TATA MOTORS LTD. Beta = 1.48 HINDUSTAN UNILEVER Beta = 0.

43
Date Open Close Daily Returns Open Close Daily Returns
24-May-10 715 706.6 -0.01175 232 231.5 -0.00216
25-May-10 699.8 673.7 -0.03730 231.7 230.1 -0.00691
26-May-10 684.2 709.25 0.03661 233 231.35 -0.00708
27-May-10 711.6 742.9 0.04399 232 232.75 0.00323
28-May-10 750 748 -0.00267 234 235.45 0.00620
31-May-10 754.2 754.65 0.00060 235.55 236.75 0.00509
1-Jun-10 745 725.65 -0.02597 235.8 233.7 -0.00891
2-Jun-10 729 744.55 0.02133 233.7 237.65 0.01690
3-Jun-10 751 767.3 0.02170 238 247.2 0.03866
4-Jun-10 760 772 0.01579 248.9 251.5 0.01045
7-Jun-10 760 739.2 -0.02737 247 250.85 0.01559
8-Jun-10 738.5 736.15 -0.00318 252 251.5 -0.00198
9-Jun-10 735 728.1 -0.00939 253 249.75 -0.01285
10-Jun-10 734 759.45 0.03467 251 252.15 0.00458
11-Jun-10 770 765.05 -0.00643 254.5 252.5 -0.00786
14-Jun-10 771 760.25 -0.01394 260.05 255.05 -0.01923
15-Jun-10 761 760.05 -0.00125 255.9 259.95 0.01583
16-Jun-10 770 778.2 0.01065 259.9 255.7 -0.01616
17-Jun-10 779 800 0.02696 255 252.95 -0.00804
18-Jun-10 800 799.45 -0.00069 253 257.3 0.01700
21-Jun-10 810 808.3 -0.00210 259.9 258.9 -0.00385
22-Jun-10 805 798.05 -0.00863 258.15 262 0.01491
23-Jun-10 798 790.7 -0.00915 260.5 266.35 0.02246
24-Jun-10 795 784.95 -0.01264 265.9 270.8 0.01843
25-Jun-10 780 769.45 -0.01353 268 266.55 -0.00541
28-Jun-10 775 787.5 0.01613 266.55 266.35 -0.00075
29-Jun-10 785 768.5 -0.02102 268 262.7 -0.01978
30-Jun-10 760 778.35 0.02414 262 266.9 0.01870
1-Jul-10 773.6 762.95 -0.01377 266.5 272.3 0.02176
2-Jul-10 764.95 767 0.00268 272 269.2 -0.01029
5-Jul-10 764 765 0.00131 269.2 266.15 -0.01133
6-Jul-10 764.8 767.95 0.00412 268.75 267.3 -0.00540
7-Jul-10 766.6 750.9 -0.02048 267.25 267.15 -0.00037
8-Jul-10 764 756.05 -0.01041 266.45 265.8 -0.00244
9-Jul-10 761.1 770.6 0.01248 265.8 262.45 -0.01260
12-Jul-10 775 788.45 0.01735 263 261.95 -0.00399
13-Jul-10 792 802.9 0.01376 262 259.85 -0.00821
14-Jul-10 805 798.8 -0.00770 259.85 257.65 -0.00847
15-Jul-10 800 810.1 0.01263 257.65 263.2 0.02154
16-Jul-10 812.9 831.6 0.02300 260.55 266.05 0.02111
19-Jul-10 824 825.45 0.00176 265.5 264.15 -0.00508
20-Jul-10 829 812.5 -0.01990 264.5 262.35 -0.00813
21-Jul-10 815.2 820.95 0.00705 263.95 261.75 -0.00833
 22-Jul-10 818.1 835.6 0.02139 261.75 262.25 0.00191
23-Jul-10 842 837.45 -0.00540 262.25 261.5 -0.00286
26-Jul-10 839.4 818.65 -0.02472 263 261.5 -0.00570
27-Jul-10 810 844.55 0.04265 263 260.3 -0.01027
28-Jul-10 845.15 851.95 0.00805 261 252.45 -0.03276
29-Jul-10 853.1 865.7 0.01477 251 256.5 0.02191
30-Jul-10 859.9 846.15 -0.01599 255.7 251.1 -0.01799
2-Aug-10 855 847.6 -0.00865 251.65 253.55 0.00755
3-Aug-10 853 841.9 -0.01301 253.55 253.6 0.00020
4-Aug-10 844.65 843.15 -0.00178 253.6 255.6 0.00789
5-Aug-10 843.15 860.85 0.02099 257 255.5 -0.00584
6-Aug-10 855 894.35 0.04602 256 255.15 -0.00332
9-Aug-10 895 918.95 0.02676 255.5 255.7 0.00078
10-Aug-10 909.3 957.3 0.05279 255.35 260.2 0.01899
11-Aug-10 968.8 1006.65 0.03907 260.55 260.3 -0.00096
12-Aug-10 999 1024 0.02503 262 266 0.01527
13-Aug-10 1020 1017 -0.00294 266 265.7 -0.00113
Market Return = ((Close - Open)/Open)
Mean = AVERAGE(Daily returns) Mean Return 0.00491 Mean Return 0.00101
Variance = VAR(Dailyreturns) Variance 0.0004177346 Variance 0.000179348

TATA MOTORS = x HINDUSTAN UNILEVER = y

H0 : Mean of Daily Return of TATA MOTORS = Mean of Daily Return of HINDUSTAN UNILEVER
H1 : Mean of Daily Return of TATA MOTORS ≠ Mean of Daily Return of HINDUSTAN UNILEVER

Zcalculated= 1.2361546484
Zcritical = 1.96 for alpha = 5%

As Zcalculated is less than Zcritical, H0 will be accepted

therefore, Returns from TATA MOTORS and HINDUSTAN UNILEVER is same.

F(59,59,0.025) 1.6738
F calculated = Sx^2/Sy^2
F calculated = 2.329184299
Sx = Variance of TATA MOTORS
Sy = Variance of HINDUSTAN UNILEVER

As Fcalculated is more than Fcritical, H0 will be rejected. As Fcal is on the right side of Fcrit
therefore, TATA MOTORS is a risky investment than HINDUSTAN UNILEVER

X = market return -
BSE SENSEX Market Return Rf Risk Free rate
Date Open Close Market return E(Rm)- Rf Rf = 7.80/36500Daily return
24-May-10 16,494.61 16,469.55 -0.0015192841783 -0.0017329828084 0.00021369863
25-May-10 16,444.57 16,022.48 -0.0256674391608 -0.0258811377909 0.00021369863
26-May-10 16,069.78 16,387.84 0.01979243026351 0.01957873163338 0.00021369863
27-May-10 16,410.88 16,666.40 0.01557015833398 0.01535645970385 0.00021369863
28-May-10 16,692.66 16,863.06 0.01020807947924 0.00999438084911 0.00021369863
31-May-10 16,872.17 16,944.63 0.00429464615399 0.00408094752386 0.00021369863
1-Jun-10 16,942.82 16,572.03 -0.021884786594 -0.0220984852241 0.00021369863
2-Jun-10 16,574.79 16,741.84 0.0100785590647 0.00986486043456 0.00021369863
3-Jun-10 16,786.28 17,022.33 0.0140620792695 0.01384838063936 0.00021369863
4-Jun-10 17,036.55 17,117.69 0.00476270136853 0.00454900273839 0.00021369863
7-Jun-10 17,069.77 16,781.07 -0.0169129402447 -0.0171266388748 0.00021369863
8-Jun-10 16,760.60 16,617.10 -0.0085617459995 -0.0087754446297 0.00021369863
9-Jun-10 16,621.12 16,657.89 0.00221224562484 0.00199854699471 0.00021369863
10-Jun-10 16,668.91 16,922.08 0.01518815567425 0.01497445704411 0.00021369863
11-Jun-10 16,994.07 17,064.95 0.00417086666114 0.003957168031 0.00021369863
14-Jun-10 17,118.74 17,338.17 0.0128181162866 0.01260441765646 0.00021369863
15-Jun-10 17,355.49 17,412.83 0.00330385370854 0.0030901550784 0.00021369863
16-Jun-10 17,500.30 17,462.87 -0.0021388204774 -0.0023525191075 0.00021369863
17-Jun-10 17,490.52 17,616.69 0.00721362200781 0.00699992337767 0.00021369863
18-Jun-10 17,628.02 17,570.82 -0.0032448340767 -0.0034585327068 0.00021369863
21-Jun-10 17,654.81 17,876.55 0.01255975000581 0.01234605137567 0.00021369863
22-Jun-10 17,868.12 17,749.69 -0.0066280056324 -0.0068417042625 0.00021369863
23-Jun-10 17,694.87 17,755.94 0.00345128277292 0.00323758414278 0.00021369863
24-Jun-10 17,750.51 17,730.24 -0.0011419390203 -0.0013556376505 0.00021369863
25-Jun-10 17,705.11 17,574.53 -0.0073752718848 -0.0075889705149 0.00021369863
Expected Expected
return Return
HINDUSTAN UNILEVER (Yhul) TATA MOTO
(Ytata)
HINDUSTAN
UNILEVER Return -
beta 0.43 Daily retur Rf
-0.002155172413793 -0.00236887 -0.011748 -0.011748
-0.006905481225723 -0.00711918 -0.037296 -0.037296
-0.007081545064378 -0.00729524 0.036612 0.036612
0.00323275862069 0.00301906 0.043985 0.043985
0.006196581196581 0.005982883 -0.002667 -0.002667
0.005094459774995 0.004880761 0.000597 0.000597
-0.008905852417303 -0.00911955 -0.025973 -0.025973
0.016902011125375 0.016688312 0.021331 0.021331
0.038655462184874 0.038441764 0.021704 0.021704
0.010445962233829 0.010232264 0.015789 0.015789
0.015587044534413 0.015373346 -0.027368 -0.027368
-0.001984126984127 -0.00219783 -0.003182 -0.003182
-0.012845849802372 -0.01305955 -0.009388 -0.009388
0.004581673306773 0.004367975 0.034673 0.034673
-0.007858546168959 -0.00807224 -0.006429 -0.006429
-0.019227071716978 -0.01944077 -0.013943 -0.013943
0.015826494724502 0.015612796 -0.001248 -0.001248
-0.016160061562139 -0.01637376 0.010649 0.010649
-0.008039215686275 -0.00825291 0.026958 0.026958
0.01699604743083 0.016782349 -0.000687 -0.000687
-0.003847633705271 -0.00406133 -0.002099 -0.002099
0.014913809800504 0.014700111 -0.008634 -0.008634
0.022456813819578 0.022243115 -0.009148 -0.009148
0.018427980443776 0.018214282 -0.012642 -0.012642
-0.005410447761194 -0.00562415 -0.013526 -0.013526
28-Jun-10 17,577.66 17,774.26 0.01118465142687 0.01097095279673 0.00021369863 -0.000750328268617 -0.00096403 0.016129 0.016129
29-Jun-10 17,777.95 17,534.09 -0.0137169921166 -0.0139306907468 0.00021369863 -0.019776119402985 -0.01998982 -0.021019 -0.021019
30-Jun-10 17,476.85 17,700.90 0.01281981592793 0.01260611729779 0.00021369863 0.018702290076336 0.018488591 0.024145 0.024145
1-Jul-10 17,679.34 17,509.33 -0.0096163092061 -0.0098300078362 0.00021369863 0.021763602251407 0.021549904 -0.013767 -0.013767
2-Jul-10 17,523.47 17,460.95 -0.0035677865172 -0.0037814851473 0.00021369863 -0.010294117647059 -0.01050782 0.00268 0.00268
5-Jul-10 17,473.83 17,441.44 -0.0018536291128 -0.0020673277429 0.00021369863 -0.011329866270431 -0.01154356 0.001309 0.001309
6-Jul-10 17,402.68 17,614.48 0.01217053925028 0.01195684062014 0.00021369863 -0.005395348837209 -0.00560905 0.004119 0.004119
7-Jul-10 17,623.66 17,471.03 -0.008660516601 -0.0088742152311 0.00021369863 -0.000374181478017 -0.00058788 -0.02048 -0.02048
8-Jul-10 17,536.48 17,651.73 0.00657201445216 0.00635831582202 0.00021369863 -0.002439482079189 -0.00265318 -0.010406 -0.010406
9-Jul-10 17,667.85 17,833.54 0.0093780510928 0.00916435246267 0.00021369863 -0.01260346124906 -0.01281716 0.012482 0.012482
12-Jul-10 17,875.97 17,937.20 0.00342526867074 0.0032115700406 0.00021369863 -0.003992395437262 -0.00420609 0.017355 0.017355
13-Jul-10 17,908.30 17,985.90 0.00433318628792 0.00411948765779 0.00021369863 -0.008206106870229 -0.00841981 0.013763 0.013763
14-Jul-10 18,024.95 17,938.16 -0.004814992552 -0.0050286911821 0.00021369863 -0.00846642293631 -0.00868012 -0.007702 -0.007702
15-Jul-10 17,874.71 17,909.46 0.0019440874845 0.00173038885436 0.00021369863 0.021540849990297 0.021327151 0.012625 0.012625
16-Jul-10 17,911.13 17,955.82 0.00249509662428 0.00228139799414 0.00021369863 0.021109192093648 0.020895493 0.023004 0.023004
19-Jul-10 17,914.12 17,928.42 0.00079825299819 0.00058455436806 0.00021369863 -0.005084745762712 -0.00529844 0.00176 0.00176
20-Jul-10 17,918.43 17,878.14 -0.0022485228896 -0.0024622215197 0.00021369863 -0.00812854442344 -0.00834224 -0.019903 -0.019903
21-Jul-10 17,873.92 17,977.23 0.0057799296405 0.00556623101037 0.00021369863 -0.008334911915135 -0.00854861 0.007053 0.007053
22-Jul-10 17,978.37 18,113.15 0.00749678641612 0.00728308778598 0.00021369863 0.001910219675263 0.001696521 0.021391 0.021391
23-Jul-10 18,132.29 18,130.98 -7.2246803906E-05 -0.000285945434 0.00021369863 -0.002859866539561 -0.00307357 -0.005404 -0.005404
26-Jul-10 18,056.24 18,020.05 -0.0020042932526 -0.0022179918828 0.00021369863 -0.005703422053232 -0.00591712 -0.02472 -0.02472
27-Jul-10 17,998.74 18,077.61 0.0043819734048 0.00416827477467 0.00021369863 -0.010266159695818 -0.01047986 0.042654 0.042654
28-Jul-10 18,077.85 17,957.37 -0.0066645093305 -0.0068782079606 0.00021369863 -0.032758620689655 -0.03297232 0.008046 0.008046
29-Jul-10 17,961.58 17,992.00 0.00169361492697 0.00147991629683 0.00021369863 0.02191235059761 0.021698652 0.01477 0.01477
30-Jul-10 17,981.06 17,868.29 -0.006271599116 -0.0064852977461 0.00021369863 -0.017989831834181 -0.01820353 -0.01599 -0.01599
2-Aug-10 17,911.31 18,081.21 0.00948562667946 0.00927192804932 0.00021369863 0.007550168885357 0.00733647 -0.008655 -0.008655
3-Aug-10 18,149.90 18,114.83 -0.0019322420509 -0.0021459406811 0.00021369863 0.00019719976336 -1.6499E-05 -0.013013 -0.013013
4-Aug-10 18,115.56 18,217.44 0.00562389459669 0.00541019596655 0.00021369863 0.00788643533123 0.007672737 -0.001776 -0.001776
5-Aug-10 18,234.85 18,172.83 -0.0034011796094 -0.0036148782395 0.00021369863 -0.005836575875486 -0.00605027 0.020993 0.020993
6-Aug-10 18,165.49 18,143.99 -0.0011835628987 -0.0013972615288 0.00021369863 -0.0033203125 -0.00353401 0.046023 0.046023
9-Aug-10 18,141.11 18,287.50 0.00806951724564 0.0078558186155 0.00021369863 0.000782778864971 0.00056908 0.02676 0.02676
10-Aug-10 18,272.28 18,219.99 -0.0028617118389 -0.0030754104691 0.00021369863 0.018993538280791 0.01877984 0.052788 0.052788
 11-Aug-10 18,177.35 18,070.19 -0.0058952487574 -0.0061089473875 0.00021369863 -0.000959508731529 -0.00117321 0.039069 0.039069
12-Aug-10 17,972.65 18,073.90 0.00563355988126 0.00541986125113 0.00021369863 0.015267175572519 0.015053477 0.025025 0.025025
13-Aug-10 18,080.29 18,167.03 0.0047974894208 0.00458379079066 0.00021369863 -0.001127819548872 -0.00134152 -0.002941 -0.002941
Variance
Variance (X) = 8.0075707552E-05 Variance (Yhul) = 0.000179348 (Ytata) = 0.000418

Market Return = ((Close - Open)/Open)

SYSTEMATIC RISK as a percentage of total risk = (((beta^2)*Var(X))/Var(Y))
Systematic Risk of TATA MOTORS = 0.41987859625387 41.98 percent
Systematic Risk of HINDUSTAN UNILEVER = 0.08255456072159 8.25 percent
Therefore, Money should be invested in HINDUSTAN UNILEVER as compared to TATA MOTORS
because it has less non-diversifiable risk also known as systematic risk.