Author: Poonam R. Patil
Objective: To find the Beta of P&G
Literature review:
Procter & Gamble Hygiene and Health Care Ltd. were incorporated in the year 1964. Its current market capitalisation is at Rs 45635.41 Cr. In the latest quarter, the company has reported Gross Sales of Rs. 30019.9 Cr and Total Income of Rs.30461 Cr.
https://www.financialexpress.com/market/stock-market/procter-gamble-hygiene-and-health-care-ltd-stock-price/financials-quarterly-report/

Data collection:
I have collected data from https://www1.nseindia.com about share prices of Nifty 50 and Procter & Gamble Hygiene & Health Care for the period of 1st September 2020 to 31st August 2021.
The data has been manipulated to find Friday Closing Values for the period 1st September 2020 to 31st August 2021.
The Weekly return of Nifty 50 and Procter & Gamble Hygiene & Health Care was calculated based on the below formula:
Weekly Return = {[B3-B2)/B2*100}, whereas B3 is the current week closing price and B2 is the previous week closing price.
Weekly Return of Procter & Gamble Hygiene & Health Care (“Y”) was regressed on the weekly return of Nifty 50 (“X”).

Data Analysis:
After utilizing Regression tools from Data Analysis in Excel below values were obtained.
R2 = 0.15
F = 8.323218
P value = 0.005939
t-stat = 2.884
Significance of F = 0.005938966
Number of observation = 48
Y = 0.320+0.435x
The above equation shows the relationship between Procter & Gamble Hygiene & Health Care & Nifty 50 weekly returns.
If weekly return of Nifty 50 increases by 1% then weekly return of Procter & Gamble Hygiene & Health Care increased by 0.435 and vice versa.
It can be further explained as follows:
Weekly Return of Procter & Gamble Hygiene & Health Care = 0.320+0.435*(Weekly Return of Nifty 50)

Conclusion:

As t-stat for Beta (b) is 2.884 and P-value for b (0.005) is less than 0.05, b is statistically significant @5% level.
As R2 is 0.15, so 15% of Procter & Gamble Hygiene
& Health Care (Y) is explained by Nifty 50 (X).
As F is 8.323 & P-value for F (0.005939) is less than 0.05 so
the model is statistically significant at the @5% level.
Based on the above analysis as P-value for both F and b are less
than 0.05, so the overall model is statistically significant at a 5 % level.
The overall model is good, but we could depend on this model for only 15%. The balance dependency of 85% for this model is influenced by Procter
& Gamble Hygiene & Health Care Fundamental Policies.