AMBUJA CEMENT

MONTH
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Jan-99
Feb-99
Mar-99
Apr-99
May-99
Jun-99
Jul-99
Aug-99
Sep-99
Oct-99
Nov-99
Dec-99
Jan-00
Feb-00
Mar-00
Apr-00
May-00
Jun-00
Jul-00
Aug-00
Sep-00
Oct-00
Nov-00
Dec-00
Jan-01
Feb-01
Mar-01
Apr-01
May-01

CLOSING
PRICE
212
252.5
273.4
304.6
300.25
261.2
228.5
180.9
198
199.5
219.6
260.1
254.4
273.5
300
272
291
320
388
531
493
540.05
572
326
278
280.65
213
199.9
195.05
195
199.85
195.8
155.2
133.9
153.55
158.1
189.2
188.2
154.1
172.5
184.5

SENSEX CLOSING
3224.36
3622.22
3892.75
4006.81
3686.39
3250.69
3211.31
2933.85
3102.29
2812.49
2810.66
3055.41
3315.57
3233.86
3739.96
3325.69
3966.07
4140.73
4542.34
4898.21
4764.42
4444.56
4622.21
5005.82
5205.29
5447.47
5001.28
4657.55
4433.61
4748.77
4279.86
4477.31
4090.38
3711.02
3997.99
3972.12
4326.72
4247.04
3604.38
3519.16
3631.91

Expected Market
Return
12.33919289
7.468624214
2.930062295
-7.996885303
-11.81915099
-1.211435111
-8.64008769
5.741261482
-9.34148645
-0.065066898
8.707919136
8.514732884
-2.464432963
15.65002814
-11.07685644
19.25555298
4.403855706
9.699014425
7.834508205
-2.731405963
-6.713513922
3.997021077
8.299276753
3.984761737
4.652574592
-8.1907748
-6.872840553
-4.808107267
7.108428572
-9.87434641
4.613468665
-8.642019427
-9.274443939
7.732914401
-0.647075155
8.927222743
-1.841579765
-15.13195072
-2.364345602
3.203889565

Expected Ambuja Return

Jun-01
Jul-01
Aug-01
Sep-01
Oct-01
Nov-01
Dec-01
Jan-02
Feb-02
Mar-02
Apr-02
May-02
Jun-02
Jul-02
Aug-02
Sep-02
Oct-02
Nov-02
Dec-02
Jan-03
Feb-03
Mar-03
Apr-03
May-03
Jun-03
Jul-03
Aug-03
Sep-03
Oct-03
Nov-03
Dec-03
Jan-04
Feb-04
Mar-04
Apr-04
May-04
Jun-04
Jul-04
Aug-04
Sep-04
Oct-04
Nov-04
Dec-04
Jan-05
Feb-05
Mar-05
Apr-05

185.3
180.9
163.9
149.2
153.75
180.8
189.95
214.4
238.5
200.3
198.5
197.45
204.1
169.85
165
163.5
156.1
164.8
163.35
157.9
161.15
159.75
166.45
177.15
205.2
226.45
230.35
229.2
252.7
280.9
303.85
288.55
308.6
295.3
332.6
283.7
284.45
278.15
324.25
337.6
341.95
368.1
401.55
449.2
449.35
401.6
421.35

3456.78
3329.28
3244.95
2811.6
2989.35
3287.56
3262.33
3311.03
3562.31
3469.35
3338.16
3125.73
3244.7
2987.65
3181.23
2991.36
2949.32
3228.82
3377.28
3250.38
3283.66
3048.72
2959.79
3180.75
3607.13
3792.61
4244.73
4453.24
4906.87
5044.82
5838.96
5695.67
5667.51
5590.6
5655.09
4759.62
4795.46
5170.32
5192.08
5583.61
5672.27
6234.29
6602.69
6555.94
6713.86
6492.82
6154.44

-4.821980721
-3.688403659
-2.532980104
-13.35459714
6.322023047
9.975747236
-0.767438465
1.492798092
7.589179198
-2.609542684
-3.781399974
-6.363685384
3.806150883
-7.922149968
6.479339949
-5.968446167
-1.40538083
9.476760745
4.597964581
-3.757461626
1.023880285
-7.154821145
-2.916961873
7.465394504
13.40501454
5.14203813
11.9210781
4.912208786
10.18651589
2.811364475
15.74169148
-2.45403291
-0.494410666
-1.357033336
1.153543448
-15.83476125
0.75300129
7.816976891
0.420863699
7.540908461
1.587861616
9.908202536
5.9092535
-0.708044751
2.40880789
-3.292293852
-5.211602971

May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09

453.55
59
64.55
65.6
76.75
69.45
80.75
79.6
88.5
88.2
103.25
124.05
92.9
99.5
104.7
112.35
116.85
117.25
144.15
141.3
137.15
115.95
106.7
117.95
113.15
124.55
131.5
133.45
143.8
144.65
150
146.9
119.6
120.95
121.05
113.9
95.2
75.7
81.2
80.2
78.4
60.95
52.3
69.7
70.45
63.45
71.3

6715.11
7193.85
7635.42
7805.43
8634.48
7892.32
8788.81
9397.93
9919.89
10370.24
11279.96
11851.93
10398.61
10609.25
10743.88
11699.05
12454.42
12961.9
13696.31
13786.91
14090.92
12938.09
13072.1
13872.37
14544.46
14650.51
15550.99
15318.6
17291.1
19837.99
19363.19
20286.99
17648.71
17578.72
15644.44
17287.31
16415.57
13461.6
14355.75
14564.53
12860.43
9788.06
9092.72
9647.31
9424.24
8891.61
9708.5

9.110008384
7.129294978
6.138159678
2.226596572
10.62145199
-8.59530626
11.35901737
6.930631109
5.553989017
4.53986889
8.772410282
5.070674009
-12.26230665
2.025655352
1.268986969
8.89036363
6.456678106
4.074697979
5.665913176
0.661492037
2.205062628
-8.18136786
1.035778851
6.121969691
4.844810223
0.729143605
6.14640719
-1.494374313
12.87650307
14.72948511
-2.393387637
4.770908099
-13.0047878
-0.396572894
-11.00353154
10.5013027
-5.042658459
-17.99492799
6.642226778
1.454330146
-11.70034323
-23.89010321
-7.103961357
6.099275024
-2.312250772
-5.651702418
9.187200068

-0.338983051
17.06349206
20.14527845
-25.1108424
7.104413348
5.226130653
7.306590258
4.005340454
0.342319213
22.9424307
-1.97710718
-2.937013447
-15.45752825
-7.977576542
10.54358013
-4.069520983
10.07512152
5.580088318
1.482889734
7.75571375
0.591098748
3.698582786
-2.066666667
-18.5840708
1.128762542
0.082678793
-5.906650145
-16.41791045
-20.48319328
7.265521797
-1.231527094
-2.244389027
-22.25765306
-14.19196062
33.26959847

Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Jun-10

80.75
91.6
87.65
108.65
99.2
99.65
88.95
92.15
103.7
102.3
106.9
119.65
121.15
108.8
114.55

11403.25
14625.25
14493.84
15670.31
15666.64
17126.84
15896.28
16926.22
17464.81
16357.96

16,944.63
17,700.90

17.45635268
28.25510271
-0.898514555
8.117034547
-0.023420085
9.320441396
-7.184979833
6.479125934
3.181986291
-6.337601153
0.437646259
6.684419232
0.176519888
-3.497295644
4.463183911

Expected Return

0.317589161

0.124486821

Beta
CAPM

0.971336545
rf +(rm-rf)beta

Rf
Rm
Beta

0.0683
1.148069529
0.971336545

CAPM

1.117119604

16,429.55
17,527.77
17,558.71

AMBUJA CEMENT

Deviation of Market

Variance of
Market

Deviation of
Ambuja

Variance of Ambuja

Co
Variance

17.82764611
71.48400019
22.59181558
158.2537785
2.917490114
0.90515779
73.49246211
37.68841308
14.11586667
28.60456978
0.118269188
3.562556091
72.23227043
0.515796432
33.69083334
20.49573055
0.169377061
33.97511962
3.28321163
157.7263187
207.7027449
7.349395195
19.83204957
177.4857278
0.51002744
128.167774
103.7080214
28.73225454
335.3482842
40.001041
1.292180069
144.430699
586.0123698
55.07941209
33.42789143

0.524342533
2.102470594
0.664465164
4.654522897
0.085808533
0.026622288
2.161543003
1.108482738
0.415172549
0.841310876
0.003478506
0.104781061
2.124478542
0.015170483
0.990906863
0.602815604
0.004981678
0.999268224
0.096565048
4.639009374
6.108904261
0.216158682
0.583295576
5.220168465
0.015000807
3.769640411
3.050235925
0.84506631
9.863184831
1.176501206
0.038005296
4.247961735
17.23565794
1.619982708
0.983173277

0.214804322
286.9298986
400.8320975
636.821841
48.71937432
26.02676979
51.58260978
15.06102492
0.047450951
520.658563
4.416697345
9.372783888
242.7991938
65.64343073
108.5575054
17.58970146
99.01513091
29.76358769
1.845258474
58.23562445
0.217726691
12.77416197
4.801153607
350.0101281
1.008569723
0.001747911
36.3746131
273.6509074
424.676479
50.99438052
1.838773737
5.611572785
500.9601857
204.9606674
1098.598426

0.006317774
8.439114665
11.78917934
18.73005415
1.432922774
0.765493229
1.517135582
0.442971321
0.001395616
15.31348715
0.129902863
0.275670114
7.141152759
1.930689139
3.192867806
0.517344161
2.912209733
0.875399638
0.054272308
1.712812484
0.006403726
0.375710646
0.1412104
10.29441553
0.029663815
5.14092E-05
1.069841562
8.0485561
12.49048468
1.499834721
0.05408158
0.165046258
14.73412311
6.028254924
32.31171842

-1.9569
143.2163
95.16052
317.4578
11.92218
4.853693
61.57055
23.82491
0.81842
122.0378
-0.72274
-5.7785
132.4309
-5.81882
60.47638
-18.9872
4.095228
31.79971
-2.46138
95.83992
6.724763
-9.68929
-9.75791
249.2425
-0.71722
0.473314
-61.4194
88.67135
377.3785
45.16446
-1.54144
28.46899
541.82
106.2502
191.6346

74.93515873
Std Deviation market

77.13913398
8.782888704

159.7317955
Std Deviation

164.4297895
12.82301796

74.92806