Capital Asset Pricing Model

r(e)=
r(f)=
r(m)=
beta(e)=

market return required by investors on common stock

risk free investments(government bonds)
India Govt Bond Generic Bid Yield 10 Y
average return of the market
stock market
ketrisk
risk
or how sensitive the stock is to fluctuations in the market

0.893+0.77(0.77-0.893)
0.798

t Bond Generic Bid Yield 10 Year

0.893
0.77
0.77

the market

0.893+0.77(0.77-0.893)
i.e 7.98%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.062136
R Square
0.003861
Adjusted R Square
-0.01362
Standard Error
0.015021
Observations
59
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 4.98E-05 4.98E-05 0.220924 0.64013
57 0.012861 0.000226
58 0.01291

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.004036 0.001984 2.034239 0.04659
6.3E-05 0.008009
6.3E-05 0.008009
Sensex
-0.07731 0.164484 -0.47003 0.64013 -0.40669 0.252062 -0.40669 0.252062

Upper 95.0%

BATA

0.05

0.04

0.03

0.02
BATA
Linear (BATA)

0.01

y = -0.0773x
0 + 0.004

-0.25

-0.2

-0.15

-0.1

-0.05

0
-0.01

-0.02

-0.03

0.05

0.1

0.15

0.2

0.25

BATA INDIA
Date

Adj Close

3 Dec, 2013

1,041.90

2 Dec, 2013

1,051.15

29 Nov, 2013

1,068.35

28 Nov, 2013

1,074.50

27 Nov, 2013

1,073.20

26 Nov, 2013

1,061.65

25 Nov, 2013

1,052.55

22 Nov, 2013

1,050.55

21 Nov, 2013

1,012.95

20 Nov, 2013

1,010.50

19 Nov, 2013

1,030.95

18 Nov, 2013

994.45

15 Nov, 2013

981.7

14 Nov, 2013

981.7

13 Nov, 2013

967.4

12 Nov, 2013

952.85

11 Nov, 2013

918.2

8 Nov, 2013

916.5

7 Nov, 2013

923.55

6 Nov, 2013

939.05

5 Nov, 2013

926.45

4 Nov, 2013

920.4

1 Nov, 2013

920.4

31 Oct, 2013

914

30 Oct, 2013

887.65

29 Oct, 2013

894.6

28 Oct, 2013

891.35

25 Oct, 2013

892.95

24 Oct, 2013

902.3

23 Oct, 2013

900.3

22 Oct, 2013

893.55

21 Oct, 2013

882

18 Oct, 2013

884.8

17 Oct, 2013

867.6

16 Oct, 2013

881.55

15 Oct, 2013

881.55

Returns
-0.0088
-0.0161
-0.00572
0.001211
0.010879
0.008646
0.001904
0.037119
0.002425
-0.01984
0.036704
0.012988
0
0.014782
0.01527
0.037737
0.001855
-0.00763
-0.01651
0.0136
0.006573
0
0.007002
0.029685
-0.00777
0.003646
-0.00179
-0.01036
0.002221
0.007554
0.013095
-0.00316
0.019825
-0.01582
0
-0.02061

14 Oct, 2013

900.1

11 Oct, 2013

865.3

10 Oct, 2013

873.75

9 Oct, 2013

870.05

8 Oct, 2013

866.85

7 Oct, 2013

876.55

4 Oct, 2013

861.65

3 Oct, 2013

868.95

2 Oct, 2013

857.7

1 Oct, 2013

857.7

30 Sep, 2013

856.55

27 Sep, 2013

850.3

26 Sep, 2013

821.15

25 Sep, 2013

819.45

24 Sep, 2013

822.3

23 Sep, 2013

825.35

20 Sep, 2013

831.2

19 Sep, 2013

834.3

18 Sep, 2013

810.5

17 Sep, 2013

809.25

16 Sep, 2013

822.85

13 Sep, 2013

822.15

12 Sep, 2013

826.5

11 Sep, 2013

834.45

0.040217
-0.00967
0.004253
0.003692
-0.01107
0.017292
-0.0084
0.013116
0
0.001343
0.00735
0.035499
0.002075
-0.00347
-0.0037
-0.00704
-0.00372
0.029365
0.001545
-0.01653
0.000851
-0.00526
-0.00953

The security is less volatile then the market

Sensex
Date
3-Dec-13
2-Dec-13
29-Nov-13
28-Nov-13
27-Nov-13
26-Nov-13
25-Nov-13
22-Nov-13
21-Nov-13
20-Nov-13
19-Nov-13
18-Nov-13
14-Nov-13
13-Nov-13
12-Nov-13
11-Nov-13
8-Nov-13
7-Nov-13
6-Nov-13
5-Nov-13
1-Nov-13
31-Oct-13
30-Oct-13
29-Oct-13
28-Oct-13
25-Oct-13
24-Oct-13
23-Oct-13
22-Oct-13
21-Oct-13
18-Oct-13
17-Oct-13
15-Oct-13
14-Oct-13
11-Oct-13
10-Oct-13

Adj C loseReturns
RETURNS BETA
20,854.92 -0.00206
-0.077311726
20,898.01 0.005102
20,791.93 0.012516
20,534.91 0.005615
20,420.26 -0.00023
20,425.02 -0.00874
20,605.08 0.019176
20,217.39 -0.00058
20,229.05 -0.01968
20,635.13 -0.01224
20,890.82 0.001922
20,850.74 0.022124
20,399.42 0.010152
20,194.40 -0.00431
20,281.91
-0.0102
20,490.96 -0.00848
20,666.15 -0.00752
20,822.77 -0.00345
20,894.94 -0.00381
20,974.79 -0.01047
21,196.81 0.001526
21,164.52 0.006207
21,033.97 0.005015
20,929.01 0.017439
20,570.28 -0.00547
20,683.52 -0.00202
20,725.43 -0.00204
20,767.88 -0.00465
20,864.97 -0.00138
20,893.89 0.000527
20,882.89 0.022893
20,415.51 -0.00643
20,547.62 -0.00291
20,607.54 0.003846
20,528.59 0.012612
20,272.91 0.001168

9-Oct-13

20,249.26

8-Oct-13

19,983.61

7-Oct-13

19,895.10

4-Oct-13

19,915.95

3-Oct-13

19,902.07

1-Oct-13

19,517.15

30-Sep-13

19,379.77

27-Sep-13

19,727.27

26-Sep-13

19,893.85

25-Sep-13

19,856.24

24-Sep-13

19,920.21

23-Sep-13

19,900.96

20-Sep-13

20,263.71

19-Sep-13

20,646.64

18-Sep-13

19,962.16

17-Sep-13

19,804.03

16-Sep-13

19,742.47

13-Sep-13

19,732.76

12-Sep-13

19,781.88

11-Sep-13

19,997.45

10-Sep-13

19,997.45

6-Sep-13

19,270.06

5-Sep-13

18,979.76

4-Sep-13

18,567.55

0.013293
0.004449
-0.00105
0.000697
0.019722
0.007089
-0.01762
-0.00837
0.001894
-0.00321
0.000967
-0.0179
-0.01855
0.034289
0.007985
0.003118
0.000492
-0.00248
-0.01078
0
0.037747
0.015295
0.022201

Relaxo

Date

Adj Close

20 Nov, 2013

838.65

19 Nov, 2013

843.85

18 Nov, 2013

839.9

15 Nov, 2013

840.3

14 Nov, 2013

840.3

13 Nov, 2013

838.95

12 Nov, 2013

840.3

11 Nov, 2013

819.6

8 Nov, 2013

830.85

7 Nov, 2013

840.4

6 Nov, 2013

851.3

5 Nov, 2013

866.95

4 Nov, 2013

854.55

1 Nov, 2013

854.55

31 Oct, 2013

859.7

30 Oct, 2013

854

29 Oct, 2013

857.35

28 Oct, 2013

867.55

25 Oct, 2013

904.5

24 Oct, 2013

885.5

23 Oct, 2013

910.05

22 Oct, 2013

833.35

21 Oct, 2013

837.35

18 Oct, 2013

844.4

17 Oct, 2013

822.75

16 Oct, 2013

832.65

15 Oct, 2013

832.65

RETURNS
-0.00616
0.004703
-0.00048
0
0.001609
-0.00161
0.025256
-0.01354
-0.01136
-0.0128
-0.01805
0.014511
0
-0.00599
0.006674
-0.00391
-0.01176
-0.04085
0.021457
-0.02698
0.092038
-0.00478
-0.00835
0.026314
-0.01189
0
-0.00875

14 Oct, 2013

840

11 Oct, 2013

846.05

10 Oct, 2013

850.15

9 Oct, 2013

859

8 Oct, 2013

838.4

7 Oct, 2013

833.4

4 Oct, 2013

825.4

3 Oct, 2013

831.75

2 Oct, 2013

843.75

1 Oct, 2013

843.75

30 Sep, 2013

852.15

27 Sep, 2013

846.25

26 Sep, 2013

838.55

25 Sep, 2013

829

24 Sep, 2013

816.9

23 Sep, 2013

832.45

20 Sep, 2013

750

19 Sep, 2013

745

18 Sep, 2013

738

17 Sep, 2013

733.45

16 Sep, 2013

708.05

13 Sep, 2013

708.2

-0.00715
-0.00482
-0.0103
0.024571
0.006
0.009692
-0.00763
-0.01422
0
-0.00986
0.006972
0.009183
0.01152
0.014812
-0.01868
0.109933
0.006711
0.009485
0.006204
0.035873
-0.00021

Sensex
Date
20-Nov-13
19-Nov-13
18-Nov-13
14-Nov-13
13-Nov-13
12-Nov-13
11-Nov-13
8-Nov-13
7-Nov-13
6-Nov-13
5-Nov-13
1-Nov-13
31-Oct-13
30-Oct-13
29-Oct-13
28-Oct-13
25-Oct-13
24-Oct-13
23-Oct-13
22-Oct-13
21-Oct-13
18-Oct-13
17-Oct-13
15-Oct-13
14-Oct-13
11-Oct-13
10-Oct-13
9-Oct-13
8-Oct-13

Adj. C loseReturns
RETURNS beta
20,635.13 -0.01224 0.093776
20,890.82 0.001922
20,850.74 0.022124
20,399.42 0.010152
20,194.40 -0.00431
20,281.91
-0.0102
20,490.96 -0.00848
20,666.15 -0.00752
20,822.77 -0.00345
20,894.94 -0.00381
20,974.79 -0.01047
21,196.81 0.001526
21,164.52 0.006207
21,033.97 0.005015
20,929.01 0.017439
20,570.28 -0.00547
20,683.52 -0.00202
20,725.43 -0.00204
20,767.88 -0.00465
20,864.97 -0.00138
20,893.89 0.000527
20,882.89 0.022893
20,415.51 -0.00643
20,547.62 -0.00291
20,607.54 0.003846
20,528.59 0.012612
20,272.91 0.001168
20,249.26 0.013293
19,983.61 0.004449

7-Oct-13

19,895.10

4-Oct-13

19,915.95

3-Oct-13

19,902.07

1-Oct-13

19,517.15

30-Sep-13

19,379.77

27-Sep-13

19,727.27

26-Sep-13

19,893.85

25-Sep-13

19,856.24

24-Sep-13

19,920.21

23-Sep-13

19,900.96

20-Sep-13

20,263.71

19-Sep-13

20,646.64

18-Sep-13

19,962.16

17-Sep-13

19,804.03

16-Sep-13

19,742.47

13-Sep-13

19,732.76

12-Sep-13

19,781.88

11-Sep-13

19,997.45

10-Sep-13

19,997.10

6-Sep-13

19,270.06

-0.00105
0.000697
0.019722
0.007089
-0.01762
-0.00837
0.001894
-0.00321
0.000967
-0.0179
-0.01855
0.034289
0.007985
0.003118
0.000492
-0.00248
-0.01078
1.75E-05
0.037729

BATA
Date Adj Close*

17-May-13

Rs. 6 dividend

2 Dec, 2013

1,039.75

25 Nov, 2013

1,068.35

18 Nov, 2013

1,050.55

11 Nov, 2013

981.7

4 Nov, 2013

916.5

28 Oct, 2013

920.4

21 Oct, 2013

892.95

14 Oct, 2013

884.8

7 Oct, 2013

865.3

30 Sep, 2013

861.65

23 Sep, 2013

850.3

16 Sep, 2013

831.2

9 Sep, 2013

822.15

2 Sep, 2013

823.35

26 Aug, 2013

818.65

19 Aug, 2013

851.1

12 Aug, 2013

879.25

5 Aug, 2013

871.85

29 Jul, 2013

901.85

22 Jul, 2013

907.5

15 Jul, 2013

928.55

8 Jul, 2013

897.55

1 Jul, 2013

874.2

24 Jun, 2013

835.15

17 Jun, 2013

826.65

10 Jun, 2013

811.4

3 Jun, 2013

877.2

27 May, 2013

802.4

20 May, 2013

800.65

13 May, 2013

815.25

6 May, 2013

800.48

29 Apr, 2013

766.14

22 Apr, 2013

708.62

15 Apr, 2013

751.4

8 Apr, 2013

719.93

Return
-0.02677
0.016944
0.070133
0.07114
-0.00424
0.030741
0.009211
0.022536
0.004236
0.013348
0.022979
0.011008
-0.00146
0.005741
-0.03813
-0.03202
0.008488
-0.03326
-0.00623
-0.02267
0.034538
0.02671
0.046758
0.010282
0.018795
-0.07501
0.09322
0.002186
-0.01791
0.018451
0.044822
0.081172
-0.05693
0.043713
0.0144

1 Apr, 2013

709.71

25 Mar, 2013

713.03

18 Mar, 2013

712.88

11 Mar, 2013

737.2

4 Mar, 2013

777.55

25 Feb, 2013

750.45

18 Feb, 2013

763.66

11 Feb, 2013

774.23

4 Feb, 2013

783.76

28 Jan, 2013

778.25

21 Jan, 2013

800.58

14 Jan, 2013

812.19

-0.00466
0.00021
-0.03299
-0.05189
0.036112
-0.0173
-0.01365
-0.01216
0.00708
-0.02789
-0.01429

the beta is 0.049 which means that the security(relaxo) is less risky then bata a

Relaxo
Prices
Date

Adj
Return
Close*

11-Sep-13 2.00 Dividend

18 Nov, 2013

837.3

0.002214375

11 Nov, 2013

835.45

0.006566265

4 Nov, 2013
28 Oct, 2013

830 -0.023529412
850 -0.064031272

21 Oct, 2013

908.15

0.086303828

14 Oct, 2013

836

0.001857511

7 Oct, 2013

834.45 -0.006488868

30 Sep, 2013

839.9 -0.011067938

23 Sep, 2013

849.3

0.12669143

16 Sep, 2013

753.8

0.049860724

9 Sep, 2013

718

2 Sep, 2013

718 -0.006901894

26 Aug, 2013

722.99 -0.020391849

19 Aug, 2013

738.04 -0.015828566

12 Aug, 2013

749.91

5 Aug, 2013

0.045899582

717 -0.034902346

29 Jul, 2013

742.93

22 Jul, 2013

688.08 -0.039396901

0.079714568

15 Jul, 2013

716.3 -0.034675148

8 Jul, 2013

742.03

-0.02770025

1 Jul, 2013

763.17

-0.03796846

24 Jun, 2013

793.29

0.07937955

17 Jun, 2013

734.95

0.051054701

10 Jun, 2013

699.25

0.031403033

3 Jun, 2013

677.96

0.036350851

27 May, 2013

654.18

0.049610115

20 May, 2013

623.26

0.004739489

13 May, 2013

620.32

0.104971588

6 May, 2013

561.39 -0.041784014

29 Apr, 2013

585.87

22 Apr, 2013

567.22 -0.006376344

15 Apr, 2013

570.86

0.024975312

8 Apr, 2013

556.95

0.049720112

1 Apr, 2013

530.57 -0.092996222

25 Mar, 2013

584.97

0.032879659

0.060765967

-0.049950408

18 Mar, 2013

551.46 -0.124110546

11 Mar, 2013

629.6 -0.062997634

4 Mar, 2013

671.93

0.056194788

25 Feb, 2013

636.18 -0.020568402

18 Feb, 2013

649.54 -0.043964616

11 Feb, 2013

679.41 -0.047925337

4 Feb, 2013

713.61 -0.114419032

28 Jan, 2013

805.81 -0.010219498

21 Jan, 2013

814.13 -0.054271941

14 Jan, 2013

860.85

0.015584446

7 Jan, 2013

847.64

0.050945385

1 Jan, 2013

806.55

beta is 0.077
ty(relaxo) is less risky then bata as its beta is 0.0