.2178
3,264.6 3,262.3 2,970.0 2,959.7
21-Mar-06 5 0 0 5 -0.0720 -0.3451 0.0248 0.0052 0.1191
3,263.3 3,240.1 2,960.0 2,920.0
22-Mar-06 5 5 0 0 -0.7109 -1.3514 0.9607 0.5054 1.8262
3,240.8 3,247.1 2,920.0 2,890.4
23-Mar-06 5 5 0 5 0.1944 -1.0120 -0.1967 0.0378 1.0241
3,247.1 3,279.8 2,890.4 2,896.3
24-Mar-06 5 0 5 5 1.0055 0.2041 0.2052 1.0110 0.0417
3,283.4 3,321.6 2,910.0 2,879.3
27-Mar-06 0 5 0 0 1.1650 -1.0550 -1.2290 1.3571 1.1130
3,321.4 3,325.0 2,899.7 2,960.0
28-Mar-06 5 0 0 0 0.1069 2.0795 0.2223 0.0114 4.3244
3,324.8 3,354.2 2,980.3 3,036.5
29-Mar-06 5 0 5 5 0.8827 1.8857 1.6646 0.7792 3.5558
3,354.2 3,418.9 3,045.1 3,043.0
30-Mar-06 5 5 0 0 1.9289 -0.0690 -0.1330 3.7206 0.0048
3,420.5 3,402.5 3,049.0 2,981.4
31-Mar-06 5 5 0 0 -0.5262 -2.2171 1.1667 0.2769 4.9156
3,403.1 3,473.3 3,000.0 3,142.1
03-Apr-06 5 0 0 5 2.0613 4.7383 9.7672 4.2491 22.4518
04-Apr-06 3,473.1 3,483.1 3,182.0 3,152.7 0.2894 -0.9208 -0.2665 0.0837 0.8479

86
 0 5 0 0
3,483.1 3,510.9 3,155.0 3,114.7
05-Apr-06 5 0 0 5 0.7967 -1.2758 -1.0164 0.6347 1.6275
3,525.6 3,454.8 3,365.0 3,167.0 11.819
07-Apr-06 0 0 5 0 -2.0082 -5.8855 1 4.0327 34.6391
3,455.0 3,478.4 3,219.0 3,189.3
10-Apr-06 0 5 0 0 0.6787 -0.9226 -0.6262 0.4607 0.8513
3,479.1 3,380.0 3,225.0 3,075.6 13.191
12-Apr-06 0 0 0 5 -2.8484 -4.6310 1 8.1136 21.4462
3,380.4 3,345.5 3,096.0 3,018.8
13-Apr-06 0 0 0 5 -1.0324 -2.4919 2.5727 1.0659 6.2097
51.383
TOTAL 8.2504 -13.2410 6 41.3558 153.1377

Beta 1.4078
Variance 5.0791

S.D. 2.2537

0.725
Coefficient of Correlation 2

87
Table 4.20: Calculation of Beta, Coefficient of Correlation and
volatility of Infosys from Dividend declaration till Ex-Date

88
 Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,342.1 3,425.1 3,125.0 3,229.9
17-Apr-06 5 5 0 5 2.4834 3.3584 8.3404 6.1674 11.2789
3,429.0 3,518.1 3,255.3 3,336.0
18-Apr-06 0 0 5 0 2.5984 2.4775 6.4375 6.7518 6.1378
3,523.6 3,535.8 3,350.0 3,278.8
19-Apr-06 5 5 0 0 0.3462 -2.1254 -0.7359 0.1199 4.5172
3,539.8 3,573.5 3,280.0 3,276.6
20-Apr-06 0 0 0 0 0.9520 -0.1037 -0.0987 0.9064 0.0107
3,576.7 3,573.0 3,290.0 3,301.7
21-Apr-06 5 5 0 0 -0.1034 0.3556 -0.0368 0.0107 0.1265
3,572.8 3,548.9 3,310.0 3,204.8
24-Apr-06 0 0 0 0 -0.6689 -3.1782 2.1261 0.4475 10.1013
3,548.8 3,462.6 3,210.0 3,141.8
25-Apr-06 0 5 0 5 -2.4276 -2.1231 5.1539 5.8932 4.5074
3,462.6 3,555.7 3,160.0 3,224.9
26-Apr-06 5 5 0 5 2.6887 2.0554 5.5263 7.2291 4.2246
3,554.7 3,508.1 3,232.0 3,132.7
27-Apr-06 0 0 0 0 -1.3109 -3.0724 4.0277 1.7186 9.4396
3,507.4 3,508.3 3,140.0 3,139.6
28-Apr-06 5 5 0 5 0.0257 -0.0111 -0.0003 0.0007 0.0001
3,508.3 3,557.6 3,152.0 3,177.3
29-Apr-06 5 0 0 5 1.4038 0.8043 1.1290 1.9706 0.6468
3,557.5 3,605.4 3,189.4 3,164.2
02-May-06 5 5 0 5 1.3464 -0.7885 -1.0617 1.8129 0.6218
3,604.4 3,634.2 3,177.0 3,171.4
03-May-06 0 5 0 0 0.8282 -0.1763 -0.1460 0.6858 0.0311
3,630.6 3,648.4 3,172.0 3,211.3
04-May-06 5 0 0 0 0.4889 1.2390 0.6057 0.2390 1.5350
3,649.4 3,663.9 3,215.0 3,212.1
05-May-06 5 5 0 0 0.3973 -0.0902 -0.0358 0.1579 0.0081
3,668.6 3,693.1 3,235.0 3,228.2
08-May-06 5 5 0 5 0.6678 -0.2087 -0.1393 0.4460 0.0435
3,694.6 3,720.5 3,217.0 3,237.1
09-May-06 5 5 0 5 0.7010 0.6264 0.4391 0.4914 0.3923
3,720.7 3,754.2 3,235.0 3,256.2
10-May-06 5 5 0 5 0.9004 0.6569 0.5914 0.8106 0.4315
3,755.8 3,701.0 3,253.0 3,256.0
11-May-06 0 5 0 5 -1.4577 0.0938 -0.1367 2.1250 0.0088
3,704.1 3,650.0 3,235.0 3,242.3
12-May-06 5 5 0 0 -1.4605 0.2257 -0.3296 2.1331 0.0509
3,651.0 3,502.9 3,190.0 3,151.1
15-May-06 0 5 0 0 -4.0551 -1.2194 4.9449 16.4435 1.4870
3,502.9 3,523.3 3,160.0 3,150.0
16-May-06 5 0 0 5 0.5809 -0.3149 -0.1829 0.3375 0.0991
3,525.0 3,635.1 3,189.9 3,208.2
17-May-06 5 0 0 0 3.1219 0.5737 1.7910 9.7465 0.3291
3,636.4 3,388.9 3,193.1 3,033.9
18-May-06 5 0 0 5 -6.8075 -4.9842 33.9297 46.3416 24.8421
3,391.8 3,246.9 3,120.0 2,974.4
19-May-06 5 0 0 5 -4.2735 -4.6651 19.9361 18.2626 21.7628
3,254.3 3,081.3 3,024.7 2,823.7
22-May-06 0 5 0 0 -5.3145 -6.6453 35.3164 28.2440 44.1598
3,068.6 3,199.3 2,830.0 2,910.6
23-May-06 0 5 0 5 4.2609 2.8498 12.1428 18.1553 8.1215
3,203.5 3,115.5 2,940.0 2,860.9
24-May-06 0 5 0 5 -2.7454 -2.6888 7.3819 7.5374 7.2295
3,114.7 3,177.7 2,830.0 2,828.5
25-May-06 0 0 0 589 2.0227 -0.0512 -0.1036 4.0912 0.0026
Beta 0.7639
Variance 5.4296

S.D. 2.3302

Coefficient of Correlation 0.8505

90
 Table 4.21: Calculation of Beta, Coefficient of Correlation and
volatility of Infosys after Ex-Date

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,177.7 3,209.6 2,870.0 2,934.2
26-May-06 0 0 0 5 1.0039 2.2387 2.2473 1.0078 5.0117
3,207.2 3,214.9 2,940.0 2,967.7
29-May-06 5 0 0 0 0.2385 0.9422 0.2247 0.0569 0.8877
3,215.5 3,185.3 2,974.0 3,026.5
30-May-06 0 0 0 0 -0.9392 1.7653 -1.6580 0.8821 3.1163
3,181.9 3,071.0 2,970.0 2,909.8
31-May-06 5 5 0 5 -3.4853 -2.0253 7.0586 12.1472 4.1016
3,072.5 2,962.2 2,949.0 2,829.8
01-Jun-06 5 5 0 5 -3.5899 -4.0404 14.5043 12.8870 16.3244
2,961.5 3,091.3 2,850.0 2,886.0
02-Jun-06 0 5 0 0 4.3846 1.2632 5.5384 19.2247 1.5956
3,092.6 3,016.6 2,918.0 2,824.2
05-Jun-06 0 5 0 5 -2.4559 -3.2128 7.8902 6.0313 10.3222
3,015.0 2,937.3 2,800.0 2,765.4
06-Jun-06 5 0 0 0 -2.5787 -1.2357 3.1866 6.6498 1.5270
2,935.2 2,860.4 2,754.0 2,763.2
07-Jun-06 5 5 0 5 -2.5483 0.3359 -0.8559 6.4940 0.1128
2,856.9 2,724.3 2,785.4 2,703.8
08-Jun-06 0 5 0 0 -4.6396 -2.9296 13.5921 21.5263 8.5823
2,721.2 2,866.3 2,683.1 2,794.6
09-Jun-06 0 0 5 5 5.3322 4.1556 22.1583 28.4324 17.2687
2,867.6 2,776.8 2,800.0 2,763.2
12-Jun-06 5 5 0 0 -3.1664 -1.3143 4.1615 10.0258 1.7273
2,773.6 2,663.3 2,747.0 2,639.1
13-Jun-06 0 0 0 0 -3.9768 -3.9279 15.6205 15.8148 15.4286
2,665.0 2,632.8 2,694.7 2,485.2
14-Jun-06 5 0 0 0 -1.2101 -7.7745 9.4080 1.4644 60.4432
2,634.1 2,798.8 2,560.0 2,727.0
15-Jun-06 0 0 0 5 6.2526 6.5254 40.8007 39.0951 42.5807
2,799.8 2,890.3 2,761.0 2,801.1
16-Jun-06 5 5 0 5 3.2323 1.4542 4.7004 10.4479 2.1146
2,892.0 2,916.9 2,800.0 2,871.2
19-Jun-06 0 0 0 0 0.8610 2.5429 2.1894 0.7413 6.4661
2,919.0 2,861.3 2,858.0 2,844.0
20-Jun-06 0 0 0 0 -1.9767 -0.4899 0.9683 3.9074 0.2400
2,861.4 2,923.4 2,825.0 2,923.2
21-Jun-06 0 5 0 5 2.1685 3.4779 7.5418 4.7025 12.0956
2,923.7 2,994.7 2,994.7 2,951.8
22-Jun-06 5 5 0 5 2.4284 -1.4309 -3.4747 5.8971 2.0474
2,993.5 3,042.7 2,931.0 2,991.5
23-Jun-06 5 0 5 5 1.6419 2.0641 3.3890 2.6957 4.2605
3,043.1 3,050.3 2,995.0 2,989.6
25-Jun-06 5 0 0 5 0.2350 -0.1786 -0.0420 0.0552 0.0319
3,051.8 2,943.2 2,999.0 2,900.2
26-Jun-06 0 0 0 0 -3.5586 -3.2944 11.7234 12.6633 10.8533
2,943.6 2,982.4 2,905.0 2,967.4
27-Jun-06 0 5 0 5 1.3198 2.1497 2.8373 1.7419 4.6214
28-Jun-06 2,982.2 2,981.1 2,931.2 2,974.5 -0.0369 1.4755 -0.0544 0.0014 2.1770

91
 0 0 5 0
2,982.9 2,997.9 2,994.0 2,993.6
29-Jun-06 0 0 0 5 0.5029 -0.0117 -0.0059 0.2529 0.0001
2,993.5 3,128.2 3,084.0 3,078.9
30-Jun-06 0 0 0 5 4.4997 -0.1637 -0.7368 20.2477 0.0268
3,128.7 3,150.9 3,085.0 3,154.3
03-Jul-06 5 5 0 5 0.7095 2.2480 1.5950 0.5035 5.0534
3,151.0 3,138.6 3,160.0 3,149.6
04-Jul-06 5 5 0 5 -0.3935 -0.3275 0.1289 0.1549 0.1073
3,136.9 3,197.1 3,180.0 3,194.1
05-Jul-06 5 0 0 0 1.9175 0.4434 0.8502 3.6767 0.1966
175.487 249.428
TOTAL 2.1725 0.7246 4 9 239.3222

Beta 0.7038
Variance 8.2519

S.D. 2.8726

Coefficient of Correlation 0.7183

92
 4/1 2/
7
/20
28
/2

0.0000
2.0000
4.0000
6.0000

-8.000 0
-6.000 0
-4.000 0
-2.000 0
0.0000
2.0000
4.0000
6.0000

-8.0000
-6.0000
-4.0000
-2.0000
4/1 06 3/ 006
2/
9/
20 2
3/ 006
4/2 06 4/
1/ 2
20 3/ 006
6/
4/2 06 2
3/ 3/ 006
20 8/
4/2 06 3/ 2 00

S tock Return
5/ 10 6

Market Return
20
Stock Return

3/ /200
Market Return

4/2 06 12 6
7/
20 3/ /200
4/2 06 14 6
9/
20 3/ /200
0 16 6
5/1 6 /
/2 3/ 200
00 18 6
5/3 6 3/ /200
/2 20 6
00
5/5 6 3/ /200
22 6
/2
00 3/ /200
5/7 6 24 6
/2 3/ /200
00 26 6

93
5/9 6 /
/2 3/ 200
0 28 6
5/1 06
1/ 3/ /200

Graph 4.20
Graph 4.19
20 30 6
Declaration

5/1 06 /2
3/ 4/ 006
20 1/
2
5/1 06 4/ 006
5/ 3/
2

declaration till Ex-Date

20
5/1 06 4/ 006
5/
7/
20 2
4/ 006
5/1 06 7/
9/ 2
20 4/ 006
5/2 06 9/
1/ 4/ 2 00
20 11 6
5/2 06 4/ /200
3/ 13 6
20 /2
00
5/2 06
5/ 6
20
06
Market Return Vs Stock Return of Infosys from Dividend
Market Return Vs Stock Return of Infosys before the Dividend
 Market Return Vs Stock Return of Infosys after Ex-Date

8.0000
Market Return
6.0000 Stock Return

4.0000

2.0000

0.0000
06

06

06

06

11 6

06

06

06
30 6

15 6

19 6

23 6

27 6

6
-2.0000
28 6

13 6

17 6

21 6

25 6

29 6
0
00

00

00

00

00

00
00

00

00

00

00

00

00
20

20

20

20

20

20

20

20
/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2
1/

3/

5/

7/

9/

1/

3/

5/
26

6/

6/

6/

6/

6/

7/

7/

7/
5/

5/

5/

6/

6/

6/

6/

6/

6/

6/

6/

6/

6/
-4.0000

-6.0000

-8.0000

-10.0000

Graph 4.21

INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that Infosys is having beta value
between 0 and 1 which indicates risk less investment after the dividend declaration
time till the ex-date.
The Beta value should fall between 0 and 1 for risk less investment. Here from
the above tables it is clear that Infosys is having beta value above 1 during the period
before dividend declaration which indicates high risky investment.
Infosys announced the dividend @1.2 % on the share price. But from the
above tables it shows that the Infosys is having the greater variance during the period
after ex-date. The greater the variance in value of the underlying asset, the greater the
value of shares, all other things/the/same
The graph 4.20 shows that most of the time the stock return of Infosys below
the market returns. This means that there is no factor affected the share price.

94
 Table 4.22: Calculation of Beta, Coefficient of Correlation and
volatility of TCS before dividend declaration

Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,576.7 3,573.0 2,000.0 1,999.0
21-Apr-06 5 5 0 5 -0.1034 -0.0475 0.0049 0.0107 0.0023
3,572.8 3,548.9 1,998.0 1,979.2
24-Apr-06 0 0 0 5 -0.6689 -0.9384 0.6278 0.4475 0.8807
3,548.8 3,462.6 1,979.9 1,926.9
25-Apr-06 0 5 0 5 -2.4276 -2.6744 6.4923 5.8932 7.1523
3,462.6 3,555.7 1,928.0 1,942.3
26-Apr-06 5 5 0 5 2.6887 0.7443 2.0012 7.2291 0.5540
3,554.7 3,508.1 1,942.3 1,945.8
27-Apr-06 0 0 5 5 -1.3109 0.1802 -0.2362 1.7186 0.0325
3,507.4 3,508.3 1,907.0 1,978.0
28-Apr-06 5 5 0 5 0.0257 3.7257 0.0956 0.0007 13.8812
3,508.3 3,557.6 1,991.0 1,979.3
29-Apr-06 5 0 0 5 1.4038 -0.5851 -0.8214 1.9706 0.3424
3,557.5 3,605.4 1,984.0 2,013.1
02-May-06 5 5 0 5 1.3464 1.4693 1.9783 1.8129 2.1587
3,604.4 3,634.2 2,024.0 2,031.5
03-May-06 0 5 0 5 0.8282 0.3730 0.3089 0.6858 0.1391
3,630.6 3,648.4 2,028.0 2,043.7
04-May-06 5 0 0 0 0.4889 0.7742 0.3785 0.2390 0.5993
3,649.4 3,663.9 2,055.0 2,006.6
05-May-06 5 5 0 5 0.3973 -2.3528 -0.9348 0.1579 5.5357
3,668.6 3,693.1 2,021.0 2,019.4
08-May-06 5 5 0 5 0.6678 -0.0767 -0.0512 0.4460 0.0059
3,694.6 3,720.5 2,032.0 2,024.8
09-May-06 5 5 0 5 0.7010 -0.3519 -0.2467 0.4914 0.1238
3,720.7 3,754.2 2,044.4 2,021.7
10-May-06 5 5 0 0 0.9004 -1.1104 -0.9997 0.8106 1.2329
3,755.8 3,701.0 2,029.3 2,018.7
11-May-06 0 5 0 0 -1.4577 -0.5223 0.7614 2.1250 0.2728
3,704.1 3,650.0 2,011.0 1,996.1
12-May-06 5 5 0 5 -1.4605 -0.7384 1.0785 2.1331 0.5453
3,651.0 3,502.9 1,980.0 1,960.9
15-May-06 0 5 0 0 -4.0551 -0.9646 3.9117 16.4435 0.9305
3,502.9 3,523.3 1,959.9 1,974.7
16-May-06 5 0 5 0 0.5809 0.7526 0.4372 0.3375 0.5664
3,525.0 3,635.1 1,995.0 2,016.5
17-May-06 5 0 0 5 3.1219 1.0802 3.3723 9.7465 1.1668
3,636.4 3,388.9 1,990.0 1,925.6
18-May-06 5 0 0 5 -6.8075 -3.2337 22.0131 46.3416 10.4566
3,391.8 3,246.9 1,950.0 1,892.3
19-May-06 5 0 0 5 -4.2735 -2.9564 12.6342 18.2626 8.7404
3,254.3 3,081.3 1,920.0 1,780.5
22-May-06 0 5 0 0 -5.3145 -7.2656 38.6132 28.2440 52.7893
3,068.6 3,199.3 1,800.0 1,830.2
23-May-06 0 5 0 0 4.2609 1.6778 7.1488 18.1553 2.8149
3,203.5 3,115.5 1,870.0 1,790.6
24-May-06 0 5 0 5 -2.7454 -4.2433 11.6497 7.5374 18.0057
3,114.7 3,177.7 1,780.0 1,876.9
25-May-06 0 0 0 5 2.0227 5.4466 11.0167 4.0912 29.6658

95
 3,177.7 3,209.6 1,890.0 1,866.3
26-May-06 0 0 0 5 1.0039 -1.2513 -1.2562 1.0078 1.5658
3,207.2 3,214.9 1,865.0 1,850.5
29-May-06 5 0 0 5 0.2385 -0.7748 -0.1848 0.0569 0.6003
3,215.5 3,185.3 1,865.0 1,860.3
30-May-06 0 0 0 5 -0.9392 -0.2493 0.2342 0.8821 0.0622
3,181.9 3,071.0 1,841.1 1,782.9
31-May-06 5 5 0 0 -3.4853 -3.1612 11.0175 12.1472 9.9929
3,072.5 2,962.2 1,825.0 1,709.3
01-Jun-06 5 5 0 5 -3.5899 -6.3370 22.7488 12.8870 40.1574
153.793 202.312
TOTAL -17.9625 -23.6114 8 5 210.9738

Beta 0.7291
Variance 6.6342

S.D. 2.5757

Coefficient of Correlation 0.7269

96
 Table 4.23: Calculation of Beta, Coefficient of Correlation and
volatility of TCS from Dividend declaration till Ex-Date

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
2,961.5 3,091.3 1,714.9 1,794.0
02-Jun-06 0 5 0 0 4.3846 4.6125 20.2240 19.2247 21.2753
3,092.6 3,016.6 1,794.0 1,767.6
05-Jun-06 0 5 0 0 -2.4559 -1.4716 3.6140 6.0313 2.1655
3,015.0 2,937.3 1,744.8 1,748.9
06-Jun-06 5 0 0 0 -2.5787 0.2350 -0.6060 6.6498 0.0552
2,935.2 2,860.4 1,800.0 1,703.9
07-Jun-06 5 5 0 5 -2.5483 -5.3361 13.5982 6.4940 28.4741
2,856.9 2,724.3 1,725.0 1,647.9
08-Jun-06 0 5 0 0 -4.6396 -4.4696 20.7372 21.5263 19.9770
2,721.2 2,866.3 1,674.4 1,671.1
09-Jun-06 0 0 5 5 5.3322 -0.1971 -1.0509 28.4324 0.0388
2,867.6 2,776.8 1,699.0 1,638.7
12-Jun-06 5 5 0 5 -3.1664 -3.5462 11.2285 10.0258 12.5756
2,773.6 2,663.3 1,621.0 1,570.3
13-Jun-06 0 0 0 5 -3.9768 -3.1246 12.4259 15.8148 9.7632
2,665.0 2,632.8 1,561.9 1,483.6
14-Jun-06 5 0 5 5 -1.2101 -5.0130 6.0662 1.4644 25.1298
2,634.1 2,798.8 1,586.0 1,550.5
15-Jun-06 0 0 0 5 6.2526 -2.2352 -13.9757 39.0951 4.9960
2,799.8 2,890.3 1,586.0 1,685.0
16-Jun-06 5 5 0 0 3.2323 6.2421 20.1765 10.4479 38.9640
165.206
TOTAL -1.3741 -14.3037 92.4380 5 163.4146

Beta 0.5493
Variance 14.4815

S.D. 3.8055

0.586
Coefficient of Correlation 4

97
 Table 4.24: Calculation of Beta, Coefficient of Correlation and
volatility of TCS after Ex-Date

Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
2,892.0 2,916.9 1,680.0 1,668.3
19-Jun-06 0 0 0 5 0.8610 -0.6935 -0.5971 0.7413 0.4809
2,919.0 2,861.3 1,688.0 1,607.3
20-Jun-06 0 0 0 5 -1.9767 -4.7778 9.4444 3.9074 22.8278
2,861.4 2,923.4 1,620.0 1,641.3
21-Jun-06 0 5 0 0 2.1685 1.3148 2.8512 4.7025 1.7287
2,923.7 2,994.7 1,650.0 1,676.7
22-Jun-06 5 5 0 5 2.4284 1.6212 3.9369 5.8971 2.6283
2,993.5 3,042.7 1,650.0 1,694.8
23-Jun-06 5 0 0 5 1.6419 2.7182 4.4629 2.6957 7.3885
3,043.1 3,050.3 1,650.0 1,700.3
25-Jun-06 5 0 0 5 0.2350 3.0515 0.7170 0.0552 9.3117
3,051.8 2,943.2 1,720.0 1,633.5
26-Jun-06 0 0 0 0 -3.5586 -5.0291 17.8962 12.6633 25.2915
2,943.6 2,982.4 1,658.0 1,644.5
27-Jun-06 0 5 0 5 1.3198 -0.8112 -1.0707 1.7419 0.6581
2,982.2 2,981.1 1,620.0 1,698.6
28-Jun-06 0 0 0 0 -0.0369 4.8519 -0.1790 0.0014 23.5405
2,982.9 2,997.9 1,710.0 1,680.8
29-Jun-06 0 0 0 0 0.5029 -1.7076 -0.8587 0.2529 2.9159
2,993.5 3,128.2 1,735.0 1,738.7
30-Jun-06 0 0 0 5 4.4997 0.2161 0.9726 20.2477 0.0467
3,128.7 3,150.9 1,742.0 1,800.2
03-Jul-06 5 5 0 0 0.7095 3.3410 2.3706 0.5035 11.1622
3,151.0 3,138.6 1,811.0 1,815.1
04-Jul-06 5 5 0 0 -0.3935 0.2264 -0.0891 0.1549 0.0513
3,136.9 3,197.1 1,817.0 1,842.6
05-Jul-06 5 0 0 0 1.9175 1.4089 2.7016 3.6767 1.9850
3,197.5 3,156.4 1,828.0 1,804.3
06-Jul-06 0 0 0 0 -1.2854 -1.2965 1.6665 1.6522 1.6809
3,157.9 3,075.8 1,819.7 1,746.7
07-Jul-06 5 5 0 0 -2.5998 -4.0117 10.4294 6.7589 16.0933
3,077.1 3,142.0 1,740.0 1,798.3
10-Jul-06 0 0 0 5 2.1091 3.3534 7.0729 4.4484 11.2456
3,145.3 3,116.1 1,800.0 1,769.9
11-Jul-06 0 5 0 5 -0.9268 -1.6694 1.5472 0.8589 2.7870
3,124.9 3,195.9 1,780.0 1,890.3
12-Jul-06 5 0 0 0 2.2704 6.1966 14.0691 5.1549 38.3982
3,196.3 3,169.3 1,892.0 1,867.3
13-Jul-06 0 0 0 5 -0.8447 -1.3029 1.1006 0.7136 1.6974
3,166.2 3,123.3 1,840.0 1,874.3
14-Jul-06 5 5 0 0 -1.3549 1.8641 -2.5257 1.8358 3.4750
3,123.6 3,007.5 1,884.8 1,859.0
17-Jul-06 5 5 0 0 -3.7168 -1.3688 5.0877 13.8146 1.8737
3,007.1 2,993.6 1,860.0 1,834.5
18-Jul-06 5 5 0 0 -0.4489 -1.3710 0.6155 0.2015 1.8796
2,995.8 2,932.7 1,882.0 1,757.5
19-Jul-06 5 5 0 5 -2.1062 -6.6126 13.9279 4.4363 43.7271
2,943.6 3,023.0 1,775.9 1,806.1
20-Jul-06 5 5 0 5 2.6973 1.7034 4.5945 7.2756 2.9014

98
 3,025.1 2,945.0 1,798.0 1,767.5
21-Jul-06 0 0 0 5 -2.6478 -1.6935 4.4843 7.0111 2.8681
2,944.9 2,985.8 1,795.0 1,818.0
24-Jul-06 0 5 0 5 1.3905 1.2841 1.7856 1.9336 1.6490
2,989.5 3,040.5 1,840.0 1,847.3
25-Jul-06 0 0 0 0 1.7060 0.3967 0.6768 2.9103 0.1574
3,040.4 3,110.1 1,858.0 1,888.8
26-Jul-06 5 5 0 0 2.2924 1.6577 3.8001 5.2552 2.7480
3,109.8 3,156.1 1,895.0 1,899.7
27-Jul-06 5 5 0 0 1.4888 0.2480 0.3693 2.2166 0.0615
111.260 123.718
TOTAL 8.3417 3.1085 4 9 243.2605

Beta 0.9094
Variance 8.3772

S.D. 2.8943

0.642
Coefficient of Correlation 9

99
 4/
21
6/
2/ /2

0.0000
2.0000
4.0000
6.0000
8.0000

-8.0000
-6.0000
-4.0000
-2.0000

0 .0 00 0
2 .0 00 0
4 .0 00 0
6 .0 00 0
8 .0 00 0

-6.0 00 0
-4.0 00 0
-2.0 00 0
20 4/ 00
23 6
06 /
6/ 4/ 200
3/ 25 6
20 /2
06 4/ 00
27 6
6/
4/ /2
20 4/ 00
29 6
06 /2
6/ 0
5/ 0 6
Stock Return

5/
Market Return

1/

S toc k R e turn
20 20

Marke t R eturn
06 5/ 06
6/ 3/
6/ 20
20 5/ 06
5/
06 2
6/ 5/ 006
7/ 7/
20 20
06 5/ 06
9/
6/
8/ 2
20 5/ 0 0
11 6
06 /2
6/ 5/ 00
9/ 13 6
20 /2
06 5/ 00
6/ 15 6
10 /2
/2

100
5/ 00
00 17 6
6/ 6 /
11 5/ 200
19 6

till Ex-Date
/2 /2

Graph 4.23
Graph 4.22
0
Declaration

5/ 00
6/ 0 6 21 6
12 /2
/2 5/ 00
23 6
00
6/ 6 /2
13 5/ 00
25 6
/2 /2
0 5/ 00
6/ 0 6 27 6
14 /
/2 5/ 200
29 6
00 /2
6/ 6 5/ 00
15 31 6
/2 /2
00 00
6/ 6 6
16
/2
00
6
Market Return Vs Stock Return of TCS before the Dividend

Market Return Vs Stock Return of TCS from Dividend declaration

 Market Return Vs Stock Return of TCS after Ex-Date

8.0000
Market Return
6.0000 Stock Return

4.0000

2.0000

0.0000

-2.0000
6/ 006

6/ 006

6/ 006

6/ 006

6/ 006

7/ 06

7/ 06

7/ 06

7/ 06

7/ 06
7/ 006

7/ 006

7/ 006

7/ 006

7/ 006

7/ 006

7/ 006

7/ 006

7/ 006

6
00
0
20

20

20

20

2
/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2
3/
1/

5/

7/

9/
21

29

11

17

23
19

23

25

27

13

15

19

21

25

27
-4.0000
6/

-6.0000

-8.0000

Graph 4.24

INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that TCS is having beta value
between 0 and 1 which indicates risk less investment at different point of time.

TCS announced the dividend @0.2 % on the share price. From the above
tables it shows that the TCS is having the greater variance during the period after the
dividend declaration and till the ex-date. The greater the variance in value of the
underlying asset, the greater the value of shares, all other things/the/same.

101
 Table 4.25: Calculation of Beta, Coefficient of Correlation and
volatility of IOC before dividend declaration

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,025.1 2,945.0
21-Jul-06 0 0 370.00 362.70 -2.6478 -1.9730 5.2241 7.0111 3.8926
2,944.9 2,985.8
24-Jul-06 0 5 356.10 354.70 1.3905 -0.3931 -0.5467 1.9336 0.1546
2,989.5 3,040.5
25-Jul-06 0 0 361.00 370.40 1.7060 2.6039 4.4421 2.9103 6.7802
3,040.4 3,110.1 13.661
26-Jul-06 5 5 370.00 392.05 2.2924 5.9595 6 5.2552 35.5152
3,109.8 3,156.1
27-Jul-06 5 5 392.00 374.60 1.4888 -4.4388 -6.6085 2.2166 19.7027
3,158.0 3,130.8
28-Jul-06 0 0 373.00 377.50 -0.8613 1.2064 -1.0391 0.7418 1.4555
3,131.3 3,143.2
31-Jul-06 5 0 380.90 389.35 0.3784 2.2184 0.8395 0.1432 4.9214
3,128.2 3,147.8
01-Aug-06 0 0 394.00 386.40 0.6266 -1.9289 -1.2086 0.3926 3.7208
3,129.4 3,182.1
02-Aug-06 5 0 387.50 389.25 1.6824 0.4516 0.7598 2.8305 0.2040
3,182.5 3,190.0
03-Aug-06 5 0 390.00 388.80 0.2341 -0.3077 -0.0720 0.0548 0.0947
3,189.7 3,176.7
04-Aug-06 0 5 388.00 380.15 -0.4060 -2.0232 0.8214 0.1648 4.0933
3,176.7 3,151.1
07-Aug-06 0 0 378.00 378.40 -0.8059 0.1058 -0.0853 0.6494 0.0112
3,151.5 3,212.4
08-Aug-06 5 0 375.00 384.05 1.9308 2.4133 4.6597 3.7280 5.8242
3,211.5 3,254.6
09-Aug-06 5 0 378.00 383.80 1.3405 1.5344 2.0568 1.7969 2.3544
3,254.6 3,260.1
10-Aug-06 0 0 381.00 398.60 0.1690 4.6194 0.7806 0.0286 21.3391
3,260.0 3,274.3
11-Aug-06 5 5 403.10 399.10 0.4386 -0.9923 -0.4353 0.1924 0.9847
3,274.9 3,313.1
14-Aug-06 5 0 403.80 423.55 1.1649 4.8910 5.6976 1.3570 23.9222
3,314.7 3,356.0
16-Aug-06 5 5 426.00 455.40 1.2459 6.9014 8.5988 1.5524 47.6294
3,359.7 3,353.9
17-Aug-06 0 0 455.00 448.45 -0.1726 -1.4396 0.2485 0.0298 2.0723
3,354.5 3,356.7
18-Aug-06 0 5 452.00 467.10 0.0671 3.3407 0.2241 0.0045 11.1603
3,356.8 3,366.0
21-Aug-06 0 0 460.00 471.40 0.2741 2.4783 0.6792 0.0751 6.1418
3,369.6 3,364.6
22-Aug-06 0 0 475.00 449.40 -0.1484 -5.3895 0.7997 0.0220 29.0464
3,363.6 3,335.8
23-Aug-06 0 0 446.10 449.65 -0.8265 0.7958 -0.6577 0.6831 0.6333
3,336.6 3,370.4
24-Aug-06 5 0 445.55 456.25 1.0115 2.4015 2.4291 1.0231 5.7673
25-Aug-06 3,368.5 3,385.9 447.10 466.50 0.5165 4.3391 2.2413 0.2668 18.8276

102
 5 5
3,386.0 3,401.1
28-Aug-06 0 0 471.90 471.00 0.4460 -0.1907 -0.0851 0.1989 0.0364
3,405.0 3,425.7
29-Aug-06 5 0 482.00 485.10 0.6065 0.6432 0.3900 0.3678 0.4136
3,425.8 3,430.3
30-Aug-06 0 5 490.00 493.85 0.1328 0.7857 0.1044 0.0176 0.6173
3,404.5 3,413.9
31-Aug-06 0 0 494.30 495.45 0.2761 0.2327 0.0642 0.0762 0.0541
3,414.0 3,435.4
01-Sep-06 0 5 482.00 488.90 0.6283 1.4315 0.8994 0.3948 2.0493
44.883 36.118
TOTAL 14.1793 30.2769 9 9 259.4199

Beta 1.0393
Variance 7.8918

S.D 2.8092

0.372
Coefficient of Correlation 6

103
 Table 4.26: Calculation of Beta, Coefficient of Correlation and
volatility of IOC from Dividend declaration till Ex-Date

Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3435.5 3476.8 4.202 1.445
04-Sep-06 5 5 492.00 509.20 1.2021 3.4959 6 1 12.2216
3471.4 3473.7 0.000 0.004
05-Sep-06 0 5 512.00 512.05 0.0677 0.0098 7 6 0.0001
3474.4 3477.2 0.166 0.006
06-Sep-06 0 5 514.00 524.40 0.0820 2.0233 0 7 4.0939
3477.1 3454.5 2.141 0.422
07-Sep-06 5 5 525.00 507.70 -0.6500 -3.2952 8 4 10.8586
6.511 1.878
TOTAL 0.7019 2.2338 0 9 27.1742

Beta 3.4852
Variance 8.6422

S.D. 2.9398

0.906
Coefficient of Correlation 9

104
Table 4.27: Calculation of Beta, Coefficient of Correlation and
volatility of IOC after Ex-Date

105
 Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,454.6 3,471.4
08-Sep-06 5 5 511.90 515.00 0.4863 0.6056 0.2945 0.2365 0.3667
3,470.3 3,366.1
11-Sep-06 5 5 515.00 511.80 -3.0026 -0.6214 1.8657 9.0155 0.3861
3,363.3 3,389.9
12-Sep-06 0 0 509.00 514.95 0.7909 1.1690 0.9245 0.6255 1.3665
3,389.8 3,454.5
13-Sep-06 5 5 510.00 535.00 1.9086 4.9020 9.3561 3.6429 24.0292
3,454.6 3,471.6
14-Sep-06 0 0 530.00 539.55 0.4921 1.8019 0.8867 0.2422 3.2468
3,471.6 3,478.6
15-Sep-06 5 0 543.00 537.15 0.2002 -1.0773 -0.2157 0.0401 1.1607
3,478.6 3,492.7
18-Sep-06 5 5 542.90 540.50 0.4053 -0.4421 -0.1792 0.1643 0.1954
3,493.5 3,457.3
19-Sep-06 0 5 540.00 525.25 -1.0348 -2.7315 2.8265 1.0708 7.4610
3,457.8 3,502.8
20-Sep-06 5 0 523.00 528.25 1.2999 1.0038 1.3049 1.6898 1.0077
3,506.7 3,553.0
21-Sep-06 0 5 528.00 530.70 1.3218 0.5114 0.6759 1.7470 0.2615
3,554.0 3,544.0
22-Sep-06 5 5 530.00 520.15 -0.2814 -1.8585 0.5229 0.0792 3.4540
3,545.1 3,523.4
25-Sep-06 0 5 521.00 527.65 -0.6107 1.2764 -0.7795 0.3730 1.6292
3,523.7 3,571.7
26-Sep-06 0 5 528.00 526.45 1.3636 -0.2936 -0.4003 1.8595 0.0862
3,571.7 3,579.3
27-Sep-06 5 0 528.15 527.50 0.2114 -0.1231 -0.0260 0.0447 0.0151
3,579.9 3,571.7
28-Sep-06 5 5 523.10 519.20 -0.2291 -0.7456 0.1708 0.0525 0.5559
3,572.1 3,588.4
29-Sep-06 5 0 528.20 522.50 0.4549 -1.0791 -0.4909 0.2069 1.1645
3,588.9 3,569.6
03-Oct-06 5 0 525.00 529.95 -0.5392 0.9429 -0.5083 0.2907 0.8890
3,570.9 3,515.3
04-Oct-06 5 5 536.00 534.65 -1.5570 -0.2519 0.3922 2.4243 0.0634
3,515.6 3,564.9
05-Oct-06 0 0 534.00 538.05 1.4023 0.7584 1.0636 1.9665 0.5752
3,565.4 3,569.7
06-Oct-06 5 0 540.00 561.70 0.1192 4.0185 0.4790 0.0142 16.1485
3,570.0 3,567.1
09-Oct-06 5 5 564.00 561.25 -0.0812 -0.4876 0.0396 0.0066 0.2377
3,567.4 3,571.0
10-Oct-06 5 5 560.00 559.25 0.1009 -0.1339 -0.0135 0.0102 0.0179
3,581.5 3,558.5
11-Oct-06 5 5 564.00 560.20 -0.6422 -0.6738 0.4327 0.4124 0.4540
3,562.5 3,621.0
12-Oct-06 5 5 560.50 568.35 1.6421 1.4005 2.2998 2.6964 1.9615
3,621.6 3,676.0
13-Oct-06 5 5 569.00 558.60 1.5021 -1.8278 -2.7454 2.2562 3.3407
3,668.9 3,723.9
16-Oct-06 0 5 561.00 547.40 1.5004 -2.4242 -3.6375 2.2513 5.8770
3,726.4 3,715.0
17-Oct-06 0 0 550.00 536.15 -0.3059 -2.5182 0.7704 0.0936 6.3412
3,715.2 3,710.6
18-Oct-06 0 5 533.05 533.80 -0.1225 0.1407 -0.0172 0.0150 0.0198
3,711.1 3,677.8 -0.8973
19-Oct-06 0 0 540.00 534.45 -1.0278 0.9222 0.8052 1.0563
3,678.7 3,676.8 106-0.0516
20-Oct-06 5 5 535.50 526.40 -1.6993 0.0878 0.0027 2.8878
16.302 34.335
TOTAL 5.85 -1.49 0 5 86.2565
Beta 0.4998
Variance 2.9718

S.D. 1.7239

0.310
Coefficient of Correlation 2

107
 Market Return Vs Stock Return of IOC before the Dividend
Declaration

8.0000 Market Return

Stock Return
6.0000

4.0000

2.0000

0.0000

-2.0000
23 6
25 6

31 6
8/ 006

16 6
18 6

26 6

9/ 006
27 6
29 6

8/ 06
8/ 006

12 6
14 6

20 6
22 6
24 6

28 6
30 6
8/ 006

10 6

06
8/ 200
7/ 200
7/ 00

7/ 00

8/ 200
8/ 00

8/ 200
7/ 200
7/ 200

8/ 00
8/ 200

8/ 200
8/ 200
8/ 00

8/ 200
8/ 200
20

20
2

2
/2

/2
/2

/2

/2

/2

/2
/

/
/
/

2/
4/
6/
8/

/
/

/
/
/

1/
21

-4.0000
7/

-6.0000

-8.0000

Graph 4.25
Market Return Vs Stock Return of IOC from Dividend declaration
till Ex-Date
4.0000

3.0000
Market Return
2.0000
Stock Return

1.0000

0.0000
9/4/2006 9/5/2006 9/6/2006 9/7/2006
-1.0000

-2.0000

-3.0000

-4.0000

Graph 4.26

108
 Market Return Vs Stock Return of IOC after Ex-Date

6.0000
Market Return
5.0000 Stock Return
4.0000
3.0000
2.0000
1.0000
0.0000
-1.0000
10 6
12 6

24 6

/ 1 06

/ 1 06

06
14 6
16 6
18 6
20 6
22 6

26 6
28 6
30 6
/2 6
/4 6
/6 6
/8 6
/1 06
/1 06

/1 06

/2 06
9/ 2 00
9/ 200
9/ 200

9/ 200

9/ 200
9/ 200
9/ 200
9/ 200
9/ 200
10 200
10 200
10 200
9/ 200

9/ 200

10 200

10 /20

10 /20

20
10 /20
10 /20

10 /20

10 /20
-2.0000
8/

/
/
/
/
/
/
/
/
/
/
/
/
/
/

0/
0
2
4
6
8
9/

-3.0000
-4.0000

Graph 4.27

INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that IOC is having beta value
between 0 and 1 which indicates risk less investment only after the ex-date.
The Beta value should fall between 0 and 1 for risk less investment. Here from
the above tables it is clear that IOC is having beta value above 1 during the period
before dividend declaration and after dividend declaration till ex-date which indicates
high risky investment.
IOC announced the dividend @2.5 % on the share price. From the above
tables it shows that the IOC is having the greater variance during the period after
dividend declaration till ex-date. The greater the variance in value of the underlying
asset, the greater the value of shares, all other things/the/same

109
 Table 4.28: Calculation of Beta, Coefficient of Correlation and
volatility of ONGC before dividend declaration
Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,124.9 3,195.9 1,110.0 1,122.6
12-Jul-06 5 0 0 5 2.2704 1.1396 2.5875 5.1549 1.2988
3,196.3 3,169.3 1,112.0 1,119.4
13-Jul-06 0 0 0 5 -0.8447 0.6700 -0.5659 0.7136 0.4489
3,166.2 3,123.3 1,111.0 1,108.8
14-Jul-06 5 5 0 5 -1.3549 -0.1935 0.2622 1.8358 0.0374
3,123.6 3,007.5 1,101.0 1,028.4 24.491 13.814
17-Jul-06 5 5 0 5 -3.7168 -6.5895 8 6 43.4210
3,007.1 2,993.6 1,035.0 1,041.7
18-Jul-06 5 5 0 5 -0.4489 0.6522 -0.2928 0.2015 0.4253
2,995.8 2,932.7 1,044.0 1,062.9
19-Jul-06 5 5 0 0 -2.1062 1.8103 -3.8130 4.4363 3.2773
2,943.6 3,023.0 1,080.0 1,081.3
20-Jul-06 5 5 0 5 2.6973 0.1250 0.3372 7.2756 0.0156
3,025.1 2,945.0 1,070.0 1,051.3
21-Jul-06 0 0 0 5 -2.6478 -1.7430 4.6152 7.0111 3.0380
2,944.9 2,985.8 1,042.0 1,081.1
24-Jul-06 0 5 0 0 1.3905 3.7524 5.2179 1.9336 14.0805
2,989.5 3,040.5 1,090.0 1,093.2
25-Jul-06 0 0 0 5 1.7060 0.2982 0.5087 2.9103 0.0889
3,040.4 3,110.1 1,101.0 1,138.0
26-Jul-06 5 5 0 0 2.2924 3.3606 7.7039 5.2552 11.2935
3,109.8 3,156.1 1,137.0 1,180.0
27-Jul-06 5 5 0 0 1.4888 3.7819 5.6305 2.2166 14.3026
3,158.0 3,130.8 1,178.0 1,182.4
28-Jul-06 0 0 0 5 -0.8613 0.3778 -0.3254 0.7418 0.1427
3,131.3 3,143.2 1,180.0 1,173.1
31-Jul-06 5 0 0 5 0.3784 -0.5805 -0.2197 0.1432 0.3370
3,128.2 3,147.8 1,175.0 1,183.4
01-Aug-06 0 0 0 5 0.6266 0.7191 0.4506 0.3926 0.5172
3,129.4 3,182.1 1,122.0 1,192.1 10.518
02-Aug-06 5 0 0 5 1.6824 6.2522 8 2.8305 39.0904
3,182.5 3,190.0 1,198.9 1,186.2
03-Aug-06 5 0 5 5 0.2341 -1.0593 -0.2480 0.0548 1.1220
3,189.7 3,176.7 1,190.0 1,181.0
04-Aug-06 0 5 0 5 -0.4060 -0.7521 0.3053 0.1648 0.5657
3,176.7 3,151.1 1,177.4 1,161.7
07-Aug-06 0 0 0 5 -0.8059 -1.3292 1.0712 0.6494 1.7668
3,151.5 3,212.4 1,173.8 1,190.4
08-Aug-06 5 0 5 5 1.9308 1.4142 2.7304 3.7280 1.9998
3,211.5 3,254.6 1,190.0 1,203.0
09-Aug-06 5 0 0 0 1.3405 1.0924 1.4644 1.7969 1.1934
3,254.6 3,260.1 1,210.0 1,192.0
10-Aug-06 0 0 0 0 0.1690 -1.4876 -0.2514 0.0286 2.2130
3,260.0 3,274.3 1,205.0 1,193.6
11-Aug-06 5 5 0 5 0.4386 -0.9419 -0.4132 0.1924 0.8872
3,274.9 3,313.1 1,181.2 1,215.3
14-Aug-06 5 0 0 0 1.1649 2.8869 3.3630 1.3570 8.3342
3,314.7 3,356.0 1,230.0 1,241.9
16-Aug-06 5 5 0 0 1.2459 0.9675 1.2054 1.5524 0.9360

110
 3,359.7 3,353.9 1,242.0 1,211.1
17-Aug-06 0 0 0 0 -0.1726 -2.4879 0.4295 0.0298 6.1898
3,354.5 3,356.7 1,220.0 1,210.2
18-Aug-06 0 5 0 5 0.0671 -0.7992 -0.0536 0.0045 0.6387
3,356.8 3,366.0 1,214.0 1,190.7
21-Aug-06 0 0 0 0 0.2741 -1.9193 -0.5260 0.0751 3.6836
3,369.6 3,364.6 1,160.2 1,205.7
22-Aug-06 0 0 5 0 -0.1484 3.9173 -0.5813 0.0220 15.3449
3,363.6 3,335.8 1,181.0 1,198.4
23-Aug-06 0 0 0 5 -0.8265 1.4776 -1.2212 0.6831 2.1832
64.381 67.206
TOTAL 7.0577 14.8121 9 0 178.8734

Beta 0.9291
Variance 5.9159

S.D. 2.4323

0.574
Coefficient of Correlation 3

111
 Table 4.29: Calculation of Beta, Coefficient of Correlation and
volatility of ONGC from Dividend declaration till Ex-Date

Marke
t Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,336.6 3,370.4 1,190.0 1,189.1
24-Aug-06 5 0 5 0 1.0115 -0.0798 -0.0807 1.0231 0.0064
3,368.5 3,385.9 1,200.0 1,193.4
25-Aug-06 5 5 0 5 0.5165 -0.5458 -0.2819 0.2668 0.2979
3,386.0 3,401.1 1,197.0 1,197.1
28-Aug-06 0 0 0 5 0.4460 0.0125 0.0056 0.1989 0.0002
3,405.0 3,425.7 1,201.9 1,221.6
29-Aug-06 5 0 0 0 0.6065 1.6391 0.9940 0.3678 2.6866
3,425.8 3,430.3 1,225.0 1,221.4
30-Aug-06 0 5 0 5 0.1328 -0.2898 -0.0385 0.0176 0.0840
3,404.5 3,413.9 1,224.0 1,217.6
31-Aug-06 0 0 0 0 0.2761 -0.5229 -0.1444 0.0762 0.2734
3,414.0 3,435.4 1,205.3 1,203.3
01-Sep-06 0 5 5 5 0.6283 -0.1659 -0.1043 0.3948 0.0275
3,435.5 3,476.8 1,215.0 1,212.4
04-Sep-06 5 5 0 0 1.2021 -0.2140 -0.2572 1.4451 0.0458
3,471.4 3,473.7 1,214.1 1,229.6
05-Sep-06 0 5 0 5 0.0677 1.2808 0.0867 0.0046 1.6404
3,474.4 3,477.2 1,220.0 1,207.2
06-Sep-06 0 5 0 0 0.0820 -1.0492 -0.0861 0.0067 1.1008
TOTAL 4.9695 0.0650 0.0932 3.8017 6.1629

Beta 0.0457
Variance 0.6847

S.D. 0.8275

0.021
Coefficient of Correlation 3

112
 Table 4.30: Calculation of Beta, Coefficient of Correlation and
volatility of ONGC after Ex-Date
Market Stock
Nifty Stock Return Return
Date Open Close Open Close X Y X*Y X^2 Y^2
3,477.1 3,454.5 1,189.0 1,200.6
07-Sep-06 5 5 0 5 -0.6500 0.9798 -0.6368 0.4224 0.9600
3,454.6 3,471.4 1,200.0 1,201.8
08-Sep-06 5 5 5 0 0.4863 0.1458 0.0709 0.2365 0.0213
3,470.3 3,366.1 1,210.0 1,177.5
11-Sep-06 5 5 0 0 -3.0026 -2.6860 8.0648 9.0155 7.2143
3,363.3 3,389.9 1,171.4 1,149.6
12-Sep-06 0 0 0 5 0.7909 -1.8568 -1.4685 0.6255 3.4475
3,389.8 3,454.5 1,158.0 1,159.0
13-Sep-06 5 5 0 5 1.9086 0.0907 0.1731 3.6429 0.0082
3,454.6 3,471.6 1,169.8 1,159.0
14-Sep-06 0 0 0 0 0.4921 -0.9232 -0.4543 0.2422 0.8524
3,471.6 3,478.6 1,165.0 1,167.0
15-Sep-06 5 0 0 0 0.2002 0.1717 0.0344 0.0401 0.0295
3,478.6 3,492.7 1,170.0 1,156.8
18-Sep-06 5 5 0 5 0.4053 -1.1239 -0.4556 0.1643 1.2632
3,493.5 3,457.3 1,160.1 1,152.2
19-Sep-06 0 5 0 0 -1.0348 -0.6810 0.7047 1.0708 0.4637
3,457.8 3,502.8 1,153.0 1,174.5
20-Sep-06 5 0 0 0 1.2999 1.8647 2.4240 1.6898 3.4771
3,506.7 3,553.0 1,188.9 1,198.0
21-Sep-06 0 5 0 5 1.3218 0.7696 1.0172 1.7470 0.5923
3,554.0 3,544.0 1,195.0 1,185.5
22-Sep-06 5 5 0 5 -0.2814 -0.7908 0.2225 0.0792 0.6254
3,545.1 3,523.4 1,190.0 1,165.0
25-Sep-06 0 5 0 0 -0.6107 -2.1008 1.2830 0.3730 4.4135
3,523.7 3,571.7 1,185.0 1,179.6
26-Sep-06 0 5 0 5 1.3636 -0.4515 -0.6156 1.8595 0.2038
3,571.7 3,579.3 1,185.0 1,186.9
27-Sep-06 5 0 0 0 0.2114 0.1603 0.0339 0.0447 0.0257
3,579.9 3,571.7 1,200.0 1,179.5
28-Sep-06 5 5 5 0 -0.2291 -1.7124 0.3922 0.0525 2.9324
3,572.1 3,588.4 1,188.0 1,169.8
29-Sep-06 5 0 0 5 0.4549 -1.5278 -0.6950 0.2069 2.3341
3,588.9 3,569.6 1,170.3 1,159.2
03-Oct-06 5 0 0 5 -0.5392 -0.9442 0.5091 0.2907 0.8915
3,570.9 3,515.3 1,160.0 1,134.1
04-Oct-06 5 5 0 0 -1.5570 -2.2328 3.4764 2.4243 4.9852
3,515.6 3,564.9 1,149.9 1,141.7
05-Oct-06 0 0 5 5 1.4023 -0.7131 -1.0000 1.9665 0.5085
3,565.4 3,569.7 1,148.7 1,145.0
06-Oct-06 5 0 0 0 0.1192 -0.3221 -0.0384 0.0142 0.1038
3,570.0 3,567.1 1,145.0 1,150.0
09-Oct-06 5 5 0 0 -0.0812 0.4367 -0.0355 0.0066 0.1907
3,567.4 3,571.0 1,154.0 1,146.0
10-Oct-06 5 5 0 0 0.1009 -0.6932 -0.0700 0.0102 0.4806
3,581.5 3,558.5 1,122.2 1,129.4
11-Oct-06 5 5 0 0 -0.6422 0.6416 -0.4120 0.4124 0.4116
3,562.5 3,621.0 1,132.6 1,133.1
12-Oct-06 5 5 0 0 1.6421 0.0441 0.0725 2.6964 0.0019
3,621.6 3,676.0 1,139.2 1,153.9
13-Oct-06 5 5 5 0 1.5021 1.2859 1.9316 2.2562 1.6536

113
 3,668.9 3,723.9 1,128.8 1,173.2
16-Oct-06 0 5 5 0 1.5004 3.9288 5.8949 2.2513 15.4353
3,726.4 3,715.0 1,180.0 1,168.1
17-Oct-06 0 0 0 0 -0.3059 -1.0085 0.3085 0.0936 1.0170
3,715.2 3,710.6 1,168.0 1,166.8
18-Oct-06 0 5 0 5 -0.1225 -0.0985 0.0121 0.0150 0.0097
3,711.1 3,677.8 1,170.0 1,154.6
19-Oct-06 0 0 0 0 -0.8973 -1.3162 1.1811 0.8052 1.7325
21.925 34.755
TOTAL 5.2484 -10.6629 1 3 56.2865

Beta 0.7031
Variance 1.8102

S.D. 1.3454

0.564
Coefficient of Correlation 5

114
 7/
8/ 12
24 /

0.0000
0.5000
1.0000
1.5000
2.0000

-1.5000
-1.0000
-0.5000
/2

0.0000
2.0000
4.0000
6.0000
8.0000

-8.0000
-6.0000
-4.0000
-2.0000
00
7/ 200
14 6
8/ 6 /
25 7/ 200
/2 16 6
00 /
8/ 6 7/ 200
18 6
26 /
/2 7/ 200
00 20 6
8/ 6 /2
27 7/ 00

Stock Return
Stock Return

/2 22 6

Market Return
/
Market Return

00
8/ 6 7/ 200
24 6
28 /
/2 7/ 200
00 26 6
8/ 6 /
29 7/ 200
/2
28 6
00 /
6 7/ 200
8/ 30 6
30 /2
/2 8/ 006
00 1/
8/ 6 20
31 8/ 06
/2 3/
2
00
6 8/ 006
5/
9/ 2

115
1/
20 8/ 006
06 7/
2
9/ 8/ 006

Graph 4.29
Graph 4.28
2/
Declaration

20 9/
06 8/ 200
11 6
9/
3/ /
20 8/ 200
13 6
/

declaration till Ex-Date

06
9/ 8/ 200
4/ 15 6
20 /
06 8/ 200
17 6
9/
5/ /
20 8/ 200
19 6
06 /
9/ 8/ 200
6/ 21 6
20 /
06 8/ 200
23 6
/2
00
6
Market Return Vs Stock Return of ONGC from Dividend
Market Return Vs Stock Return of ONGC before the Dividend
 Market Return Vs Stock Return of ONGC after Ex-Date

5.0000
M arket Return
4.0000 S to ck Return

3.0000

2.0000

1.0000

0.0000
06

11 6

-1.0000

10 006

10 06

10 06
13 6

15 6
9/ 006

19 6

21 6

23 6

25 6
9/ 006

29 6

10 006

10 06

6
06
10 006
0
00

00

00

00

00

00

10 00
00

10 00

10 200

10 00
20

20

20
/2

/2
/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

/2

2
2
7/

9/

3/

5/

7/

9/
1/
/1

/3

/5
17

27

/7

/9
9/

9/

/1

/1

/1

/1
/1
9/
9/

9/

9/

9/

9/

9/

9/

-2.0000

-3.0000

-4.0000

Graph 4.30

INTERPRETATION

If the Beta value falls between 0 and 1 the risk associated with the investment
is very low. Here from the above tables it is clear that ONGC is having beta value
between 0 and 1 which indicates risk less investment at different point of time.

ONGC announced the dividend @1.7 % on the share price. But from the
above tables it shows that the ONGC is having the greater variance during the period
before the dividend declaration. The greater the variance in value of the underlying
asset, the greater the value of shares, all other things/the/same.

116
 SUMMARY OF
FINDINGS,
SUGGESTIONS AND
CONCLUSIONS

117
 CHAPTER 5
SUMMARY OF FINDINGS, SUGGESTIONS AND
CONCLUSIONS

5.1 FINDINGS

• There is no considerable correlation between equity price movement and

dividend declaration of top traded representative stocks in the National Stock
Exchange.

• There is always showing positive correlation between market return and stock
return during the periods before dividend declaration, after dividend
declaration till ex-date and after ex-date.

• There is proportionate absence in the traders during the period from dividend
declaration till ex-date for all the shares conducted for the study.

• IOC was providing high dividend yield followed by Gujarat Ambuja Cements.

• IOC has got the highest Beta value followed by Nagarjuna Construction
Company Limited. ICICI having the least beta value

• Nagarjuna Construction Company has got the highest Volatility followed by

TCS. ONGC and ACC Limited have got the lowest volatility.

• The investor can make more profits if he has a very good perception about the

market.

118
5.2 SUGGESTIONS

• Investors can safely invest in equities irrespective of dividend declaration.

Since there is no considerable correlation between equity price movement and
dividend declaration of top traded representative stocks in the National Stock
Exchange.

• Since there exist a positive correlation in the movement of market (Sensex –

Nifty) along with top ten equities in the sample, sensex stock investors are
advised to hedge their position by taking a short in Nifty proportionately or
put in the options market.

• Since the following companies IOC and Gujarat Ambuja Cements are
providing high dividend yield, investors can safely consider these counters for
long – term investment.

• Since the following samples IOC and Nagarjuna Construction Company

Limited drawn by the researcher have yielded high value of beta, investors can
safely expect over market exceeding return in a bullish market.

119
5.3 CONCLUSIONS

One of the most important puzzles within the finance

literature is the relationship between share prices and share
dividends. Behavioral research based on interviews with finance
directors suggests that a great deal of care and attention is paid
when determining the dividend level which is paid to shareholders
each year. In addition, the results of market-based event studies
indicate that news of a dividend change appears to cause share
prices to alter although the direction of the share price change
remains a matter of contention among different empirical studies.
Studies document either no significant relationship between the two
variables (Campbell and Shiller, 1987; Phillips and Ouliaris, 1986) or
only detect evidence of a significant link between the two measures
once additional variables such as the payout ratio are included in
the analysis (MacDonald and Power, 1995).

One possible explanation for disappointing time series results

is that the power of previous tests is relatively low because of the
long data set needed to undertake such an analysis and because
the underlying character of most companies varies over such a long
time span because of mergers, takeovers and other forms of
corporate restructuring.

This present paper is employing correlation technique which

provides a much stronger test using a smaller time series of data.
Specifically, the paper investigates the relationship between share
prices and share dividends for a panel of 10 Indian firms. The results
indicate that there is no significant relationship between share
prices and share dividends for our sample of firms. Of course,
implied discount rates for individual securities varied widely around
this mean level, and further work is needed on why this variation
occurs.

120
. The work of the present paper also highlights a number of
avenues for further research in the future. For example, a larger
sample of companies would facilitate an industry comparison of the
discount rates which appear to be applied to corporate dividends
when arriving at share prices.

121
BIBLIOGRAPHY

122
 BIBILIOGRAPHAY

BOOKS

Financial Management & Policy – James C. Van Horne –Twelfth Edition –Prentice
Hall of India Private Limited – 2006

Investment Analysis and Portfolio Management - Prasanna Chandra – Second Edition

– Tata McGraw Hill Publishing Company – 2005

Security analysis and portfolio management - Donald E. Fischer, Ronald J. Jordan –

Sixth Edition – Prentice Hall of India Pvt. Ltd. – 2000

Modern Portfolio Theory and Investment Analysis – Edwin J Elton, Martin J Gruber
– Fifth Edition – John Wiley & Sons - 2002

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PREVIOUS REPORTS

A Panel-Based Investigation into the Relationship between Stock Prices and

Dividends - Ian W. Marsh & David Power

Dividend Policy and Stock Price Volatility in Pakistan - Dr. Mohammed Nishat &
Chaudhary Mohammad Irfan

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