Stability of Beta over Market Phases

International Elaboration Journal of Finance and Economics ISSN 1450-2887 Issue 50 (2010) © EuroJournals Publishing, Inc. 2010 http://www. eurojournals. com/finance. htm Inheritance of Beta balance Communicate Phases: An Experimental Criticize on Indian Supply Communicate Koustubh Kanti Ray Assistant Professor, Financial Treatment at Indian Institute of Forepose Treatment (IIFM), Bhopal, India. E-mail: [email protected] ac. in Abstract The momentous role played by beta in sundry exposures of financial sentence making has callous populace from weak investors to cannonade bankers to rethink on beta in the era of globalization. In the offer changing communicate state, it is irresistible to apprehend the inheritance of beta which augments an causative cannonade sentences delay concomitant knowledge on beta. This criticize criticized the inheritance of beta for India communicate for a ten year end from 1999 to 2009. The monthly reposeore postulates of 30 clarified supplys are considered for examining the inheritance of beta in irreferring-to communicate miens. This inheritance of beta is trialed using three econometric standards i. e. using spell as a unsteady, using dummy unsteadys and the Chow trial. The fruits procureed from the three standards are modified and illogical. However there are 9 supplys where all the three standards reputed correspondent tokenificant of beta ininheritance balance the communicate miens. Keywords: Inheritance of Beta, Mien intelligent beta, Indian Communicate Beta, Dummy Variable, Chow Trial 1. Introduction The Telling Asset Pricing Standard (CAPM) plain by Sharpe (1964), Lintner (1965) and Mossin (1966) has been the dominating tokenificant communicate makeweight standard gone its prelude. It continues to be injudiciously used in useful portfolio writement and in academic elaboration. Its innate coil is that the oblation of an asset to the discord of the communicate portfolio - he asset’s regular waste, or beta waste - is the personal gauge of the asset’s waste and the merely regular determinant of the asset’s reposeore. Waste is the assessable misgiving (Knight, 1921) in predicting the advenient flattents that are improbable by superficial and inside resultors. Sharpe (1963) had classified wastes as regular waste and unregular waste. The elements of regular waste are superficial to the determined. The superficial resultors are shifts in economic environment, profit reprove shifts, inflation, etc. On the other performanceman, inside resultors are the sources of unregular waste. Unregular wastes are categorized as affair waste or financial waste peculiar to the determined. The regular waste connected delay the unconcealed communicate motion cannot be unimpairedly eradicated through permutation. The unregular waste, which is immure to a determined, can be eliminated or lowly to a tokenificant quantity by choosing an delayhold portfolio of securities. Some of the sources of unregular waste are consumer preferences, performanceer strikes and writement competitiveness. These resultors are recalcitrant of the resultors movablesing supply communicate. Hence, regular waste promiseinate wave all the securities in the communicate, since unregular waste is guard peculiar. International Elaboration Journal of Finance and Economics - Issue 50 (2010) 175 Theoretically defined, beta is the regular alliance among the reposeore on the portfolio and the reposeore on the communicate (Rosenberg and Marathe, 1979). It refers to the tower in a straight alliance alert to postulates on the reprove of reposeore on an cannonade and the reprove of reposeore of the communicate (or communicate renunciation). Beta is a technique of movablesive how capricious a supply is collated delay the repose of the communicate. When the reposeore on the portfolio is prefer than the reposeore on the communicate, beta is superior than one and those portfolios are referred to as fetid portfolios. That instrument, in a booming communicate state, fetid portfolio promiseinate promiseinate abundant amend than the communicate accomplishment. Occasion in a sufferish communicate environment the lapse of fetid portfolios promiseinate as-courteous be abundant extended. On the other performanceman, when the reposeore on portfolio is near than the communicate reposeore, beta gauge is near than one and those portfolios are writeed as pleasant. In result of pleasant portfolios, when the communicate is prominence, the accomplishments associated delay it promiseinate be near than the communicate portfolio. However, when the communicate desires down, the lapse in the pleasant portfolios would as-courteous be near than the communicate portfolio. In those situations where, the reposeore of the portfolio affectedly matches the reposeore of the communicate, beta is homogeneous to one that casually occurs in authentic estate situations. Beta genius is accessible to abundant financial sentences such as those relating to supply choice, tokenificant budgeting, and accomplishment evaluation. It is momentous for twain practitioners and academics. Practitioners use beta in financial sentence making to honor consume of tokenificant. Beta is as-courteous a key unsteady in the academic elaboration; for copy it is used for trialing asset pricing standards and communicate competency. Given the institution of this unsteady a connected interrogation for twain practitioners and academics is how to procure an causative genius. This criticize is aimed at trialing the beta inheritance for India. Prefer the inheritance of beta is of sublime institution as it is a tokenificant cat's-paw for air-tight all cannonade sentences and plays a momentous role in the later portfolio plea. The genius of beta for indivisible securities using a undesigning communicate standard has been widely evaluated as courteous as criticized in the finance learning. One tokenificant exposure of this undesigning communicate standard is the boldness of interrelation that propounds the honord beta is cogent for all the communicate states. Abundant studies interrogationed this boldness and criticized the alliance among beta and communicate reposeore in irreferring-to communicate states, but the fruits are modified and illogical. In this brochure, an try is made to canvass the inheritance of beta in the Indian supply communicate during the developed 10 years i. . from August 1999 to August, 2009. Delay this extrinsic, the brochure is disjoined into five minoritys including the offer minority. Minority 2 reviews the tangible learning and discusses the judgments of elder experimental elaborationes conducted in India and other countries. Minority 3 describes the postulates sources and arrangementology. Minority 4 outlines the fruits of trials for investigating the inheritance of beta and its judgments. Minority 5 is dedicated to digest, disposal and end for prefer elaboration in the area. 2. Learning review Several studies are carried out to criticize the truth and the proceeding of beta. Baesel (1974) learned the collision of the diffusiveness of the genius continuance on beta inheritance. Using monthly postulates, betas were honord using genius continuances of one year, two years, foul-mouthed years, six years and nine years. He decided that the inheritance of beta confirmions momentously as the diffusiveness of the genius continuance confirmions. Levy (1971) and Levitz (1974) confirm professionn that portfolio betas are very solid since indivisible guard betas are yieldingly transient. Likeintelligent Blume (1971) used monthly appraisements postulates and successive seven-year ends and professionn that the portfolio betas are very solid where as indivisible guard betas are yieldingly unsolid in truth. He professions that, the inheritance of indivisible beta confirmions delay confirmion in the spell of genius end. Correspondent fruits were as-courteous procureed by Altman et al (1974). In twain the results, modeblame and latter genius ends are of the selfsame diffusiveness. Allen et al. (1994) confirm considered the material of referring-toly inheritance of beta coefficients for indivisible securities and portfolios. The ordinary belowstanding is that the portfolio betas are prefer solid than those for indivisible securities. They conconduce that if the portfolio betas are prefer solid than those for indivisible securities, the 176 International Elaboration Journal of Finance and Economics - Issue 50 (2010) larger trust can be placed in portfolio beta honors balance longer ends of spell. But, their criticize decides that larger trust in portfolio betas is not justified. Alexander and Chervany (1980) profession experimentally that utmost betas are near solid collated to inland beta. They proved it by using balance absolute sinuosity as a gauge of inheritance. According to them, best genius continuance is unconcealedly foul-mouthed to six years. They as-courteous professioned that irappertaining of the style portfolios are formed, magnitudes of inter-temporal shifts in beta curtails as the consider of securities in the portfolios ascend contradicting the performance of Porter and Ezzell (1975). Chawla (2001) canvassd the inheritance of beta using monthly postulates on reposeores for the end April 1996 to March 2000. The tforce of beta was trialed using two resource econometric arrangements, including spell unsteady in the rewrite and dummy unsteadys for the tower coefficient. Twain the arrangements repudiate the inheritance of beta in elderity of results. Abundant studies focused on the spell dissimilateing beta using stateal CAPM (Jagannathan and Wang (1996) Lewellen and Nagel (2003)). These studies decided that the fluctuations and flattents that wave the communicate faculty shift the leverage of the determined and the discord of the supply reposeore which at-ultimate promiseinate shift the beta. Haddad (2007) criticize the range of reposeore disproportion retention and spell-varying truth of regular waste of two Egyptian supply portfolios. He used the Schwert and Sequin (1990) communicate standard to criticize the alliance among communicate tokenificantization and spell dissimilateing beta for a exemplification of invesolid Egyptian portfolios during the end January, 2001 to June, 2004. According to Haddad, the weak supplys portfolio demonstrates dissimilarity in disproportion retention and spell variability. The criticize as-courteous hints that the disproportion retention of each portfolio and its regular waste are momentously positively connected. Because of that, the regular wastes of irreferring-to portfolios conduce to desire in a irreferring-to address during the ends of increasing communicate disproportion. The inheritance of beta is as-courteous criticized delay regard to guard communicate states. For copy, Fabozzi and Francis (1977) in their seminal brochure considered the irrelativeial movables of bull and suffer communicate states for 700 indivisible securities listed in NYSE. Using a Dual Beta Communicate Standard (DBM), they inherent that honord betas of most of the securities are solid in twain the communicate states. They habitd it delay three irreferring-to set of bull and suffer communicate definitions and decided delay the selfsame fruits for all these definitions. Fama and French (1992, 1996), Jegadeesh (1992) and others inspired that betas are not statistically connected to reposeores. McNulty et al (2002) highlight the problems delay unvarnished beta when computing the consume of tokenificant, and hint as an resource- the impertinent-looking communicate-extraneous tokenificant pricing standard (MCPM), which uses non-interference postulates to evaluate equity waste. In the correspondent verse, French et al. (1983) connect impertinent-looking disproportion delay istorical mutuality to mend the gaugement of betas. Siegel (1995) notes the mendment of a beta installed on impertinent-looking non-interference postulates, and proceeds to propound the fabrication of a new derivative, named an exshift non-interference, which would afford for the computation of what he refers to as “implicit” betas. Unfortunately the exshift non-interferences discussed by Siegel (1995) are not yet traded, and conformably his arrangement cannot be applied in habit to scold impertinent-looking betas. A few studies are carried out to criticize the deduce for ininheritance of beta. For copy, Scott & Brown (1980) profession that when reposeores of the communicate are materialed to gaugement fallacys, the confloating autocorconnected residuals and inter-temporal mutuality among communicate reposeores and residual fruits in biased and unsolid honors of betas. This is so flatten when gentleman blames of betas are solid balance spell. They as-courteous extraneous an look for the ininheritance in the honord beta among two ends. Chen (1981) canvasss the junction among variforce of beta cocausative and portfolio residual waste. If beta cocausative shifts balance spell, OLS arrangement is not correspondent to honor portfolio residual waste. It promiseinate administer to inaccureprove disposal that larger portfolio residual waste is associated delay excellent variforce in beta. A Bayesian adit is propoundd to honor the spell dissimilateing beta so as to furnish a affected honor of portfolio residual waste. Bildersee and Roberts (1981) profession that during the ends profit reproves hesitate, betas would hesitate regularally. The shift would be in air delay their blame referring-to to the communicate and the specimen of shifts in profit reprove. International Elaboration Journal of Finance and Economics - Issue 50 (2010) 177 Few elaboration studies are profitable in the Indian tenor to criticize the resultors influencing regular waste. For copy, Vipul (1999) criticizes the movables of congregation extent, toil order and liquidity of the scrip on beta. He considered equity shares of 114 companies listed at Bombay Supply Exshift from July 1986 to June 1993 for his criticize. He plant that extent of the congregation desires the blame of betas and the beta of balance extentd companies is the ultimate which confirmions delay confirmion or curtail in the extent of the congregation. The criticize as-courteous decided that toil order and liquidity of the scrip do not desire beta. In another criticize, Gupta & Sehgal (1999) criticize the alliance among regular waste and sumitying unsteadys for the end April 1984 to March 1993. There is a confirmance of alliance in the expected address among regular waste and unsteadys such as debt-equity relative, floating relative and net sales. The fraternity among regular waste and unsteadys approve profitability, payout relative, earning augmentation and hues disproportion gauges is not in correspondence delay expected token. The alliance was canvassd using mutuality anatomy in the criticize. 3. Postulates Type and Elaboration Methodology The postulates connected to the criticize is captured for 30 supplys from BSE-100 renunciation. The top 30 supplys are detachedd on the premise of their communicate tokenificantization in BSE-100 renunciation. These 30 supplys are clarified from BSE100 supplys in such a way that the true appraisement postulates is profitable for the criticize end. The adjusted failure appraisements of these 30 supplys were placid for the developed 10 years end i. e. from August 1999 to August 2009. The supply and communicate (BSE-100) postulates has been placid from intrepidity (CMIE) for the aggravatehead end. BSE-100 renunciation is a broad-installed renunciation and supervenes globally confirmed free-float arrangementology. Scrip choice in the renunciation is unconcealedly captured into sumity a balanced sectoral justice of the listed companies in the globe of Bombay Supply Exshift (BSE). As per the supply communicate guideline, the supplys inducted in the renunciation are on the premise of their ultimate adjusting. Where the ultimate adjust is arrived at by assigning 75 percent weightage to the adjust on the premise of three-month middle unmeasured communicate tokenificantization and 25 percent weightage to the liquidity adjust installed on three-month middle daily turnbalance & three-month middle collision consume. The middle failure appraisement for each month of 30 socks is scoldd for the end August 1999 to August 2009. Conformably we confirm 120 middle monthly appraisements for each of the 30 supplys interjacent in the elaboration. The subjoined arrangement has been used to scold the monthly reposeore on each of the supply. P i,t – P i,t-1 ri,t = –––––––––– P i, t-1 Where: P i,t = Middle appraisement of supply “i” in the month t Pi,t-1 = Middle appraisement of supply “i” in the month t-1 r i,t= Restore of ith supply in the month t. The monthly communicate reposeore is scoldd in the subjoined way: Bt – Bt-1 mt = –––––––––– B t-1 Where: Bt = BSE-100 Renunciation at spell end t Bt-1 = BSE-100 Renunciation at spell end t-1 mt = Communicate reposeore at spell end t. After the monthly supply and communicate reposeores are adapted as per the aggravatehead formula, we signed the irreferring-to communicate miens to scold beta separately. The communicate miens are signed, by creating a cumulative plenty renunciation from the communicate reposeores. The cumulative plenty renunciation postulates is offered in annexure-1. As per the cumulative plenty renunciation, we signed five irreferring-to communicate 178 International Elaboration Journal of Finance and Economics - Issue 50 (2010) hases in BSE-100 renunciation. We systematic that there are three bullish miens (Jan-1999 to Feb-2000, Oct-2001 to Dec-2007 and Dec-2008 to August 2009) and two sufferish miens (Mar-2000 to Sept2001, Jan-2008 to Nov-2008). The digest of irreferring-to communicate miens is depicted in Table -1& delineation-1 beneath. Table-1: Irreferring-to Communicate Phases Communicate Phases Mien I Mien II Mien III Mien IV Mien V Communicate Mien Timing Start End Jan-1999 Feb-2000 Mar-2000 Sep-2001 Oct-2001 Dec-07 Jan-2008 Nov-08 Dec-2008 Aug-09 Communicate Type Bullish Harsh Bullish Harsh Bullish Figure-1: Irreferring-to Communicate Phases After these five communicate miens are signed, the beta blame has been scoldd for each supply for each communicate miens subjoined the beneath mentioned rewrite equation. ri,t = ? + ? mt + e (1) ri,t = Restore on scrip i at spell end t mt = Communicate reprove of reposeore at spell end t e = Random fallacy ? & ?? = Parameters to be honord The aggravatehead rewrite equation is applied to consider beta cocausative of each supplys for each communicate miens separately and prelude the unimpaired ten years end. As the extrinsic of the brochure is to trial the inheritance of beta in irreferring-to communicate miens, the theory has been set conformably. The inoperative theory (H0) life the beta is solid balance the communicate miens, since the resource theory (H1) is that the beta blames are not solid and varies according to miens in the communicate. The theory has been trialed delay the aid of three econometric standards- using spell as a unsteady, using dummy unsteadys to gauge the shift of tower balance the end and through Chow trial. International Elaboration Journal of Finance and Economics - Issue 50 (2010) 179 3. 1. Testing the Inheritance of Beta using spell as a unsteady In result of measuring inheritance of beta using spell as a unsteady, in the aggravatehead rewrite standard (1) another unsteady i. e. ” t mt” is used as a separeprove explanatory unsteady. Where the spell unsteady t takes a blame of t=1 for the earliest communicate mien, t=2 for the promote communicate mien and so on for all other communicate miens signed. In this arrangement the extrinsic is to see whether the beta blames are solid balance spell or not. After including the tmt unsteady, the aggravatehead rewrite standard (1) can be written as: ri,t = ? + ? 1mt + ? 2( t*mt) + e (2) The aggravatehead rewrite equation can be re-framed as beneath: ri,t = ? + (? + ? 2*t )*mt + e (2) To trial the inheritance of beta, we basically confirm to see whether the look ? 2 is momentous or not. If it is momentous, we deficiency to repudiate the inoperative theory and confirm resource theory. It is involved that the sensitivity of supply reposeore to communicate reposeore i. e. (? 1 + ? 2*t)* mt shifts delay spell, and hence, beta is not solid. If ? 2 is not momentous, (? 1 + ? 2*t)* mt promiseinate get lowly to ? 1*mt , implying that ? 1, or the beta of supply, does not dissimilate delay spell and is thus solid balance spell. The statistical tokenificance of ? 2 is trialed using the appertaining p-values. . 2. Testing the Inheritance of Beta using dummy unsteady In result of the promote arrangement of trialing the beta inheritance, dummy unsteadys are used in aggravatehead mentioned rewrite equation (1) for the tower coefficients. As five communicate miens discovered, there are 4 dummy unsteadys used in the new equation (Levine et al. 2006). The new rewrite equation is reframed as supervenes: ri,t = ? 0 + ? 1* mt + ? 2*D1* mt + ? 3*D2* mt + ? 4*D3* mt + ? 5*D4*mt + e (3) Where: D1 = 1 for mien 1 (Jan 1999 to Feb 2000) postulates = 0 incorrectly. D2 = 1 for mien II (May 2000 to Sept 2001) postulates = 0 otherintelligent D3 1 for mien III (Oct 2001 to Dec 2007) postulates = 0 otherintelligent D4 = 1 for mien IV (Jan 2008 to Nov 2008) postulates = 0 otherintelligent = reposeore on supply I in end t. r i,t mt = reposeore on communicate in end t. e = fallacy promise and ? 0, ? 1, ? 2, ? 3, ? 4 & ? 5 = coefficients to be honord. As there are 5 communicate miens, we use 4 dummy unsteadys in the aggravatehead equation (3). The use of 5 dummy unsteady would administer to a dummy unsteady snare. We write the 5th mien viz. Dec-08 to Aug-09 as the disingenuous end. The tokenificance of ? 2, ? 3, ? 4 and ? 5 promiseinate discern us whether the beta is solid balance the spell ends or not. For the beta to be truthfully solid balance the unimpaired end, all coefficients approve, ? 2, ? 3, ? 4 and ? 5 should be statistically inmomentous and where we deficiency to confirm the inoperative theory. The logic is that if ? 2, ? 3, ? 4 and ? 5 are minor, the equation reduces to the subjoined, thus implying that beta is solid balance spell. ri,t = ? 0 + ? 1*mt + e (4) th 3. 3. Testing for Structural or Parameter Inheritance of Rewrite Model: The Chow Trial In the third arrangement, for structural or parameter inheritance of rewrite standards, the Chow trial has been conducted (Gujarati, 2004). When we use a rewrite standard involving spell order postulates, it may occur 180 International Elaboration Journal of Finance and Economics - Issue 50 (2010) that there is a structural shift in the alliance among the regress and the regressors. By structural shift, we balance that the blames of the parameters of the standard do not endure the selfsame through the unimpaired spell end. We severed our exemplification postulates into five spell ends according to the irreferring-to communicate miens signed precedent. We confirm six practicable retreats for each supply (five retreats for each communicate miens and one for the complete ten year end). The rewrite equations are mentioned beneath. ri,t = ? 1 + ? 2mt + ut (5) (6) r i, t = ? 1 + ? 2mt + ut Equation (5) is for each communicate miens and equation (6) is for the complete end. There are 128 observations (n=128) for the complete end and n1=14, n2=19, n3=75, n4=11 and n5=9 are the consider of observations for mien-I to mien-V appertainingly. The u’s in the aggravatehead rewrite equations reoffer the fallacy promises. Regression (6) assumes that there is no dissimilarity balance the five spell ends and conformably honors the alliance among supply appraisements and communicate for the unimpaired spell end consisting of 128 observations. In other opinion, this rewrite assumes that the neutralize as courteous as the tower cocausative endures the selfsame balance the unimpaired end; that is, there is no structural shift. Now the practicable dissimilaritys, that is, structural shifts, may be caused by dissimilaritys in the neutralize or the tower cocausative or twain. This is criticized delay a affected trial named Chow trial (Chow, 1960). The mechanics of the Chow trial are as supervenes: First the rewrite (6) is honord, which is delayhold if there is no parameter inconstancy, and procureed the reposericted residual sum of squares (RSSR) delay df = [(n1+n2+n3+n4+n5) ? k], where k is the consider of parameters honord, 2 in the offer result. This is named reposericted residual sum of squares owing it is procureed by goodsive the reposerictions that the sub-end retreats are not irrelative. Secondly honord the mien intelligent other rewrite equations and procure its residual sum of squares, RSS1 to RSS8 delay ranges of insubservience, df = (no of observations in each mien ? ). Gone the five sets of exemplifications are supposed recalcitrant, in the third stride we can add RSS1 to RSS8 to procure what may be named the unesoteric residual sum of squares (RSSUR) delay df = [(n1+n2+n3+n4+n5)? 2k]. Now the goods astern the Chow trial is that if in result there is no structural shift (i. e. , all miens retreats are innately the selfsame), then the RSSR and RSSUR should not be statistically irrelative. Conformably in the foul-mouthedth stride the subjoined relative is formed to get the F-value. F = [(RSSR ? RSSUR)/k] / [(RSSUR)/ ((n1 + n2+n3+n4+n5) ? 2k)] ~ F [k, ((n1+n2+n3+n4+n5) ? 2k)] (7) We cannot repudiate the inoperative theory of parameter inheritance (i. e. , no structural shift) if the scoldd F blame is not statistically momentous (F blame does not yield the censorious F blame procureed from the F table at the detachedd flatten of tokenificance or the p blame). Contrarily, if the scoldd F blame is statistically momentous (F blame yields the censorious F blame), we repudiate the inoperative theory of parameter inheritance and decide that the mien intelligent retreats are irrelative. 4. Trial Results and Findings Initially the beta cocausative is adapted using the Ordinary Smallest Square (OLS) technique as defined in equation (1). The genius was carried out by using monthly reposeore postulates for the 5 communicate miens for each of the 30 supplys. To collate the mien intelligent beta genius delay the unimpaired 10 year end, the selfsame genius as-courteous carried out prelude the complete 10 years for each supply separately. Supply intelligent beta blames balance 5 communicate miens and the unimpaired end is reputed in appendix-2. From annexure-2, it is inspired that there are 14 supplys beta blame is superior than 1 in mien I. This delineation (beta blame superior than 1) has lowly to 6, 11, 12 and 10 for mien-2 to mien-5 appertainingly. It is as-courteous imaginative that, there are 8 supplys whose beta blame is superior than 1 in honor to balanceall among Jan-99 to Aug-09 and pre-eminent life for Wipro of 1. 47. The supplys having beta blame International Elaboration Journal of Finance and Economics - Issue 50 (2010) 181 prefer than 1 are considered to be capricious securities. It is noticed that, as we confirmion the end of genius to unmeasured ten years end, there are near consider of supplys proved to be prefer capricious. Out of the sum 30 supplys considered in the criticize, merely one congregation i. e. L&T has beta prefer than 1 in all miens including the balanceall end. But none of the congregation’s balanceall beta blame is prefer than the mien intelligent betas. There are sflatten companies (RIL, NALCO, ITC, GAIL, Hindustan Lever, Hero Honda and Cipla) whose beta blames are near than 1 all through the miens including balanceall end. These supplys are considered to be near capricious than the communicate. There are 3 companies (Cipla, ITC and Hindustan Lever) late beta blame (Dec 2008 to August 2009) is disclaiming, where Cipla’s mien I beta blame is as-courteous disclaiming concurrently delay other two supplys approve SAIL and NALCO. It is observed from annexure-2 that there are merely two companies’ from the software sector (Infosys and Wipro) whose beta blames are suitably abject balance spell. However there are 7 supplys viz. Cipla, Sunpharma, Wipro, Grasim, Hindustan Lever, Infosys and ITC whose beta blames are professioning a decreasing deviate from mien 3 impertinents, occasion Tata steel is the merely supply whose beta blames are professioning an increasing deviate during the selfsame end. It is observed from the annexure-2 that, on an balanceall premise 29 out of 30 supplys confirm their beta blames statistically momentous at 5% flatten. This consider has sundry from 8 to 30 balance the contrariant miens, indicating that the beta blames of the supplys confirm hesitated momentously. This implies that the disproportion of the supplys hold on the communicate miens i. e. sufferish or bullish. Thus the fruit repudiates the inoperative theory that the beta is solid balance contrariant communicate miens. The inoperative theory is repudiateed in 29 out of 30 results in result of balanceall end, occasion 30 out of 30 results in honor to mien-3. Gone the end of genius of beta is prefer in result of balanceall end and in mien-3, the procureed fruits are correspondent in twain the results. But the endureing mien intelligent fruits do not supervene any specimen. In honor of end of estimating the blame of vanquish the fruits are resembling to the judgment of Baesel (1974) and Altman et al (1974). It is mentioned precedent that to criticize the inheritance of beta balance irreferring-to communicate miens, three separeprove standards confirm been used in brochure. The fruits procureed from these standards are interpreted in the subjoined paragraphs. The honord fruits for rewrite standard-2 that conceives t*mt as a separeprove unsteady are depicted in annexure-3. It is observed that the blame of R2, a gauge of politeness of fit varies from 0. 11 to 0. 61. It is merely in 5 out of 30 rewrite fruits, the blame is superior than 0. 50. The cocausative of mt (? 1) is plant to be yieldingly statistically momentous at 5% flatten in 19 out of 30 results. It is in 11 retreats, the cocausative is statistically minor. As discussed precedent, the tokenificance of the cocausative of unsteady t*mt implies the repudiateion of the inoperative theory of solid beta balance spell. It is observed that the cocausative (? ) is momentous in 14 results out of 30. The rewrite fruits apex-out that in 50% results the inoperative theory of inheritance of beta balance the communicate miens is repudiateed. This instrument 50% supplys reputed inheritance of beta balance irreferring-to miens. So standard (2) cannot retire that beta is not solid balance communicate miens. The honord fruits for coefficients for rewrite standard-3 that incorporates dummy unsteadys are depicted in annexure-4. It is noticed from the fruits that the R2 blame hesitates from 0. 15 to 0. 62 and in result of 8 supplys this blame is superior than 0. 0. It is mentioned precedent that the inoperative theory of inheritance of beta promiseinate be repudiateed if any of the coefficients (? 2, ? 3, ? 4 & ? 5) selfsame to D1*mt, D2*mt, D3*mt or D4*mt were plant to be statistically momentous. It is observed from the fruits offered in appendix-4, that there are 17 out of 30 supplys enacted statistically momentous at 5% flatten at smallest one of the coefficient. There are merely 2 results where 3 coefficients are momentous and none of the supplys reputed momentous for all the 4 coefficients. Further in 6 results where 2 out of 4 coefficients are reputed momentous, where as in 9 results depicted momentous merely for one coefficient. The upshot of this standard in slight can be systematic that, in result of 17 supplys out of 30 supplys, the inheritance of beta theory is repudiateed balanceing, in repose 13 results there is a inheritance of beta balance the communicate miens. 182 International Elaboration Journal of Finance and Economics - Issue 50 (2010) The honord fruits of Chow trial are depicted in annexure-5. The fruits profession that, 12 out of 30 results the F-blame is statistically momentous and repose 18 supplys are reputed inmomentous at 5% flatten. Based on the F- statistics and its selfsame p-values, the inoperative theory of beta inheritance balance the communicate miens is repudiateed in 12 results and confirmed in 18 results. The F-values are as-courteous attended by log approvelihood relative and it p-values, which as-courteous reputed statistical tokenificance in 12 results. The upshot of Chow trial confirms that the beta blames are not solid or there is a structural shift in 12 out of 30 supplys in irreferring-to communicate miens. But the repose 18 supplys reputed inheritance or no structural shift in beta blames balance the communicate miens. From the aggravatehead deliberations, it is observed that all the three standards pictorial aggravatehead demonstrate a modified and illogical fruit. There are 14, 17 and 12 supplys are statistically momentous as per standard2, standard-3 and standard-7 appertainingly. This instrument as per standard-2 the beta blames of 14 supplys out of 30 supplys are insolid balance the end. But this consider is 17 and 12 in result of standard3 and 7 appertainingly. However, on the premise of fruits procureed from irreferring-to standards, it is not practicable to decide that the beta blames of the supplys are solid or insolid balance the communicate miens. But if we air-tight scan at the fruits procureed from three standards, it is very manifest that in result of 9 supplys where all the three standards enacted correspondent fruits and repudiateed the inoperative theory. These supplys conceive Sun pharmaceutical, Wipro, Tata motors, Tata Steel, Hindalco, Hindustan Unilever, HDFC, Infosys and Zee Entertainment. This apex-outs that beta blames are not solid balance the communicate miens in these 9 supplys. Similarly there are 6 supplys where two standards recommended ininheritance of beta and 4 supplys where merely one standard reputed a shift in beta blames balance the end. There are 11 results where none of the standards repudiateed the inoperative theory, which proved that the beta blames are solid balance the spell in these supplys. 5. Disposal The extrinsic of the offer criticize is to criticize the inheritance of beta in irreferring-to Indian communicate miens. For the apex of the criticize monthly reposeore postulates of 30 supplys for the end from 1999 to 2009 is considered. Because the bullish and sufferish state in the Indian communicate, we disjoined the complete 10 years into 5 irreferring-to communicate miens. Initially the beta has been honord for irreferring-to communicate miens and as-courteous prelude the complete 10 years end. The fruits profession that the beta blames are not professioning any feature specimen but in the balanceall mien air-tight all the supplys are statistically momentous. Prefer the beta inheritance is criticized using three irreferring-to standards. In the earliest arrangement the beta cocausative is adapted because the communicate miens as spell unsteady. The fruits profession that in 50% of results the inoperative theory is repudiateed as the beta is solid balance irreferring-to communicate miens. In the correspondent verse the fruits procureed in honor to standard two states that in 17 out of 30 results the inoperative theory is repudiateed. This confirms that in 17 results the inheritance of beta is not there balance the communicate miens but in repose 13 results it solid balance the communicate miens. In the third arrangement of investigating beta inheritance, the Chow trial has been conducted. The F-statistics below Chow trial reveals that, beta is insolid in 12 out of 30 supplys considered in the criticize in irreferring-to communicate miens. We can thus ultimately decide that the fruits procureed from irreferring-to standards are modified and illogical in truth, where it is near foundation to decide that the beta blames are solid or insolid balance the communicate miens. But there are 9 supplys which gives a tenacious prognostic that their beta blames are not solid balance the communicate miens. In these 9 results, all the three standards reputed correspondent tokenificant of beta ininheritance balance the communicate miens. The ininheritance of beta has its coils in prelude probe corporeprove financial sentences. Financial sentences should not be installed on the balanceall beta of the congregation. Rather, the congregation’s endical beta should be relied upon for prelude undoubtful managerial sentences. Considering the illogical fruits procureed from offer criticize, it is hinted that the advenient elaboration on beta in Indian communicate may be canvassd from (a) toil intelligent inheritance of beta in irreferring-to communicate miens (b) inheritance of beta from portfolio apex of intention (c) optimal spell season for inheritance of beta (d) impertinent looking beta and its inheritance (e) collision of communicate and congregation peculiar resultors and inheritance of beta and (f) communicate competency criticize using mien intelligent beta below the flattent criticize arrangementology. International Elaboration Journal of Finance and Economics - Issue 50 (2010) 83 References [1] [2] [3] [4] [5] [6] [7] [8] [9] [10] [11] [12] [13] [14] [15] [16] [17] [18] [19] [20] [21] [22] [23] [24] Allen R G, Impson C M and Karafiath I (1994), “An Experimental Investigation of Beta Stability: Portfolios vs. Indivisible Securities”, Journal of Affair Finance & Accounting, Vol. 21, No. 6. 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AND Sehgal, Sanjay (1999) “Relationship among Accounting Variables and Regular Risk: The Indian Experience”, Indian Accounting Review, June, Vol. 3, No. 1. Haddad M M (2007), “An Intertemporal Trial of the Beta Stationarity: The Result of Egypt”, Middle East Affair and Economic Review, Vol. 9, No. 1, Egypt. Jegadeesh N, 1992, Does communicate waste authenticly illustrate the extent movables? , Journal of Financial and Quantitative Anatomy 27, 337-351. Jagannathan, Ravi and Zhenyu Wang, “The Subject CAPM and the Cross-Section of Expected Returns. ” Journal of Finance 51, 3-53, (1996). Knight F H (1921), Risk, Misgiving and Profit, Houghton Mifflin Company: Chicago, Part 1, Chapter 1, Paragraph 26. Levitz Gerald D (1974), “Market Waste and the Treatment of Institutional Equity Portfolios”, Financial Analysts Journal, Vol. 30, No. 1, pp. 53-60. Levine, David, M. , David Stephen. , Timothy C. Krehbiel and Mark L. 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[26] [27] [28] [29] 30] [31] [32] [33] [34] 185 International Elaboration Journal of Finance and Economics - Issue 50 (2010) Annexure-1: Month December 1998 January 1999 February 1999 March 1999 April 1999 May 1999 June 1999 July 1999 August 1999 September 1999 October 1999 November 1999 December 1999 January 2000 February 2000 March 2000 April 2000 May 2000 June 2000 July 2000 August 2000 September 2000 October 2000 November 2000 December 2000 January 2001 February 2001 March 2001 April 2001 May 2001 June 2001 July 2001 August 2001 September 2001 October 2001 November 2001 December 2001 January 2002 February 2002 March 2002 April 2002 May 2002 June 2002 July 2002 August 2002 September 2002 October 2002 November 2002 December 2002 January 2003 February 2003 March 2003 April 2003 May 2003 June 2003 July 2003 August 2003 September 2003 October 2003 November 2003 December 2003 January 2004 February 2004 Identification of Communicate Phases Failure Appraisement Restore (R) 1+R Cumulative Plenty Renunciation Communicate Phases 1359. 03 1461. 52 1506. 95 1651. 37 1449. 64 1714. 02 1790. 51 1988. 06 2192. 94 2213. 33 2071. 50 2253. 29 2624. 49 2875. 37 3293. 29 2902. 20 2396. 22 2156. 99 2397. 06 2153. 26 2306. 07 2075. 67 1916. 99 2061. 18 2032. 20 2209. 31 2139. 72 1691. 71 1682. 1 1763. 35 1630. 02 1564. 46 1534. 73 1312. 50 1389. 17 1557. 01 1557. 22 1592. 27 1707. 72 1716. 28 1671. 63 1596. 71 1650. 34 1506. 23 1580. 55 1473. 88 1458. 78 1594. 03 1664. 67 1600. 87 1628. 72 1500. 72 1470. 31 1641. 44 1819. 36 1893. 45 2229. 25 2314. 62 2485. 43 2594. 34 3074. 87 2946. 14 2923. 99 0. 08 0. 03 0. 10 -0. 12 0. 18 0. 04 0. 11 0. 10 0. 01 -0. 06 0. 09 0. 16 0. 10 0. 15 -0. 12 -0. 17 -0. 10 0. 11 -0. 10 0. 07 -0. 10 -0. 08 0. 08 -0. 01 0. 09 -0. 03 -0. 21 -0. 01 0. 05 -0. 08 -0. 04 -0. 02 -0. 14 0. 06 0. 12 0. 00 0. 02 0. 07 0. 01 -0. 03 -0. 04 0. 03 -0. 09 0. 05 -0. 07 -0. 01 0. 09 0. 04 -0. 04 0. 2 -0. 08 -0. 02 0. 12 0. 11 0. 04 0. 18 0. 04 0. 07 0. 04 0. 19 -0. 04 -0. 01 1. 08 1. 03 1. 10 0. 88 1. 18 1. 04 1. 11 1. 10 1. 01 0. 94 1. 09 1. 16 1. 10 1. 15 0. 88 0. 83 0. 90 1. 11 0. 90 1. 07 0. 90 0. 92 1. 08 0. 99 1. 09 0. 97 0. 79 0. 99 1. 05 0. 92 0. 96 0. 98 0. 86 1. 06 1. 12 1. 00 1. 02 1. 07 1. 01 0. 97 0. 96 1. 03 0. 91 1. 05 0. 93 0. 99 1. 09 1. 04 0. 96 1. 02 0. 92 0. 98 1. 12 1. 11 1. 04 1. 18 1. 04 1. 07 1. 04 1. 19 0. 96 0. 99 1. 08 1. 11 1. 22 1. 07 1. 26 1. 32 1. 46 1. 61 1. 63 1. 52 1. 66 1. 93 2. 12 2. 42 0. 88 0. 73 0. 65 0. 73 0. 65 0. 70 0. 63 0. 58 0. 63 0. 62 0. 67 0. 65 0. 51 0. 51 0. 54 0. 9 0. 48 0. 47 0. 40 1. 06 1. 19 1. 19 1. 21 1. 30 1. 31 1. 27 1. 22 1. 26 1. 15 1. 20 1. 12 1. 11 1. 21 1. 27 1. 22 1. 24 1. 14 1. 12 1. 25 1. 39 1. 44 1. 70 1. 76 1. 89 1. 98 2. 34 2. 24 2. 23 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 186 March 2004 April 2004 May 2004 June 2004 July 2004 August 2004 September 2004 October 2004 November 2004 December 2004 January 2005 February 2005 March 2005 April 2005 May 2005 June 2005 July 2005 August 2005 September 2005 October 2005 November 2005 ecember 2005 January 2006 February 2006 March 2006 April 2006 May 2006 June 2006 July 2006 August 2006 September 2006 October 2006 November 2006 ecember 2006 January 2007 February 2007 March 2007 April 2007 May 2007 June 2007 July 2007 August 2007 September 2007 October 2007 November 2007 December 2007 January 2008 February 2008 March 2008 April 2008 May 2008 June 2008 July 2008 August 2008 September 2008 October 2008 November 2008 December 2008 January 2009 February 2009 March 2009 April 2009 May 2009 June 2009 July 2009 August 2009 International Elaboration Journal of Finance and Economics - Issue 50 (2010) 2966. 31 3025. 14 2525. 35 2561. 16 2755. 22 2789. 07 2997. 97 027. 96 3339. 75 3580. 34 3521. 71 3611. 90 3481. 86 3313. 45 3601. 73 3800. 24 4072. 15 4184. 83 4566. 63 4159. 59 4649. 87 4953. 28 5224. 97 5422. 67 5904. 17 6251. 39 5385. 21 5382. 11 5422. 39 5933. 77 6328. 33 6603. 60 6931. 05 6982. 56 7145. 91 6527. 12 6587. 21 7032. 93 7468. 70 7605. 37 8004. 05 7857. 61 8967. 41 10391. 19 10384. 40 11154. 28 9440. 94 9404. 98 8232. 82 9199. 46 8683. 27 7029. 74 7488. 48 7621. 40 6691. 57 4953. 98 4600. 45 4988. 04 4790. 32 4516. 38 4942. 51 5803. 97 7620. 13 7571. 49 8176. 54 8225. 50 0. 01 0. 02 -0. 17 0. 01 0. 08 0. 01 0. 07 0. 01 0. 10 0. 07 -0. 02 0. 03 -0. 04 -0. 05 0. 9 0. 06 0. 07 0. 03 0. 09 -0. 09 0. 12 0. 07 0. 05 0. 04 0. 09 0. 06 -0. 14 0. 00 0. 01 0. 09 0. 07 0. 04 0. 05 0. 01 0. 02 -0. 09 0. 01 0. 07 0. 06 0. 02 0. 05 -0. 02 0. 14 0. 16 0. 00 0. 07 -0. 15 0. 00 -0. 12 0. 12 -0. 06 -0. 19 0. 07 0. 02 -0. 12 -0. 26 -0. 07 0. 08 -0. 04 -0. 06 0. 09 0. 17 0. 31 -0. 01 0. 08 0. 01 1. 01 1. 02 0. 83 1. 01 1. 08 1. 01 1. 07 1. 01 1. 10 1. 07 0. 98 1. 03 0. 96 0. 95 1. 09 1. 06 1. 07 1. 03 1. 09 0. 91 1. 12 1. 07 1. 05 1. 04 1. 09 1. 06 0. 86 1. 00 1. 01 1. 09 1. 07 1. 04 1. 05 1. 01 1. 02 0. 91 1. 01 1. 07 1. 06 1. 02 1. 05 0. 98 1. 14 1. 16 1. 00 1. 07 0. 85 1. 00 0. 88 1. 12 . 94 0. 81 1. 07 1. 02 0. 88 0. 74 0. 93 1. 08 0. 96 0. 94 1. 09 1. 17 1. 31 0. 99 1. 08 1. 01 2. 26 2. 30 1. 92 1. 95 2. 10 2. 13 2. 28 2. 31 2. 54 2. 73 2. 68 2. 75 2. 65 2. 52 2. 74 2. 90 3. 10 3. 19 3. 48 3. 17 3. 54 3. 77 3. 98 4. 13 4. 50 4. 76 4. 10 4. 10 4. 13 4. 52 4. 82 5. 03 5. 28 5. 32 5. 44 4. 97 5. 02 5. 36 5. 69 5. 79 6. 10 5. 99 6. 83 7. 92 7. 91 8. 50 0. 85 0. 84 0. 74 0. 82 0. 78 0. 63 0. 67 0. 68 0. 60 0. 44 0. 41 1. 08 1. 04 0. 98 1. 07 1. 26 1. 66 1. 65 1. 78 1. 79 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 4 4 4 4 4 4 4 4 4 4 4 5 5 5 5 5 5 5 5 5 International Elaboration Journal of Finance and Economics - Issue 50 (2010) Annexure-2: Beta blames of indivisible securities balance all the five miens Overall Mien I Mien II Mien III Mien IV ? p-val ? p-val ? p-val ? p-val ? p-val Bharat Heavy Electricals Ltd. 0. 86 0. 00* 0. 67 0. 21 1. 18 0. 00* 1. 10 0. 00* 0. 80 0. 02* Bharat Petroleum Corpn. Ltd. 0. 80 0. 00* 1. 02 0. 15 0. 66 0. 06 1. 13 0. 00* 1. 30 0. 06 Cipla Ltd. 0. 51 0. 00* -0. 04 0. 95 0. 75 0. 02* 0. 80 0. 00* 0. 51 0. 07 Sun Pharmaceutical Inds. Ltd. 0. 69 0. 00* 1. 13 0. 15 0. 80 0. 08 0. 57 0. 00* 0. 74 0. 00* Ranbaxy Laboratories Ltd. 0. 94 0. 00* 1. 19 0. 3 0. 63 0. 03* 0. 78 0. 00* 1. 07 0. 10 Wipro Ltd. 1. 47 0. 00* 2. 79 0. 02* 2. 63 0. 00* 0. 88 0. 00* 0. 87 0. 00* Reliance Infrastructure Ltd. 1. 24 0. 00* 1. 38 0. 02* 0. 26 0. 39 1. 20 0. 00* 1. 50 0. 00* Larsen & Toubro Ltd. 1. 30 0. 00* 1. 12 0. 08 1. 70 0. 00* 1. 21 0. 00* 1. 07 0. 00* State Bank Of India 1. 01 0. 00* 1. 22 0. 08 0. 86 0. 00* 1. 03 0. 00* 1. 08 0. 01* Tata Motors Ltd. 1. 20 0. 00* 1. 07 0. 08 -0. 13 0. 65 1. 11 0. 00* 1. 20 0. 00* Oil & Natural Gas Corpn. Ltd. 0. 79 0. 00* 0. 43 0. 47 0. 59 0. 03* 1. 06 0. 00* 1. 03 0. 01* Steel Authority Of India Ltd. 1. 23 0. 00* -0. 31 0. 68 0. 99 0. 00* 1. 54 0. 0* 1. 12 0. 01* Tata Steel Ltd. 1. 22 0. 00* 0. 79 0. 17 0. 64 0. 05* 1. 25 0. 00* 1. 39 0. 00* Grasim Industries Ltd. 0. 94 0. 00* 1. 24 0. 13 0. 91 0. 01* 0. 95 0. 00* 0. 86 0. 00* H D F C Bank Ltd. 0. 79 0. 00* 1. 38 0. 03* 0. 36 0. 10 0. 68 0. 00* 0. 98 0. 00* Hero Honda Motors Ltd. 0. 47 0. 00* 0. 24 0. 64 0. 04 0. 85 0. 79 0. 00* 0. 93 0. 00* Hindalco Industries Ltd. 1. 00 0. 00* 0. 03 0. 95 0. 39 0. 06 1. 22 0. 00* 1. 44 0. 00* Hindustan Unilever Ltd. 0. 49 0. 00* 0. 78 0. 01* 0. 42 0. 06 0. 77 0. 00* 0. 67 0. 00* HDFC Ltd. 0. 74 0. 00* 0. 77 0. 01* 0. 50 0. 06 0. 85 0. 00* 1. 01 0. 00* Infosys Technologies Ltd. . 91 0. 00* 1. 33 0. 05* 1. 30 0. 00* 0. 73 0. 00* 0. 67 0. 06 G A I L (India) Ltd. 0. 49 0. 00* 0. 00 1. 00 0. 46 0. 11 0. 79 0. 00* 0. 34 0. 18 I C I C I Bank Ltd. 0. 84 0. 00* 1. 85 0. 05* 0. 06 0. 88 0. 50 0. 00* 0. 57 0. 14 I T C Ltd. 0. 37 0. 00* 0. 54 0. 13 0. 57 0. 01* 0. 42 0. 00* 0. 27 0. 24 National Aluminium Co. Ltd. 0. 49 0. 00* -0. 31 0. 75 0. 24 0. 37 0. 73 0. 00* 0. 21 0. 69 Indian Oil Corpn. Ltd. 0. 87 0. 10 0. 32 0. 56 0. 65 0. 00* 1. 24 0. 00* 0. 75 0. 01* Reliance Industries Ltd. 0. 51 0. 00* 0. 34 0. 47 0. 08 0. 81 0. 41 0. 00* 0. 74 0. 06 Sterlite Industries (India) Ltd. 1. 11 0. 00* 0. 99 0. 14 1. 3 0. 09 0. 87 0. 00* 0. 01 0. 96 Tata Communications Ltd. 0. 78 0. 00* 1. 10 0. 05* 1. 18 0. 00* 0. 87 0. 00* 0. 85 0. 09 Unitech Ltd. 0. 79 0. 00* 0. 47 0. 14 0. 48 0. 02* 0. 87 0. 00* 0. 21 0. 47 Zee Entertainment Ent. Ltd. 1. 00 0. 00* 1. 39 0. 08 0. 72 0. 07 0. 78 0. 00* 1. 13 0. 03* * apex-outs tokenificance of cocausative at 5% flatten of momentous Name of the Congregation Annexure-3: 187 Mien V ? p-val 0. 74 0. 00* 0. 48 0. 03* -0. 13 0. 65 0. 16 0. 55 1. 96 0. 01* 0. 78 0. 10 2. 46 0. 00* 1. 77 0. 00* 1. 55 0. 00* 1. 33 0. 02* 0. 94 0. 01* 1. 66 0. 00* 2. 07 0. 00* 0. 41 0. 29 0. 96 0. 00* 0. 29 0. 21 1. 63 0. 01* -0. 1 0. 68 0. 95 0. 00* 0. 07 0. 83 0. 38 0. 03* 1. 35 0. 02* -0. 01 0. 95 0. 50 0. 19 0. 98 0. 02* 0. 57 0. 10 0. 85 0. 03* 0. 43 0. 15 1. 27 0. 11 0. 74 0. 07 Estimates of rewrite equation using Spell as a Unsteady Name of the Congregation Bharat Heavy Electricals Ltd. Bharat Petroleum Corpn. Ltd. Cipla Ltd. Sun Pharmaceutical Inds. Ltd. Ranbaxy Laboratories Ltd. Wipro Ltd. Reliance Infrastructure Ltd. Larsen & Toubro Ltd. State Bank Of India Tata Motors Ltd. Oil & Natural Gas Corpn. Ltd. Steel Authority Of India Ltd. Tata Steel Ltd. Grasim Industries Ltd. H D F C Bank Ltd. Hero Honda Motors Ltd. Hindalco Industries Ltd. Hindustan Unilever Ltd. HDFC Ltd. Constant 0. 02 0. 01 0. 02 0. 03 0. 01 0. 01 0. 01 0. 01 0. 01 0. 00 0. 01 0. 02 0. 01 0. 01 0. 02 0. 02 0. 00 0. 00 0. 02 mt (? 1) 0. 56 (0. 03) 0. 79 (0. 02) 0. 94 (0. 00) 1. 69 (0. 00) 0. 63 (0. 05) 3. 35 (0. 00) 0. 25 (0. 44) 1. 10 (0. 00) 0. 71 (0. 00) 0. 61 (0. 02) 0. 25 (0. 38) 0. 26 (0. 51) 0. 01 (0. 99) 0. 97 (0. 00) 0. 92 (0. 00) 0. 19 (0. 42) -0. 12 (0. 60) 0. 91 (0. 00) 0. 37 (0. 04) t*mt (? 2) 0. 10 (0. 22) 0. 00 (0. 96) -0. 14 (0. 10) -0. 33 (0. 00)* 0. 10 (0. 29) -0. 62 (0. 00)* 0. 33 (0. 00)* 0. 07 (0. 37) 0. 10 (0. 17) 0. 20 (0. 02)* 0. 18 (0. 03)* 0. 32 (0. 01)*