A Dissertation Report On: Efficient Market Hypothesis With Alpha Value'

1
A Dissertation Report On
‘Efficient market hypothesis with alpha value’
Submitted in the partial fulfillment of requirement for the award of the degree of
Master of Business Administration of Bangalore University
By
Amar Kumar
Reg. no. 06XQCM6007
Under the guidance and supervision of
Dr. Nagesh S. Malavalli
M. P. Birla Institute of Management

Associate Bharatiya Vidya Bhawan
# 43, Race Course Road, Bangalore-560010
2006-2008
2
Declaration
I hereby declare that this dissertation entitled ‘efficient market hypothesis with alpha
value’ is the result of my own research work carried out under the guidance and
supervision of Dr. Nagesh S. Malavalli, Principal, M. P. Birla Institute of Management,
Bangalore.
I also declare that this dissertation has not been submitted earlier to any
institute/organization for the award of any degree or diploma.
Place:
Date: Amar Kumar
3
Principal’s Certificate
I hereby certify that this dissertation entitled ‘efficient market hypothesis with alpha
value’ is the result of research work carried out by Mr. Amar Kumar bearing Reg. No.
06XQCM6007 under the guidance of Dr. Nagesh S. Malavalli, M. P. Birla Institute of
Management, Bangalore.
Place:
Date: Dr. Nagesh S. Malavalli
4
Guide’s certificate
I hereby certify that this dissertation entitled ‘efficient market hypothesis with alpha
value’ is the result of research work carried out by Mr. Amar Kumar bearing Reg. No.
06XQCM6007 under my guidance and supervision.
Place:
Date: Dr. Nagesh S. Malavalli
5
Acknowledgement
It is my special privilege to extend word of the thanks to all of them who have helped me
and encouraged me in completing the project successfully.
I would like to express my sincere gratitude to my research guide Dr. Nagesh S.

Malavalli, principal, M.P. Birla Institute of Management, Bangalore for his constant
encouragement and guidance in the course of the research investigation.
I would like to thank Proff. Praveen Bhagvan, faculty, M.P. Birla Institute of
Management, Bangalore for his constant guidance and timely support in the course of the
research.
And further I would like to thank all the faculty members of MPBIM who helped me in
completing my project.
My gratitude will not be complete without thanking the almighty god and my loving
parents and friends who have been supportive throughout the project.
Amar Kumar
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Table of contents
SL.No. CONTENTS Page No.
1 Executive Summary 7
2 Introduction 8
3 Research question 12
4 Research Objective 12
5 Hypothesis 12
6 Research Limitation 12
7 Literature review 13
8 Methodology 14
9 List of companies 15-16
10 A brief Process Summary 17
11 Data Interpretation 18-65
12 Conclusion 66
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Executive summary
This paper investigates the efficiency of the stock market with respect to the value of
alpha and its dissemination among investors. Also the paper investigates that whether
alpha value of the stock plays any significant role for the determination of its price
among investors. The research study was conducted on 30 stocks for the period from the
1st quarter of 2001 to the 1st quarter of 2008.
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Value of alpha was calculated using Ms-excel software by applying statistical tool
SLIOPE to calculate beta value .after calculation of beta value of alpha was calculated
using formula α= Average price return of the stock - β× Average market return. Weekly
average stock price data and market index data were collected with the help of
www.capitaline.com . Price returns in percentage and market returns in percentage were
calculated using Ms-excel software by applying average statistical tool. The alpha values
were calculated for each quarter separately.
To find the objective of the research, t- test was used for the calculated alpha.
Introduction
Alpha value of a stock is defined as the difference of actual return of the stock and its fair
market return as per SML.
i.e. α = actual return – fair return as per SML.
In other words it is defined as the abnormal rate of return on a security in excess of what
would be predicted by an equilibrium model like CAPM.
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Fig.1
Hence we can say that alpha gives the abnormal return. From the fig. 1 we can see that
alpha is the difference between normal market return and actual return of the stock. It
may be positive or negative. From the positive alpha it can be concluded that actual
return is higher than the fair market return and hence the security was under priced. Due
to this under pricing the security’s price will go up and hence the value of the alpha will
tend towards zero.
Further, when the alpha value of the security is negative, it will fall uder the SML and
hence it can be concluded that actual return of the security is less than the fair market
return. Hence, the security was overpriced. To come to the correct price its price will fall
down. Hence the alpha value will come to zero or it will move to zero.
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When the market will be efficient the information will reach to the investor. Due to this
investors will price the security according to its current status of the alpha value. Though
other various factors does affect the price of securities in security market, yet we
shouldn’t forget that alpha value is one of the most important factor.
Hence objective of this research study is that whether the investors price the stock
correctly and does the value of alpha comes to the zero or very near to zero.
Efficient market hypothesis
The efficient market is that market in which prices of traded assets reflect all known
information. The efficient market hypothesis states that it is not possible to consistently
outperform the market by using any information that the market already knows, except
through luck. Information or news in the efficient market hypothesis is defined as
anything that that may affect prices that is unknowable in the present and thus appears
randomly in the future.
In a market that is essentially characterized by a large number of rational and profit
seeking investors who compete with one another freely, the prices should reflect all the
available and expected information. An efficient market is one that rapidly absorbs new
informations and adjusts the prices swiftly. Researchers and analysts who have worked
on the efficiency of the stock market have realized that no stock market is absolutely
efficient.
In the financial market, the maximum price that investors are willing to pay for a
financial asset is actually the current value of future cash payments that discounted at a
higher rate to compensate us for the uncertainty in the cash flow projections. Therefore
what investors are trading actually information as a "commodity" in financial market for
the future cash flows and information about the degree of certainty.
Efficient market emerges when new information is quickly incorporated into the price so
that price becomes information. In other words the current market price reflects all
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available information. Under these conditions the current market price in any financial
market could be the best-unbiased estimate of the value of the investment.
Historical background:
The efficient market hypothesis was first expressed by Louis Bachelier, a French
mathematician, in his 1900 dissertation titled “The Theory of Speculation". The ’30s and
’40s showed that professional investors were in general unable to outperform the market.
The efficient market hypothesis emerged as a prominent theoretic position in the mid-
1960s. Paul Samuelson had begun to circulate Bachelier's work among economists. In
1964, Bachelier's dissertations along with the empirical studies mentioned above were
published in an anthology edited by Paul Coonter. In 1965, Eugene Fama published his
dissertation arguing for the random walk hypothesis and Samuelson published a proof for
a version of the efficient market hypothesis. In 1970 Fama published a review of both the
theory and the evidence for the hypothesis. The paper extended and refined the theory,
included the definitions for three forms of market efficiency: weak, semi-strong and
strong which are defined below:
1. Weak-form efficiency:
• Weak-form efficiency implies that Technical analysis techniques will not be able
to consistently produce excess returns, though some forms of fundamental
analysis may still provide excess returns.
• Excess returns cannot be earned by using investment strategies based on historical
share prices.
• In a weak-form efficient market current share prices are the worst, biased,
estimate of the value of the security. Theoretical in nature, weak form efficiency
advocates assert that fundamental analysis can be used to identify stocks that are
undervalued and overvalued. Therefore, keen investors looking for profitable
companies can earn profits by researching financial statements.
2. Semi-strong form efficiency:
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• Semi-strong form efficiency implies that share prices do not adjust to publicly
available new information very rapidly and in a biased fashion, such that excess
returns can be earned by trading on that information.
• Semi-strong form efficiency implies that neither Fundamental analysis nor
technical analysis techniques will be able to reliably produce excess returns.
3. Strong-form efficiency:
• Strong form efficiency implies that Share prices reflect all information, public and
private, and no one can earn excess returns.
• If there are legal barriers to private information becoming public, as with insider
trading laws, strong-form efficiency is possible, except in the case where the laws
are universally agreed upon.
Capital asset pricing model:
The Capital Asset Pricing Model (CAPM) is used to determine a theoretically appropriate
required rate of return of an asset, if that asset is to be added to an already well-
diversified portfolio, given that asset's non-diversifiable risk. The CAPM formula takes
into account the asset's sensitivity to systematic risk also known as or market risk
The model was introduced by Jack Treynor, William Sharpe, John Lintner and Jan
Mossin independently, building on the earlier work of Harry Markowitz on
diversification and modern portfolio theory. Sharpe received the Nobel Memorial Prize in
Economics (jointly with Markowitz and Merton Miller) for this contribution to the field
of financial economics.
RESEARCH QUESTION:
The question of my research is-

• Does alpha has tendency towards zero due to market efficiency?
• Does the value of alpha disseminate among investors in future?
RESEARCH OBJECTIVE:
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The research investigation will be carried with the expectation of accomplishing the
following objectives-
• To test the market efficiency.
• To find the tendency of financial measure alpha towards zero.
HYPOTHESES:
I seek to achieve the aforesaid objectives through testing the following hypotheses:
H0: average of all the values of alpha is not significantly different from zero.
H1: average value of alpha is significantly different from zero.
RESEARCH LIMITATIONS:
My research investigation is beset with the following limitations:
1. The research sample is limited to 30 stocks as a sample in large cap. , mid cap.
And small cap. Segments by taking 10 from each segment.
2. Calculation of alpha is limited to the period from 1st quarter of year 2001 to 1st
quarter of year 2008.
3. Time constraint.
Literature review
Research to date has tended to concentrate on the first or statistical approach to testing
independence between the alpha value and price of the stock; the results have been
consistent and impressive. I know of no study in which standard statistical tools have
produced evidence of important dependence in series of successive price changes. In
general, these studies (and there are many of them) have tended to uphold the theory of
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abnormal return and the market efficiency. This is true, for example, of the serial tests of
the market efficiency by Cootner, Fama, Kendall, and Moore. In all these studies” the
sample serial correlation coefficients computed for successive price changes were
extremely close to zero, which is evidence against important dependence in the changes.
It was tried to investigate the appropriateness of CAPM model for calculating the
expected returns and the fair market return. The results indicated that the expected returns
predicted by CAPM model may vary greatly from actual returns due to market risk
premium.
Methodology
Study design:
1. Study type: the study type is quantitative, analytical and historical. Analytical
because facts and existing information is used for analysis. Quantitative as
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relationship is examined by expressing variables in measurable terms and

historical because the historical data was taken for the study.
2. Study population: population is the entire stocks from Indian stock market and
other foreign markets.
3. Sample size: sampling frame would be 30 stocks of Indian companies chosen

from BSE-sensex. 10 stocks are from large cap., 10 from mid cap. and 10 from
small cap. The stocks of market capitalization 0-5000 crore were assumed as
small cap. , market capitalization of 5000-10,000 crore were assumed as mid cap.
, and 10,000 and above were assumed as small cap. Securities.
4. Data: the data selected was weekly average price of the securities and weekly
average market index.
5. source of the data: the data source was www.capitaline.com .
List of the companies taken for study

Large cap. Companies:
1. Acc Ltd.
2. Ambuja cements Ltd.
3. HDFC bank Ltd.
4. Hindalco Industries Ltd.
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5. Tata steel Ltd.

6. Tata consultancy Services Ltd.
7. Ranbaxy Laboratories Ltd.
8. Oil and natural gas corporation Ltd.
9. State Bank of India.
10. Satyam computer services Ltd.
Mid cap. Companies:
1. RNRL
2. IDBI bank LTD.
3. Reliance petroleum Ltd.
4. Asian Paints Ltd.
5. HMT Ltd.
6. Pantaloon retail Ltd.
7. Zee entertainment Ltd.
8. Century Textiles Ltd.
9. Indian hotels Ltd.
10. Shipping corporation of India Ltd.
Small cap companies:
1. Biocon Ltd.
2. Blue star Ltd.
3. Chambal fertilizers and chemicals Ltd.
4. J.K. cements Ltd.
5. J.K. papers Ltd.
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6. Prism cements Ltd.

7. South Indian bank Ltd.
8. Vijaya bank
9. Whirlpool India Ltd.
10. Wockhardt Ltd.
A brief process summary

First of all the weekly average price and weekly average market index of all the 30
sample stocks were taken from the www.capitaline.com. the period was from year 01 Jan
2001 to 31 March 2008.
Now the total period was divided quarterly from year 2001 to year 2008.
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The price return in percentage and market return in percentage was calculated in excel
software. Beta of the stock was calculated Quarterly by applying SLOPE statistical tool
in excel software. Value of alpha was also calculated on the quarterly basis.
To check whether the value of alpha has tendency towards zero due to the market
efficiency the t-test was applied assuming that the mean of total population of all the
alpha values is zero.
Data interpretation
LARGE CAP. SECURITIES
1. Stock – Acc ltd.

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Table-1(quarterly alpha values)
Hypothesis :( t-test)
Year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.006828 -0.017431 0.000141 0.003845 0.009313 0.001536 0.007477 0.013209
Qtr. 3 0.008374 0.004745 0.013283 0.003793 0.002327 -0.007295 -0.008956
Qtr. 2 0.012387 -0.000010 0.002588 0.002227 0.005755 0.003651 0.008568
Qtr. 1 -0.028026 0.019152 0.002985 -0.000375 -0.009475 -0.003412 -0.005064

Sample mean 0.007318

Population mean 0
n-1 28
Std. dev 0.006344975
Sqr. Root of n-1 5.291502622
Calculated t-value 6.103168648
Tabulated t- value 2.048
Tabulated value of t for 28 degree of freedom at 5% level of significance is 2.048.

Hence the null hypothesis is rejected i.e. value of alpha is significantly different from
zero.
t-test by taking 2 years value at a time:
year 06-08
Sample Mean 0.010788
Population mean 0
20
n-1 8
Std. dev 0.009363121
Sqr. Root of n-1 2.828427125
calculated t-value 3.258954135 Tabulated t value 2.306 Null hypothesis rejected
Year 05-06
Population mean 0
n-1 7
Std. dev 0.006792682
Sqr. Root of n-1 2.645751311
calculated t-value 2.276112995 Tabulated t value 2.365 null hypothesis accepted
Year 04-05
Population mean 0
n-1 7
Std. dev 0.004286816
Sqr. Root of n-1 2.645751311
calculated t-value 2.96317322 Tabulated t value 2.365 Null hypothesis rejected]
Year 03-04
Population mean 0
n-1 7
Std. dev 0.003494771
Sqr. Root of n-1 2.645751311
Year 02-03
Population mean 0
n-1 7
Std. dev 0.002812511
Sqr. Root of n-1 2.645751311
Year 01-02
Population mean 0
n-1 7
Std. dev 0.00322186
Sqr. Root of n-1 2.645751311
Interpretation: for every set of calculation in the above table null hypothesis is rejected
except in the year 05-06. hence it shows that the value of alpha were significantly
different from zero.
4. Ambuja cements Ltd.

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year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.006209 -0.004192 0.007481 -0.002229 0.005963 0.013732 -0.011191 0.014133
Qtr. 3 0.007038 0.000625 0.009420 0.009972 -0.000779 -0.010291 -0.013281
Qtr. 2 0.007222 -0.002899 0.008894 0.000549 0.009749 -0.010291 0.016044
Qtr. 1 -0.023132 0.004397 -0.001879 -0.000931 -0.000268 0.000949 0.002508
t-test for whole the values at a time:

Population mean 0.000000
n-1 28.000000
Std. dev 0.005621
Sqr. Root of n-1 5.291503

zero.
1st cal 08-06

Population mean 0
n-1 8
Std. dev 0.006454228
Sqr. Root of n-1 2.828427125
2nd cal 06-05
Population mean 0
n-1 7
Std. dev 0.003414343
Sqr. Root of n-1 2.645751311
3rd cal 05-04
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Population mean 0
n-1 7
Std. dev 0.003414343
Sqr. Root of n-1 2.645751311
4th cal 04-03
Population mean 0
n-1 7
Std. dev 0.005352627
Sqr. Root of n-1 2.645751311
5th cal 03-02
Population mean 0
n-1 7
Std. dev 0.005510176
Sqr. Root of n-1 2.645751311
6 th cal 02-01
Population mean 0
n-1 7
Std. dev 0.005395807
Sqr. Root of n-1 2.645751311
Interpretation: for every set of calculation in the above table null hypothesis is rejected.
Hence it shows that the value of alpha were significantly different from zero.
5. HDFC bank Ltd.

Quarterly alpha values:
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year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.001191 0.008380 0.006251 -0.001611 0.014375 0.014694 0.002456 0.000307
Qtr. 3 0.008105 0.002129 0.003744 0.004105 -0.005995 0.000957 0.005626
Qtr.2 0.007552 -0.001749 0.004473 0.005821 -0.000677 -0.007149 -0.003834
Qtr.1 -0.004959 -0.006319 0.007096 0.001176 0.008832 0.003809 0.004810

n-1 28.000000
Std. dev 0.003618

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.002826
2nd cal 06-05
n-1 7.000000
Std. dev 0.002216
3rd cal 05-04
n-1 7.000000
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Std. dev 0.002216

4th cal 04-03
n-1 7.000000
Std. dev 0.005367
5th cal 03-02
n-1 7.000000
Std. dev 0.004699
6 th cal 02-01
n-1 7.000000
Std. dev 0.002311
6. Hindalco Industries Ltd.
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.008817 0.011937 -0.008167 -0.005303 -0.007111 0.026108 0.004700 0.014867

-
Qtr. 3 0.001013 -0.016554 0.007683 0.008381 0.011213 -0.017047 0.031585
Qtr. 2 0.016778 -0.000030 -0.011468 -0.006047 0.022434 -0.000534 0.004315
Qtr.1 -0.020679 0.002189 -0.002658 -0.003888 -0.003466 0.012186 0.005152
25

n-1 28.000000
Std. dev 0.007963

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.007508
2nd cal 06-05
n-1 7.000000
Std. dev 0.005425
3rd cal 05-04
n-1 7.000000
Std. dev 0.005425
4th cal 04-03
n-1 7.000000
Std. dev 0.008559
5th cal 03-02
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n-1 7.000000
Std. dev 0.009190
6 th cal 02-01
n-1 7.000000
Std. dev 0.010029
7. Tata steel Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 1 -0.015412 0.011476 -0.018170 -0.015464 0.010654 0.022503 0.010739 0.012016
Qtr. 2 0.014268 -0.019099 0.003410 0.019602 0.022160 -0.011219 -0.029662
Qtr. 3 0.020175 0.007135 -0.015023 -0.009638 0.005407 0.032181 0.000230
Qtr. 4 -0.001758 0.012993 0.010648 -0.008771 -0.002620 0.006173 0.004576

n-1 28.000000
Std. dev 0.007898

zero.

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1st cal 08-06

n-1 8.000000
Std. dev 0.005964
2nd cal 06-05
n-1 7.000000
Std. dev 0.005418
3rd cal 05-04
n-1 7.000000
Std. dev 0.005418
4th cal 04-03
n-1 7.000000
Std. dev 0.007718
5th cal 03-02
n-1 7.000000
Std. dev 0.010367
6 th cal 02-01
n-1 7.000000
Std. dev 0.011554
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8. Tata consultancy Services Ltd.
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.009011 -0.001338 0.010216 0.008264 0.013442 N.A. N.A. N.A.
Qtr. 3 -0.010306 0.001999 0.001320 0.006148 N.A. N.A. N.A.
Qtr. 2 -0.007190 -0.006373 -0.007425 N.A. N.A. N.A. N.A.
Qtr. 1 -0.000384 0.000618 0.005970 N.A. N.A. N.A. N.A.

n-1 14.000000
Std. dev 0.004185

zero.

1st cal 08-06
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n-1 8.000000
Std. dev 0.004189
2nd cal 06-05

n-1 7.000000
Std. dev 0.003540
3rd cal 05-04
n-1 6.000000
Std. dev 0.003540
9. Ranbaxy Laboratories Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 0.007764 -0.003824 -0.012511 -0.034990 0.005854 0.005332 0.001215 0.000670
Qtr. 3 0.011278 0.005329 -0.017224 0.011752 0.008730 0.005312 0.030003
Qtr. 2 -0.000046 -0.012544 -0.001450 0.001432 0.008981 0.001660 -0.009235
Qtr. 1 -0.013327 0.001800 -0.011637 -0.012635 0.004211 0.016634 -0.001448

n-1 28.000000
Std. dev 0.008255
30

zero.

1st cal 08-06

n-1 8.000000
Std. dev 0.005062
2nd cal 06-05

n-1 7.000000
Std. dev 0.010797
3rd cal 05-04

n-1 7.000000
Std. dev 0.010797
4th cal 04-03

n-1 7.000000
Std. dev 0.003837
5th cal 03-02
31

n-1 7.000000
Std. dev 0.004974
6 th cal 02-01

n-1 7.000000
Std. dev 0.010349
10. Oil and natural gas corporation Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.005864 0.013026 0.005442 0.003972 0.001220 0.007142 -0.007987 -0.004378
Qtr. 3 0.000150 -0.005033 -0.004154 0.006935 0.004424 0.011207 -0.008527
Qtr. 2 0.002238 -0.009238 0.003924 -0.013828 0.020041 0.002929 0.018542
Qtr. 1 0.001576 -0.002714 0.007751 0.003092 0.003534 0.055843 0.007591

n-1 28.000000
Std. dev 0.010564
32

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.004053
calculated t- Tabulated t
value 3.510966 value 2.306 Null hypothesis rejected
2nd cal 06-05
n-1 7.000000
Std. dev 0.004006
3rd cal 05-04
n-1 7.000000
Std. dev 0.004006
4th cal 04-03
n-1 7.000000
Std. dev 0.006345
5th cal 03-02
n-1 7.000000
Std. dev 0.017736
6 th cal 02-01
33

n-1 7.000000
Std. dev 0.017314
11. State Bank of India.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.009966 0.010358 0.011054 -0.009839 0.013547 0.005008 0.008794 -0.000075
Qtr. 3 0.007047 0.016968 0.015485 0.000225 -0.000787 0.001500 -0.024857
Qtr. 2 0.031275 -0.021096 -0.003139 -0.016335 0.019005 0.005687 0.009395
Qtr. 1 -0.015451 -0.003201 0.008305 0.006093 0.000966 0.010926 0.006088

n-1 28.000000
Std. dev 0.012488

Hence the null hypothesis is accepted i.e. value of alpha is not significantly different from
zero.
1st cal 08-06

n-1 8.000000
Std. dev 0.016799
calculated t-
value 0.504901 Tabulated t value 2.306 Null hypothesis accepted
34
2nd cal 06-05

n-1 7.000000
Std. dev 0.013386
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.013386
calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.010551
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.006467
calculated t-
value 2.613226 Tabulated t value 2.365 Null hypothesis rejected
6 th cal 02-01
n-1 7.000000
Std. dev 0.011566
calculated t-
Interpretation: For above sets of calculation most of the time null hypothesis is
accepted. Hence the stock was correctly priced almost whole the interval.
10 Satyam computer services Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001

35
Qtr. 4 0.004126 -0.004042 0.007285 0.014012 0.003490 0.007529 0.011618 0.044875
Qtr. 3 -0.013650 -0.000105 0.001494 0.013336 0.004863 -0.000515 -0.009246
Qtr. 2 -0.003305 -0.010748 0.016113 0.003171 -0.008786 -0.004609 -0.025117
Qtr. 1 -0.004404 -0.002273 0.000345 0.000000 -0.019146 0.003978 -0.011646

n-1 28.000000
Std. dev 0.009302
zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.004282
2nd cal 06-05
n-1 7.000000
Std. dev 0.006427
3rd cal 05-04
n-1 7.000000
Std. dev 0.006427
36
4th cal 04-03

n-1 7.000000
Std. dev 0.006203
5th cal 03-02
n-1 7.000000
Std. dev 0.005740
6 th cal 02-01
n-1 7.000000
Std. dev 0.014546
MID CAP
1. RNRL
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.030429 0.050015 -0.010513 NA NA NA NA NA
Qtr. 3 0.073862 -0.010430 NA NA NA NA NA
Qtr. 2 0.034639 -0.038214 NA NA NA NA NA
Qtr. 1 0.006046 0.162765 NA NA NA NA NA

n-1 8.000000
Std. dev 0.063257
37

Null hypothesis is accepted. Hence security was fairly priced whole the period.
1st cal 08-06
n-1 8.000000
Std. dev 0.063257
calculated t-value 1.181128 Tabulated t value 2.306 Null hypothesis accepted
2nd cal 06-05
n-1 4.000000
Std. dev 0.092174
Interpretation: for every set of calculation in the above table null hypothesis is accepted.
Hence it shows that the value of alpha were not significantly different from zero.
2. RPL
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.016528 0.022277 -0.010480 NA NA NA NA NA
Qtr. 3 0.019164 -0.004048 NA NA NA NA NA
Qtr. 2 0.029043 -0.025361 NA NA NA NA NA
Qtr. 1 0.016031 NA NA NA NA NA NA

n-1 7.000000
Std. dev 0.020331
38

Null hypothesis is accepted. Hence the value of alpha is not significantly different from
zero.
1st cal 08-06
n-1 7.000000
Std. dev 0.020331
CONCLUSION: alpha value is significantly different from zero.
3. Asian Paints Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 1 0.008289 0.007210 0.002894 0.006007 0.000018 0.002387 -0.007511 0.000240
Qtr. 2 0.009243 0.007627 0.013185 -0.001246 0.010346 0.002160 0.008721
Qtr. 3 0.004105 -0.006014 0.000270 0.004639 0.009946 0.002530 0.002864
Qtr. 4 0.002553 0.005325 0.018700 -0.005692 0.004212 0.015046 -0.006325

n-1 28.000000
Std. dev 0.005132
zero.

39
1st cal 08-06

n-1 8.000000
Std. dev 0.002382
calculated t-
2nd cal 06-05
n-1 7.000000
Std. dev 0.005861
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.005861
calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.003774
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.006887
calculated t-
6 th cal 02-01
n-1 7.000000
Std. dev 0.006577
calculated t-
Interpretation: for every set of calculation in the above table null hypothesis is rejected.(
except for the period 01-03)Hence it shows that most of the period the value of alpha
were significantly different from zero.
40
4. HMT Ltd.
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.051454 0.050024 -0.011060 -0.009423 0.060543 0.009999 0.020348 0.013901
Qtr. 3 -0.008381 0.016761 0.054139 0.010862 -0.022731 -0.048381 -0.013334
Qtr. 2 -0.009417 -0.002350 0.018061 -0.004903 0.030994 0.119547 0.001318
Qtr. 1 -0.006800 -0.031337 -0.017544 -0.021061 -0.016691 0.021047 -0.007182

n-1 28.000000
Std. dev 0.024682

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.018828
calculated t-
2nd cal 06-05
n-1 7.000000
Std. dev 0.016114
41
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.016114
calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.017550
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.035560
calculated t-
6 th cal 02-01
n-1 7.000000
Std. dev 0.038558
calculated t-
Interpretation: for every set of calculation in the above table null hypothesis is
rejected.(except in the period 01-02)Hence it shows that the value of alpha were
significantly different from zero most of the time period.
5. Pantaloon retail Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001

42
Qtr. 4 -0.043069 0.024940 0.001532 0.001645 0.034746 0.020457 0.001635 0.047162
Qtr. 3 -0.001553 0.021456 0.016829 0.008435 0.030910 -0.002534 -0.001741
Qtr. 2 0.014075 -0.022730 0.043702 0.026784 0.042315 0.017889 0.018569
Qtr. 1 -0.008360 0.006106 -0.001141 0.007639 -0.003892 0.026828 -0.013648

n-1 28.000000
Std. dev 0.014579
zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.013536
calculated t-
2nd cal 06-05
n-1 7.000000
Std. dev 0.014912
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.014912
calculated t-
43
4th cal 04-03

n-1 7.000000
Std. dev 0.014131
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.014867
calculated t-
6 th cal 02-01
n-1 7.000000
Std. dev 0.015559
calculated t-
6. IDBI BANK LTD.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.037053 0.000335 -0.017122 -0.026340 0.000946 0.021205 0.006168 -0.007787
Qtr. 3 0.014581 0.013564 0.001303 0.053202 0.004335 -0.015764 -0.028808
Qtr. 2 0.030111 -0.024036 0.008847 -0.022032 0.062023 0.036248 -0.005010
Qtr. 1 0.007465 -0.037309 -0.014899 0.005933 -0.016087 0.002978 -0.006619

n-1 28.000000
Std. dev 0.018553
44


zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.012902
2nd cal 06-05
n-1 7.000000
Std. dev 0.020627
3rd cal 05-04
n-1 7.000000
Std. dev 0.020627
4th cal 04-03
n-1 7.000000
Std. dev 0.022717
5th cal 03-02
n-1 7.000000
Std. dev 0.019958
6 th cal 02-01
n-1 7.000000
45
Std. dev 0.012382

rejected.(except from the period 04-06) Hence it shows that the value of alpha were
7. Zee entertainment Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.012530 -0.007967 -0.005724 -0.018534 0.000478 0.002778 -0.000691 0.019907
Qtr. 3 0.001003 0.003810 0.004353 0.008321 0.005514 -0.023075 -0.003069
Qtr. 2 0.008819 -0.000920 0.003309 0.005172 0.013347 -0.013547 -0.005451
Qtr. 1 -0.006728 0.025516 -0.021718 -0.014188 -0.025071 0.029757 -0.042094

n-1 28.000000
Std. dev 0.010364

zero.

1st cal 08-06
n-1 8.000000
46
Std. dev 0.007511

2nd cal 06-05
n-1 7.000000
Std. dev 0.009745
3rd cal 05-04
n-1 7.000000
Std. dev 0.009745
4th cal 04-03
n-1 7.000000
Std. dev 0.007943
5th cal 03-02
n-1 7.000000
Std. dev 0.010879
6 th cal 02-01
n-1 7.000000
Std. dev 0.014357
8. Century Textiles Ltd.

47
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 NA 0.015932 0.016583 -0.017669 0.006109 0.002528 0.002514 0.023682
Qtr. 3 0.007095 0.002011 0.005921 0.023180 0.014756 -0.027066 -0.006875
Qtr. 2 0.016677 -0.008285 0.011846 0.017754 0.032773 0.056300 -0.001217
Qtr. 1 -0.021239 0.008446 0.019454 -0.035911 -0.008198 -0.014559 -0.013968

n-1 27.000000
Std. dev 0.012049
zero.
1st cal 08-06

n-1 7.000000
Std. dev 0.006480
2nd cal 06-05
n-1 7.000000
Std. dev 0.006184
3rd cal 05-04
n-1 7.000000
Std. dev 0.006184
4th cal 04-03
n-1 7.000000
48
Std. dev 0.012261

5th cal 03-02
n-1 7.000000
Std. dev 0.018275
6 th cal 02-01
n-1 7.000000
Std. dev 0.017945
9. Indian hotels Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.017156 0.009567 0.001359 0.017993 0.010409 0.033822 0.015593 0.017072
Qtr. 3 -0.009732 -0.000309 0.011189 0.013388 -0.007964 -0.003557 -0.037100
Qtr. 2 0.001521 -0.010532 -0.000801 -0.006693 0.017909 -0.001382 -0.016298
Qtr. 1 -0.004247 0.010112 0.015880 -0.007185 0.004329 0.008536 0.012966

49

n-1 28.000000
Std. dev 0.008758

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.005627
2nd cal 06-05
n-1 7.000000
Std. dev 0.006927
3rd cal 05-04
n-1 7.000000
Std. dev 0.006927
4th cal 04-03
n-1 7.000000
Std. dev 0.009547
5th cal 03-02
n-1 7.000000
Std. dev 0.010651
6 th cal 02-01
50

n-1 7.000000
Std. dev 0.011020
10. Shipping corporation of India Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.027691 0.027658 -0.006439 -0.002881 0.005104 0.023771 -0.014305 0.017062
Qtr. 3 -0.001100 0.003613 0.002449 0.012741 0.019549 -0.008324 -0.020163
Qtr. 2 0.008856 -0.010274 -0.007813 -0.009883 0.020926 0.022037 0.002555
Qtr. 1 0.006041 -0.010194 -0.005472 -0.027751 -0.011170 0.073022 0.022236

n-1 28.000000
Std. dev 0.013972

zero.

1st cal 08-06
51

n-1 8.000000
Std. dev 0.009740
calculated t-
2nd cal 06-05
n-1 7.000000
Std. dev 0.003105
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.003105
calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.007786
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.020496
calculated t-
6 th cal 02-01
n-1 7.000000
Std. dev 0.021560
calculated t-
52
SMALL CAP.
1. Biocon Ltd.
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.022763 0.008885 -0.006451 0.003555 -0.011721 NA NA NA
Qtr. 3 -0.001434 -0.000277 0.005551 0.000163 NA NA NA
Qtr. 2 -0.006682 -0.014389 0.000251 0.001662 NA NA NA
Qtr. 1 0.022994 -0.014422 -0.014500 NA NA NA NA

n-1 15.000000
Std. dev 0.007626
Tabulated value of t for 15 degree of freedom at 5% level of significance is 2.131000

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.008334
2nd cal 06-05
n-1 7.000000
Std. dev 0.006205
53

3rd cal 05-04
n-1 6.000000
Std. dev 0.006205
2. Blue star Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr.4 -0.016278 0.035068 0.021078 0.019246 0.014631 0.024560 0.007208 0.024102
Qtr.3 0.020975 -0.002875 0.020697 0.014394 -0.011058 0.000578 -0.001452
Qtr.2 0.008742 -0.005991 0.016848 0.013360 0.021534 0.015739 0.014029
Qtr.1 0.007019 0.019836 -0.002044 -0.013081 0.008522 0.022763 -0.010252

n-1 28.000000
Std. dev 0.008141

zero.

1st cal 08-06
54

n-1 8.000000
Std. dev 0.010189
2nd cal 06-05
n-1 7.000000
Std. dev 0.008401
3rd cal 05-04
n-1 7.000000
Std. dev 0.008401
4th cal 04-03
n-1 7.000000
Std. dev 0.005323
5th cal 03-02
n-1 7.000000
Std. dev 0.008561
6 th cal 02-01
n-1 7.000000
Std. dev 0.008849
3. Chambal fertilizers and chemicals Ltd.

55
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.026938 0.032408 -0.007180 -0.002564 0.016627 0.018857 0.004110 0.002009
Qtr. 3 0.034598 -0.006375 0.011560 -0.004090 -0.002873 -0.019860 -0.008469
Qtr. 2 0.004112 -0.008978 0.003567 0.014867 0.011521 0.011334 0.011274
Qtr. 1 -0.013745 -0.015273 0.007962 -0.025724 0.014578 0.008598 -0.000984


n-1 28.000000
Std. dev 0.008973

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.011715
calculated t-
2nd cal 06-05
n-1 7.000000
Std. dev 0.004123
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.004123
56

calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.007523
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.006222
calculated t-
6 th cal 02-01
n-1 7.000000
Std. dev 0.006123
calculated t-
4. J.K. cements Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.019436 0.011731 -0.019028 0.001594 NA NA NA NA
Qtr. 3 0.006933 0.013489 -0.001482 NA NA NA NA
Qtr. 2 -0.003518 -0.004275 NA NA NA NA NA
Qtr. 1 -0.017632 -0.015053 NA NA NA NA NA

57
n-1 10.000000
Std. dev 0.007038
zero.

1st cal 08-06
n-1 7.000000
Std. dev 0.006167
2nd cal 06-05
n-1 5.000000
Std. dev 0.007628
5. J.K. papers Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.039159 0.026037 -0.015244 -0.011225 0.004122 0.009065 NA NA
Qtr. 3 -0.006409 0.001315 0.013868 0.012942 -0.010677 NA NA
Qtr. 2 0.005346 -0.023056 0.009697 0.008897 NA NA NA
Qtr. 1 -0.006871 -0.011253 -0.009403 -0.050175 NA NA NA

58

n-1 18.000000
Std. dev 0.012305
Tabulated value of t for 18 degree of freedom at 5% level of significance is 2.101000

zero.
1st cal 08-06
n-1 8.000000
Std. dev 0.012272
2nd cal 06-05
n-1 7.000000
Std. dev 0.006136
3rd cal 05-04
n-1 7.000000
Std. dev 0.006136
4th cal 04-03
n-1 5.000000
Std. dev 0.017001
rejected.(except in one case) Hence it shows that the value of alpha were significantly
different from zero.
59
6. Prism cements Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.034163 0.007061 -0.025822 -0.022044 0.021431 -0.003420 0.003102 0.026654
Qtr. 3 0.028187 0.012748 0.015225 0.020741 0.010118 -0.030820 -0.004662
Qtr. 2 0.016795 -0.006155 -0.012264 0.024169 0.031084 0.033285 -0.004285
Qtr. 1 -0.005148 0.019455 -0.012212 -0.045838 -0.024783 -0.019286 -0.017801

n-1 28.000000
Std. dev 0.010938

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.010475
2nd cal 06-05
n-1 7.000000
Std. dev 0.006334
60
3rd cal 05-04

n-1 7.000000
Std. dev 0.006334
4th cal 04-03
n-1 7.000000
Std. dev 0.012804
5th cal 03-02
n-1 7.000000
Std. dev 0.012512
6 th cal 02-01
n-1 7.000000
Std. dev 0.012308
7. South Indian bank Ltd.

61
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.033702 0.017200 0.015745 -0.018434 0.022421 0.022019 0.001453 -0.015545
Qtr. 3 0.008814 0.016638 0.019015 -0.005971 -0.000559 -0.013859 0.000165
Qtr. 2 0.018526 -0.008316 -0.009567 -0.019593 0.018397 0.000086 0.014703
Qtr. 1 0.010244 -0.016212 -0.004520 -0.012185 0.003684 0.052363 0.002274

n-1 28.000000
Std. dev 0.010948

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.007626
2nd cal 06-05
n-1 7.000000
Std. dev 0.005345
3rd cal 05-04
62
n-1 7.000000
Std. dev 0.005345
4th cal 04-03
n-1 7.000000
Std. dev 0.008736
5th cal 03-02
n-1 7.000000
Std. dev 0.017702
6 th cal 02-01
n-1 7.000000
Std. dev 0.017476
Interpretation: for every set of calculation in the above table null hypothesis is rejected
(except in few cases from 01-02) Hence it shows that the value of alpha were
significantly different from zero.
8. Vijaya bank
year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.033833 0.014005 -0.022048 -0.008133 0.022807 0.030547 0.016460 0.004806
Qtr. 3 0.015837 0.016711 -0.003334 0.002306 0.022453 -0.009707 -0.014744
Qtr. 2 0.012224 -0.022699 -0.009386 -0.018415 0.016431 0.038527 0.007176
Qtr. 1 -0.008030 -0.031783 -0.004061 0.027730 0.007229 0.012515 NA

63

n-1 27.000000
Std. dev 0.009832
zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.008722
calculated t-
2nd cal 06-05
n-1 7.000000
Std. dev 0.010195
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.010195
calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.009696
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.010731
64

calculated t-
6 th cal 02-01
n-1 6.000000
Std. dev 0.011217
calculated t-
9. Whirlpool India Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.017520 0.023809 -0.014789 0.003822 0.015988 0.013705 -0.005261 0.030576
Qtr. 3 0.006811 0.022184 0.004476 -0.004437 -0.016839 -0.022505 -0.005522
Qtr. 2 0.029638 -0.000297 0.006753 -0.012017 0.023413 0.015688 -0.028693
Qtr. 1 -0.025851 -0.030573 0.015116 -0.035575 -0.020137 0.018105 0.000235

n-1 28.000000
Std. dev 0.010001

zero.
65

1st cal 08-06
n-1 8.000000
Std. dev 0.010281
calculated t-
2nd cal 06-05
n-1 7.000000
Std. dev 0.010376
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.010376
calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.009149
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.005768
calculated t-
6 th cal 02-01
n-1 7.000000
Std. dev 0.011300
calculated t-
66
10. Wockhardt Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001
Qtr. 4 -0.035436 -0.001953 -0.018330 -0.015875 -0.004044 0.023646 -0.007200 0.014440
Qtr. 3 0.003339 -0.000876 0.013165 0.019241 0.023942 -0.000742 0.006852
Qtr. 2 -0.000956 -0.024356 0.000610 0.001188 -0.002548 -0.011721 0.002868
Qtr. 1 0.008432 0.001130 0.001659 0.007706 -0.006958 0.011475 -0.008656

n-1 28.000000
Std. dev 0.009076

zero.

1st cal 08-06
n-1 8.000000
Std. dev 0.012625
calculated t-
2nd cal 06-05
67
n-1 7.000000
Std. dev 0.009545
calculated t-
3rd cal 05-04
n-1 7.000000
Std. dev 0.009545
calculated t-
4th cal 04-03
n-1 7.000000
Std. dev 0.009550
calculated t-
5th cal 03-02
n-1 7.000000
Std. dev 0.008747
calculated t-
6 th cal 02-01
n-1 7.000000
Std. dev 0.004610
calculated t-
(except in one case for year 01-02)Hence it shows that the value of alpha were
Graphs
68
Acc ltd
0.020000
0.015000
0.010000
0.005000
0.000000
Alpha
-0.005000 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 Series1
-0.010000
-0.015000
-0.020000
-0.025000
-0.030000
quarters
69
Conclusions
The present study attempts to examine the nature and tendency of financial measure
alpha that does it remains near to zero or in other words does the security has correct
price in the security market. It is also attempted to find out that market is informative or
not.
The results reveal that most of the time period securities were not fairly priced.
Sometimes the alpha value has approached to zero but that’s rare and hence either the
securities were under priced or overpriced.
The study was conducted on whole the period taken as a population and then it was
conducted by taking two years period at a time. In both the cases the result shows that
securities are not fairly priced.
As the whole period securities were not at the correct price, it shows that market was not
informative for investors and hence the value of alpha was significantly different from
zero.
Finally it can be concluded that there are other various forces which determines the price
of securities and hence only alpha value doesn’t plays significant role in determining the
stock price.
70
Bibliography
Books:
1. Investments: Bodie, Kane, Markus

2. Statistics: S. C. Gupta.
3. Security analysis and portfolio management: Prasanna Chandra.
4. Modern portfolio theory and investment analysisL: Elton & Gruber.
Software used:
1. Ms-excel.
2. Prowess
3. Capitaline
Websites:
1. www.Capitaline.com
2. www.nseindia.com
3. www.bseindia.com
4. www.finance.yahoo.com
71
Annexure
Sample of calculations:
Avg. Price Market Av price Av.market

Date Price BSE_SENSEX return(%) return (%) return return beta alpha
1st Qtr 2008
28/03/2008 818.46 16371.29
19/03/2008 768.57 14994.83 0.064913 0.091796
14/03/2008 792.93 15760.52 -0.030722 -0.048583
39632.000000 752.09 15975.52 0.054302 -0.013458
29/02/2008 813.16 17578.72 -0.075102 -0.091201
22/02/2008 773.12 17349.07 0.051790 0.013237
15/02/2008 741.59 18115.25 0.042517 -0.042295
39662.000000 770.70 17464.89 -0.037771 0.037238
39449.000000 785.13 18242.58 -0.018379 -0.042630
25/01/2008 748.03 18361.66 0.049597 -0.006485
18/01/2008 866.28 19013.70 -0.136503 -0.034293
39753.000000 958.65 20827.45 -0.096354 -0.087085
39539.000000 1014.33 20686.89 -0.054893 0.006795 -0.015550 -0.018080 0.482409 -0.006828
4th Qtr 2007
31/12/2007 1024.50 20286.99
28/12/2007 1004.26 20206.95 0.020154 0.003961
20/12/2007 1040.34 19162.57 -0.034681 0.054501
14/12/2007 1075.10 20030.83 -0.032332 -0.043346
39275.000000 1083.66 19966.00 -0.007899 0.003247
30/11/2007 1095.03 19363.19 -0.010383 0.031132
23/11/2007 1092.82 18852.87 0.002022 0.027069
16/11/2007 1035.64 19698.36 0.055212 -0.042922
39336.000000 1030.76 18907.60 0.004734 0.041822
39124.000000 1062.40 19976.23 -0.029782 -0.053495
26/10/2007 1060.42 19243.17 0.001867 0.038095
19/10/2007 1156.46 17559.98 -0.083047 0.095854
39426.000000 1204.15 18419.04 -0.039605 -0.046640
39212.000000 1207.31 17773.36 -0.002617 0.036329 -0.012027 0.011200 0.482409 -0.017431
3rd Qtr 2007
28/09/2007 1165.71 17291.10
21/09/2007 1131.29 16564.23 0.030425 0.043882
14/09/2007 1106.96 15603.80 0.021979 0.061551
39272.000000 1088.00 15590.42 0.017426 0.000858
31/08/2007 1046.33 15318.60 0.039825 0.017744
24/08/2007 967.17 14424.87 0.081847 0.061958
17/08/2007 983.48 14141.52 -0.016584 0.020037
39363.000000 998.33 14868.25 -0.014875 -0.048878
39149.000000 1006.96 15138.40 -0.008570 -0.017845
27/07/2007 1069.93 15234.57 -0.058854 -0.006313
20/07/2007 1123.91 15565.55 -0.048029 -0.021264
72
13/07/2007 1064.13 15272.72 0.056177 0.019173

39240.000000 991.90 14964.12 0.072820 0.020623 0.014466 0.012627 0.482409 0.008374
2nd Qtr 2007
29/06/2007 872.95 14650.51
22/06/2007 844.38 14467.36 0.033835 0.012660
15/06/2007 802.94 14162.71 0.051610 0.021511
39300.000000 814.01 14063.81 -0.013599 0.007032
39088.000000 861.98 14570.75 -0.055651 -0.034792
25/05/2007 873.02 14338.45 -0.012646 0.016201
18/05/2007 875.87 14303.41 -0.003254 0.002450
39391.000000 869.85 13796.16 0.006921 0.036767
39177.000000 850.05 13934.27 0.023293 -0.009912
27/04/2007 819.72 13908.58 0.037000 0.001847
20/04/2007 797.81 13897.41 0.027463 0.000804
13/04/2007 738.84 13384.08 0.079814 0.038354
39206.000000 711.45 12856.08 0.038499 0.041070 0.017774 0.011166 0.482409 0.012387
1st Qtr 2007
30/03/2007 734.76 13072.10
23/03/2007 747.76 13285.93 -0.017385 -0.016094
16/03/2007 739.71 12430.40 0.010883 0.068826
39328.000000 819.15 12884.99 -0.096979 -0.035281
39116.000000 907.82 12886.13 -0.097674 -0.000088
23/02/2007 983.54 13632.53 -0.076987 -0.054751
15/02/2007 1018.61 14355.55 -0.034429 -0.050365
39327.000000 1049.96 14538.90 -0.029858 -0.012611
39115.000000 1035.04 14403.77 0.014415 0.009382
25/01/2007 1055.01 14282.72 -0.018929 0.008475
19/01/2007 1096.23 14182.71 -0.037602 0.007052
39417.000000 1038.13 14056.53 0.055966 0.008977
39203.000000 1073.54 13860.52 -0.032984 0.014142 -0.030130 -0.004362 0.482409 -0.028026
4th Qtr 2006
29/12/2006 1073.90 13786.91
22/12/2006 1034.75 13471.74 0.037835 0.023395
15/12/2006 1021.29 13614.52 0.013179 -0.010487
38941.000000 1144.19 13799.49 -0.107412 -0.013404
38729.000000 1123.83 13844.78 0.018117 -0.003271
24/11/2006 1068.34 13703.33 0.051940 0.010322
17/11/2006 1046.15 13429.48 0.021211 0.020392
39001.000000 1007.14 13282.91 0.038733 0.011034
38787.000000 982.97 13130.79 0.024589 0.011585
27/10/2006 978.15 12906.81 0.004928 0.017354
21/10/2006 987.26 12736.82 -0.009228 0.013346
13/10/2006 986.76 12736.42 0.000507 0.000031
38878.000000 984.71 12372.81 0.002082 0.029388 0.008040 0.009140 0.864195 0.000141
3rd Qtr 2006
29/09/2006 978.48 12454.42
22/09/2006 958.45 12236.78 0.020898 0.017786
15/09/2006 932.79 12009.59 0.027509 0.018917
73
38938.000000 939.19 11918.65 -0.006814 0.007630

38726.000000 914.56 11778.02 0.026931 0.011940
25/08/2006 906.97 11572.20 0.008369 0.017786
18/08/2006 891.29 11465.72 0.017592 0.009287
39029.000000 867.92 11192.46 0.026926 0.024415
38815.000000 857.83 10866.51 0.011762 0.029996
28/07/2006 823.33 10680.23 0.041903 0.017442
21/07/2006 803.74 10085.91 0.024374 0.058926
14/07/2006 827.34 10678.22 -0.028525 -0.055469
38905.000000 797.82 10509.53 0.037001 0.016051 0.017327 0.014559 0.864195 0.004745
2nd Qtr 2006
30/06/2006 758.52 10609.25
23/06/2006 771.88 10401.30 -0.017308 0.019993
16/06/2006 717.11 9884.51 0.076376 0.052283
38966.000000 726.68 9810.46 -0.013169 0.007548
38754.000000 773.75 10451.33 -0.060834 -0.061319
26/05/2006 768.65 10809.35 0.006635 -0.033121
19/05/2006 845.26 10938.61 -0.090635 -0.011817
39056.000000 970.32 12285.11 -0.128885 -0.109604
38842.000000 984.23 12359.70 -0.014133 -0.006035
29/04/2006 957.83 12042.56 0.027562 0.026335
21/04/2006 953.11 12030.30 0.004952 0.001019
13/04/2006 909.03 11237.23 0.048491 0.070575
38902.000000 829.09 11589.44 0.096419 -0.030391 -0.005377 -0.006211 0.864195 -0.000010
1st Qtr 2006
31/03/2006 781.73 11279.96
24/03/2006 757.81 10950.30 0.031565 0.030105
17/03/2006 760.01 10860.04 -0.002895 0.008311
38993.000000 727.13 10765.16 0.045219 0.008814
38779.000000 652.67 10595.43 0.114085 0.016019
24/02/2006 591.51 10200.76 0.103396 0.038690
17/02/2006 582.22 9981.11 0.015956 0.022007
38992.000000 593.24 10110.97 -0.018576 -0.012843
38778.000000 579.38 9742.58 0.023922 0.037812
27/01/2006 553.01 9870.79 0.047684 -0.012989
20/01/2006 545.69 9520.96 0.013414 0.036743
13/01/2006 540.36 9374.19 0.009864 0.015657
38869.000000 548.54 9640.29 -0.014912 -0.027603 0.030727 0.013394 0.864195 0.019152
4th Qtr 2005
30/12/2005 529.72 9397.93
23/12/2005 549.81 9256.91 -0.036540 0.015234
16/12/2005 541.69 9284.46 0.014990 -0.002967
38607.000000 526.78 9067.28 0.028304 0.023952
38395.000000 524.85 8961.61 0.003677 0.011791
26/11/2005 505.81 8889.03 0.037643 0.008165
18/11/2005 486.34 8686.65 0.040034 0.023298
38667.000000 477.10 8471.04 0.019367 0.025453
38394.000000 453.92 8072.75 0.051066 0.049338
74
28/10/2005 444.64 7685.64 0.020871 0.050368

21/10/2005 447.14 8068.95 -0.005591 -0.047504
14/10/2005 462.39 8201.73 -0.032981 -0.016189
38543.000000 488.47 8491.56 -0.053391 -0.034132 0.007287 0.008901 0.386761 0.003845
3rd Qtr 2005
30/09/2005 481.16 8634.48
23/09/2005 468.26 8222.59 0.027549 0.050092
16/09/2005 475.16 8380.96 -0.014521 -0.018896
38604.000000 480.99 8060.01 -0.012121 0.039820
38392.000000 476.94 7899.77 0.008492 0.020284
26/08/2005 463.83 7680.22 0.028265 0.028586
19/08/2005 464.29 7780.76 -0.000991 -0.012922
38694.000000 437.06 7767.49 0.062303 0.001708
38480.000000 438.99 7754.00 -0.004396 0.001740
29/07/2005 441.03 7635.42 -0.004626 0.015530
22/07/2005 437.45 7423.25 0.008184 0.028582
15/07/2005 421.54 7271.54 0.037743 0.020864
38571.000000 390.01 7212.08 0.080844 0.008245
38359.000000 379.74 7210.77 0.027045 0.000182 0.018751 0.014140 0.386761 0.013283
2nd Qtr 2005
24/06/2005 382.54 7148.62
17/06/2005 380.54 6906.52 0.005256 0.035054
38631.000000 381.28 6781.99 -0.001941 0.018362
38448.000000 374.87 6753.00 0.017099 0.004293
27/05/2005 381.44 6707.72 -0.017224 0.006750
20/05/2005 382.89 6499.50 -0.003787 0.032036
13/05/2005 386.28 6451.54 -0.008776 0.007434
38508.000000 370.74 6388.48 0.041916 0.009871
29/04/2005 367.64 6154.44 0.008432 0.038028
22/04/2005 370.22 6346.57 -0.006969 -0.030273
15/04/2005 362.05 6248.34 0.022566 0.015721
38568.000000 362.55 6479.54 -0.001379 -0.035682
38356.000000 359.74 6605.04 0.007811 -0.019001 0.005250 0.006883 0.386761 0.002588
1st Qtr 2005
24/03/2005 358.51 6442.87
18/03/2005 361.53 6700.34 -0.008353 -0.038426
38659.000000 367.87 6853.73 -0.017234 -0.022381
38445.000000 368.51 6849.48 -0.001737 0.000620
25/02/2005 361.79 6569.72 0.018574 0.042583
18/02/2005 369.33 6584.32 -0.020415 -0.002217
38658.000000 373.47 6633.76 -0.011085 -0.007453
38444.000000 361.08 6618.23 0.034314 0.002347
28/01/2005 347.09 6419.09 0.040307 0.031023
20/01/2005 356.76 6183.24 -0.027105 0.038143
14/01/2005 341.65 6173.82 0.044227 0.001526
38534.000000 347.14 6420.46 -0.015815 -0.038415 0.003243 0.000668 0.386761 0.002985
4th Qtr 2004
31/12/2004 331.56 6602.69
75
24/12/2004 318.75 6498.06 0.040188 0.016102

17/12/2004 316.10 6346.48 0.008383 0.023884
38272.000000 307.85 6233.54 0.026799 0.018118
38058.000000 289.74 6322.76 0.062504 -0.014111
25/11/2004 283.94 6035.03 0.020427 0.047677
19/11/2004 269.10 5961.71 0.055147 0.012298
38332.000000 264.09 5964.01 0.018971 -0.000386
38118.000000 262.04 5891.36 0.007823 0.012332
29/10/2004 256.48 5672.27 0.021678 0.038625
21/10/2004 264.56 5641.06 -0.030541 0.005533
15/10/2004 268.93 5686.73 -0.016250 -0.008031
38240.000000 274.77 5757.93 -0.021254 -0.012366
37996.000000 268.24 5675.54 0.024344 0.014517 0.016786 0.011861 0.630069 0.009313
3rd Qtr 2004
24/09/2004 273.28 5527.75
17/09/2004 273.84 5561.15 -0.002045 -0.006006
38269.000000 270.12 5370.05 0.013772 0.035586
38055.000000 269.00 5218.46 0.004164 0.029049
27/08/2004 261.88 5117.01 0.027188 0.019826
20/08/2004 263.17 5064.66 -0.004902 0.010336
13/08/2004 258.93 5102.92 0.016375 -0.007498
38146.000000 251.03 5196.99 0.031470 -0.018101
30/07/2004 236.46 5170.32 0.061617 0.005158
23/07/2004 232.35 5073.34 0.017689 0.019116
16/07/2004 232.92 4951.17 -0.002447 0.024675
38237.000000 240.40 4945.48 -0.031115 0.001151
38024.000000 241.65 4870.58 -0.005173 0.015378 0.010549 0.010723 0.630069 0.003793
2nd Qtr 2004
25/06/2004 232.54 4756.39
18/06/2004 233.28 4769.99 -0.003172 -0.002851
38297.000000 245.91 4832.71 -0.051360 -0.012978
38083.000000 243.22 4889.00 0.011060 -0.011514
28/05/2004 257.60 4835.39 -0.055823 0.011087
21/05/2004 253.75 4961.57 0.015172 -0.025431
14/05/2004 273.46 5069.87 -0.072076 -0.021361
38173.000000 284.19 5669.58 -0.037756 -0.105777
30/04/2004 272.88 5655.09 0.041447 0.002562
23/04/2004 276.88 5925.58 -0.014447 -0.045648
17/04/2004 272.11 5861.63 0.017530 0.010910
38203.000000 261.13 5838.45 0.042048 0.003970
38021.000000 257.16 5788.08 0.015438 0.008702 -0.007662 -0.015694 0.630069 0.002227
1st Qtr 2004
26/03/2004 244.84 5528.94
19/03/2004 246.74 5443.44 -0.007700 0.015707
38324.000000 266.22 5700.40 -0.073173 -0.045078
38110.000000 267.79 5880.35 -0.005863 -0.030602
27/02/2004 253.17 5667.51 0.057748 0.037554
20/02/2004 267.96 5850.72 -0.055195 -0.031314
76
13/02/2004 269.85 6011.66 -0.007004 -0.026771

38140.000000 252.70 5786.35 0.067867 0.038938
30/01/2004 258.85 5695.67 -0.023759 0.015921
23/01/2004 243.95 5816.64 0.061078 -0.020797
16/01/2004 260.57 5946.19 -0.063783 -0.021787
38231.000000 269.36 6119.59 -0.032633 -0.028335
38018.000000 262.33 6026.59 0.026798 0.015432 -0.004635 -0.006761 0.630069 -0.000375
4th Qtr 2003
31/12/2003 246.12 5838.96
26/12/2003 236.26 5699.24 0.041734 0.024516
19/12/2003 227.54 5541.35 0.038323 0.028493
37967.000000 222.74 5315.81 0.021550 0.042428
37753.000000 231.33 5131.72 -0.037133 0.035873
28/11/2003 221.30 5044.82 0.045323 0.017226
21/11/2003 222.94 4838.54 -0.007356 0.042633
15/11/2003 231.18 4911.76 -0.035643 -0.014907
37813.000000 231.78 4971.57 -0.002589 -0.012030
31/10/2003 205.95 4906.87 0.125419 0.013186
25/10/2003 201.61 4802.28 0.021527 0.021779
17/10/2003 208.92 4930.53 -0.034989 -0.026011
37904.000000 208.90 4768.90 0.000096 0.033893
37690.000000 203.01 4552.92 0.029013 0.047438 0.015790 0.019578 0.728067 0.001536
3rd Qtr 2003
26/09/2003 193.63 4382.57
19/09/2003 190.33 4217.12 0.017338 0.039233
37964.000000 213.84 4305.91 -0.109942 -0.020620
37750.000000 215.92 4369.17 -0.009633 -0.014479
29/08/2003 210.26 4244.73 0.026919 0.029316
22/08/2003 215.81 4125.12 -0.025717 0.028996
14/08/2003 205.94 3921.20 0.047927 0.052004
37841.000000 200.84 3883.76 0.025393 0.009640
37629.000000 192.41 3815.31 0.043813 0.017941
25/07/2003 171.37 3726.46 0.122775 0.023843
18/07/2003 177.95 3647.58 -0.036977 0.021625
37932.000000 170.66 3676.26 0.042717 -0.007801
37718.000000 166.50 3622.34 0.024985 0.014885 0.014133 0.016215 0.728067 0.002327
2nd Qtr 2003
27/06/2003 163.33 3583.06
20/06/2003 155.86 3499.50 0.047928 0.023878
13/06/2003 148.34 3354.14 0.050694 0.043337
37778.000000 147.99 3303.24 0.002365 0.015409
30/05/2003 142.71 3180.75 0.036998 0.038510
23/05/2003 134.52 3049.84 0.060883 0.042924
16/05/2003 131.99 3056.58 0.019168 -0.002205
37869.000000 131.57 2950.00 0.003192 0.036129
37657.000000 129.81 2966.63 0.013558 -0.005606
25/04/2003 132.37 2924.03 -0.019340 0.014569
17/04/2003 136.37 2984.50 -0.029332 -0.020261
77
37929.000000 142.32 2997.87 -0.041807 -0.004460

37715.000000 139.75 3167.70 0.018390 -0.053613 0.013558 0.010718 0.728067 0.005755
1st Qtr 2003
28/03/2003 137.01 3115.44
22/03/2003 137.04 3218.73 -0.000219 -0.032090
13/03/2003 141.16 3108.24 -0.029187 0.035547
37805.000000 148.70 3153.06 -0.050706 -0.014215
28/02/2003 153.09 3283.66 -0.028676 -0.039773
21/02/2003 154.13 3307.20 -0.006748 -0.007118
14/02/2003 147.95 3223.41 0.041771 0.025994
37804.000000 146.13 3279.77 0.012455 -0.017184
31/01/2003 144.02 3250.38 0.014651 0.009042
24/01/2003 150.01 3287.86 -0.039931 -0.011400
17/01/2003 156.56 3370.39 -0.041837 -0.024487
37895.000000 156.66 3358.99 -0.000638 0.003394
37681.000000 162.67 3357.54 -0.036946 0.000432 -0.013834 -0.005988 0.728067 -0.009475
4th Qtr 2002
31/12/2002 165.00 3377.28
27/12/2002 159.24 3398.00 0.036172 -0.006098
20/12/2002 157.09 3337.22 0.013686 0.018213
13/12/2002 158.20 3342.97 -0.007016 -0.001720
37419.000000 160.63 3306.29 -0.015128 0.011094
29/11/2002 158.32 3228.82 0.014591 0.023993
22/11/2002 152.88 3141.61 0.035583 0.027760
15/11/2002 146.42 3033.91 0.044120 0.035499
37479.000000 141.93 2956.84 0.031635 0.026065
37267.000000 133.41 2950.58 0.063863 0.002122
25/10/2002 138.92 2875.53 -0.039663 0.026100
18/10/2002 143.99 3009.76 -0.035211 -0.044598
37570.000000 141.08 2995.77 0.020627 0.004670
37356.000000 138.05 2930.51 0.021949 0.022269 0.014247 0.011182 0.605392 0.007477
3rd Qtr 2002
27/09/2002 137.54 3037.26
20/09/2002 140.66 3024.35 -0.022181 0.004269
13/09/2002 142.95 3098.94 -0.016020 -0.024070
37416.000000 139.15 3141.11 0.027309 -0.013425
30/08/2002 138.16 3181.23 0.007166 -0.012611
23/08/2002 138.48 3119.18 -0.002311 0.019893
16/08/2002 136.48 3065.90 0.014654 0.017378
37507.000000 136.89 2976.34 -0.002995 0.030091
37295.000000 133.80 2985.01 0.023094 -0.002905
26/07/2002 139.02 3024.35 -0.037549 -0.013008
19/07/2002 151.20 3230.27 -0.080556 -0.063747
37597.000000 160.15 3305.83 -0.055885 -0.022857
37383.000000 159.48 3330.61 0.004201 -0.007440 -0.011756 -0.007369 0.605392 -0.007295
2nd Qtr 2002
28/06/2002 155.50 3244.70
21/06/2002 155.05 324ss2.75 0.002902 0.000601
78
14/06/2002 155.16 3312.07 -0.000709 -0.020930

37443.000000 154.41 3217.76 0.004857 0.029309
31/05/2002 152.79 3125.73 0.010603 0.029443
24/05/2002 153.57 3255.62 -0.005079 -0.039897
17/05/2002 162.91 3333.76 -0.057332 -0.023439
37534.000000 157.54 3431.32 0.034087 -0.028432
37320.000000 150.96 3380.61 0.043588 0.015000
26/04/2002 152.81 3371.70 -0.012107 0.002643
19/04/2002 150.97 3364.40 0.012188 0.002170
37594.000000 150.87 3510.90 0.000663 -0.041727
37380.000000 156.12 3500.57 -0.033628 0.002951 0.000003 -0.006026 0.605392 0.003651
1st Qtr 2002
28/03/2002 153.18 3469.35
22/03/2002 155.35 3516.11 -0.013968 -0.013299
15/03/2002 159.61 3617.68 -0.026690 -0.028076
37471.000000 164.36 3656.77 -0.028900 -0.010690
37259.000000 168.54 3678.75 -0.024801 -0.005975
22/02/2002 167.65 3604.08 0.005309 0.020718
15/02/2002 168.49 3602.02 -0.004985 0.000572
37470.000000 163.91 3493.92 0.027942 0.030939
37258.000000 160.36 3333.92 0.022138 0.047992
25/01/2002 169.98 3332.30 -0.056595 0.000486
18/01/2002 170.43 3377.05 -0.002640 -0.013251
37561.000000 165.91 3362.88 0.027244 0.004214
37347.000000 157.55 3375.74 0.053063 -0.003810 -0.001907 0.002485 0.605392 -0.003412
4th Qtr 2001
31/12/2001 151.80 3262.33
28/12/2001 144.28 3184.44 0.052121 0.024460
21/12/2001 151.83 3235.49 -0.049727 -0.015778
14/12/2001 164.15 3353.60 -0.075053 -0.035219
37084.000000 169.59 3436.37 -0.032077 -0.024086
29/11/2001 163.49 3287.56 0.037311 0.045265
23/11/2001 158.38 3252.20 0.032264 0.010873
15/11/2001 144.61 3180.23 0.095222 0.022630
37145.000000 144.44 3079.67 0.001177 0.032653
36933.000000 137.06 3052.60 0.053845 0.008868
25/10/2001 137.06 3022.16 0.000000 0.010072
19/10/2001 127.10 3016.84 0.078363 0.001763
37235.000000 121.07 2959.39 0.049806 0.019413
37021.000000 119.11 2812.90 0.016455 0.052078 0.019977 0.011769 0.575127 0.013209
3rd Qtr 2001
28/09/2001 111.36 2811.60
21/09/2001 102.96 2600.12 0.081585 0.081335
14/09/2001 121.21 2830.12 -0.150565 -0.081269
37081.000000 124.63 3198.40 -0.027441 -0.115145
31/08/2001 133.51 3244.95 -0.066512 -0.014345
24/08/2001 138.03 3305.51 -0.032747 -0.018321
17/08/2001 143.93 3296.71 -0.040992 0.002669
79
37172.000000 143.63 3316.21 0.002089 -0.005880

36958.000000 140.65 3325.38 0.021187 -0.002758
27/07/2001 138.66 3251.53 0.014352 0.022712
20/07/2001 142.52 3340.75 -0.027084 -0.026707
13/07/2001 139.30 3453.99 0.023116 -0.032785
37049.000000 137.68 3305.78 0.011766 0.044834 -0.015937 -0.012138 0.575127 -0.008956
2nd Qtr 2001
29/06/2001 134.28 3456.78
22/06/2001 132.95 3381.76 0.010004 0.022184
15/06/2001 137.70 3372.94 -0.034495 0.002615
37109.000000 138.29 3495.84 -0.004266 -0.035156
36897.000000 141.03 3557.64 -0.019428 -0.017371
25/05/2001 138.88 3659.81 0.015481 -0.027917
18/05/2001 135.30 3655.03 0.026460 0.001308
37200.000000 139.06 3559.77 -0.027039 0.026760
36986.000000 144.95 3514.59 -0.040635 0.012855
27/04/2001 150.34 3422.76 -0.035852 0.026829
20/04/2001 144.19 3583.04 0.042652 -0.044733
37229.000000 130.99 3183.77 0.100771 0.125408
37046.000000 123.64 3576.00 0.059447 -0.109684 0.007758 -0.001409 0.575127 0.008568
1st Qtr 2001
30/03/2001 138.80 3604.38
23/03/2001 157.55 3635.28 -0.119010 -0.008500
16/03/2001 158.76 3745.74 -0.007622 -0.029490
37137.000000 177.68 3881.96 -0.106484 -0.035091
36925.000000 184.72 4095.16 -0.038112 -0.052061
23/02/2001 186.52 4122.16 -0.009650 -0.006550
16/02/2001 188.23 4330.32 -0.009085 -0.048070
37136.000000 189.92 4397.33 -0.008898 -0.015239
36924.000000 179.76 4352.26 0.056520 0.010356
25/01/2001 167.83 4330.22 0.071084 0.005090
19/01/2001 155.66 4194.46 0.078183 0.032367
37226.000000 157.17 4036.58 -0.009607 0.039112
37012.000000 163.80 4183.73 -0.040476 -0.035172 -0.011930 -0.011937 0.575127 -0.005064
XXXX

A Dissertation Report On: Efficient Market Hypothesis With Alpha Value'

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1

‘Efficient market hypothesis with alpha value’

Under the guidance and supervision of

Dr. Nagesh S. Malavalli

M. P. Birla Institute of Management

I would like to express my sincere gratitude to my research guide Dr. Nagesh S.

SL.No. CONTENTS Page No.

9 List of companies 15-16

10 A brief Process Summary 17

11 Data Interpretation 18-65

Efficient market hypothesis

Capital asset pricing model:

The question of my research is-

relationship is examined by expressing variables in measurable terms and

3. Sample size: sampling frame would be 30 stocks of Indian companies chosen

5. source of the data: the data source was www.capitaline.com .

List of the companies taken for study

5. Tata steel Ltd.

Mid cap. Companies:

Small cap companies:

6. Prism cements Ltd.

A brief process summary

1. Stock – Acc ltd.

Table-1(quarterly alpha values)

Year 2008 2007 2006 2005 2004 2003 2002 2001

Qtr. 4 -0.006828 -0.017431 0.000141 0.003845 0.009313 0.001536 0.007477 0.013209

Qtr. 3 0.008374 0.004745 0.013283 0.003793 0.002327 -0.007295 -0.008956

Qtr. 2 0.012387 -0.000010 0.002588 0.002227 0.005755 0.003651 0.008568

Qtr. 1 -0.028026 0.019152 0.002985 -0.000375 -0.009475 -0.003412 -0.005064

Sample mean 0.007318

Tabulated value of t for 28 degree of freedom at 5% level of significance is 2.048.

t-test by taking 2 years value at a time:

4. Ambuja cements Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001

Qtr. 4 -0.006209 -0.004192 0.007481 -0.002229 0.005963 0.013732 -0.011191 0.014133

Qtr. 3 0.007038 0.000625 0.009420 0.009972 -0.000779 -0.010291 -0.013281

Qtr. 2 0.007222 -0.002899 0.008894 0.000549 0.009749 -0.010291 0.016044

Qtr. 1 -0.023132 0.004397 -0.001879 -0.000931 -0.000268 0.000949 0.002508

t-test for whole the values at a time:

Sample mean 0.007112

Tabulated value of t for 28 degree of freedom at 5% level of significance is 2.048.

t-test by taking 2 years value at a time:

1st cal 08-06

5. HDFC bank Ltd.

year 2008 2007 2006 2005 2004 2003 2002 2001

Qtr. 4 -0.001191 0.008380 0.006251 -0.001611 0.014375 0.014694 0.002456 0.000307

Qtr. 3 0.008105 0.002129 0.003744 0.004105 -0.005995 0.000957 0.005626

Qtr.2 0.007552 -0.001749 0.004473 0.005821 -0.000677 -0.007149 -0.003834

Qtr.1 -0.004959 -0.006319 0.007096 0.001176 0.008832 0.003809 0.004810

t-test for whole the values at a time:

Tabulated value of t for 28 degree of freedom at 5% level of significance is 2.048.

t-test by taking 2 years value at a time:

Std. dev 0.002216

6. Hindalco Industries Ltd.

Quarterly alpha values:

year 2008 2007 2006 2005 2004 2003 2002 2001

Qtr. 4 -0.008817 0.011937 -0.008167 -0.005303 -0.007111 0.026108 0.004700 0.014867

Qtr. 2 0.016778 -0.000030 -0.011468 -0.006047 0.022434 -0.000534 0.004315

Qtr.1 -0.020679 0.002189 -0.002658 -0.003888 -0.003466 0.012186 0.005152

t-test for whole the values at a time:

Tabulated value of t for 28 degree of freedom at 5% level of significance is 2.048.

t-test by taking 2 years value at a time: