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INTRODUCTION

COMPANIES
1) HDFC Bank Limited
Type

Traded as

Public company

BSE: 500180
NSE: HDFCBANK
NYSE: HDB
BSE SENSEX
CNX Nifty

Industry

Banking industry, Financial service

Founded

August 1994

Headquarters

Mumbai, Maharashtra, India

Area served

Worldwide presence

Key people

Aditya Puri (MD

Products

Investment Banking
Investment Management
Wealth Management
Private Banking
Corporate Banking
Private Equity
Finance and Insurance
Consumer Banking

Mortgages Credit Cards 2) Hindalco Industries Ltd Type Public company Traded as BSE: 500440 NSE: HINDALCO BSE SENSEX Industry Metals Founded 1958 Headquarters Mumbai. Maharashtra India Area served Worldwide Key people Kumar Mangalam Birla (Chairman) Products Aluminum and copper products .

India Area served Worldwide Key people 1) Harish Manwani (Chairman) 2) Sanjiv Mehta(CEO and MD) Products 1) 2) 3) 4) Foods Beverages Cleaningagents Personal care .3) Hindustan Unilever Ltd Type Public Traded as BSE: 500696 BSE SENSEX Industry Consumer goods Founded 1932 Headquarters Mumbai. Maharashtra.

West Bengal.4) ITC Limited Type Traded as Public company BSE: 500875 NSE: ITC BSE SENSEX CNX Nifty Industry Conglomerate Founded August 24. India Area served Worldwide Key people Y C Deveshwar. (Chairman) Products 1) 2) 3) 4) 5) 6) 7) 8) 9) Tobacco Hotels Paperboards&specialtypapers Packaging Agribusiness Packagedfoods &confectionery IT Brandedapparels Personalcare . 1910 (as Imperial Tobacco Company of India) Headquarters Kolkata.

Dixit(Chairman) Ms. Gujarat.Chanda Kochhar (MD & CEO) . Financial services Founded 1994 Headquarters Vadodara.10) Stationery 11) FMCG products 5) ICICI Bank Private Limited Type Traded as Public  BSE: 532174  NSE: ICICIBANK  NYSE: IBN  BSE SENSEX  CNX Nifty Industry Banking. India Area served Worldwide Key people ApurvaV.

For all securities we take the security market line (SML) and its relation with the expected return of equity and systematic risk to show how to price securities related to the security risk class.Beta E(Rm) – Expected return of market SML line . Equation of CAPME(Ri) = E(Rf)+ β(E(Rm) . The SML used to calculate the risk-reward ratio for any security in relation with the market.E(Rf)) E(Ri) – Expected return of asset E(Rf) – Risk free rate ( Govt Bonds) Β . CAPM model is used to price an individual security and portfolio. As expected rate of return of any security is downsized by its beta multiplier the riskreward ratio of any individual security in the market becomes equal to the market risk-reward ratio.Products 1) 2) 3) 4) 5) 6) 7) 8) Creditcards Consumerbanking Corporatebanking Financeinsurance Investmentbanking Mortgage loans Private banking Wealth management CAPM Capital asset pricing model (CAPM) is used to determine a theoretical calculated rate of return required for an asset. The model account assets sensitivity to non diversifiable risk (systematic risk /market risk). denoted as beta (β) and expected return of the market and the return of a risk-free asset assumed to be US government bonds.

 Homogeneous expectation. The intercept is the nominal risk-free rate of the market while slope represented by the market premium.  Prices cannot be influenced.  Rational & risk averse. Assumptions of CAPM Aim is to max economic utility.SML graphs the results from capital asset pricing model (CAPM).  All information is always available to all investors.  Portfolio is diversified with a range of investments. DATA SOURCE The National Stock Exchange (NSE) is India's leading stock exchange. it’s undervalued and investor can expect a greater return for the risk and overvalued otherwise. All securities are plotted on SML graph. If the security's is plotted above SML.  No transaction or tax costs. NSE was set up by many leading institute providing fully modern automated . The x-axis is the risk (beta) and the y-axis represents expected return and the slope of the SML equals market risk premium. The securities market line is single-factor model of the asset price where beta is expected to changes in value of market. The relationship between β & return required is graphed on the securities market line (SML) which gives return expected as a function (β). The equation of the SML is a useful tool in determining assets expected return for risk for a portfolio.

It facilities are based on a model for the securities industry in terms of procedures and practices. trading volumes and practice. The Exchange has brought about transparency. Products            Equities Indices Mutual Funds Exchange Traded Funds Initial Public Offerings Security Lending and Borrowing Scheme Derivatives Equity Derivatives Currency Derivatives Retail Debt Market Wholesale Debt Market Corporate Bonds ANALYSIS AND DISCUSSION The calculations have been done on excel sheet the values of five companies are provided below:- . market integrity and safety. NSE has played a vital role to reform the Indian securities market’s microstructure. and has witness innovations in product & services demutualization of stock exchange governance screen based trading compression of settlement cycles dematerialization and electronic transfer of securities lending and borrowing professionalization of trading members fine-tuned risk management systems emergence of clearing corporations to assume counterparty risks market of debt and derivative instruments and intensive use of information technology. The market today uses new information technology to provide an efficiency and transparency trading. clearing and settlement mechanism. high speed & efficient.screen-based trading system with national reach.

Variance of company stock V(Rm) .281623 711 0.849099 452 V(Rm) Beta 0.MIBOR( Mumbai Inter-Bank Offer Rate) .441121 588 Normal return 17.228144 034 Systematic Risk 0.Expected annual mean return of company stock E(Rm) .Expected annual return of market V(Ri) .335 75 0.124230 299 Unsystemat ic Risk 1.724869 153 Cov(Ri.Risk free Rate E(Ri) .Rm) 2) ICICI MIBOR 10% 27.64717 35 Excess Return 4.6384 26 .Variance of market Cov(Ri.41902 946 E(Rm) 1.Rm) – Covariance of company stock with respect to market 1) ITC MIBOR ITC E(Ri) V(Ri) 10% NIFTY 13.

335 75 0.583866 464 Unsystemati c Risk 1.575084 397 Normal return 37.Rm) 27.Rm) 27.ICICI E(Ri) V(Ri) NIFTY 47.21641 64 Systematic Risk 1.721059 839 1.005575 617 1.291532 602 Cov(Ri.6384 26 3) HDFC MIBOR HDFC E(Ri) V(Ri) 10% NIFTY 35.87270 273 E(Rm) 2.6384 26 .875399 066 V(Rm) Beta 1.129432 816 Normal return 29.30526 907 Excess Return 10.335 75 0.445545 V(Rm 603 ) Beta 0.52168 547 E(Rm) 2.57956 475 Cov(Ri.

800460 V(Rm 317 ) 27.810944 645 Normal return 41.Excess Return 6.335 75 0.36993 112 E(Rm) 1.335 75 0.6384 26 .951120 742 Cov(Ri.631156 959 10% NIFTY 25.814388 644 Unsystematic Risk 4) HINDALCO MIBOR HINDALCO 1.73625 129 E(Rm) 7.044853 V(Rm 538 ) E(Ri) V(Ri) Beta 1.Rm) 27.39408 333 Excess Return 15.293137 97 Systematic Risk 0.156155 049 1.65783 203 Systematic Risk 2.6384 26 5) HINDUSTAN UNILEVER MIBOR HINDUSTAN E(Ri) V(Ri) 10% NIFTY 28.093732 795 Unsystematic Risk 4.

759889 292 Cov(Ri.040571 024 Unsystemati c Risk 1.Rm) SUMMARY AND CONCLUSION .Beta 0.160939 793 0.37013 815 Excess Return 13.99979 29 Systematic Risk 0.252088 21 Normal return 14.