Abdul Hafeez-0501-Divedend Announcement, Security Performance

“DIVIDEND ANNOUNCEMENT, SECURITY PERFORMANCE, AND CAPITAL MARKET EFFICIENCY”
A Dissertation Report On
“DIVIDEND ANNOUNCEMENT, SECURITY PERFORMANCE,
AND CAPITAL MARKET EFFICIENCY”
Submitted in partial fulfillment of requirement for the award of the degree of
Master of Business Administration of Bangalore University
BY
ABDUL HAFEEZ
REG NO: 05XQCM6001
Under the Guidance and Supervision of
Dr. NAGESH.S.MALAVALLI

M.P.BIRLA INSTITUTE OF MANAGEMENT
(Associate Bharatiya Vidya Bhavan)
#43.RACE COURSE ROAD, BANGALORE‐560001
2005‐07

M.P.BIRLA INSTITUTE OF MANAGEMENT 1

DECLARATION

I hereby declare that this dissertation entitled “DIVIDEND
ANNOUNCEMENTS, SECURITY PERFORMANCE AND CAPITAL
MARKET EFFICIENCY” 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: Bangalore
Date: Abdul Hafeez

TABLE OF CONTENT

SL.NO. PARTICULARS PAGE NO
1. EXECUTIVE SUMMARY ……………………………… 01
2. INTRODUCTION …………………………………….. 02

3. RESEARCH METHODOLOGY ……………………….. 06
3.1 PROBLEM STATEMENT
3.2 OBJECTIVES
3.3 HYPOTHESIS
3.4 SOURCES OF DATA
3.5 LIMITATIONS
3.6 METHODOLOGY
4. ANALYSIS AND INTERPRETATION ………………. 09
5. SUMMARY and CONCLUSIONS…………………….. 45
6. BIBLIOGRAPHY & REFERENCES ………………….. 46

LIST OF TABLES

TABLE NO. TABLE NAME PAGE NO
1. ABNORMAL RETURNS ……………………… 09‐20
2. CUMULATIVE ABNORMAL RETURNS …… 21‐32


RESEARCH METHODOLOGY

ANALYSIS
AND
INTERPRETATION

SUMMARY
AND
CONCLUSION

ACKNOWLEDGEMENT
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 DR. T.V. NARSHIMA RAO, Adjunct Faculty,

M.P.Birla Institute of Management, Bangalore for his constant guidance and
timely support in the course of the research.
I would also like to thank PROF. S. SANTHANAM, Adjunct Faculty,

M.P.Birla Institute of Management, Bangalore who helped me to analysis
data with his expertise knowledge in statistics.
And further I would like to thank all the faculty members of MPBIM
who have helped me in completing my project. I have gained a lot of
knowledge throughout the course of carrying out this project.
I would like to sincerely thank my Parents and all my Friends who

have helped me in completing this project by extending their support.
Abdul Hafeez

BIBLIOGRAPHY
AND
REFERENCES

INTRODUCTION

EXECUTIVE SUMMARY:
This paper investigates the stock market reaction associated with
dividends announcements in the Indian stock market, and to verify
whether these announcements possess any informational value. An event
study was conducted on 34 companies, comprising the CNX Nifty Index.
Returns were computed using the adjusted price data of companies
and the Nifty Index with the help of ”Capital Line Plus”. The event day is
the day when the quarterly announcement is made. The event day was
taken from “Prowess” (the events section). The Abnormal Returns (AR),
Average Abnormal Returns (AAR), and Cumulative Average Abnormal
Returns (CAAR) were computed based on the Single Index Model. The
behavior of these variables was examined for 30 days before and after the
event day.
The sample study found significant Abnormal Return (AR) in and
around the days of announcement. It has been observed that the
Cumulative Average Abnormal Returns (CAAR) also has significance in
and around the event day. Thus, the results of the study indicate that
dividends announcements contain important information which causes
stock prices to change.
Further, in an efficient market, CAAR should flatten out after the
event‐day to indicate that the market has absorbed the results quickly. But
this was not the case. Hence strengthens the belief that the Indian stock
market is not efficient but semi‐strong.

INTRODUCTION:
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 information and adjusts
the prices swiftly. Researchers and analysts who have worked onis the
efficiency of stock market have realized that no stock market is absolutely
efficient.

Researchers in this area have classified the stock market efficiency
into three separate forms — weak, semi-strong, and strong. Fuller and
Farell (1987) have attempted to divide the strong form of market efficiency
into two distinct parts: The super-strong form and near-strong form. The
three forms of market efficiency have been a subject of intense research in
the field of finance. While there have been an overwhelming number of
studies to test the weak form of EMH, studies to test the strong form are
not many. Because of problems in getting the relevant data to test the
strong form of EMH, studies in this area are limited. Semi-strong form has
also been tested but not as extensively as the weak form. A majority of the
studies have affirmed that stock markets are efficient in the weak form.
Studies on the semi‐strong form have yield mixed results. The semi‐strong form
of EMH has been extensively researched in the US, the UK, other European
countries, and Australia. However, there are limited studies in India.

A number of studies have confirmed that markets are efficient in the
semi‐strong form. However, a large number of studies have also concluded
that markets are not efficient in the semi‐strong form. In their seminal

study of stock price reaction to stock splits, Fama et al. (1969) found that
there was considerable market reaction prior to the stock split
announcement and the cumulative abnormal returns taered off after the
event‐day. They concluded that the market is efficient in the semi‐strong form.
May (1971), Brown and Kennely (1972) and Jordan (1973) studied the
behavior of security prices by taking the quarterly earnings as the event
and found that the results were consistet with the semi‐strong form of
EMH.
Ball and Brown (1968), Beaver (1968) and Beaver et al. (1980) examined the
magnitude of price changes surrounding the announcement of a firm’s
annual earnings. Their results showed that the reaction occurred quickly and,
therefore, the EMH in the semi‐strong form holds good. Kormendi and Lipe
(1987), and Easton and Zmijewski (1989) found evidence consistent with stock
prices reflecting cross‐sectional differences in the time series behavior of
earnings, which support the existence of efficient markets. Ball and
Bartov (1996) reported that investors are aware of the existence as well as of
the signs of serial correlation for all the lags. They found that all the
variables had predicted signs. However, they report that the market
systematically underestimates serial correlation in standardized unexpected
earnings.
Some of the studies on the Indian market have also supported the
semi‐strong form of EMH. Obaidullah (1992) examined the bonus issues
and showed that the market was capable of reacting to bonus issues. Dixit
(1986) found that dividend was the most important determinant of share prices.
Based on the study of rights issues, Srinivasan (1997) concluded that the
market was efficient in the semi‐strong form. Narayana Rao (1994), who
examined the share price responses to some of the corporate financial
policy announcements, reported that the stock market is efficient in the
semi‐strong form.

Whereas the above studies have found the existence of the efficient market,
there are others that contradict this. Joy et al. (1977) found that the
favorable information contained in quarterly earnings was not reflected in
share prices. Basu (1977) tested the predictive content of Price‐Earnings
(P/E) multiples and concluded that the result was a contradiction of
semi‐strong form of EMH. Charest (1978) found no evidence for the NYSE
being efficient in interpreting selected cash dividend change information
during 1947‐1967. This is based on his finding that a systematic trader in
dividend changing stocks would have earned significant abnormal returs.
Jensen (1978) and Joy and Jones (1979) reported that the semi‐strong form
of EMH does not hold well. Watts (1978), Rendleman et al. (1982) Foster et
al. (1984), Bernard and Thomas (1989, 1990), Freeman and Tse (1989),
Mendenhall (1991) and Bartov (1992) found statistically significant abnormal
returns after quarterly earnings announcements. According to Brown (1979)
stock markets failed to adjust instantaneously to the new Earnings Per
Share (EPS) information. The results of Poterba and Summers (1988) and
Ou and Penman (1989a, b), are inconsistent with the semi‐strong form of
EMH. Bajaj and Vijh (1995) found that all dividend announcements without
any ex‐post selection criteria are accompanied by positive average excess
returns. They also found that positive average excess returns increase as
firm size and stock prices decrease. Cuthbertson et al. (1997) rejected the
existence of efficient market based on a study of the behavior of the UK
stock market under the null hypothesis tat the expected returns are
constant. Porta et al. (1997) found evidence that is inconsistent with the
risk‐based explanation for return differential. They reported that
post‐formation earnings announcement returns were substantially higher for
value stocks than for glamor stocks. This finding goes against the semi‐strong
form of EMH. Rangan and Sloan (1998) reported that earnings expectations
embedded in stock prices systematically underestimate the time series

properties resulting from quarterly reporting requirements. Studies on the
Indian market in this area have cast doubt on the existence of the EMH.
Obaidullah (1990) examined the market reaction to half‐yearly earnings
announcements and found that the semi‐strong form of EMH could not be
accepted. Barua and Raghunathan (1990), Sundaram (1991) and Obaidullah
(1991) cast doubt on the consistency of the observed price‐earnings ratios
with fundamental factors like dividend growth and pay‐out‐ratios.
Chaturvedi (2000a) found that low P/E stocks outperformed the high P/E
ones and concluded that the market is inefficient. Chaturvedi (2000b) studied
the behavior of stock returns surrounding the announcement of half‐yearly
earnings. His results showed that abnormal returns were present both
during the pre and post‐earnings announcement periods. Mohanty (2002)
found that companies which announced buyback yielded excess returns even
three months after the announcement dates. This casts doubt on the existence
of the Semi‐strong form of EMH. However, he attributes the excess returns to
high premium offered on buy backs.
Moreover investors assign a great deal of significance to announcement of
earnings and dividends reports as it reflects the financial performance of the
company and is an indicator of the future direction of the company.
Earnings and dividends announcements provide the market participants with
the single most important piece of public information by which they can
evaluate the performance of a firm. The market is filled with anticipation at
the time when financial results of a company are to be announced as they
form the bias for revalidation of the future growth prospects of a company
which would be reflected in a buy, hold or sell strategy. Thus, the
adjustment of stock prices to the announcement of earnings reports is an
important empirical issue.

RESEARCH METHODOLOGY:
PROBLEM STATEMENT:
There exists conflicting views with regard to the impact of Earnings
announcements on the stock prices. Some are of the opinions that
earnings announcements do affect the stock price of the shares while
others argue it does not. Thus there exists a research gap. The research
problem under consideration is as follows:
“Whether there is any significant effect on the stock prices due to
dividends announcements or not”.

OBJECTIVE:
1. To examine whether the dividends ’s announcements has any
impact on the stock market reaction.
2. To check the informational value of these announcements.
HYPOTHESIS:
H0 = Dividends announcements do not have any impact on Stock Prices.
H1 = Dividends announcements do have impact on Stock Prices.
SOURCES OF DATA:
The Dividends announcements made by companies included in CNX
NIFTY during the year 2006‐07 is considered. Daily adjusted market price
data for the sample stocks for 30 days before and 30 days after the board
meeting date are taken. The board meeting date is taken as event or
announcement date. The required data is extracted from Prowess,
CapitaLine Plus and NSE website

LIMITATIONS:
1. Sample size of 34 is considered.
2. Macro economic factors are mot taken into consideration.
3. Event window of t = ‐30 to +30 is taken.
METHODOLOGY:
Event study methodology is used to calculate Average Abnormal Return
(AAR) and Cumulative Abnormal Return (CAAR) for the event window
period. i.e. 30 days before and after the day of announcement.

Daily returns for each sample company are computed as:
Rit = Ln [Pit / Pit‐1]
Where Pit & Pit‐1 are respective daily prices for company i at time t and
t‐1.

Similarly, the actual returns for the market are also computed as:
Rmt = Ln [(It) / I t‐1]
Where It and It‐1 are daily index values at time t and t‐1.
Sharpe’s Market model is used to compute the expected return as:
Rit = αi + βi Rmt + εit
Where Rit = expected return on security i at time t. Rmt is the return on
the market index at time t, αi is the estimate of the intercept for share of
company i and εit is the independently and identically distributed residual
error term.

In the next step, we calculated “abnormal” return as:
ARit = Rit ‐ αi + βi Rmt.
ARs are averaged over the number of companies for each day
surrounding the event day (i.e, ‐30 to +30 days) by using the following
equation:
(AARt) = ΣARit / N
In the next step CAAR is calculated on the days surrounding the event as:
(CAARd) = Σ AARt.
Further t‐testing is done to test the hypothesis.

ANALYSIS AND INTERPRETATION:

ABNORMAL RETURNS (AR):

T0 RELIANCE INFOSYS TCS ICICI ONGC
-30 0.0028605 -0.001823 -0.0043704 -0.0082994 0.00899467
-29 -0.0049497 -0.010513 -0.0037959 0.03088824 0.00015094
-28 -0.0010492 -0.014942 0.02154405 -0.0260884 -0.01221923
-27 0.0014261 -0.005469 -0.016187 0.01018012 -0.02073437
-26 0.0024854 0.014579 -0.0119749 -0.0159377 -0.00654829
-25 0.0055566 0.00361 0.00638151 0.01482426 -0.00728445
-24 0.0046934 0.006756 -0.0021259 -0.0860125 0.00767766
-23 -0.0038127 -0.014024 0.00803071 -0.0273367 -0.01114729
-22 0.0028737 -0.000792 -0.0128556 0.03196647 0.01313339
-21 0.0058485 0.007547 -0.0086554 -0.0509609 0.0152847
-20 -0.0059019 -0.004713 0.00219379 -0.0369972 0.00297892
-19 0.0138423 -0.009291 0.00531973 -0.017301 -0.01310221
-18 0.0216495 -0.003089 0.01538091 0.06929049 0.00348661
-17 -0.0082492 -0.003147 -0.0045711 0.04835402 -0.00289795
-16 0.0078679 -0.000163 0.01311954 -0.0180355 -0.01024922
-15 -0.004964 -0.003938 0.00831306 -0.0255178 -0.00106636
-14 -0.0077991 0.01202 0.01148228 0.00576606 0.01020299
-13 -0.0203388 -0.009592 0.02047208 0.03565115 -0.00392898
-12 -0.0086271 -0.013428 -0.0097734 -0.0115489 -0.01552053
-11 0.0069629 0.002501 0.00341825 -0.0052145 0.01300292
-10 -0.0025288 0.022365 -0.0050939 -0.0358051 -0.01130385
-9 -0.0009952 0.002373 0.01411452 0.01418502 -0.02699515
-8 -0.004989 0.011712 -0.0038875 -0.0180457 0.00241821
-7 -0.0088214 0.003415 0.01191921 0.01583405 0.01494487
-6 -0.0033301 0.040167 0.01039033 -0.0402262 0.03457889
-5 -0.0019617 0.003772 -0.0047227 0.01635272 0.00649424
-4 -0.0049338 0.019393 -0.0030596 -0.0026684 0.01871309
-3 0.0191871 -0.006947 -0.0148311 0.00045995 -0.00332535
-2 0.0104939 -0.012981 0.00031566 0.01815464 0.00554163
-1 -0.0003651 0.001379 -0.0100835 -0.0068631 0.01203332
0 -0.0066731 0.004611 0.00816256 -0.0256872 -0.02007948
1 -0.0039421 -0.00281 -0.0012823 0.02797434 0.00385833
2 0.0013778 0.002188 -0.0026417 -0.0152946 -0.0049265
3 -0.0012082 -0.01029 -0.0069468 -0.0110566 6.5549E-05
4 0.0009541 0.009682 -0.0095006 -0.0029239 -0.00711302
5 -0.0065692 -0.006378 -0.007355 0.01438978 0.00871907
M. P.BIRLA INSTITUTE OF MANAGEMENT

19
6 0.0011002 0.008766 -0.0015834 -0.0202843 0.0251411

7 0.0021719 -0.010292 -0.0041979 -0.0161868 0.02684961
8 0.0029145 -0.002507 -0.0035255 -0.0108632 0.0102472
9 0.0031837 -0.01547 -0.0025152 -0.0100198 -0.01737718
10 -0.0106725 -0.008927 -0.000777 0.04657122 0.01137153
11 -0.006647 -0.004175 -0.0021096 0.02675515 -0.00810996
12 -0.0038298 0.017032 -0.0065585 -0.0435785 -0.01185786
13 -0.0046894 0.015199 0.00184026 0.0671674 0.00450614
14 0.0058096 -5.2E-05 -0.0002289 -0.0133689 -0.02610927
15 -0.0063343 -0.008527 0.00478233 0.04939687 0.01710732
16 0.0066111 0.003058 0.00244868 -0.0042863 -0.01665735
17 0.0161392 0.020524 0.00868946 0.00390947 -0.00343377
18 -0.0025304 0.002183 0.00351056 -0.0035291 0.0038146
19 0.0051672 -0.011299 -0.0107528 0.01821263 0.01982712
20 0.0098067 -0.001602 0.01937441 -0.0092952 0.00034491
21 0.0051718 0.028687 0.00823455 -0.0041189 -0.00022336
22 0.0026583 -0.013791 0.00523649 0.016593 0.0015679
23 0.0012233 -0.022891 -0.0073022 -0.0223182 -0.00889782
24 -0.0061002 0.006321 -0.0242088 0.03481733 -0.0126905
25 -0.0182861 -0.002807 0.03376934 0.04601299 0.00049572
26 0.0103168 -0.012875 -0.0185946 -0.0106992 0.00174783
27 0.0238562 -0.014517 -0.0094838 0.01256731 -0.02199762
28 -0.0220331 -0.006175 0.01525066 -0.0274986 0.00314758
29 0.0132673 0.003842 0.00150037 -0.0147628 -0.00492155
30 -0.0033576 -0.003444 -0.0109976 0.0223564 0.00226991
AR/N -1.536E-18 1.61E-18 0.00030566 -2.275E-19 3.1282E-19


20
SAIL SBIN GUJ AMB SIEMENS CIPLA STER

0.0116169 -0.012758 -0.0257909 0.0007879 0.0031395 0.0013082
0.004158 -0.031356 0.0035998 -0.019342 -0.0046354 0.049882
0.0317292 0.005838 0.0258731 0.0141679 -0.001826 -0.0112022
-0.0143657 0.0714124 -0.0027886 0.0805224 0.0346564 0.0025407
-0.0307912 -0.085255 0.0072928 -0.031912 -0.013848 0.0129125
-0.0192925 -0.042892 -0.0072213 -0.084023 0.0235523 -0.01035
0.0037956 -0.005406 0.0178022 -0.025282 -0.0116018 -0.0215701
-0.0155053 0.0234766 0.0028766 0.0162557 -0.0079394 0.0153973
0.0014577 0.1775558 0.0090265 -0.009254 0.0147799 0.0216846
0.0226235 -0.188909 0.003374 -0.016964 -0.0077892 0.0444225
-0.0022657 0.0006258 0.0317544 0.0305964 -0.0002642 -0.0184686
0.0001863 0.0141321 -0.0127664 0.0138058 0.0274717 -0.0146397
-0.0154258 0.1569487 -0.0577674 -0.019265 -0.0295772 0.0072433
-0.0340247 -0.140275 0.0044566 -0.010771 0.0195869 -0.0242718
0.0028547 -0.018885 -0.0062354 0.0245827 -0.0015729 -0.0091176
-0.0111359 -0.027811 -0.0187048 0.0083927 0.0030858 0.0027017
-0.0021831 0.1804641 0.035223 0.0069603 0.0093611 0.0147907
-0.0046607 -0.194267 0.0070771 -0.019256 0.0106724 -0.0535067
-0.0080951 0.0238863 0.0196131 0.0438196 -0.0196925 -0.0132975
0.0786941 -0.01973 -0.0004076 -0.004767 0.0012294 0.0040119
-0.0343512 0.0329274 0.0041391 -0.017267 -0.010855 0.0029552
-0.0062772 -0.039619 -0.0088118 0.0106675 -0.0211296 0.0302785
-0.0013991 -0.047548 0.0052452 0.0119092 0.0133937 0.0044884
-0.0166282 0.0022122 -0.0092993 -0.002715 -0.0121701 0.0099567
0.0044748 -0.021832 -0.0166363 -0.014195 -0.0053247 0.0023465
-0.0022725 0.005881 -0.0056099 0.0011374 0.0170543 0.0005276
0.0539802 0.1121832 0.0133653 -0.012621 0.0140155 -0.019057
0.0386414 -0.122622 0.0181939 -0.012123 0.0255826 0.0234898
0.0143249 0.0535977 -0.0305995 -0.011382 -0.0279723 0.0538119
-0.0320306 0.0019957 -0.0042027 0.0212544 -0.0079439 -0.0234004
0.0056009 -0.012027 0.0154582 -0.005774 0.0180864 -0.0021822
-0.0140189 -0.020212 -0.0249659 -0.011294 0.004388 -0.0076119
-0.0405673 0.0117186 0.0041068 0.0007399 -1.538E-06 -0.008227
0.001409 0.0605799 0.0372633 0.0052134 -0.019899 -0.0097048
0.0294249 -0.00173 0.000342 -0.010404 -0.005259 -0.011578
-0.0147034 -0.00915 -0.0441785 -0.005748 -0.006002 0.0255185
-0.005913 -0.011478 -0.0470266 0.0072552 -0.0179349 -0.0136533
-0.0044864 -0.027982 0.0061172 -0.014357 0.0119467 0.0265865
0.0014927 0.0064366 0.0592229 0.0050685 -0.002532 -0.0372319
0.0002721 -0.016061 -0.0032606 0.0521905 0.012747 0.0015633
-0.0021908 0.0019784 -0.0767614 0.0101136 0.0200609 -0.0038797

21
0.0349821 0.0320723 0.0562402 0.0270511 -0.0076785 0.0042163

-0.0137516 0.0242544 -0.011079 -0.017073 0.0101211 -0.0160873
0.0077555 0.024599 -0.0429877 -0.01929 -0.0028512 0.0203825
-0.0112128 0.0018709 0.0009837 -0.024088 -0.0248737 -0.0204077
0.0266144 -0.007794 0.035927 0.0045962 0.0055553 -0.0028565
0.0107962 -0.028701 0.002481 -0.00015 -0.0272297 0.0197918
0.0213195 0.0141531 -0.0091229 -0.029902 0.0137977 0.0085576
0.0136974 -0.000992 0.0201145 0.0216449 -0.0054612 -0.0185153
-0.0364193 0.0111066 0.0326709 0.0166605 0.005202 -0.0048414
0.0114952 0.0129337 -0.0519127 0.0017758 -0.0049963 0.0139903
-0.0204409 -0.007087 -0.0065855 -0.005997 0.0184993 -0.0099834
-0.0473837 0.012333 -0.0180048 -0.002321 -0.0168791 -0.0001913
-0.0402702 -0.038435 0.0036699 0.012945 -0.0057273 0.0101228
0.0507651 -0.00144 -0.0029813 0.0034989 0.0018382 -0.0122956
0.0092214 -0.014299 0.0178546 -0.001777 0.0048183 -0.0150251
-0.009688 0.0565545 0.0195571 0.0051494 -0.0100038 -0.0090026
-0.0122676 -0.007145 0.0193243 0.0002223 0.0003132 -0.0168489
0.0097753 0.0417348 0.0078238 -0.011726 0.0118956 -0.0099813
0.0158132 0.0168843 -0.0134591 0.0064449 -0.0065393 -0.0107463
0.0050464 0.0113519 0.0110981 0.0056083 -0.0088404 0.0242536
5.261E-19 1.393E-18 8.247E-19 -1.56E-18 6.825E-19 1.081E-18


22
SUZLON ACC ITC IPCL MARUTHI DR.REDDY

0.012147 -0.016475 0.0020104 -0.00377 -0.012716 0.002836
0.0234945 0.0196386 -0.025967 -0.01563 0.0077608 -0.01793
0.0223235 0.0068411 0.0062489 -0.017138 -0.00406 0.012085
0.0249317 0.0008366 -0.018413 -0.020069 0.0025732 0.024042
-0.023161 0.0059986 -0.000567 0.0135021 -0.002998 0.02636
-0.010702 0.0213999 -0.019427 -0.005366 -0.002321 0.012847
0.0037496 0.0061904 0.023486 0.0083645 -0.008017 0.013014
-0.106348 -0.0263165 0.0241696 0.0036193 -0.020965 0.027993
0.0206176 -0.0126553 0.0302592 -0.015061 -0.001855 0.013937
-0.026929 0.0041685 -0.004851 -0.004749 -0.001017 0.0274
-0.0565 0.0132549 -0.009727 0.0074171 0.0039607 0.0495
-0.016021 0.001769 0.0200798 -0.024237 -0.001083 0.004473
-0.029326 -0.0033106 -0.009639 0.0082502 0.0028531 0.005665
0.039663 0.0007165 0.014138 0.0077429 -0.00505 0.02257
0.032453 -0.0024535 -0.000987 0.0140601 0.0193586 0.0028
0.0364012 -0.0414931 0.0029628 0.0364158 -0.007342 0.029217
-0.001043 -0.0419149 0.0207287 -0.01993 -0.017562 0.000524
0.0161331 0.0392386 -0.012642 0.0041059 0.0094321 0.008097
0.0361687 0.0226862 -0.016633 -0.040752 -0.003446 0.018844
0.0051557 -0.0569894 0.0033409 -0.042154 -0.009549 0.008766
0.0091891 -0.0170645 0.0059122 -0.003169 -0.002614 0.007164
-0.018403 -0.0253155 0.0428495 0.0826874 -0.001832 0.000796
-0.002535 -0.043342 0.007138 0.0404086 -0.006622 0.011072
0.037895 0.0617273 -0.01259 -0.023732 -0.002304 0.036326
-0.033583 -0.0515264 -0.00763 -0.008196 -0.007344 0.015785
-0.018583 0.0328539 0.0069321 0.0008113 -0.000759 -0.004867
0.0169852 -0.0048707 -0.028972 0.0033575 0.0066917 -0.010427
0.0370571 -0.0575795 0.012585 0.0128966 0.02409 0.024588
-0.004064 -0.0424246 -0.002979 -0.00742 -0.002745 0.007965
-0.028803 0.0051389 -0.008457 -0.004041 -0.005011 -0.000758
-0.040732 0.0077938 -0.022034 -0.020212 -0.001822 -0.695268
-0.006207 -0.0170156 0.0142753 -0.01804 -0.007577 0.004855
0.0043419 -0.0062279 0.0042475 0.0067149 -0.002579 0.019009

23
-0.018006 0.0216956 0.007596 0.0105188 -0.00817 0.020131

-0.020592 0.0157837 -0.009876 0.0014001 0.0190715 0.036534
-0.002243 0.0045561 0.0147815 -0.004339 0.0065337 -0.00406
-0.009342 -0.0012773 -0.00902 -0.002188 0.0050424 -0.001103
-0.000469 -0.0054353 0.0093698 0.0004507 0.0075073 0.018096
0.0095728 -0.0112822 0.0125032 0.0072577 0.0162463 0.006885
0.0090012 0.0083991 -0.017243 0.0058159 -0.008374 0.023261
0.0076115 0.00162 -0.031905 -0.009234 -0.003358 0.001262
-0.011054 0.0030001 -0.020241 -0.009567 0.031027 0.005631
-0.015865 -0.0285171 6.661E-06 -0.005365 0.0238108 0.030701
0.0049839 0.0001158 -0.021341 -0.001983 0.0141345 0.022155
-0.008826 0.0311967 -0.005539 0.0049215 -0.00339 0.007882
0.0031712 -0.0132707 0.0134267 -0.004275 0.011625 0.022571
0.0567358 0.0089046 0.0098747 0.0063118 -0.013695 0.019648
0.0039927 0.0304943 0.0132114 0.0146134 -0.001838 -0.001215
0.0226576 0.010415 -0.010587 -0.000605 -0.013065 0.004485
0.0454545 -0.0146494 -0.017228 0.008085 -0.015121 0.003193
-0.02955 -0.0095157 0.0101742 0.0044437 -0.003682 0.002097
0.0226267 0.0282769 0.0026939 0.0107873 4.766E-05 0.002673
0.003172 0.0533827 0.0239715 0.0092994 -0.005631 0.008725
-0.016608 0.0315743 -0.015435 -0.004186 -0.004142 -0.00941
-0.039679 0.0137103 -0.01015 -0.01302 0.0042255 0.020899
0.0037224 -0.0352041 0.0066634 -0.006575 0.01552 0.010237
0.0100013 0.007589 -9.35E-05 0.0085604 -0.018801 0.003722
0.0255043 0.0058717 0.0022092 0.0187732 0.0336015 0.000539
-0.007055 0.0282394 -0.007951 -0.009426 -0.006105 0.00649
0.0007118 0.0207396 0.0030706 0.00112 -0.003182 0.009671
-0.005398 0.0103091 0.0072091 0.0017158 -0.017365 0.019021
-2.99E-19 6.256E-19 1.507E-18 -1.21E-18 -9.67E-19 2.5E-18


24
HINDALCO BPCL GAIL MTNL TATA PWR PNB

0.0300901 -0.025764 0.0043107 0.0215754 0.0174255 -0.011715
3.405E-05 -0.004334 0.0066906 -0.021092 0.0260914 -0.002286
-0.0368743 -0.005859 0.0148091 0.0173434 -0.007099 0.0035782
-0.0131351 -0.000308 0.0024142 0.0671761 -0.012666 0.0015263
0.0399105 -0.006306 -0.009077 -0.016399 -0.038649 0.0035301
-0.0357263 0.0006153 0.0030626 0.0227833 -4.45E-05 0.0137536
0.0035008 -0.008362 0.0217455 0.0089256 0.0209167 -0.022012
-0.1221294 -0.019364 0.006511 -0.004762 0.0131286 0.0027751
-0.0376079 -0.016372 -0.005372 -0.027788 -0.047151 -0.031977
0.0280197 0.0146733 -0.007072 0.0009969 -0.018532 0.0291777
0.0171191 0.0047885 -0.00216 0.0087778 -0.00344 -0.000522
-0.0207925 0.0097827 0.0119492 -0.014078 -0.049791 -0.003863
0.0142656 0.0103916 0.0120689 0.0560554 0.0441647 0.0168043
0.0172947 -0.019735 0.0265625 -0.015151 0.0088261 -0.008062
-0.0063631 0.0038516 -0.011675 0.0101869 -0.015826 -0.007192
0.0044368 -0.003854 -0.018964 -0.015593 -0.004599 0.0151741
0.0130237 0.0063627 -0.012935 0.0184426 0.0028699 -0.011896
0.0010584 -0.005064 0.0133746 -0.014062 -0.014042 -0.013948
0.005239 0.023582 -0.042383 -0.011687 0.0136423 -0.013807
-0.0264912 0.032163 -0.033601 0.009624 0.0014977 -0.008416
0.0269212 0.0123985 0.0338908 -0.012674 -0.006208 0.0163263
0.0136415 -0.00824 0.0158482 -0.019758 -0.023672 0.025997
-0.0464705 0.0135708 -0.016272 -0.009716 0.0442018 -0.03305
-0.0179288 0.0239624 0.0376349 -0.01109 0.0062539 0.000372
0.0164166 0.0220142 -0.016584 -0.000869 0.0365436 0.0034537
-0.0173493 0.0018398 -0.0038 -0.03285 -0.012852 -0.011346
0.001444 -0.017717 -0.063276 -0.065025 -0.00613 -0.003041
0.0086153 -0.000241 0.0330473 -0.018524 -0.026512 -0.010927
0.0158949 0.0296699 0.0220717 0.0352782 0.0118259 0.0088726
0.022826 0.0388572 -0.018691 0.0156975 0.0055538 -0.010441
0.0039378 -0.04095 -0.030925 -0.022148 0.0073844 -0.048046
-0.0202136 -0.00948 -0.01255 -0.018009 -0.006409 -0.018152
0.0340612 0.0363924 0.0218509 -0.010637 0.0191426 -0.001201
-0.0079657 0.0186587 -0.009817 -0.007901 -0.031597 0.0172566
-0.0079811 0.0010761 0.024231 0.0092325 0.0395281 0.0011651
0.0044049 0.0045103 -0.024391 0.0132636 -0.022254 -0.026332
-0.0053637 -0.024873 0.0378265 -0.003042 0.0351343 0.0023642
-0.0061496 -0.009826 0.0346704 -0.009136 0.0132704 0.0505919
-0.0221354 0.0157773 -0.019158 -0.011252 -0.002371 -0.003834
0.0166294 0.01505 -0.023721 0.0274617 -0.012268 -0.011635
0.0252772 -0.00647 -0.014963 0.0268627 -0.022514 0.0247917

25
0.0016418 -0.006901 -0.001101 0.0323963 0.0060214 -0.010222

0.0046445 -0.011954 -0.010659 0.0197829 0.0073189 0.0134816
0.0130984 0.0194019 -0.014292 0.0166086 0.0144765 0.0101278
0.0094785 -0.005861 -0.001098 -0.044689 -0.002691 0.0068224
0.0055885 -0.024789 0.0316401 -0.027657 -0.004327 -0.015381
0.0413847 0.0134615 0.0394554 0.0112957 -0.017688 -0.001443
-0.0035283 -0.012741 0.0120381 0.007244 -0.007182 -4.96E-05
-0.0164242 -0.036263 0.022092 0.0242601 0.016509 0.0046381
0.0134643 -0.007373 -0.013566 0.0044156 -0.006111 0.0162704
0.0017754 -0.011292 -0.010568 0.0226718 0.0039207 -0.01632
0.0104192 0.0139619 0.0162284 -0.02353 0.0066318 0.0034502
0.0076876 0.0256334 -0.031138 -0.006575 -0.000222 -0.006696
-0.0036458 -0.007634 -0.021579 -0.007558 -0.017655 0.0214533
0.0097711 0.0163748 0.0053436 -0.019109 0.0014833 0.0147469
-0.0051391 -0.018844 -0.001976 0.0271235 -0.00757 0.0342813
0.0040918 -0.034698 -0.003619 0.0102645 -0.005557 -0.000256
-0.0062335 -0.004459 0.0115347 -0.025458 -0.003517 0.0015764
0.0195525 -0.016851 0.0115832 -0.001251 0.0225298 -0.003137
-0.01019 0.0089145 -0.012661 0.0122071 0.0147671 0.0098056
-0.0108224 -0.004958 -0.01484 -0.008884 -0.003914 -0.006958
-2.076E-18 -4.55E-19 -2.56E-19 -1.37E-18 1.01E-18 1.066E-18


26
HERO HIND
HONDA PETRO GRASIM VSNL GLAXO DABUR
-0.005441 0.0248279 -0.008227 -0.010147 0.028921 0.0128443
0.004441 -0.005076 -0.009878 -0.006899 0.0074442 -0.012481
-0.006569 -0.014937 0.0054687 0.0197128 -0.00879 0.0098119
-0.014072 0.0655207 -0.011138 0.0197792 0.0187938 0.0398507
-0.025449 -0.009386 0.0075581 -0.005412 0.0191746 0.0068092
0.016893 0.0226117 0.0247105 -0.022169 -0.012249 -0.014958
-0.056845 -0.036375 -0.004535 -0.002622 -0.009857 -0.003386
0.000908 0.0065683 0.0051968 0.0006337 -0.014939 -0.003736
-0.019944 -0.001412 -0.0037 -0.014987 -0.004813 -0.015452
0.016237 -0.022961 0.0005129 -0.00104 -0.026444 0.0126708
0.005303 -0.014749 -0.0312 -0.001752 -0.01767 0.025689
0.016132 -0.034233 -0.017289 -0.002703 -0.010503 -0.005185
0.002044 -0.038872 -0.004199 -0.028186 0.0269019 -0.015019
-0.008646 0.0155147 -0.015782 -0.005769 0.0121097 0.0375473
0.002902 0.0173796 -0.004606 0.0084791 0.0028635 -0.048678
-0.001063 -0.008627 -0.037793 0.0125244 0.0035756 -0.002206
-0.005669 -0.020825 -0.042184 0.005181 0.0092837 0.0102512
-0.020575 -0.019753 0.0312647 0.000543 0.0003808 -0.000798
-0.022215 -0.003409 0.0111692 -0.006983 0.0234994 0.0121607
0.013377 -0.012923 -0.021933 -0.022896 0.0021767 -0.027562
0.010206 0.0044286 -0.033193 0.0086936 -0.005948 0.0273098
-0.012571 0.0470495 -0.012026 -0.032255 -0.01232 -0.030234
-0.00366 0.00457 0.0369361 0.0283574 -0.006384 -0.02504
0.005997 -0.019269 -0.005005 -0.004713 0.0005788 0.0065386
-0.015647 -0.013121 -0.001367 0.0081027 0.0002029 -0.01173
-0.022474 0.0097259 0.0330882 0.01731 0.0362222 -0.015067
-0.008323 0.0234221 -0.062342 0.0164159 -0.023436 -0.017006
0.009233 -0.026724 -0.029562 -0.027738 0.0054484 0.0104703
-0.005309 0.0034768 0.0146867 0.003494 -7.92E-05 -4.31E-06
0.030817 -0.00494 0.0168579 0.0247355 0.0096642 -0.005499
-0.023267 0.0107968 -0.003211 -0.008257 -1.29E-05 -0.030178
0.028292 -0.002181 0.0075723 0.0023511 0.0030949 -0.003498
-0.015176 0.0145386 0.0011472 -0.010261 0.0004514 -0.012842
0.018586 -0.006546 0.037725 0.0135813 -0.016106 0.0275086
-0.012378 -0.006114 -0.021347 0.0212875 0.0016517 0.0228408
0.012223 0.0530356 -0.030133 0.0253286 -0.009972 0.0320004

27
-0.002867 0.029567 0.0044556 -0.012955 -0.022445 -0.020713

0.015516 -0.004674 0.0057766 0.0297796 -0.012172 0.0085048
0.000236 -0.008773 0.0138583 -0.004864 -0.002271 -0.006987
0.000781 -0.003547 -0.013999 -0.004632 -0.020603 0.0440744
0.003553 0.0113427 0.0169462 -0.002914 -0.016548 0.0079334
0.001975 0.0230614 0.024999 -0.004287 0.0326316 -0.00956
0.00381 -0.031097 0.0112128 0.0142825 -0.000813 -0.008938
0.00547 0.0116976 -0.026333 -0.001753 0.0084415 0.0133586
-0.009714 0.0519918 0.0212056 -0.007108 -0.007262 -0.029752
0.002478 0.0176028 0.0283277 0.0059664 -0.006129 0.005298
-0.003708 0.0050936 0.0155062 0.0038864 -0.006295 0.0017328
-0.009386 0.0051644 -0.005758 0.0011801 0.0238278 0.0111073
0.033459 -0.007312 0.0220651 0.0027401 -0.001174 -0.01873
0.026554 -0.023508 -0.001898 0.0023096 0.0069752 -0.006249
0.03289 0.0220281 0.0219983 -0.034943 -0.000647 0.0071117
0.00447 -0.015395 0.0065845 0.0002838 0.0035333 0.0487228
-0.019396 0.0018981 -0.015688 -0.002121 0.0167275 0.0135165
0.002265 -0.036992 0.0134138 0.0064423 0.0033907 -0.041981
0.005446 -0.007297 -0.000568 0.0054476 -0.008668 -0.002217
-0.000792 -0.005481 0.0047899 0.0071414 -0.010337 0.0154945
0.003433 -0.019316 -0.018133 -0.022953 0.0157379 -0.001778
-0.011265 -0.01323 0.0220754 0.004553 -0.015254 -0.014523
-0.001214 0.0142131 0.0289835 -0.005091 0.0285188 -0.018101
0.011007 -0.013127 -0.014184 -0.009918 -0.013105 0.0041899
0.0167 -0.004944 0.011119 0.0078052 -0.02898 0.0047408
-2.28E-19 -5.69E-20 3.128E-18 1.152E-18 3.981E-19 -5.83E-19


28
BAJAJ TATA
AUTO SATYAM BHEL MOTORS TATA STEEL
0.0260349 0.001875 -0.008027 0.022985336 0.026831677
0.02743379 0.003573 -0.003063 -0.001081569 0.011540996
-0.00020898 -0.003271 -0.010814 0.008344703 -0.056224561
-0.01467125 0.007895 -0.006688 -0.001117357 0.021939582
-0.04287343 0.022503 -0.00082 -0.011349965 0.036759582
0.03969517 0.006852 0.0070123 0.010650863 0.01490657
-0.01822066 0.013432 0.0043382 -0.04338219 0.008323294
0.00019319 0.000167 -0.001031 -0.019357003 -0.007884758
0.00409379 -0.679689 -0.030351 0.035403349 0.004429973
-0.00824621 0.013997 -0.025143 0.009869811 -0.005847607
-0.00274539 0.03437 0.0110446 -0.002760123 -0.007572949
0.01011849 0.005827 -0.019556 0.011055765 -0.006727837
0.00026803 0.002267 0.0164117 -0.032192416 0.014242354
0.00965276 0.013453 0.0047999 0.041454847 -0.023397433
-0.02181256 0.048564 0.0018174 -0.017902627 -0.021941148
-0.00492288 0.011203 -0.006854 0.014390438 -0.033083004
-0.0144538 0.002566 0.0169197 0.023361588 -0.008607725
-0.00911583 -0.016958 0.0084299 0.006639866 0.009696657
0.03001492 0.012504 0.0151148 0.002252903 -0.004453087
0.03627497 0.01174 0.0154294 0.021443736 -0.022001719
0.02045729 0.015387 0.0314792 -0.006320785 0.029269858
0.0207648 -0.00138 0.0171009 -0.00270044 -0.025390162
-0.01876019 -0.008515 -0.02607 0.000875204 -0.032665767
-0.01963212 0.040317 -0.011988 -0.036194624 0.009392657
-0.0161031 -0.006976 -0.00303 -0.017134409 0.000737147
0.00601493 -0.016306 -0.002596 0.005909202 -0.007250633
0.00322517 0.004411 -0.010067 0.048720566 0.017959788
-0.00128142 0.002371 0.0054564 0.009694327 0.016454828
-0.01738568 0.002448 0.0080861 -0.018218013 -0.010906046
0.04205361 0.012823 -0.029834 -0.002960706 0.029150915
-0.02759171 0.035162 -0.008753 -0.021120961 0.025445278
0.00310986 -0.011071 6.043E-05 -0.003795327 0.037813092
-0.00794292 0.007259 -0.001156 -0.018831973 -0.013315572
0.01309164 0.023169 -0.009335 0.005831966 0.003875044
-0.00192757 -0.003886 0.0085836 -0.003769631 0.002956716
0.00030354 0.037278 -0.016712 0.025869057 -0.015995359
0.01921606 0.009572 0.0062729 -0.009220318 -0.006649255
-0.00468538 0.028591 0.0221073 -0.016213483 0.01445812
0.00429102 0.013968 -0.008742 0.017804799 0.001711327
-0.03250209 0.053256 -0.001499 -0.015541824 -0.000871102
-0.00188159 -0.019212 0.0254068 0.011510876 -0.01625877

29
-0.01016531 0.009895 -0.025783 -0.005043433 -0.014388144

-0.00715113 0.009746 -0.008437 -0.002442797 -0.026486335
-0.00891429 -0.007194 0.003615 -0.029349957 0.007590422
-0.01634732 0.01499 -0.01565 -0.009940635 -0.030071254
0.01699415 0.019811 0.0010582 0.010155316 0.050788976
0.00931298 0.013577 0.0335016 -0.023131929 0.01743922
-0.00466067 -0.009758 -0.022742 -0.017920863 0.008426274
-0.00871966 0.014619 -0.002273 -0.003176162 -0.012170256
-0.0199778 0.015819 -0.006131 -0.02006061 -0.018112641
0.00563166 0.020126 -0.000954 0.010156143 0.017830916
-0.02002623 0.000962 -0.012388 0.006688775 0.03205139
-0.00622482 0.034005 -0.017466 0.003006426 -0.010639779
0.0050816 0.034969 0.0407902 0.005199562 0.019105231
0.01705864 0.019464 -0.022332 0.013029328 -0.009025067
0.0127717 0.023053 0.0071087 -0.002219559 -0.019995781
0.02089503 0.015209 0.0220611 -0.003881685 -0.027216112
-0.00308063 0.005034 0.0218941 0.014649772 0.002239175
0.00939136 0.008291 0.0042351 -0.015007285 -0.003217396
-0.00039056 0.006625 0.0299164 0.024480481 0.014347955
-0.02082191 0.019219 -0.013769 0.011905653 -0.009347758
-1.1944E-18 8.13E-18 -8.53E-20 2.33192E-18 -2.10442E-18


30
CUMULATIVE AVERAGE ABNORMAL RETURNS (CAAR)

T RELIANCE INFOSYS TCS ICICI ONGC SAIL
-30 0.0028605 -0.001823 -0.00437 -0.0083 0.008995 0.011617
-29 -0.002089 -0.012336 -0.00817 0.02259 0.009146 0.015775
-28 -0.003138 -0.027277 0.01338 -0.0035 -0.00307 0.047504
-27 -0.001712 -0.032747 -0.00281 0.00668 -0.02381 0.033138
-26 0.0007731 -0.018168 -0.01478 -0.00926 -0.03036 0.002347
-25 0.0063297 -0.014558 -0.0084 0.00557 -0.03764 -0.016945
-24 0.0110231 -0.007802 -0.01053 -0.08045 -0.02996 -0.01315
-23 0.0072104 -0.021826 -0.0025 -0.10778 -0.04111 -0.028655
-22 0.0100841 -0.022618 -0.01535 -0.07582 -0.02798 -0.027197
-21 0.0159326 -0.015071 -0.02401 -0.12678 -0.01269 -0.004574
-20 0.0100307 -0.019784 -0.02182 -0.16377 -0.00971 -0.00684
-19 0.023873 -0.029075 -0.0165 -0.18107 -0.02282 -0.006653
-18 0.0455224 -0.032165 -0.00111 -0.11178 -0.01933 -0.022079
-17 0.0372732 -0.035312 -0.00569 -0.06343 -0.02223 -0.056104
-16 0.0451411 -0.035475 0.00743 -0.08147 -0.03248 -0.053249
-15 0.0401772 -0.039413 0.01575 -0.10698 -0.03354 -0.064385
-14 0.0323781 -0.027393 0.02723 -0.10122 -0.02334 -0.066568
-13 0.0120392 -0.036985 0.0477 -0.06557 -0.02727 -0.071229
-12 0.0034121 -0.050413 0.03793 -0.07712 -0.04279 -0.079324
-11 0.0103751 -0.047912 0.04135 -0.08233 -0.02979 -0.00063
-10 0.0078463 -0.025547 0.03625 -0.11813 -0.04109 -0.034981
-9 0.0068511 -0.023174 0.05037 -0.10395 -0.06809 -0.041258
-8 0.001862 -0.011462 0.04648 -0.122 -0.06567 -0.042657
-7 -0.006959 -0.008047 0.0584 -0.10616 -0.05072 -0.059285
-6 -0.010289 0.0321205 0.06879 -0.14639 -0.01614 -0.054811
-5 -0.012251 0.0358927 0.06407 -0.13003 -0.00965 -0.057083
-4 -0.017185 0.0552857 0.06101 -0.1327 0.009064 -0.003103
-3 0.0020021 0.0483383 0.04618 -0.13224 0.005739 0.035538
-2 -0.008492 0.0353575 0.04649 -0.11409 0.011281 0.049863
-1 -0.008857 0.0367368 0.03641 -0.12095 0.023314 0.017833
0 -0.01553 0.0413481 0.04457 -0.14664 0.003234 0.023434
1 -0.019472 0.0385383 0.04329 -0.11866 0.007093 0.009415
2 -0.018094 0.040726 0.04065 -0.13396 0.002166 -0.031153
3 -0.019303 0.0304358 0.0337 -0.14502 0.002232 -0.029744
4 -0.018348 0.0401176 0.0242 -0.14794 -0.00488 -0.000319
5 -0.024918 0.0337395 0.01684 -0.13355 0.003838 -0.015022
6 -0.023817 0.0425054 0.01526 -0.15383 0.028979 -0.020935
7 -0.021646 0.0322133 0.01106 -0.17002 0.055828 -0.025422
8 -0.018731 0.029706 0.00754 -0.18088 0.066076 -0.023929
9 -0.015547 0.0142358 0.00502 -0.1909 0.048698 -0.023657
10 -0.02622 0.0053084 0.00424 -0.14433 0.06007 -0.025848

31
11 -0.032867 0.0011331 0.00214 -0.11758 0.05196 0.009134

12 -0.036697 0.0181649 -0.00442 -0.16116 0.040102 -0.004617
13 -0.041386 0.0333635 -0.00258 -0.09399 0.044608 0.003138
14 -0.035576 0.0333115 -0.00281 -0.10736 0.018499 -0.008074
15 -0.041911 0.0247842 0.00197 -0.05796 0.035606 0.01854
16 -0.0353 0.0278426 0.00442 -0.06225 0.018949 0.029336
17 -0.01916 0.0483667 0.01311 -0.05834 0.015515 0.050656
18 -0.021691 0.0505496 0.01662 -0.06187 0.01933 0.064353
19 -0.016524 0.0392509 0.00587 -0.04365 0.039157 0.027934
20 -0.006717 0.037649 0.02524 -0.05295 0.039502 0.039429
21 -0.001545 0.0663362 0.03348 -0.05707 0.039279 0.018988
22 0.0011133 0.0525451 0.03871 -0.04048 0.040846 -0.028396
23 0.0023366 0.029654 0.03141 -0.06279 0.031949 -0.068666
24 -0.003764 0.0359749 0.0072 -0.02798 0.019258 -0.017901
25 -0.02205 0.0331683 0.04097 0.01804 0.019754 -0.008679
26 -0.011733 0.0202936 0.02238 0.00734 0.021502 -0.018367
27 0.0121234 0.0057769 0.01289 0.01991 -0.0005 -0.030635
28 -0.00991 -0.000398 0.02814 -0.00759 0.002652 -0.02086
29 0.0033576 0.0034444 0.02964 -0.02236 -0.00227 -0.005046
30 -9.37E-17 9.801E-17 0.01865 0 1.91E-17 3.21E-17

32
GUJ
SBIN AMB SIEMENS CIPLA STER SUZLON
-0.0128 -0.0258 0.0007879 0.00314 0.001308 0.012147
-0.0441 -0.0222 -0.018554 -0.0015 0.05119 0.0356415
-0.0383 0.00368 -0.004386 -0.00332 0.039988 0.05796501
0.03314 0.00089 0.0761365 0.031335 0.042529 0.08289666
-0.0521 0.00819 0.0442241 0.017487 0.055441 0.05973589
-0.095 0.00096 -0.039799 0.041039 0.045091 0.04903399
-0.1004 0.01877 -0.065081 0.029437 0.023521 0.05278357
-0.0769 0.02164 -0.048825 0.021498 0.038918 -0.05356483
0.10062 0.03067 -0.058079 0.036277 0.060603 -0.03294728
-0.0883 0.03404 -0.075043 0.028488 0.105025 -0.05987638
-0.0877 0.0658 -0.044446 0.028224 0.086557 -0.11637686
-0.0735 0.05303 -0.03064 0.055696 0.071917 -0.13239818
0.08341 -0.0047 -0.049905 0.026118 0.07916 -0.16172429
-0.0569 -0.0003 -0.060676 0.045705 0.054889 -0.12206128
-0.0757 -0.0065 -0.036093 0.044132 0.045771 -0.08960828
-0.1036 -0.0252 -0.027701 0.047218 0.048473 -0.05320709
0.07691 0.01 -0.02074 0.056579 0.063264 -0.05424987
-0.1174 0.01708 -0.039997 0.067252 0.009757 -0.03811675
-0.0935 0.03669 0.0038231 0.047559 -0.00354 -0.00194808
-0.1132 0.03629 -0.000943 0.048789 0.000471 0.00320759
-0.0803 0.04043 -0.018211 0.037934 0.003426 0.0123967
-0.1199 0.03161 -0.007543 0.016804 0.033705 -0.00600585
-0.1674 0.03686 0.004366 0.030198 0.038193 -0.00854127
-0.1652 0.02756 0.001651 0.018028 0.04815 0.02935377
-0.1871 0.01092 -0.012544 0.012703 0.050497 -0.00422935
-0.1812 0.00531 -0.011407 0.029757 0.051024 -0.02281237
-0.069 0.01868 -0.024027 0.043773 0.031967 -0.00582718
-0.1916 0.03687 -0.03615 0.069356 0.055457 0.03122991
-0.138 0.00627 -0.047532 0.041383 0.109269 0.02716572
-0.136 0.00207 -0.026278 0.033439 0.085868 -0.00163714
-0.1481 0.01753 -0.032052 0.051526 0.083686 -0.04236928
-0.1683 -0.0074 -0.043346 0.055914 0.076074 -0.04857587
-0.1565 -0.0033 -0.042606 0.055912 0.067847 -0.04423398
-0.096 0.03393 -0.037392 0.036013 0.058142 -0.06223979
-0.0977 0.03427 -0.047796 0.030754 0.046564 -0.08283207
-0.1069 -0.0099 -0.053545 0.024752 0.072083 -0.08507458
-0.1183 -0.0569 -0.04629 0.006817 0.05843 -0.09441634
-0.1463 -0.0508 -0.060646 0.018764 0.085016 -0.094885
-0.1399 0.00841 -0.055578 0.016232 0.047784 -0.08531218
-0.1559 0.00515 -0.003387 0.028979 0.049348 -0.07631096

33
-0.154 -0.0716 0.0067266 0.04904 0.045468 -0.0686995

-0.1219 -0.0154 0.0337777 0.041361 0.049684 -0.07975335
-0.0976 -0.0265 0.0167047 0.051482 0.033597 -0.09561817
-0.073 -0.0694 -0.002585 0.048631 0.053979 -0.0906343
-0.0712 -0.0685 -0.026673 0.023757 0.033572 -0.09946066
-0.079 -0.0325 -0.022077 0.029313 0.030715 -0.09628948
-0.1077 -0.03 -0.022227 0.002083 0.050507 -0.0395537
-0.0935 -0.0392 -0.052129 0.015881 0.059065 -0.035561
-0.0945 -0.0191 -0.030484 0.01042 0.040549 -0.01290338
-0.0834 0.01362 -0.013824 0.015622 0.035708 0.03255113
-0.0705 -0.0383 -0.012048 0.010625 0.049698 0.00300112
-0.0775 -0.0449 -0.018045 0.029125 0.039715 0.02562778
-0.0652 -0.0629 -0.020365 0.012245 0.039523 0.02879979
-0.1036 -0.0592 -0.00742 0.006518 0.049646 0.01219191
-0.1051 -0.0622 -0.003921 0.008356 0.037351 -0.02748686
-0.1194 -0.0443 -0.005699 0.013175 0.022326 -0.02376442
-0.0628 -0.0248 -0.000549 0.003171 0.013323 -0.01376316
-0.07 -0.0055 -0.000327 0.003484 -0.00353 0.01174114
-0.0282 0.00236 -0.012053 0.01538 -0.01351 0.00468612
-0.0114 -0.0111 -0.005608 0.00884 -0.02425 0.00539795
8.5E-17 5E-17 -9.54E-17 4.16E-17 6.59E-17 -1.8215E-17

34
ACC ITC IPCL MARUTHI DR.REDDY HINDALCO

-0.01647 0.00201 -0.00377 -0.0127 0.0028364 0.03009
0.00316 -0.02396 -0.0194 -0.005 -0.0150937 0.030124
0.01 -0.01771 -0.036538 -0.009 -0.0030091 -0.00675
0.01084 -0.03612 -0.056607 -0.0064 0.02103337 -0.01989
0.01684 -0.03669 -0.043105 -0.0094 0.04739313 0.020025
0.03824 -0.05611 -0.048471 -0.0118 0.06024015 -0.0157
0.04443 -0.03263 -0.040106 -0.0198 0.07325392 -0.0122
0.01811 -0.00846 -0.036487 -0.0407 0.10124663 -0.13433
0.00546 0.0218 -0.051548 -0.0426 0.11518323 -0.17194
0.00963 0.016949 -0.056297 -0.0436 0.14258364 -0.14392
0.02288 0.007222 -0.04888 -0.0397 0.19208404 -0.1268
0.02465 0.027302 -0.073117 -0.0407 0.19655684 -0.14759
0.02134 0.017663 -0.064867 -0.0379 0.20222172 -0.13333
0.02206 0.031801 -0.057124 -0.0429 0.22479131 -0.11603
0.0196 0.030814 -0.043064 -0.0236 0.22759132 -0.12239
-0.02189 0.033777 -0.006648 -0.0309 0.25680811 -0.11796
-0.0638 0.054506 -0.026578 -0.0485 0.25733164 -0.10493
-0.02457 0.041864 -0.022472 -0.039 0.26542907 -0.10388
-0.00188 0.025231 -0.063224 -0.0425 0.28427351 -0.09864
-0.05887 0.028572 -0.105379 -0.052 0.29303912 -0.12513
-0.07593 0.034484 -0.108548 -0.0547 0.30020281 -0.09821
-0.10125 0.077333 -0.025861 -0.0565 0.30099834 -0.08456
-0.14459 0.084471 0.0145479 -0.0631 0.31207077 -0.13104
-0.08286 0.071882 -0.009184 -0.0654 0.34839713 -0.14896
-0.13439 0.064252 -0.01738 -0.0728 0.36418218 -0.13255
-0.10154 0.071184 -0.016569 -0.0735 0.35931549 -0.1499
-0.10641 0.042211 -0.013211 -0.0668 0.34888878 -0.14845
-0.16399 0.054796 -0.000315 -0.0427 0.37347689 -0.13984
-0.20641 0.051818 -0.007734 -0.0455 0.38144151 -0.12394
-0.20127 0.043361 -0.011775 -0.0505 0.38068305 -0.10112
-0.19348 0.021326 -0.031987 -0.0523 -0.3145852 -0.09718
-0.21049 0.035602 -0.050027 -0.0599 -0.3097297 -0.11739
-0.21672 0.039849 -0.043313 -0.0625 -0.2907205 -0.08333
-0.19503 0.047445 -0.032794 -0.0706 -0.2705893 -0.0913
-0.17924 0.037569 -0.031394 -0.0516 -0.2340553 -0.09928
-0.17469 0.05235 -0.035732 -0.045 -0.2381157 -0.09487
-0.17596 0.04333 -0.03792 -0.04 -0.2392187 -0.10024
-0.1814 0.0527 -0.037469 -0.0325 -0.2211222 -0.10639
-0.19268 0.065203 -0.030212 -0.0162 -0.2142376 -0.12852
-0.18428 0.04796 -0.024396 -0.0246 -0.1909763 -0.11189
-0.18266 0.016056 -0.03363 -0.028 -0.1897141 -0.08661
-0.17966 -0.00419 -0.043197 0.00305 -0.1840826 -0.08497

35
-0.20818 -0.00418 -0.048562 0.02686 -0.1533817 -0.08033

-0.20806 -0.02552 -0.050545 0.041 -0.1312269 -0.06723
-0.17687 -0.03106 -0.045623 0.03761 -0.123345 -0.05775
-0.19014 -0.01763 -0.049898 0.04923 -0.1007738 -0.05216
-0.18123 -0.00776 -0.043586 0.03554 -0.0811259 -0.01078
-0.15074 0.005454 -0.028973 0.0337 -0.0823406 -0.01431
-0.14032 -0.00513 -0.029578 0.02064 -0.0778554 -0.03073
-0.15497 -0.02236 -0.021493 0.00551 -0.0746624 -0.01727
-0.16449 -0.01219 -0.017049 0.00183 -0.0725655 -0.01549
-0.13621 -0.00949 -0.006262 0.00188 -0.069893 -0.00507
-0.08283 0.014478 0.0030379 -0.0038 -0.0611682 0.002615
-0.05125 -0.00096 -0.001148 -0.0079 -0.0705786 -0.00103
-0.03754 -0.01111 -0.014168 -0.0037 -0.0496799 0.008741
-0.07275 -0.00444 -0.020743 0.01185 -0.0394431 0.003602
-0.06516 -0.00454 -0.012183 -0.0069 -0.0357212 0.007693
-0.05929 -0.00233 0.0065905 0.02665 -0.0351824 0.00146
-0.03105 -0.01028 -0.002836 0.02055 -0.0286924 0.021012
-0.01031 -0.00721 -0.001716 0.01737 -0.0190211 0.010822
3.8E-17 9.19E-17 -7.37E-17 -6E-17 1.5266E-16 -1.3E-16

36
HERO
BPCL GAIL MTNL TATA PWR PNB HONDA
-0.025764 0.004311 0.021575 0.017425 -0.011715 -0.00544
-0.030099 0.011001 0.000483 0.043517 -0.014001 -0.001
-0.035958 0.02581 0.017826 0.036418 -0.010423 -0.00757
-0.036266 0.028224 0.085002 0.023751 -0.008896 -0.02164
-0.042572 0.019148 0.068603 -0.014898 -0.005366 -0.04709
-0.041956 0.02221 0.091386 -0.014943 0.008387 -0.0302
-0.050318 0.043956 0.100312 0.005974 -0.013625 -0.08704
-0.069682 0.050467 0.09555 0.019103 -0.01085 -0.08614
-0.086054 0.045094 0.067762 -0.028048 -0.042827 -0.10608
-0.07138 0.038023 0.068759 -0.04658 -0.013649 -0.08984
-0.066592 0.035863 0.077537 -0.05002 -0.014171 -0.08454
-0.056809 0.047812 0.063459 -0.099811 -0.018035 -0.06841
-0.046417 0.059881 0.119514 -0.055647 -0.00123 -0.06636
-0.066153 0.086443 0.104363 -0.04682 -0.009292 -0.07501
-0.062301 0.074768 0.11455 -0.062646 -0.016484 -0.07211
-0.066155 0.055804 0.098957 -0.067245 -0.00131 -0.07317
-0.059792 0.042868 0.1174 -0.064376 -0.013207 -0.07884
-0.064857 0.056243 0.103337 -0.078418 -0.027155 -0.09941
-0.041275 0.01386 0.091651 -0.064775 -0.040962 -0.12163
-0.009112 -0.01974 0.101275 -0.063278 -0.049378 -0.10825
0.003287 0.01415 0.088601 -0.069486 -0.033052 -0.09805
-0.004953 0.029998 0.068843 -0.093157 -0.007055 -0.11062
0.008617 0.013726 0.059126 -0.048956 -0.040105 -0.11428
0.03258 0.051361 0.048036 -0.042702 -0.039733 -0.10828
0.054594 0.034776 0.047167 -0.006158 -0.036279 -0.12393
0.056434 0.030977 0.014318 -0.01901 -0.047625 -0.1464
0.038716 -0.0323 -0.05071 -0.02514 -0.050666 -0.15472
0.038476 0.000748 -0.06923 -0.051652 -0.061592 -0.14549
0.068146 0.02282 -0.03395 -0.039826 -0.052719 -0.1508
0.107003 0.004129 -0.01826 -0.034272 -0.063161 -0.11998
0.066053 -0.0268 -0.0404 -0.026887 -0.111207 -0.14325
0.056573 -0.03935 -0.05841 -0.033296 -0.129359 -0.11496
0.092965 -0.0175 -0.06905 -0.014154 -0.130559 -0.13013
0.111624 -0.02731 -0.07695 -0.045751 -0.113303 -0.11155
0.1127 -0.00308 -0.06772 -0.006223 -0.112138 -0.12392
0.11721 -0.02747 -0.05445 -0.028477 -0.138469 -0.1117
0.092337 0.010353 -0.0575 0.006657 -0.136105 -0.11457
0.082512 0.045023 -0.06663 0.019928 -0.085513 -0.09905
0.098289 0.025865 -0.07788 0.017557 -0.089348 -0.09882
0.113339 0.002144 -0.05042 0.00529 -0.100983 -0.09804
0.106869 -0.01282 -0.02356 -0.017224 -0.076191 -0.09448
0.099968 -0.01392 0.008837 -0.011203 -0.086413 -0.09251

37
0.088015 -0.02458 0.02862 -0.003884 -0.072931 -0.0887

0.107417 -0.03887 0.045229 0.010592 -0.062804 -0.08323
0.101556 -0.03997 0.000539 0.007901 -0.055981 -0.09294
0.076767 -0.00833 -0.02712 0.003575 -0.071362 -0.09046
0.090228 0.031127 -0.01582 -0.014113 -0.072805 -0.09417
0.077488 0.043165 -0.00858 -0.021296 -0.072855 -0.10356
0.041224 0.065257 0.015682 -0.004787 -0.068217 -0.0701
0.033851 0.051691 0.020098 -0.010897 -0.051946 -0.04354
0.022559 0.041123 0.04277 -0.006977 -0.068266 -0.01065
0.036521 0.057351 0.01924 -0.000345 -0.064816 -0.00618
0.062154 0.026213 0.012665 -0.000567 -0.071512 -0.02558
0.05452 0.004634 0.005107 -0.018222 -0.050058 -0.02332
0.070895 0.009977 -0.014 -0.016739 -0.035311 -0.01787
0.052051 0.008002 0.013122 -0.024309 -0.00103 -0.01866
0.017353 0.004383 0.023386 -0.029866 -0.001287 -0.01523
0.012894 0.015918 -0.00207 -0.033383 0.00029 -0.02649
-0.003957 0.027501 -0.00332 -0.010853 -0.002847 -0.02771
0.004958 0.01484 0.008884 0.003914 0.006958 -0.0167
-2.78E-17 -1.6E-17 -8.3E-17 6.16E-17 6.51E-17 0

38
HIND PETRO GRASIM VSNL GLAXO DABUR

0.02482794 -0.0082266 -0.01015 0.02892 0.012844
0.01975184 -0.0181045 -0.01705 0.03637 0.000364
0.00481517 -0.0126358 0.002666 0.02757 0.010176
0.07033583 -0.0237739 0.022446 0.04637 0.050026
0.06095011 -0.0162158 0.017033 0.06554 0.056836
0.08356179 0.0084947 -0.00514 0.05329 0.041877
0.04718723 0.0039598 -0.00776 0.04344 0.038492
0.05375556 0.0091566 -0.00712 0.0285 0.034756
0.05234333 0.005457 -0.02211 0.02369 0.019304
0.0293821 0.0059699 -0.02315 -0.00276 0.031974
0.01463324 -0.0252305 -0.0249 -0.02043 0.057663
-0.0196002 -0.0425196 -0.02761 -0.03093 0.052479
-0.0584723 -0.0467186 -0.05579 -0.00403 0.037459
-0.0429576 -0.0625008 -0.06156 0.00808 0.075007
-0.0255781 -0.0671069 -0.05308 0.01094 0.026329
-0.0342053 -0.1048999 -0.04056 0.01452 0.024122
-0.0550304 -0.1470835 -0.03538 0.0238 0.034374
-0.074783 -0.1158188 -0.03483 0.02418 0.033576
-0.0781916 -0.1046496 -0.04182 0.04768 0.045737
-0.0911146 -0.1265825 -0.06471 0.04986 0.018175
-0.086686 -0.1597754 -0.05602 0.04391 0.045484
-0.0396365 -0.1718017 -0.08827 0.03159 0.015251
-0.0350665 -0.1348657 -0.05992 0.02521 -0.00979
-0.0543351 -0.139871 -0.06463 0.02579 -0.00325
-0.0674559 -0.1412384 -0.05653 0.02599 -0.01498
-0.0577299 -0.1081502 -0.03922 0.06221 -0.03005
-0.0343079 -0.170492 -0.0228 0.03878 -0.04705
-0.0610322 -0.2000537 -0.05054 0.04423 -0.03658
-0.0575554 -0.185367 -0.04704 0.04415 -0.03659
-0.0624959 -0.1685091 -0.02231 0.05381 -0.04209
-0.0516991 -0.1717203 -0.03057 0.0538 -0.07226
-0.0538801 -0.164148 -0.02822 0.05689 -0.07576
-0.0393416 -0.1630008 -0.03848 0.05734 -0.0886
-0.0458875 -0.1252758 -0.02489 0.04124 -0.0611
-0.0520016 -0.1466229 -0.00361 0.04289 -0.03825
0.00103402 -0.1767561 0.021721 0.03292 -0.00625
0.03060102 -0.1723005 0.008766 0.01047 -0.02697
0.02592737 -0.1665239 0.038545 -0.0017 -0.01846
0.01715389 -0.1526656 0.033681 -0.00397 -0.02545
0.01360674 -0.1666647 0.029049 -0.02457 0.018624
0.02494944 -0.1497184 0.026135 -0.04112 0.026558
0.04801088 -0.1247194 0.021849 -0.00849 0.016997
0.01691373 -0.1135067 0.036131 -0.0093 0.008059

39
0.02861131 -0.1398397 0.034378 -0.00086 0.021418

0.08060316 -0.118634 0.02727 -0.00812 -0.00833
0.09820593 -0.0903064 0.033236 -0.01425 -0.00304
0.10329951 -0.0748002 0.037122 -0.02055 -0.0013
0.10846393 -0.0805581 0.038303 0.00328 0.009804
0.10115143 -0.058493 0.041043 0.00211 -0.00893
0.07764319 -0.0603911 0.043352 0.00908 -0.01518
0.0996713 -0.0383928 0.008409 0.00844 -0.00806
0.08427621 -0.0318083 0.008693 0.01197 0.040659
0.08617429 -0.0474966 0.006572 0.0287 0.054175
0.0491822 -0.0340828 0.013015 0.03209 0.012194
0.04188528 -0.0346509 0.018462 0.02342 0.009977
0.03640395 -0.029861 0.025603 0.01308 0.025471
0.01708836 -0.0479939 0.00265 0.02882 0.023693
0.00385789 -0.0259184 0.007203 0.01357 0.00917
0.018071 0.0030651 0.002113 0.04208 -0.00893
0.00494398 -0.011119 -0.00781 0.02898 -0.00474
0 1.908E-16 7.03E-17 0 -3.6E-17

40
BAJAJ AUTO SATYAM BHEL TATA MOTORS TATA STEEL

0.026034903 0.00187459 -0.008 0.022985336 0.02683168
0.053468693 0.00544712 -0.0111 0.021903767 0.03837267
0.053259713 0.00217642 -0.0219 0.03024847 -0.0178519
0.038588459 0.01007136 -0.0286 0.029131113 0.00408769
-0.004284974 0.03257465 -0.0294 0.017781148 0.04084728
0.0354102 0.03942671 -0.0224 0.028432011 0.05575385
0.017189545 0.05285903 -0.0181 -0.01495018 0.06407714
0.017382737 0.05302607 -0.0191 -0.034307183 0.05619238
0.021476531 -0.62666286 -0.0494 0.001096166 0.06062235
0.013230319 -0.61266619 -0.0746 0.010965977 0.05477475
0.010484933 -0.57829569 -0.0635 0.008205855 0.0472018
0.020603427 -0.57246897 -0.0831 0.01926162 0.04047396
0.020871456 -0.57020161 -0.0667 -0.012930796 0.05471632
0.030524218 -0.55674901 -0.0619 0.028524051 0.03131888
0.008711657 -0.50818537 -0.0601 0.010621424 0.00937774
0.003788782 -0.49698246 -0.0669 0.025011862 -0.0237053
-0.010665014 -0.49441645 -0.05 0.04837345 -0.032313
-0.019780848 -0.51137431 -0.0416 0.055013316 -0.0226163
0.010234071 -0.49887016 -0.0265 0.057266219 -0.0270694
0.046509041 -0.48712979 -0.011 0.078709955 -0.0490711
0.066966332 -0.47174254 0.02045 0.07238917 -0.0198013
0.087731136 -0.47312221 0.03755 0.06968873 -0.0451914
0.068970946 -0.48163674 0.01148 0.070563935 -0.0778572
0.049338831 -0.44132017 -0.0005 0.034369311 -0.0684646
0.033235729 -0.44829627 -0.0035 0.017234902 -0.0677274
0.039250654 -0.46460178 -0.0061 0.023144105 -0.074978
0.042475828 -0.46019057 -0.0162 0.071864671 -0.0570183
0.041194407 -0.45781954 -0.0107 0.081558998 -0.0405634
0.023808729 -0.45537128 -0.0027 0.063340985 -0.0514695
0.065862341 -0.44254801 -0.0325 0.060380279 -0.0223186
0.038270633 -0.40738599 -0.0412 0.039259317 0.00312672
0.041380492 -0.41845724 -0.0412 0.03546399 0.04093982
0.033437568 -0.41119851 -0.0423 0.016632016 0.02762424
0.046529204 -0.38802952 -0.0517 0.022463982 0.03149929
0.044601635 -0.39191534 -0.0431 0.018694351 0.034456
0.044905173 -0.35463728 -0.0598 0.044563408 0.01846064
0.06412123 -0.3450649 -0.0535 0.035343089 0.01181139
0.059435854 -0.316474 -0.0314 0.019129607 0.02626951
0.063726873 -0.30250587 -0.0402 0.036934405 0.02798084
0.031224787 -0.24924944 -0.0417 0.021392582 0.02710973
0.029343202 -0.26846188 -0.0163 0.032903457 0.01085096

41
0.019177893 -0.25856639 -0.042 0.027860024 -0.0035372

0.012026761 -0.24882009 -0.0505 0.025417227 -0.0300235
0.003112473 -0.25601454 -0.0469 -0.003932729 -0.0224331
-0.013234852 -0.24102455 -0.0625 -0.013873364 -0.0525043
0.003759296 -0.22121375 -0.0615 -0.003718048 -0.0017154
0.013072271 -0.20763686 -0.028 -0.026849977 0.01572385
0.008411605 -0.21739492 -0.0507 -0.04477084 0.02415012
-0.000308052 -0.20277574 -0.053 -0.047947001 0.01197987
-0.020285851 -0.18695639 -0.0591 -0.068007611 -0.0061328
-0.014654192 -0.16683064 -0.0601 -0.057851468 0.01169814
-0.034680424 -0.16586857 -0.0724 -0.051162693 0.04374953
-0.040905243 -0.13186357 -0.0899 -0.048156267 0.03310975
-0.035823639 -0.09689472 -0.0491 -0.042956705 0.05221498
-0.018764995 -0.0774306 -0.0714 -0.029927376 0.04318992
-0.005993299 -0.05437736 -0.0643 -0.032146935 0.02319414
0.014901727 -0.03916879 -0.0423 -0.03602862 -0.004022
0.011821101 -0.034135 -0.0204 -0.021378849 -0.0017828
0.02121246 -0.02584416 -0.0161 -0.036386134 -0.0050002
0.020821905 -0.01921882 0.01377 -0.011905653 0.00934776
-7.28584E-17 4.9613E-16 0 1.42247E-16 -1.284E-16

42
GRAPHS REPRESENTING THE CAARS AROUND THE EVENT DAY:
RELIANCE
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
31
CAAR

INFOSYS
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25
-0.02 31 34 37 40 43 46 49 52 55 58 61
28
-0.04
-0.06
CAAR

43
ICICI BANK
0.05
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.05
-0.1
-0.15
-0.2
-0.25
CAAR
ONGC
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
-0.08
CAAR
SAIL
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25
-0.02
28 31 34 37 40 43 46 49 52 55 58 61
-0.04
-0.06
-0.08
-0.1
CAAR

44
SBIN
0.15
0.1
0.05
0
1 4 7 10 13 16 19 22 25 -0.05
28 31 34 37 40 43 46 49 52 55 58 61
-0.1
-0.15
-0.2
-0.25
CAAR
GUJRAT AMBUJA
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25
-0.02 31 34 37 40 43 46 49 52 55 58 61
28
-0.04
-0.06
-0.08
CAAR
SIEMENS
0.1
0.08
0.06
0.04
0.02
0
1 4 7 -0.02
10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.04
-0.06
-0.08
-0.1
CAAR

45
CIPLA
0.08
0.07
0.06
0.05
0.04
0.03
0.02
0.01
0
1 4 -0.01
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
CAAR
STER
0.12
0.1
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25
-0.02 31 34 37 40 43 46 49 52 55 58 61
28
-0.04
CAAR
ITC
0.1
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
-0.08
CAAR

46
IPCL
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
-0.08
-0.1
-0.12
CAAR
MARUTHI
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25
-0.02 31 34 37 40 43 46 49 52 55 58 61
28
-0.04
-0.06
-0.08
CAAR
HINDALCO
0.05
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.05
-0.1
-0.15
-0.2
CAAR

47
BPCL
0.15
0.1
0.05
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.05
-0.1
CAAR
GAIL
0.1
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
CAAR
TATA POWER
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 -0.02
28 31 34 37 40 43 46 49 52 55 58 61
-0.04
-0.06
-0.08
-0.1
-0.12
CAAR

48
GRASIM
0.05
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.05
-0.1
-0.15
-0.2
-0.25
CAAR
VSNL
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
-0.08
-0.1
CAAR
glaxo
0.1
0.05
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.05
CAAR

49
DABUR
0.1
0.08
0.06
0.04
0.02
0
1 4 7 -0.02
10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.04
-0.06
-0.08
-0.1
CAAR
BAJAJ AUTO
0.1
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
CAAR
SATYAM
0.1
0
1 4 7 10 13 16 19 22 25-0.1
28 31 34 37 40 43 46 49 52 55 58 61
-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
CAAR

50
BHEL
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
-0.08
-0.1
CAAR
TATA MOTORS
0.1
0.08
0.06
0.04
0.02
0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.02
-0.04
-0.06
-0.08
CAAR
TATA STEEL
0.08
0.06
0.04
0.02
0
1 4 -0.02
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61
-0.04
-0.06
-0.08
-0.1
CAAR

51
Interpretation on the based of CAAR graphs
In an efficient market, CAAR should flatten out after the event day to
indicate that the market has absorbed the results quickly. But this was not the
casein this study since there were no cases were no cases were the CAAR if
flattened out after the event day. Hence strengthens the belief that the Indian
stock market is not efficient.

52
T‐ TEST results for the samples:
no. company t values

1 RELIANCE 2.666024168
2 INFOSYS 0.103220573
3 TCS 7.646778456
4 ICICI -10.00944612
5 ONGC -7.960748426
6 SAIL 0.957307182
7 SBIN -5.795615775
8 GUJ AMB 8.516228704
9 SIEMENS -4.863896407
10 CIPLA 13.75374545
11 STER 13.02250186
12 SUZLON -1.319019088
13 ACC -5.217604674
14 ITC 4.32069809
15 IPCL -6.798507146
16 MARUTHI -12.46489549
17 DR.REDDY 1.003487457
18 HINDALCO -10.4568785
19 BPCL -1.960496657
20 GAIL -0.571497448
21 MTNL 2.814308312
22 TATA PWR -7.059569256
23 PNB -7.979765698
24 HERO HONDA -14.67354818
25 HIND PETRO -8.164949556
26 GRASIM -9.723215497
27 VSNL -12.89905444
28 GLAXO 11.75255696
29 DABUR -6.031951143
30 BAJAJ AUTO 7.918749854
31 SATYAM -11.22419442
32 BHEL -3.528594133
33 TATA MOTORS 9.732444725
34 TATA STEEL -1.441692815

53
Interpretation based on t- test values
T-test indicate that the in 29 out of 34 companies the average of abnormal returns
before and the after the event day or not equal this supports the hypothesis that the
market is not semi-strong efficient because there is potential opportunity for
making more than normal profit.

54
SUMMARY AND CONCLUSION:
In an efficient market, CAAR should flatten out after the event‐day to
indicate that the market has absorbed the results quickly. But this was not
the casein this study since there were no cases were no cases were the CAAR if
flattened out after the event day. Hence strengthens the belief that the Indian
stock market is not efficient.
T‐test indicate that the in 29 out of 34 companies the average of abnormal returns
before and the after the event day or not equal this supports the hypothesis that
the market is not semi‐strong efficient because there is potential opportunity for
making more than normal profit.

55
BIBLIOGRAPHY AND REFERENCE:

1. Foster, G, C Olsen, and T Shevlin (1984), “Earnings Releases, Anomalies,
and the Behavior of Security Prices”, The Accounting Review,574‐603.
2. Obaidullah, M (1990), “Stock Price Adjustment to Half Yearly Earnings
Announcements—A Test of Market Efficiency”, Chartered Accountant,
38, 922‐924.
3. Mallikarjunappa, T (2004), “How Do the Indian Stock Prices React to
Quarterly Earnings”, The ICFAI Journal of Applied Finance, 10(3),
1‐13.
4. Amitabh Gupta, (2006), “Impact of Earnings Announcements on Stock
Prices: Some Empirical Evidences from India”‐The ICFAI Journal of
Applied Finance.
5. Fundamentals of Statistics – S.C. Gupta.
6. Investments – Kane and Bodie.

WEBSITES:
1. www.investopedia.com
2. www.blonnet.com
3. www.nseindia .com
4. www.indiainfoline.com
5. www.equitymasters.com
DATABASE: Prowess & Capital Line Plus

TOOLS USED: SPSS, EXCEL SPREAD SHEETS.

56

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Abdul Hafeez-0501-Divedend Announcement, Security Performance

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“DIVIDEND ANNOUNCEMENT, SECURITY PERFORMANCE, AND CAPITAL MARKET EFFICIENCY”

I hereby declare that this dissertation entitled “DIVIDEND

ANNOUNCEMENTS, SECURITY PERFORMANCE AND CAPITAL

I also declare that this dissertation has not been submitted

1. EXECUTIVE SUMMARY ……………………………… 01

2. INTRODUCTION …………………………………….. 02

3. RESEARCH METHODOLOGY ……………………….. 06

4. ANALYSIS AND INTERPRETATION ………………. 09

5. SUMMARY and CONCLUSIONS…………………….. 45

6. BIBLIOGRAPHY & REFERENCES ………………….. 46

1. ABNORMAL RETURNS ……………………… 09‐20

2. CUMULATIVE ABNORMAL RETURNS …… 21‐32

I would like to express my sincere gratitude to my research guide

I would like to thank DR. T.V. NARSHIMA RAO, Adjunct Faculty,

I would also like to thank PROF. S. SANTHANAM, Adjunct Faculty,

I would like to sincerely thank my Parents and all my Friends who

This paper investigates the stock market reaction associated with

whether these announcements possess any informational value. An event

Average Abnormal Returns (AAR), and Cumulative Average Abnormal

Cumulative Average Abnormal Returns (CAAR) also has significance in

dividends announcements contain important information which causes

strong form of EMH, studies in this area are limited. Semi-strong form has

systematically underestimates serial correlation in standardized unexpected

being efficient in interpreting selected cash dividend change information

dividend changing stocks would have earned significant abnormal returs.

risk‐based explanation for return differential. They reported that

embedded in stock prices systematically underestimate the time series

properties resulting from quarterly reporting requirements. Studies on the

Obaidullah (1990) examined the market reaction to half‐yearly earnings

with fundamental factors like dividend growth and pay‐out‐ratios.

during the pre and post‐earnings announcement periods. Mohanty (2002)

The Dividends announcements made by companies included in CNX

announcement date. The required data is extracted from Prowess,

CapitaLine Plus and NSE website

M. P.BIRLA INSTITUTE OF MANAGEMENT

6 0.0011002 0.008766 -0.0015834 -0.0202843 0.0251411

M. P.BIRLA INSTITUTE OF MANAGEMENT

SAIL SBIN GUJ AMB SIEMENS CIPLA STER

M. P.BIRLA INSTITUTE OF MANAGEMENT

0.0349821 0.0320723 0.0562402 0.0270511 -0.0076785 0.0042163

M. P.BIRLA INSTITUTE OF MANAGEMENT

SUZLON ACC ITC IPCL MARUTHI DR.REDDY

M. P.BIRLA INSTITUTE OF MANAGEMENT

-0.018006 0.0216956 0.007596 0.0105188 -0.00817 0.020131

M. P.BIRLA INSTITUTE OF MANAGEMENT

HINDALCO BPCL GAIL MTNL TATA PWR PNB

M. P.BIRLA INSTITUTE OF MANAGEMENT

0.0016418 -0.006901 -0.001101 0.0323963 0.0060214 -0.010222

M. P.BIRLA INSTITUTE OF MANAGEMENT

M. P.BIRLA INSTITUTE OF MANAGEMENT

-0.002867 0.029567 0.0044556 -0.012955 -0.022445 -0.020713

M. P.BIRLA INSTITUTE OF MANAGEMENT

M. P.BIRLA INSTITUTE OF MANAGEMENT

-0.01016531 0.009895 -0.025783 -0.005043433 -0.014388144

M. P.BIRLA INSTITUTE OF MANAGEMENT

CUMULATIVE AVERAGE ABNORMAL RETURNS (CAAR)

M. P.BIRLA INSTITUTE OF MANAGEMENT

11 -0.032867 0.0011331 0.00214 -0.11758 0.05196 0.009134

M. P.BIRLA INSTITUTE OF MANAGEMENT

M. P.BIRLA INSTITUTE OF MANAGEMENT

-0.154 -0.0716 0.0067266 0.04904 0.045468 -0.0686995

M. P.BIRLA INSTITUTE OF MANAGEMENT

ACC ITC IPCL MARUTHI DR.REDDY HINDALCO

M. P.BIRLA INSTITUTE OF MANAGEMENT