INTRODUCTION
Ambuja Cements Limited is one of India’s leading cement manufacturing companies.
Established in 1983, it has a strong presence across the Indian construction industry.
The company is known for producing high-quality, durable cement for infrastructure and housing projects.
Ambuja emphasizes sustainability and eco-friendly practices, including low carbon footprint initiatives.
It operates multiple manufacturing plants and a wide distribution network across India.
Ambuja Cements is a part of the Adani Group, supporting India’s infrastructure growth.
OBJECTIVE
To calculate β of Ambuja Cements Limited and observe its significance.
DATA COLLECTION
Historical data of Ambuja Cements Limited and NIFTY50 index data (downloaded from NSE website for the period 01-Dec-24 to 30-Nov-2025).
The data was manipulated to get Friday closing prices.
LITERATURE REVIEW
Fama and French (1992) argued that beta alone is often insufficient to explain stock returns. Their research showed that beta may not always be statistically significant, especially in short-term datasets or volatile markets. The Excel results show a very high p-value and low t-stat, indicating that the beta coefficient is statistically insignificant. This aligns with prior literature that questions the reliability of beta as a sole predictor of stock performance.
DATA ANALYSIS
Regression Equation:
y=0.1942+0.7770x
• Where:
y = Weekly Return of the stock
x = Weekly Return of NIFTY
This equation indicates a moderate positive relationship between NIFTY returns and the stock’s weekly returns. A 1-unit increase in NIFTY’s weekly return leads to an average 0.777 increase in the stock’s weekly return.
Number of Observations:
48 weekly observations
Beta (β) Interpretation:
β (slope coefficient) = 0.7770
This shows the stock is positively sensitive to market movements.
Since β < 1, the stock is less volatile than the market.
t-statistic for β:
t-stat = 3.3182
This value is sufficiently large, indicating that the beta coefficient is statistically meaningful.
p-value:
p-value = 0.00178
Since p-value < 0.05 (and even < 0.01), β is statistically significant.
This provides strong evidence that NIFTY’s returns significantly explain the stock’s returns.
R² (Coefficient of Determination):
R² = 0.1931
This means approximately 19.31% of the variation in the stock’s weekly returns is explained by movements in NIFTY.
The remaining 80.69% variation is due to other firm-specific or macroeconomic factors not included in the model.
Adjusted R²:
Adjusted R² = 0.1756
After adjusting for degrees of freedom, the explanatory power remains reasonably close, confirming model reliability.
F-statistic and Model Significance:
F = 11.01
Significance F = 0.00178
Since Significance F < 0.05, the overall regression model is statistically significant, indicating that the independent variable (NIFTY returns) jointly explains the dependent variable.
Intercept Interpretation:
Intercept = 0.1942
p-value = 0.6583
The intercept is not statistically significant, implying that when NIFTY returns are zero, the stock’s return is not meaningfully different from zero.
CONCLUSION
Here β = 0.776341
Since β < 1, the stock is less volatile than the market, making it more suitable for defensive or long-term investment, as it tends to move less aggressively than NIFTY during market fluctuations.
REFERENCES
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Roll, R. (1977). A critique of the asset pricing theory’s tests: Part I. Journal of Financial Economics, 4(2), 129–176. https://doi.org/10.1016/0304-405X(77)90009-7