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Beta calculation procedure with the example of cement sector
TABLE OF CONTENTS
CEMENT SECTOR COMPANIES.....................................................................4
CALCULATION OF STOCK RETURN (RJ)..................................................................................................41. Al Abbas Cement...........................................................................................................................44. Cherat Cement Co Ltd.....................................................................................................................55. D.G Khan Cement Co Ltd.................................................................................................................56. Futures: AUG...................................................................................................................................67. Dadabhoy Cement Industries Ltd....................................................................................................69. Dewan Cement Ltd............................................................................................................................710. Fauji Cement Co Ltd.......................................................................................................................711. Fecto Cement Industrial Ltd..........................................................................................................712. Flying Cement Ltd..........................................................................................................................813. Gharibwal Cement Ltd....................................................................................................................814. Javedan Cement Ltd........................................................................................................................815. Kohat Cement Co Ltd......................................................................................................................917. Pakistan Cement Company Limited...............................................................................................918. Pioneer Cement Ltd......................................................................................................................1019. Thatta Cement...............................................................................................................................1020. Zeal Pak Cement Factory Ltd.......................................................................................................10
CALCULATION OF MARKET RETURN......................................................11
MARKET RETURN ON 18TH AUGUST 2008..............................................................................................11MARKET RETURN ON 19TH AUGUST 2008..............................................................................................12MARKET RETURN ON 20TH AUGUST 2008..............................................................................................13MARKET RETURN ON 21ST AUGUST 2008..............................................................................................14MARKET RETURN ON 22ND AUGUST 2008.............................................................................................15
CALCULATION OF BETA...............................................................................23
BIBLIOGRAPHY..................................................................................................24
2
Introduction
Cement Sector:
1. Al Abbas Cement
2. Attock Cement Pakistan Ltd
3. Bestway Cement Ltd
4. Cherat Cement Co Ltd
5. D.G. Khan Cement Co Ltd
6. Futures: AUG
7. Dadabhoy Cement Industries Ltd
8. Dandot Cement Co Ltd
9. Dewan Cement Ltd
10. Fauji Cement Co Ltd
11. Fecto Cement Industrial Ltd
12. Flying Cement Ltd
13. Gharibwal Cement Ltd
14. Javedan Cement Ltd
15. Kohat Cement Co Ltd
16. Lucky Cement Ltd
17. Pakistan Cement Company Ltd
18. Pioneer Cement Ltd
19. Thatta Cement
20. Zeal Pak Cement Factory Ltd
3
CEMENT SECTOR COMPANIES
Calculation of Stock Return (Rj)
1. Al Abbas Cement
Date Open Close Rj (Stock Return)
18/8/2008 8.35 8.99 0.076646
19/8/2008 8.99 8.26 -0.081201
20/8/2008 8.26 8.24 -0.002421
21/8/2008 8.24 7.90 -0.041262
22/8/2008 7.90 7.90 0
2. Attock Cement Pakistan Ltd
Date Open Close Rj (Stock Return)
18/8/2008 52.50 55.12 0.049904
19/8/2008 55.12 56.00 0.015965
20/8/2008 56.00 54.80 -0.021428
21/8/2008 54.80 52.06 -0.05
22/8/2008 52.06 52.95 0.017095
4
3. Bestway Cement Ltd
Date Open Close Rj (Stock Return)
18/8/2008 32.00 32.00 0
19/8/2008 32.00 32.00 0
20/8/2008 32.00 32.00 0
21/8/2008 32.00 32.00 0
22/8/2008 32.00 32.00 0
4. Cherat Cement Co Ltd
Date Open Close Rj (Stock Return)
18/8/2008 18.29 19.29 0.054674
19/8/2008 19.29 19.00 -0.015033
20/8/2008 19.00 18.00 -0.052631
21/8/2008 18.00 17.50 -0.027777
22/8/2008 17.50 17.49 -0.000571
5. D.G Khan Cement Co Ltd
Date Open Close Rj (Stock Return)
18/8/2008 46.43 48.75 0.049967
19/8/2008 48.75 51.18 0.049846
20/8/2008 51.18 48.63 -0.049824
21/8/2008 48.63 48.20 -0.008842
22/8/2008 48.20 45.79 -0.05
5
6. Futures: AUG
Date Open Close Rj (Stock Return)
18/8/2008 46.46 48.78 0.049935
19/8/2008 48.78 51.21 0.049815
20/8/2008 51.21 48.65 -0.049990
21/8/2008 48.65 48.58 -0.001438
22/8/2008 48.58 46.16 -0.049814
7. Dadabhoy Cement Industries Ltd
Date Open Close Rj (Stock Return)
18/8/2008 4.56 5.10 0.118421
19/8/2008 5.10 5.00 -0.019607
20/8/2008 5.00 4.50 -0.10
21/8/2008 4.50 4.40 -0.022222
22/8/2008 4.40 4.45 0.011363
8. Dandot Cement Co Ltd
Date Open Close Rj (Stock Return)
18/8/2008 20.45 19.43 -0.049877
19/8/2008 19.43 19.43 0
20/8/2008 19.43 19.43 0
21/8/2008 19.43 19.43 0
22/8/2008 19.43 19.43 0
6
9. Dewan Cement Ltd
Date Open Close Rj (Stock Return)
18/8/2008 8.25 9.25 0.121212
19/8/2008 9.25 8.90 -0.037837
20/8/2008 8.90 9.10 0.022471
21/8/2008 9.10 9.95 0.093406
22/8/2008 9.95 10.46 0.051256
10. Fauji Cement Co Ltd
Date Open Close Rj (Stock Return)
18/8/2008 7.50 8.50 0.133333
19/8/2008 8.50 8.14 -0.042352
20/8/2008 8.14 7.35 -0.097051
21/8/2008 7.35 7.50 0.020408
22/8/2008 7.50 7.42 -0.010666
11. Fecto Cement Industrial Ltd
Date Open Close Rj (Stock Return)
18/8/2008 17.34 16.40 -0.054209
19/8/2008 16.40 16.34 -0.003658
20/8/2008 16.34 16.95 0.037331
21/8/2008 16.95 16.25 -0.041297
22/8/2008 16.25 16.20 -0.003076
7
12. Flying Cement Ltd
Date Open Close Rj (Stock Return)
18/8/2008 5.48 6.25 0.140510
19/8/2008 6.25 5.85 -0.064
20/8/2008 5.85 5.20 -0.111111
21/8/2008 5.20 5.34 0.026923
22/8/2008 5.34 4.71 -0.117977
13. Gharibwal Cement Ltd
Date Open Close Rj (Stock Return)
18/8/2008 16.49 16.80 0.018799
19/8/2008 16.80 16.75 -0.002976
20/8/2008 16.75 16.75 0
21/8/2008 16.75 16.15 -0.035820
22/8/2008 16.15 15.55 -0.037151
14. Javedan Cement Ltd
Date Open Close Rj (Stock Return)
18/8/2008 98.75 98.75 0
19/8/2008 98.75 94.00 -0.048101
20/8/2008 94.00 94.00 0
21/8/2008 94.00 98.00 0.042553
22/8/2008 98.00 93.50 -0.045918
8
15. Kohat Cement Co Ltd
Date Open Close Rj (Stock Return)
18/8/2008 22.45 23.10 0.028953
19/8/2008 23.10 23.20 -0.004329
20/8/2008 23.20 22.05 -0.049568
21/8/2008 22.05 22.00 -0.002267
22/8/2008 22.00 22.40 0.018181
16. Lucky Cement Ltd
Date Open Close Rj (Stock Return)
18/8/2008 70.25 73.76 0.049964
19/8/2008 73.76 75.80 0.027657
20/8/2008 75.80 72.01 -0.05
21/8/2008 72.01 68.41 -0.049993
22/8/2008 68.41 67.25 -0.016956
17. Pakistan Cement Company Limited
Date Open Close Rj (Stock Return)
18/8/2008 4.99 5.99 0.200400
19/8/2008 5.99 5.90 -0.015025
20/8/2008 5.90 5.14 -0.128813
21/8/2008 5.14 5.78 0.124513
22/8/2008 5.78 5.57 -0.036332
9
18. Pioneer Cement Ltd
Date Open Close Rj (Stock Return)18/8/2008 25.20 26.46 0.05
19/8/2008 26.46 27.78 0.049886
20/8/2008 27.78 27.98 0.007199
21/8/2008 27.98 28.25 0.009649
22/8/2008 28.25 27.30 -0.033628
19. Thatta Cement
Date Open Close Rj (Stock Return)
18/8/2008 17.00 17.00 0
19/8/2008 17.00 16.95 -0.002941
20/8/2008 16.95 15.95 -0.058997
21/8/2008 15.95 16.00 -0.003134
22/8/2008 16.00 17.00 0.0625
20. Zeal Pak Cement Factory Ltd
Date Open Close Rj (Stock Return)
18/8/2008 1.42 1.89 0.330985
19/8/2008 1.89 1.56 -0.174603
20/8/2008 1.56 1.47 -0.057692
21/8/2008 1.47 1.49 0.013605
22/8/2008 1.49 1.40 -0.060402
10
Calculation of Market Return
Market Return on 18 th August 2008
Date Company Stock Return18/8/2008 Al Abbas Cement 0.07664618/8/2008 Attock Cement Pakistan Ltd 0.04990418/8/2008 Bestway Cement Ltd 018/8/2008 Cherat Cement Co Ltd 0.05467418/8/2008 D.G. Khan Cement Co Ltd 0.04996718/8/2008 Futures: AUG 0.04993518/8/2008 Dadabhoy Cement Industries Ltd 0.11842118/8/2008 Dandot Cement Co Ltd -0.04987718/8/2008 Dewan Cement Ltd 0.12121218/8/2008 Fauji Cement Co Ltd 0.13333318/8/2008 Fecto Cement Industrial Ltd -0.05420918/8/2008 Flying Cement Limited 0.14051018/8/2008 Gharibwal Cement Ltd 0.01879918/8/2008 Javedan Cement Ltd 018/8/2008 Kohat Cement Co Ltd 0.02895318/8/2008 Lucky Cement Ltd 0.04996418/8/2008 Pakistan Cement Co Ltd 0.20040018/8/2008 Pioneer Cement Ltd 0.0518/8/2008 Thatta Cement 018/8/2008 Zeal Pak Cement Factory Ltd 0.330985
Market Return On 18/8/2008 0.06848085
11
Market Return on 19 th August 2008
Date Company Stock Return19/8/2008 Al Abbas Cement -0.08120119/8/2008 Attock Cement Pakistan Ltd 0.01596519/8/2008 Bestway Cement Ltd 019/8/2008 Cherat Cement Co Ltd -0.01503319/8/2008 D.G. Khan Cement Co Ltd 0.04984619/8/2008 Futures: AUG 0.04981519/8/2008 Dadabhoy Cement Industries Ltd -0.01960719/8/2008 Dandot Cement Co Ltd 019/8/2008 Dewan Cement Ltd -0.03783719/8/2008 Fauji Cement Co Ltd -0.04235219/8/2008 Fecto Cement Industrial Ltd -0.00365819/8/2008 Flying Cement Limited -0.06419/8/2008 Gharibwal Cement Ltd -0.00297619/8/2008 Javedan Cement Ltd -0.04810119/8/2008 Kohat Cement Co Ltd -0.00432919/8/2008 Lucky Cement Ltd 0.02765719/8/2008 Pakistan Cement Co Ltd -0.01502519/8/2008 Pioneer Cement Ltd 0.04988619/8/2008 Thatta Cement -0.00294119/8/2008 Zeal Pak Cement Factory Ltd -0.174603
Market Return On 19/8/2008 -0.0159247
12
Market Return on 20 th August 2008
Date Company Stock Return20/8/2008 Al Abbas Cement -0.00242120/8/2008 Attock Cement Pakistan Ltd -0.02142820/8/2008 Bestway Cement Ltd 020/8/2008 Cherat Cement Co Ltd -0.05263120/8/2008 D.G. Khan Cement Co Ltd -0.04982420/8/2008 Futures: AUG -0.04999020/8/2008 Dadabhoy Cement Industries Ltd -0.1020/8/2008 Dandot Cement Co Ltd 020/8/2008 Dewan Cement Ltd 0.02247120/8/2008 Fauji Cement Co Ltd -0.09705120/8/2008 Fecto Cement Industrial Ltd 0.03733120/8/2008 Flying Cement Limited -0.11111120/8/2008 Gharibwal Cement Ltd 020/8/2008 Javedan Cement Ltd 020/8/2008 Kohat Cement Co Ltd -0.04956820/8/2008 Lucky Cement Ltd -0.0520/8/2008 Pakistan Cement Co Ltd -0.12881320/8/2008 Pioneer Cement Ltd 0.00719920/8/2008 Thatta Cement -0.05899720/8/2008 Zeal Pak Cement Factory Ltd -0.057692
Market Return On 20/8/2008 -0.03812625
13
Market Return on 21 st August 2008
Date Company Stock Return21/8/2008 Al Abbas Cement -0.04126221/8/2008 Attock Cement Pakistan Ltd -0.0521/8/2008 Bestway Cement Ltd 021/8/2008 Cherat Cement Co Ltd -0.02777721/8/2008 D.G. Khan Cement Co Ltd -0.00884221/8/2008 Futures: AUG -0.00143821/8/2008 Dadabhoy Cement Industries Ltd -0.02222221/8/2008 Dandot Cement Co Ltd 021/8/2008 Dewan Cement Ltd 0.09340621/8/2008 Fauji Cement Co Ltd 0.02040821/8/2008 Fecto Cement Industrial Ltd -0.04129721/8/2008 Flying Cement Limited 0.02692321/8/2008 Gharibwal Cement Ltd -0.03582021/8/2008 Javedan Cement Ltd 0.04255321/8/2008 Kohat Cement Co Ltd -0.00226721/8/2008 Lucky Cement Ltd -0.04999321/8/2008 Pakistan Cement Co Ltd 0.12451321/8/2008 Pioneer Cement Ltd 0.00964921/8/2008 Thatta Cement -0.00313421/8/2008 Zeal Pak Cement Factory Ltd 0.013605
Market Return On 21/8/2008 0.00235025
14
Market Return On 22 nd August 2008
Date Company Stock Return22/8/2008 Al Abbas Cement 022/8/2008 Attock Cement Pakistan Ltd 0.01709522/8/2008 Bestway Cement Ltd 022/8/2008 Cherat Cement Co Ltd -0.00057122/8/2008 D.G. Khan Cement Co Ltd -0.0522/8/2008 Futures: AUG -0.04981422/8/2008 Dadabhoy Cement Industries Ltd 0.01136322/8/2008 Dandot Cement Co Ltd 022/8/2008 Dewan Cement Ltd 0.05125622/8/2008 Fauji Cement Co Ltd -0.01066622/8/2008 Fecto Cement Industrial Ltd -0.00307622/8/2008 Flying Cement Limited -0.11797722/8/2008 Gharibwal Cement Ltd -0.03715122/8/2008 Javedan Cement Ltd -0.04591822/8/2008 Kohat Cement Co Ltd 0.01818122/8/2008 Lucky Cement Ltd -0.01695622/8/2008 Pakistan Cement Co Ltd -0.03633222/8/2008 Pioneer Cement Ltd -0.03362822/8/2008 Thatta Cement 0.062522/8/2008 Zeal Pak Cement Factory Ltd -0.060402
Market Return On 22/8/2008 -0.0151048
Calculation of BetaNote: risk free rate of return is 12.2205%
Date Company Rf Rj RmK=(Rj-Rf)
M=(Rm-Rf) M^2 M*K
15
18/8/2008 Al Abbas Cement0.122205 0.076646
0.0684809-
0.045559
-0.0537241 0.00288
60.00245
18/8/2008 Attock Cement Pakistan Ltd
0.122205
0.049904
0.0684809
-0.07230
1-
0.0537241 0.002886
0.00388
18/8/2008 Bestway Cement Ltd
0.122205
0
0.0684809
-0.12220
5-
0.0537241 0.002886
0.00657
18/8/2008 Cherat Cement Co Ltd
0.122205
0.054674
0.0684809
-0.06753
1-
0.0537241 0.002886
0.00363
18/8/2008 D.G. Khan Cement Co Ltd
0.122205
0.049967
0.0684809
-0.07223
8-
0.0537241 0.002886
0.00388
18/8/2008 Futures: AUG
0.122205
0.049935
0.0684809-
0.07227-
0.0537241 0.002886
0.00388
18/8/2008Dadabhoy Cement Industries
Ltd
0.122205
0.118421
0.0684809
-0.00378
4-
0.0537241 0.002886
0.00020
18/8/2008 Dandot Cement Co Ltd
0.122205
-0.049877
0.0684809
-0.17208
2-
0.0537241 0.002886
0.00924
18/8/2008 Dewan Cement Ltd
0.122205
0.121212
0.0684809
-0.00099
3-
0.0537241 0.002886
0.000053
18/8/2008 Fauji Cement Co Ltd
0.122205
0.133333
0.06848090.01112
8-
0.0537241 0.002886
-0.00060
18/8/2008 Fecto Cement Industrial Ltd
0.122205
-0.054209
0.0684809
-0.17641
4-
0.0537241 0.002886
0.00948
18/8/2008 Flying Cement Limited
0.122205
0.140510
0.06848090.01830
5-
0.0537241 0.002886
-0.00098
18/8/2008 Gharibwal Cement Ltd
0.122205
0.018799
0.0684809
-0.10340
6-
0.0537241 0.002886
0.00555
18/8/2008 Javedan Cement Ltd
0.122205
0
0.0684809
-0.12220
5-
0.0537241 0.002886
0.00657
18/8/2008 Kohat Cement Co Ltd
0.122205
0.028953
0.0684809
-0.09325
2-
0.0537241 0.002886
0.00501
16
18/8/2008 Lucky Cement Ltd
0.122205
0.049964
0.0684809
-0.07224
1-
0.0537241 0.002886
0.00388
18/8/2008 Pakistan Cement Co Ltd
0.122205
0.200400
0.06848090.07819
5-
0.0537241 0.002886
-0.00420
18/8/2008 Pioneer Cement Ltd
0.122205
0.05
0.0684809
-0.07220
5-
0.0537241 0.002886
0.00388
18/8/2008 Thatta Cement
0.122205
0
0.0684809
-0.12220
5-
0.0537241 0.002886
0.00657
18/8/2008Zeal Pak Cement Factory
Ltd
0.122205
0.330985
0.0684809 0.20878-
0.0537241 0.002886
-0.01122
19/8/2008
Al Abbas Cement
0.122205
-0.081201
-0.0159247
-0.20340
6-
0.1381297 0.019080
0.02810
19/8/2008
Attock Cement Pakistan Ltd
0.122205
0.015965-
0.0159247
-0.10624
-0.1381297 0.01908
00.01467
19/8/2008
Bestway Cement Ltd
0.122205
0-
0.0159247
-0.12220
5-
0.1381297 0.019080
0.01688
19/8/2008
Cherat Cement Co Ltd
0.122205
-0.015033
-0.0159247
-0.13723
8-
0.1381297 0.019080
0.01896
19/8/2008
D.G. Khan Cement Co Ltd
0.122205
0.049846-
0.0159247
-0.07235
9-
0.1381297 0.019080
0.00999
19/8/2008
Futures: AUG
0.122205
0.049815-
0.0159247
-0.07239
-0.1381297 0.01908
00.009999
19/8/2008
Dadabhoy Cement Industries Ltd
0.122205
-0.019607
-0.0159247
-0.14181
2-
0.1381297 0.019080
0.01959
19/8/2008 Dandot Cement Co Ltd 0.122205
0-
0.0159247
-0.12220
5-
0.1381297 0.019080
0.01688
19/8/2008
Dewan Cement Ltd0.122205
-0.037837
-0.0159247
-0.16004
2-
0.1381297 0.019080
0.02211
19/8/2008
Fauji Cement Co Ltd0.122205
-0.042352
-0.0159247
-0.16455
7-
0.1381297 0.019080
0.02273
17
19/8/2008
Fecto Cement Industrial Ltd0.122205
-0.003658
-0.0159247
-0.12586
3-
0.1381297 0.019080
0.01739
19/8/2008
Flying Cement Limited0.122205 -0.064
-0.0159247
-0.18620
5-
0.1381297 0.019080
0.02572
19/8/2008
Gharibwal Cement Ltd0.122205
-0.002976
-0.0159247
-0.12518
1-
0.1381297 0.019080
0.01729
19/8/2008
Javedan Cement Ltd0.122205
-0.048101
-0.0159247
-0.17030
6-
0.1381297 0.019080
0.02352
19/8/2008
Kohat Cement Co Ltd0.122205
-0.004329
-0.0159247
-0.12653
4-
0.1381297 0.019080
0.01748
19/8/2008
Lucky Cement Ltd0.122205 0.027657
-0.0159247
-0.09454
8-
0.1381297 0.019080
0.01306
19/8/2008
Pakistan Cement Co Ltd0.122205
-0.015025
-0.0159247
-0.13723
-0.1381297 0.01908
00.01896
19/8/2008
Pioneer Cement Ltd0.122205 0.049886
-0.0159247
-0.07231
9-
0.1381297 0.019080
0.00999
19/8/2008
Thatta Cement0.122205
-0.002941
-0.0159247
-0.12514
6-
0.1381297 0.019080
0.01729
19/8/2008
Zeal Pak Cement Factory Ltd
0.122205
-0.174603
-0.0159247
-0.29680
8-
0.1381297 0.019080
0.040998
20/8/2008
Al Abbas Cement0.122205
-0.002421
-0.0381263
-0.12462
6-
0.1603313 0.025706
0.01998
20/8/2008
Attock Cement Pakistan Ltd0.122205
-0.021428
-0.0381263
-0.14363
3-
0.1603313 0.025706
0.02303
20/8/2008
Bestway Cement Ltd0.122205 0
-0.0381263
-0.12220
5-
0.1603313 0.025706
0.01959
20/8/2008
Cherat Cement Co Ltd0.122205
-0.052631
-0.0381263
-0.17483
6-
0.1603313 0.025706
0.02803
20/8/2008
D.G. Khan Cement Co Ltd0.122205
-0.049824
-0.0381263
-0.17202
9-
0.1603313 0.025706
0.02758
20/8/2008 Futures: AUG 0.1222 - - - - 0.02570 0.0276
18
05 0.049990 0.0381263
0.172195 0.1603313
6 120/8/2008
Dadabhoy Cement Industries Ltd
0.122205 -0.10
-0.0381263
-0.22220
5-
0.1603313 0.025706
0.03563
20/8/2008
Dandot Cement Co Ltd0.122205 0
-0.0381263
-0.12220
5-
0.1603313 0.025706
0.01959
20/8/2008
Dewan Cement Ltd0.122205 0.022471
-0.0381263
-0.09973
4-
0.1603313 0.025706
0.01599
20/8/2008
Fauji Cement Co Ltd0.122205
-0.097051
-0.0381263
-0.21925
6-
0.1603313 0.025706
0.03515
20/8/2008
Fecto Cement Industrial Ltd0.122205 0.037331
-0.0381263
-0.08487
4-
0.1603313 0.025706
0.01361
20/8/2008
Flying Cement Limited0.122205
-0.111111
-0.0381263
-0.23331
6-
0.1603313 0.025706
0.03741
20/8/2008
Gharibwal Cement Ltd0.122205 0
-0.0381263
-0.12220
5-
0.1603313 0.025706
0.01959
20/8/2008
Javedan Cement Ltd0.122205 0
-0.0381263
-0.12220
5-
0.1603313 0.025706
0.01959
20/8/2008
Kohat Cement Co Ltd0.122205
-0.049568
-0.0381263
-0.17177
3-
0.1603313 0.025706
0.02754
20/8/2008
Lucky Cement Ltd0.122205 -0.05
-0.0381263
-0.17220
5-
0.1603313 0.025706
0.02761
20/8/2008
Pakistan Cement Co Ltd0.122205
-0.128813
-0.0381263
-0.25101
8-
0.1603313 0.025706
0.04025
20/8/2008
Pioneer Cement Ltd0.122205 0.007199
-0.0381263
-0.11500
6-
0.1603313 0.025706
0.01844
20/8/2008
Thatta Cement0.122205
-0.058997
-0.0381263
-0.18120
2-
0.1603313 0.025706
0.02905
20/8/2008
Zeal Pak Cement Factory Ltd
0.122205
-0.057692
-0.0381263
-0.17989
7-
0.1603313 0.025706
0.02884
19
21/8/2008
Al Abbas Cement0.122205
-0.041262 0.0023503
-0.16346
7-
0.1198547 0.014365
0.01959
21/8/2008
Attock Cement Pakistan Ltd0.122205 -0.05 0.0023503
-0.17220
5-
0.1198547 0.014365
0.02064
21/8/2008
Bestway Cement Ltd0.122205 0 0.0023503
-0.12220
5-
0.1198547 0.014365
0.01465
21/8/2008
Cherat Cement Co Ltd0.122205
-0.027777 0.0023503
-0.14998
2-
0.1198547 0.014365
0.01798
21/8/2008
D.G. Khan Cement Co Ltd0.122205
-0.008842 0.0023503
-0.13104
7-
0.1198547 0.014365
0.01571
21/8/2008
Futures: AUG0.122205
-0.001438 0.0023503
-0.12364
3-
0.1198547 0.014365
0.01482
21/8/2008
Dadabhoy Cement Industries Ltd
0.122205
-0.022222 0.0023503
-0.14442
7-
0.1198547 0.014365
0.01731
21/8/2008
Dandot Cement Co Ltd0.122205 0 0.0023503
-0.12220
5-
0.1198547 0.014365
0.01465
21/8/2008
Dewan Cement Ltd0.122205 0.093406 0.0023503
-0.02879
9-
0.1198547 0.014365
0.00345
21/8/2008
Fauji Cement Co Ltd0.122205 0.020408 0.0023503
-0.10179
7-
0.1198547 0.014365
0.01220
21/8/2008
Fecto Cement Industrial Ltd0.122205
-0.041297 0.0023503
-0.16350
2-
0.1198547 0.014365
0.01960
21/8/2008
Flying Cement Limited0.122205 0.026923 0.0023503
-0.09528
2-
0.1198547 0.014365
0.01142
21/8/2008
Gharibwal Cement Ltd0.122205
-0.035820 0.0023503
-0.15802
5-
0.1198547 0.014365
0.01894
21/8/2008
Javedan Cement Ltd0.122205 0.042553 0.0023503
-0.07965
2-
0.1198547 0.014365
0.00955
21/8/2008
Kohat Cement Co Ltd0.122205
-0.002267 0.0023503
-0.12447
2-
0.1198547 0.014365
0.01492
20
21/8/2008
Lucky Cement Ltd0.122205
-0.049993 0.0023503
-0.17219
8-
0.1198547 0.014365
0.02064
21/8/2008
Pakistan Cement Co Ltd0.122205 0.124513 0.0023503
0.002308
-0.1198547 0.01436
5
-0.00028
21/8/2008
Pioneer Cement Ltd0.122205 0.009649 0.0023503
-0.11255
6-
0.1198547 0.014365
0.01349
21/8/2008
Thatta Cement0.122205
-0.003134 0.0023503
-0.12533
9-
0.1198547 0.014365
0.01502
21/8/2008Zeal Pak Cement Factory
Ltd0.122205 0.013605 0.0023503
-0.1086-
0.1198547 0.014365
0.01302
22/8/2008
Al Abbas Cement0.122205 0
-0.0151048
-0.12220
5-
0.1373098 0.018854
0.01678
22/8/2008
Attock Cement Pakistan Ltd0.122205 0.017095
-0.0151048
-0.10511
-0.1373098 0.01885
40.01443
22/8/2008
Bestway Cement Ltd0.122205 0
-0.0151048
-0.12220
5-
0.1373098 0.018854
0.01678
22/8/2008
Cherat Cement Co Ltd0.122205
-0.000571
-0.0151048
-0.12277
6-
0.1373098 0.018854
0.01686
22/8/2008
D.G. Khan Cement Co Ltd0.122205 -0.05
-0.0151048
-0.17220
5-
0.1373098 0.018854
0.02365
22/8/2008
Futures: AUG0.122205
-0.049814
-0.0151048
-0.17201
9-
0.1373098 0.018854
0.02362
22/8/2008
Dadabhoy Cement Industries Ltd
0.122205 0.011363
-0.0151048
-0.11084
2-
0.1373098 0.018854
0.01522
22/8/2008
Dandot Cement Co Ltd0.122205 0
-0.0151048
-0.12220
5-
0.1373098 0.018854
0.01678
22/8/2008
Dewan Cement Ltd0.122205 0.051256
-0.0151048
-0.07094
9-
0.1373098 0.018854
0.00974
22/8/2008
Fauji Cement Co Ltd0.122205
-0.010666
-0.0151048
-0.13287
1-
0.1373098 0.018854
0.01824
0.122205
-0.003076
-0.0151048
-0.12528
-0.1373098
0.018854
0.01720
21
22/8/2008 Fecto Cement Industrial Ltd
1
22/8/2008
Flying Cement Limited0.122205
-0.117977
-0.0151048
-0.24018
2-
0.1373098 0.018854
0.03298
22/8/2008
Gharibwal Cement Ltd0.122205
-0.037151
-0.0151048
-0.15935
6-
0.1373098 0.018854
0.02188
22/8/2008
Javedan Cement Ltd0.122205
-0.045918
-0.0151048
-0.16812
3-
0.1373098 0.018854
0.02308
22/8/2008
Kohat Cement Co Ltd0.122205 0.018181
-0.0151048
-0.10402
4-
0.1373098 0.018854
0.01428
22/8/2008
Lucky Cement Ltd0.122205
-0.016956
-0.0151048
-0.13916
1-
0.1373098 0.018854
0.01911
22/8/2008
Pakistan Cement Co Ltd0.122205
-0.036332
-0.0151048
-0.15853
7-
0.1373098 0.018854
0.02177
22/8/2008
Pioneer Cement Ltd0.122205
-0.033628
-0.0151048
-0.15583
3-
0.1373098 0.018854
0.02140
22/8/2008
Thatta Cement0.122205 0.0625
-0.0151048
-0.05970
5-
0.1373098 0.018854
0.00820
22/8/2008
Zeal Pak Cement Factory Ltd
0.122205
-0.060402
-0.0151048
-0.18260
7-
0.1373098 0.018854
0.02507
Calculation
∑K = -12.186993
Mean K
22
_ ∑K -12.186993 _ K = = K = -0.12186993 n 100
∑M = -12.186992
Mean M
_ ∑M -12.186992 _ M = = M = -0.12186992 n 100
∑M2 = 1.61782
∑MK = 1.61783
__ __
∑ MK – n M K Formula of Beta = 2 __ 2
∑ M – n ( M )
1.61783 – (100) ( –0.12186992 ) ( –0.12186993 ) Beta = 2 1.61782 – (100) ( –0.12186992 )
0.132602138 Beta =
0.1325922599
23
Beta = 1.0000745
Note: Risk Free return value is taken on weighted average yield of T-Bills on Dated: 13th August 2008 and the link is mentioned in Bibliography.
BIBLIOGRAPHY
www.lse.com.pk http://www.brecorder.com http://www.sbp.org.pk/ecodata/tb.pdf (For the value of risk free return)
24
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