Description
The report concludes that Volatility has a cyclical relationship with cash flows that is also attributed to human psyche because volatility of out-of-favor stocks and favorite stocks work in a cyclical manner in markets.
TOPIC:-CAN YOU ESTIMATE VOLATILITY IN THE MARKET USING FREE CASH FLOW FOR THE FIRM?
EXECUTIVE SUMMARY:1. Abstract:-We study free cash flows for the past few years for various firms and the corresponding years’ volatilities of their stocks in the market. We try to find out if we can estimate volatility of market using free cash flows for the firm. We find that firms have target cash levels and optimally issue equity when they run out of cash. We find that volatility of the stocks in the market doesn’t move with the free cash flows for the firm and changes significantly even if free cash flows for the firm do not vary much over the years.This is because there are two E’s which affect volatility in market:-earnings and emotions and emotional urges can (and do) often overtake the rational side. Overreaction is probably the most popularly known effect of human behavior on market prices. All things being equal, in a rational market the fundamentals of a company should determine its volatility, and there should be a clear relationship between the two. However, this research shows that this relationship doesn't necessarily happen as expected. Investors regularly overreact, often wildly, so pushing prices up too high or pushing them down too low against their fundamentals. Not only is the market, therefore, not wholly rational in reality, but the effect cannot be attributed to any financial or company-based factor(e.g. cash flows). The most likely reason for the anomaly appears to be the way investors perceive, and react to, earnings surprises or news items, or indeed other investors' actions. 2. Conclusion:-Hence we find that volatility is significantly affected by factors other than free cash flows. The estimation of volatility based solely on free cash flows is a relatively simplistic method which might lead to erroneous estimations. Volatility has a cyclical relationship with cash flows that is also attributed to human psyche because volatility of out-of-favor stocks and favourite stocks work in a cyclical manner in markets.
REPORT:1. Introduction 1.1. Payout policies of the firms play an important role in addressing agency conflicts between corporate insiders and outside shareholders. The basic idea is that the firm can either distribute free cash flows to the shareholders as dividend which will add to its brand image in market and then it can finance its investments by issuing shares. Operating costs and new investment expenditures would simply be met by issuing new shares. . In practice, however, publicly traded companies often issue new shares by organizing a seasoned equity offering (SEO), which involves huge transaction costs (13.74% in 1975 for US corporations) because of inefficiency in markets. These costs include the fees paid to the investment banks as well as other direct expenses such as legal and auditing costs. Second option for the firm is that the profits that are not paid out to shareholders can be diverted by insiders at their own advantage in projects (inefficient or efficient) which will later add on to shareholders value. But frictions within the corporation reduce the rate of return on cash held internally below the cost of capital. Hence the firm has to make a trade-off between the two options. 1.2. Now the stocks which pay a regular dividend generally trade in the market with less volatility and the investment done by the firm is not a one time gain to the shareholders hence can be taken as latent in shareholders’ eyes. Hence we can say that only free cash flows for the firm will not help one to estimate volatility of the market because volatility depends on other factors also other than dividend like uncertainty about the price level, the riskless rate of interest, the risk premium on equity and the ratio of expected profits to expected revenues in the economy. 2. Model:2.1. The explanation for the results is given using graphs , trend lines and Anova. Here the firms taken for analysis are based on their dividend history(amongst top 25 dividend paying companies for the last 5 years as per India Infoline) :2.1.1. Disa India Ltd. 2.1.2. Hindustan Unilever Ltd. 2.1.3. Ador Welding Ltd. 2.1.4. Hero Honda
HERO HONDA(%) 950 850 1000 1000 1000 900 850 935.7142857 DISA INDIA LTD. 2000 40 440 30 18 12 24 366.2857143 ADOR WELDING LTD. 80 120 150 80 25 25 22 71.71428571
YEAR 200803 200703 200603 200503 200403 200303 200203 DIVIDEND(AVG)
HUL 900 600 500 500 550 550 500 585.7143
WOCKHARDT 225 100 100 100 75 65 65 104.2857143
Disa India Ltd. last year distributed 2000% dividend but no change in volatility(Annexure 3.2) and Hero Honda , HUL have high dividend history for the last five years. Ador Welding Ltd. is comparatively low in these terms. So a mix of the firms based on their variation in cash flows over the years is taken to analyse the relationship. Following terms are calculated as:Free cash flow for the firm= Cash flow from operations-Capital expenditure Volatility = Standard deviation for 50days of ln(Previous day’s share price/today’s share price) *sqrt(50) 2.2 ANOVA:2.2.1 ANOVA for the firm with no significant change in cash flows over the years:Hero Honda has almost same free cash flow from 2001-02 to 2004-05. If we run Anova as follows:Null Hypothesis:- There is no significant difference in mean of volatility for 50 days in a year across years with 95% confidence level. Alternate Hypothesis:- There is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level. We see from the findings (Annexure 1.1) that the null hypothesis is rejected(pvalue<0.05) i.e. there is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level. Although free cash flows were almost same still volatility changed with years. This shows that for Hero Honda ltd. volatility can’t be calculated using only free cash flow for the firm as it is changing because of some other factors. 2.2.2 ANOVA for the firm with high change in cash flows over the years:Now following the same procedure for Ador Welding Ltd. where the cash flows are drastically changing over the years, we again find(Annexure 4.1) that there is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level(p-value<0.05). This shows that for Ador welding Ltd. free cash flow for the firm is changing but we can’t say that it is because of free cash flow for the firm. There can be other factors also. 2.2.3 ANOVA for the firms with moderate change in cash flows over the years:Now following the same procedure for Disa India Ltd. (Annexure 3.1)and HUL (Annexure 2.1)where the cash flows are moderately changing over the years, we again find that there is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level(p-value<0.05). This shows that for Disa India Ltd. and HUL free cash flow for the firm is changing but we can’t say that it is because of free cash flow for the firm. Since there is no difference in output irrespective of the fact that cash flow is changing or not hence cash flow alone can’t estimate volatility. 2.3 Seeing the graphical LTD.,HUL and ADOR 1.2,2.2,3.2,4.2,5.1) we degrees .Volatility has representation of HERO HONDA,DISA INDIA WELDING,WOCKHARDT HOSPITALS(Annexure see a polynomial relationship with greater than 3 a cyclic relationship with cash flows in all the
companies analysed which can’t help us in finding exact relationship between free cash flow for the firm and volatility in the market. The overreaction effect is highly pronounced when comparing 'out of favor' (contrarian stocks) against current 'favorites', or what are also known as value and glamour stocks. 'Out of favor' stocks are not stocks that are bad quality stocks, simply ones that are not attractive to the market, for whatever reason that might be. The interesting thing is, however, that over time the 'out of favor' stocks will, in general, outperform the 'favorites'. Then, when the 'out of favor' stocks become the 'favorites' due to increased buying the effect is reversed and the process is repeated in a cyclical manner, while only minor changes may take place to the stock's fundamentals.
ANNEXURE:*All FCFF values are in us million $. 1.Hero Honda: 1.1 FCFF vs Volatility: Year Free Cash Flow for the Firm(in US mn $) 2000-01 2001-02 2002-03 2003-04 2004-05
115.77
110.72
191.91
121
121.56
Volatilities(50 days of corresponding year) 0.611638 0.60665 0.608533 0.606098 0.591343 0.542657 0.513916 0.508155 0.489084 0.47956 0.478417 0.467809 0.468181 0.465536 0.43461 0.411874 0.391536 0.390571 0.37184 0.315789 0.317862 0.317654 0.342786 0.340768 0.3438 0.339432 0.31939 0.309939 0.30994 0.365294 0.379977
0.821422 0.810123 0.810107 0.803125 0.801335 0.801323 0.798612 0.788863 0.783592 0.783017 0.782043 0.782663 0.771521 0.771037 0.764596 0.759339 0.429495 0.424804 0.394973 0.398077 0.39527 0.397278 0.406988 0.406582 0.401674 0.401207 0.402877 0.400436 0.397645 0.404101 0.405394
0.407927 0.373997 0.358046 0.358051 0.357837 0.354978 0.357071 0.361624 0.361101 0.361676 0.361929 0.356051 0.35606 0.356544 0.356604 0.359002 0.358833 0.353348 0.355061 0.361795 0.358954 0.361563 0.364787 0.365824 0.36813 0.369627 0.375914 0.377519 0.377931 0.381508 0.378314
0.372231 0.383146 0.384745 0.384679 0.384379 0.37423 0.364358 0.357419 0.323088 0.31462 0.313952 0.300099 0.293584 0.291629 0.287472 0.287287 0.284346 0.282941 0.282921 0.283106 0.284017 0.284025 0.28211 0.361673 0.361485 0.358506 0.358367 0.359532 0.354496 0.354449 0.349797
0.484086 0.487342 0.487338 0.485912 0.483557 0.478989 0.478357 0.475365 0.478144 0.478361 0.477859 0.482869 0.483396 0.483294 0.483575 0.485446 0.471658 0.470387 0.485037 0.486343 0.475497 0.48052 0.489303 0.484903 0.485625 0.48558 0.479139 0.478818 0.478661 0.474244 0.403637
0.378794 0.378986 0.40385 0.403749 0.403245 0.400946 0.409279 0.423597 0.41869 0.417938 0.415765 0.417637 0.415648 0.415666 0.415831 0.417442 0.4195 0.419563 0.40911 0.408948 0.406043 0.402007 0.397832 0.397388 0.39703 0.397234 0.398206 0.397912 0.399421 0.395027 0.394964 0.393541 0.398535 0.398486 0.398962 0.398931 0.402959 0.403176 0.396557 0.414555 0.414442 0.386447 0.38446 0.385863 0.390948 0.39139
0.40542 0.407532 0.411263 0.415673 0.417313 0.416081 0.417337 0.417539 0.417328 0.420346 0.418404 0.416688 0.406907 0.301326 0.303415 0.30458 0.305077 0.307263 0.3078 0.321981 0.321175 0.320714 0.322286 0.318063 0.320105 0.325674 0.322907 0.323482 0.322753 0.32414 0.322943 0.348657 0.343534 0.343759 0.380179 0.387159 0.384178 0.399356 0.399881 0.413761 0.419772 0.409715 0.424816 0.427145 0.430833 0.429822
0.37127 0.371422 0.380785 0.394683 0.391206 0.400526 0.40033 0.388843 0.40056 0.398865 0.398975 0.398654 0.397132 0.399137 0.400292 0.416713 0.418989 0.417276 0.407819 0.41136 0.413138 0.414543 0.415105 0.417128 0.416888 0.415548 0.408907 0.408765 0.409339 0.406155 0.40692 0.409021 0.409223 0.411367 0.408028 0.408024 0.407758 0.40222 0.393885 0.410184 0.41202 0.416876 0.418197 0.417115 0.416337 0.411534
0.350869 0.347301 0.349881 0.359366 0.360271 0.360691 0.360797 0.374231 0.375249 0.367783 0.364738 0.361341 0.361927 0.364856 0.365753 0.365323 0.366378 0.367426 0.368455 0.364963 0.357265 0.374676 0.378243 0.377823 0.378603 0.37659 0.3778 0.378692 0.379256 0.375449 0.37529 0.37704 0.377103 0.379226 0.3845 0.384704 0.388695 0.400095 0.400241 0.401492 0.401473 0.413337 0.349725 0.350085 0.350613 0.354531
0.388139 0.380916 0.385698 0.390192 0.364636 0.364061 0.363024 0.371457 0.356431 0.341645 0.333402 0.322974 0.32452 0.326379 0.327073 0.32951 0.32957 0.329425 0.330912 0.330715 0.327395 0.327126 0.326167 0.326653 0.325231 0.325856 0.323613 0.317384 0.314573 0.316823 0.309689 0.306479 0.307551 0.305721 0.302269 0.313785 0.311896 0.292701 0.291954 0.28971 0.277867 0.261821 0.261782 0.26341 0.261539 0.247384
0.38599 0.389853 0.354028 0.351069 0.351284 0.354616 0.329709 0.361389 0.359853 0.359792 0.314821 0.309025 0.308928 0.310353 0.311011 0.309728 0.31932 0.342315 0.350976 0.349446 0.348171 0.34814 0.349075 0.348766 0.348794 0.369665 0.369895 0.370328 0.370754 0.371041 0.369768 0.376623 0.376953 0.377543 0.378027 0.377981 0.372591 0.37546 0.374735 0.37472 0.371132 0.371184 0.377166 0.348987 0.347738 0.347566
0.429735 0.460502 0.454157 0.455646 0.457786 0.464717 0.477112 0.474135 0.489105 0.488667 0.488017 0.48868 0.491593 0.505854 0.503771 0.514145 0.510334 0.503892 0.5023 0.513852 0.5252 0.523296 0.528928 0.523714 0.560464 0.560923 0.561817 0.561884 0.560686 0.562791 0.580645 0.580196 0.594234 0.596971 0.602979 0.586296 0.597725 0.617809 0.611999 0.607477 0.607083 0.598436 0.594432 0.587573 0.583585 0.583824
0.414737 0.425269 0.444009 0.442852 0.448274 0.445198 0.460439 0.438295 0.418899 0.393136 0.409935 0.423519 0.439122 0.441276 0.480611 0.480737 0.480516 0.479794 0.479795 0.467758 0.465643 0.465746 0.466944 0.457631 0.456081 0.455705 0.463325 0.461789 0.465695 0.46882 0.471699 0.471667 0.470993 0.472271 0.472168 0.473 0.486489 0.502153 0.513755 0.518153 0.517838 0.517695 0.513169 0.511522 0.510582 0.520367
0.35337 0.350644 0.36619 0.370524 0.371789 0.371875 0.370426 0.346727 0.346475 0.349324 0.351042 0.337608 0.337005 0.341162 0.349153 0.348788 0.351095 0.367916 0.369163 0.386151 0.386164 0.400897 0.456594 0.471386 0.471546 0.456579 0.453078 0.457824 0.456848 0.454999 0.457072 0.456225 0.462224 0.462704 0.470084 0.469781 0.472548 0.469677 0.480206 0.479453 0.477403 0.46348 0.465234 0.478649 0.481588 0.473678
0.247921 0.261741 0.264613 0.264287 0.2693 0.272442 0.259526 0.253687 0.246104 0.246199 0.248023 0.236286 0.235008 0.23043 0.22734 0.222651 0.220771 0.219185 0.219901 0.229314 0.228849 0.23374 0.232307 0.234455 0.232109 0.233155 0.233964 0.234533 0.233838 0.23335 0.232522 0.232175 0.232861 0.232323 0.23015 0.230886 0.224761 0.224782 0.224084 0.24184 0.251544 0.260186 0.275557 0.275063 0.272351 0.277534
0.347318 0.343573 0.342021 0.340838 0.341539 0.338551 0.339039 0.33149 0.330357 0.327742 0.327957 0.29122 0.29108 0.29193 0.293872 0.282135 0.282136 0.288972 0.322906 0.329426 0.326481 0.302956 0.291836 0.288903 0.293612 0.335954 0.342272 0.347073 0.362576 0.340173 0.339207 0.339873 0.341542 0.341316 0.341623 0.332462 0.331664 0.332032 0.335078 0.335367 0.335474 0.333541 0.33368 0.334304 0.334562 0.336104
0.57325 0.573988 0.570848 0.57221 0.573398 0.546452 0.546674 0.546705 0.546556 0.540681 0.526481 0.53001 0.515882 0.515255 0.518014 0.526058 0.541806 0.528029 0.528568 0.514996 0.518926 0.528809 0.550288 0.539066 0.530037 0.530079 0.532489 0.537117 0.496776 0.498031 0.520581 0.530082 0.530458 0.523861 0.501188 0.505172 0.490805 0.486569 0.480899 0.478765 0.462229 0.439349 0.421879 0.420044 0.421183 0.421481
0.518773 0.518552 0.518452 0.517847 0.516867 0.505891 0.482877 0.486131 0.487567 0.488754 0.469726 0.471441 0.468701 0.468039 0.452124 0.437294 0.419501 0.417361 0.366651 0.366326 0.371045 0.369943 0.36885 0.362726 0.362116 0.36416 0.365182 0.36504 0.36598 0.371571 0.36431 0.363685 0.35868 0.353916 0.353213 0.35415 0.359557 0.364321 0.362627 0.360099 0.340373 0.320604 0.315608 0.306262 0.310977 0.325017
0.479689 0.483152 0.48579 0.485762 0.482474 0.481569 0.4684 0.465523 0.468524 0.468508 0.468645 0.479046 0.477096 0.481436 0.487173 0.494909 0.496335 0.494441 0.489882 0.488037 0.485811 0.481407 0.478807 0.479337 0.484747 0.48317 0.431277 0.417387 0.416071 0.419498 0.424854 0.420329 0.425272 0.46563 0.473438 0.472999 0.484737 0.483414 0.483066 0.482934 0.480711 0.482438 0.475908 0.476247 0.480102 0.480231
0.27812 0.274536 0.274655 0.273979 0.273258 0.271361 0.278672 0.279365 0.273229 0.264549 0.347584 0.350207 0.35309 0.352184 0.347021 0.347224 0.34271 0.342042 0.341862 0.354364 0.354116 0.384735 0.384801 0.380565 0.38045 0.37647 0.385268 0.385822 0.413588 0.415187 0.418823 0.418759 0.420242 0.427321 0.426775 0.429573 0.430411 0.430697 0.430552 0.430151 0.430174 0.429507 0.429397 0.418002 0.413597 0.408765
0.325218 0.32531 0.329851 0.331241 0.335223 0.336046 0.337874 0.353645 0.355638 0.372011 0.430215 0.614783 0.616815 0.619367 0.619382 0.624462 0.63807 0.638478 0.636541 4.289669 4.289292 4.285652 4.27981 4.280515 4.278456 4.278895 4.277174 4.2759
0.426737 0.425322 0.424988 0.439158 0.441518 0.438733 0.44346 0.439439 0.452763 0.453778 0.472225 0.468523 0.474241 0.479844 0.482911 0.508702 0.531266 0.529807 0.533171 0.527878 0.508508 0.515174 0.513563 0.513113 0.514692 0.508947 0.489662 0.488968
0.342746 0.325935 0.326929 0.318262 0.33893 0.338658 0.339843 0.339752 0.332631 0.330861 0.330646 0.330835 0.319635 0.319001 0.31808 0.315475 0.325847 0.328265 0.355534 0.359296 0.35629 0.357356 0.362361 0.369376 0.369095 0.368946 0.368918 0.370522
0.478878 0.471198 0.467392 0.467578 0.462448 0.460119 0.457533 0.455347 0.456047 0.456099 0.455613 0.455603 0.457739 0.468018 0.470005 0.459269 0.456 0.450636 0.44479 0.455622 0.465383 0.469421 0.475758 0.480972 0.477437 0.476733 0.477675 0.46748
0.401834 0.407218 0.40899 0.406474 0.418682 0.419425 0.419095 0.418377 0.418405 0.412232 0.410484 0.412962 0.422414 0.423231 0.354992 0.355375 0.353973 0.355573 0.355547 0.355754 0.356733 0.360052 0.361244 0.344352 0.345451 0.320302 0.320472 0.321848
ANOVA Output: Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4 Column 5 Count 197 197 197 197 197 Averag e 0.56184 1 0.49532 8 0.40386 1 0.41205 2 0.34684 68.3292 9 Sum 110.682 7 97.5796 8 79.5606 5 81.1741 9 Varianc e 0.67163 8 0.01368 4 0.00309 6 0.00377 2 0.00705 7
ANOVA Source of Variation Between Groups Within Groups Total
SS 5.63249 9 137.052 5 142.685
df
MS F 1.40812 10.0688 4 5 6 0.13984 980 9 984
Pvalue F crit 5.47E 2.38101 -08 3
1.2 Graphical representation: Free Cash Flow for the Firm 25.28 45.7 115.77 110.72 191.91 121 121.56 25.16 208.93
Year 199900 200001 200102 200203 200304 200405 200506 200607 200708
Yearly Volatility 0.4720207 1.618525 0.4581434 0.3389159 0.3449592 0.3018272 0.246736 0.3172405 6.5680494
VOLATILITY VS FCFF
8 6 4 2 0 0 -2 -4 50 100 150 200 250 y = 1E-07x4 - 3E-05x3 + 0.0026x2 - 0.0306x - 0.0226 R² = 0.9864
2. HUL: 2.1 FCFF vs volatility Year Free Cash Flow for the Firm(in US mn $) 2007-08 2006-07 2005-06 2004-05 2003-04
363.08
336.51
403.13
254.99
219.09
Volatilities(50 days of corresponding year) 0.330102 0.327913 0.330195 0.328575 0.328629 0.324393 0.317197 0.314421 0.313415 0.315647 0.304736 0.304095 0.30304 0.303263 0.302454 0.299877 0.303329 0.301082 0.298065 0.291756 0.266919 0.270577 0.275693 0.274256 0.277453 0.284411 0.284334 0.280647 0.280647 0.277183 0.292235 0.298385 0.294302 0.294501 0.314676
0.550528 0.559073 0.549273 0.549273 0.547419 0.737895 0.739436 0.738376 0.738512 0.739927 0.742141 0.74461 0.745366 0.74741 0.779421 0.785879 0.784612 0.785593 0.785697 0.784247 0.785239 0.786189 0.786605 0.79073 0.787987 0.799811 0.799744 0.802163 0.807941 0.811056 0.808837 0.809789 0.811733 0.796153 0.779579
0.37686 0.382538 0.382093 0.377204 0.377492 0.376893 0.375277 0.379525 0.378529 0.378547 0.396265 0.391034 0.387174 0.382522 0.382241 0.382071 0.38235 0.375999 0.36631 0.375881 0.357109 0.34268 0.342323 0.341872 0.342828 0.342084 0.343487 0.343545 0.341889 0.341942 0.344626 0.345867 0.344558 0.342882 0.342646
0.57159 0.570175 0.569896 0.570201 0.552969 0.551937 0.552708 0.552638 0.550722 0.550653 0.553707 0.554667 0.554497 0.557081 0.556359 0.556297 0.556285 0.55646 0.550974 0.551223 0.558769 0.557894 0.558148 0.558149 0.558265 0.555601 0.555664 0.554626 0.554231 0.553019 0.55349 0.553528 0.336414 0.253526 0.239565
0.374163 0.36208 0.36206 0.353338 0.359344 0.350611 0.340892 0.340814 0.339358 0.340186 0.339245 0.32656 0.310284 0.314724 0.31682 0.315432 0.307699 0.292501 0.316364 0.318 0.317996 0.30974 0.309945 0.284124 0.287304 0.289693 0.29604 0.313789 0.327165 0.344536 0.349142 0.355743 0.372806 0.375569 0.377203
0.354416 0.356055 0.357306 0.355314 0.356853 0.360271 0.361341 0.359093 0.354198 0.361794 0.36473 0.367803 0.367756 0.367637 0.370892 0.379856 0.386353 0.3854 0.386128 0.386477 0.386636 0.386464 0.386353 0.386301 0.393077 0.390366 0.390414 0.390708 0.392017 0.393587 0.393646 0.388287 0.386958 0.388015 0.390327 0.384319 0.382773 0.380849 0.380734 0.382016 0.379544 0.380597 0.381477 0.390478 0.386282 0.366041
0.786113 0.787012 0.776622 0.770218 0.768673 0.768668 0.773371 0.768989 0.759823 0.72956 0.725658 0.71773 0.716292 0.687233 0.686603 0.668349 0.65719 0.657214 0.657181 0.658547 0.463816 0.463127 0.462991 0.463526 0.464528 0.457565 0.453607 0.452469 0.446252 0.388159 0.398576 0.395252 0.38636 0.388249 0.387487 0.393663 0.390563 0.391004 0.395057 0.395261 0.368422 0.372714 0.363679 0.356894 0.343971 0.340942
0.343588 0.352179 0.357115 0.36495 0.363545 0.347092 0.33427 0.334022 0.315873 0.334156 0.334647 0.334647 0.328001 0.326816 0.322796 0.319494 0.312408 0.312737 0.315979 0.31545 0.315562 0.315984 0.314989 0.314654 0.316569 0.28536 0.288558 0.288844 0.288839 0.288827 0.288474 0.293944 0.293015 0.294807 0.290532 0.290988 0.290852 0.293142 0.299005 0.314573 0.324072 0.332353 0.338226 0.341746 0.340358 0.340175
0.244108 0.245248 0.25645 0.245172 0.273672 0.290699 0.286161 0.286363 0.287094 0.286723 0.286198 0.288989 0.299817 0.304062 0.30642 0.303065 0.303055 0.316292 0.314719 0.31693 0.317474 0.316049 0.315391 0.314798 0.315266 0.30942 0.307049 0.308583 0.314095 0.312953 0.319589 0.324509 0.324936 0.327002 0.336202 0.321636 0.321974 0.320425 0.322079 0.321329 0.326073 0.326073 0.325362 0.324977 0.336397 0.335868
0.378739 0.3803 0.380252 0.379234 0.376626 0.384385 0.384214 0.391775 0.394463 0.397051 0.3945 0.397192 0.395417 0.395021 0.381917 0.39306 0.397584 0.402018 0.40453 0.410045 0.424632 0.424611 0.425933 0.42878 0.433751 0.434165 0.439293 0.438954 0.445482 0.442831 0.446605 0.446652 0.452666 0.442267 0.438865 0.441252 0.443248 0.45408 0.456095 0.466703 0.475447 0.473762 0.468751 0.4597 0.447811 0.444297
0.360261 0.360793 0.36054 0.341864 0.302225 0.301528 0.293825 0.294184 0.297952 0.29237 0.303841 0.306561 0.305728 0.303708 0.285495 0.30194 0.301926 0.302257 0.298716 0.288432 0.278737 0.315063 0.363095 0.36312 0.364384 0.365299 0.365299 0.367229 0.357686 0.366189 0.366351 0.365725 0.362153 0.361567 0.365362 0.363073 0.365499 0.364737 0.366322 0.370929 0.37027 0.369122 0.367975 0.365032 0.360071 0.357197
0.343756 0.337316 0.335394 0.337587 0.317317 0.319494 0.322189 0.321668 0.319605 0.319137 0.316212 0.3162 0.316757 0.316469 0.313857 0.313857 0.311463 0.310745 0.309269 0.310154 0.312797 0.313612 0.312917 0.308598 0.331935 0.32655 0.326493 0.327737 0.325746 0.322146 0.326254 0.327953 0.327823 0.328297 0.304365 0.309564 0.303962 0.305454 0.302363 0.294556 0.2939 0.292069 0.276281 0.281957 0.278612 0.270535
0.341299 0.341752 0.344652 0.356424 0.361389 0.344075 0.341805 0.335748 0.339107 0.339908 0.336128 0.335604 0.348006 0.325383 0.327957 0.334936 0.331347 0.331991 0.329332 0.339229 0.346301 0.345453 0.344718 0.345554 0.345197 0.350219 0.344491 0.346571 0.349281 0.352909 0.351332 0.351066 0.352047 0.352064 0.354303 0.351947 0.352183 0.353078 0.353985 0.383368 0.389812 0.394035 0.397432 0.386616 0.379268 0.36998
0.336616 0.336623 0.339211 0.341332 0.331097 0.327072 0.321232 0.323008 0.29084 0.278775 0.279727 0.280211 0.277982 0.280465 0.280156 0.263769 0.245074 0.244535 0.242805 0.258134 0.257253 0.246152 0.249844 0.248798 0.248458 0.259003 0.265312 0.265214 0.267327 0.269374 0.266881 0.266757 0.260658 0.260648 0.256286 0.251988 0.257303 0.256768 0.250516 0.256804 0.253844 0.267747 0.273652 0.274852 0.266102 0.265992
0.425443 0.409259 0.415529 0.41317 0.412752 0.41642 0.416389 0.413656 0.413561 0.407561 0.406399 0.399844 0.402645 0.40092 0.411034 0.410339 0.412516 0.417303 0.424503 0.419204 0.414351 0.412446 0.410747 0.417419 0.399268 0.401062 0.400354 0.399696 0.39463 0.392931 0.383724 0.383427 0.371303 0.37111 0.367938 0.369986 0.365044 0.36563 0.367393 0.364803 0.362843 0.350258 0.347332 0.331142 0.316173 0.312956
0.356774 0.348929 0.349044 0.348446 0.353135 0.352568 0.351478 0.356675 0.357258 0.367438 0.367668 0.366852 0.363275 0.364383 0.354056 0.35026 0.350128 0.34331 0.34381 0.329564 0.331435 0.338222 0.349997 0.355136 0.356568 0.322975 0.269921 0.2771 0.281315 0.284563 0.285302 0.284653 0.286991 0.337442 0.386451 0.38968 0.397386 0.454862 0.451943 0.464282 0.483959 0.502248 0.500222 0.499654 0.501015 0.503342
0.270517 0.270397 0.279111 0.283178 0.281699 0.284796 0.300547 0.299181 0.298727 0.300597 0.307371 0.306554 0.302706 0.302358 0.297939 0.297809 0.297728 0.300887 0.29986 0.29985 0.304048 0.301131 0.302331 0.30211 0.295665 0.292496 0.318538 0.318864 0.291557 0.291707 0.292141 0.292251 0.290537 0.292516 0.289512 0.300989 0.302256 0.300867 0.298575 0.290414 0.295677 0.293234 0.292076 0.290308 0.2904 0.290638
0.365291 0.362062 0.361914 0.35986 0.357937 0.358591 0.356594 0.345364 0.337734 0.350239 0.349318 0.34951 0.346138 0.344322 0.348439 0.350532 0.336813 0.336951 0.335952 0.329324 0.329304 0.327966 0.32257 0.309925 0.30503 0.313883 0.312549 0.31112 0.312029 0.306733 0.304777 0.303587 0.300122 0.297551 0.296409 0.296361 0.306998 0.306998 0.304692 0.304646 0.305228 0.308477 0.30188 0.267994 0.263671 0.259055
0.284801 0.289767 0.286463 0.309341 0.310097 0.311345 0.307368 0.310655 0.310691 0.311731 0.312079 0.318246 0.319917 0.32042 0.319454 0.318959 0.320135 0.317338 0.317746 0.318284 0.316276 0.315542 0.312967 0.306031 0.306626 0.307725 0.306188 0.309721 0.310119 0.299095 0.291798 0.295861 0.295567 0.29392 0.293827 0.311382 0.311041 0.31054 0.311132 0.312025 0.325528 0.349495 0.356553 0.353074 0.352958 0.350118
0.307497 0.316431 0.314091 0.310155 0.310114 0.310536 0.296208 0.308628 0.320293 0.313921 0.31296 0.313867 0.314367 0.312481 0.30969 0.309653 0.302846 0.305148 0.292029 0.289059 0.299216 0.2952 0.27716 0.263813 0.268574 0.265211 0.264864 0.246851 0.244303 0.240548 0.240582 0.240805 0.239398 0.244904 0.249846 0.270336 0.271575 0.2715 0.286271 0.306834 0.314522 0.310966 0.307941 0.309324 0.309718 0.309991
0.50797 0.531773 0.57194 0.572576 0.572599 0.590297 0.599216 0.601674 0.601809 0.608233 0.61184 0.610849 0.610494 0.60521 0.605156 0.60514 0.611081 0.61208 0.613174 0.614625 0.614605 0.614676 0.615361 0.613234 0.612421 0.60529 0.59846 0.594278 0.602468 0.606233 0.603366 0.600834 0.608227 0.615737 0.628223 0.636231 0.635069
0.291541 0.286183 0.286724 0.287768 0.287598 0.297929 0.290259 0.286413 0.287868 0.288629 0.271655 0.274138 0.276048 0.274225 0.294909 0.293482 0.29908 0.307501 0.30628 0.309366 0.404018 0.402317 0.403363 0.406071 0.407692 0.407808 0.405849 0.409646 0.414632 0.427329 0.417439 0.417772 0.416583 0.416361 0.416183 0.425056 0.42476
0.244492 0.240175 0.279555 0.276859 0.328557 0.350157 0.350519 0.362275 0.365915 0.366946 0.367763 0.372582 0.381982 0.37672 0.377538 0.378112 0.378571 0.37624 0.369554 0.37729 0.397665 0.397812 0.40323 0.401067 0.401904 0.400817 0.401238 0.402041 0.402821 0.395171 0.395813 0.395637 0.394595 0.411633 0.411767 0.410609 0.412363
0.345617 0.343993 0.362745 0.363207 0.351006 0.344303 0.372116 0.356913 0.356382 0.358561 0.362235 0.35698 0.35626 0.358474 0.364995 0.361113 0.360261 0.364954 0.364897 0.375366 0.375404 0.377004 0.376909 0.377016 0.387199 0.389172 0.388377 0.38576 0.385615 0.38886 0.388128 0.391492 0.391488 0.391473 0.391622 0.393343 0.393065
0.318285 0.322081 0.321493 0.322003 0.321284 0.318104 0.322125 0.335616 0.343792 0.352937 0.355068 0.350176 0.337681 0.337843 0.33849 0.337895 0.337857 0.337857 0.36493 0.378336 0.376843 0.372965 0.373237 0.380518 0.376158 0.379315 0.38202 0.383435 0.397899 0.398808 0.404882 0.407302 0.408555 0.409406 0.409596 0.414604 0.415095
ANOVA Output:
Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4 Column 5 Count 210 210 210 210 210 Sum 82.6721 4 92.0674 7 72.1710 6 73.5431 3 75.7933 7 Averag e 0.39367 7 0.43841 7 0.34367 2 0.35020 5 0.36092 1 Varianc e 0.01133 7 0.03557 1 0.00118 4 0.00909 0.00312 8
ANOVA Source of Variation
SS 1.28869 Between Groups 9 12.6046 Within Groups 5 13.8933 5
df
PMS F value F crit 0.32217 4.03E 2.38044 4 5 26.7102 -21 7 0.01206 1045 2
Total
1049
2.2 Graphical representation: Free Cash Flow for the Firm 363.08 336.51 403.13 254.99 219.09
Year 2007-08 2006-07 2005-06 2004-05 2003-04
Yearly Volatility 0.263191514 0.3064 0.2644 0.279379121 0.25848
VOLATILITY VS FCFF
0.35 0.3 0.25 0.2 0.15 0.1 0.05 0 0 100 200 300 400 500 y = 2E-09x4 - 3E-06x3 + 0.0012x2 - 0.2337x + 16.972 R² = 1 VOLATILITY VS CASH FLOW Poly. (VOLATILITY VS CASH FLOW)
3. DISA INDIA LTD.: 3.1 FCFF VS VOLATILITY: Year 2007 Free Cash Flow for the Firm(IN US MN 3.93 $) Volatilities(50 days of corresponding year) 0.2301 0.3521 0.3725 0.3729 0.3719 0.3722 0.3637 0.3616 0.3542 0.2922 0.3231 0.3718 0.2673 0.236 0.2303 0.2317 0.2237 0.2239 0.2196 0.215 0.2156 0.176 0.1203 0.119 0.1353 0.1248 0.1112 0.0984 0.0969 0.101 0.1001 0.1122 0.2992 0.3434 0.3438 0.3507 0.3525 0.3525 2006 5.31 2005 2.51 2004 1.87
0.0839 0.1731 0.1731 0.1746 0.1682 0.1574 0.2943 0.2941 0.3253 0.3629 0.3662 0.4417 0.4484 0.4761 0.4767 0.4806 0.4844 0.3811 0.3778 0.4102 0.3974 0.4175 0.3506 0.2783 0.257 0.2567 0.2541 0.2394 0.2253 0.2284 0.193 0.1814 0.1292 0.1283 0.1328 0.1442 0.143 0.136
0.2633 0.2603 0.257 0.2532 0.2504 0.2791 0.2796 0.2778 0.2978 0.2988 0.2567 0.23 0.2067 0.2161 0.2496 0.2505 0.2234 0.204 0.2091 0.1161 0.1132 0.1159 0.0967 0.0772 0.0772 0.0559 0.0314 0.0297 0.0296 0.032 0.0311 0.0326 0.0286 0.0338 0.0452 0.0485 0.0485 0.1274
0.1446 0.1471 0.1467 0.1342 0.1316 0.1218 0.122 0.1497 0.1525 0.1752 0.1758 0.1747 0.174 0.175 0.1758 0.1759 0.1758 0.1791 0.2198 0.2446 0.1882 0.1934 0.1954 0.199 0.1987 0.199 0.1964 0.2002 0.1843 0.1731 0.1675 0.1653 0.1875 0.1856 0.183 0.1779 0.1756 0.1767
0.3646 0.1354 0.139 0.1753 0.3792 0.1359 0.139 0.1774 0.377 0.1376 0.1366 0.1246 ANOVA Output:
Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4
Count Sum Average Variance 42 10.889 0.2593 0.0104 42 11.219 0.2671 0.0152 42 6.606 0.1573 0.0095 42 7.2675 0.173 0.0007
ANOVA Source of Variation Between Groups Within Groups Total
SS 0.4101 1.4668 1.8769
df 3 164 167
MS 0.1367 0.0089
PF value F crit 8E15.284 09 2.6597
3.2 Graphical representation: Free Cash Flow for the Firm 3.93 5.32 2.51 1.87 0.35
Year 2007 2006 2005 2004 2003
Yearly Volatility 0.16418 0.16231 0.11758 0.10199 0.14052
VOLATILITY VS FCFF
0.2 0.18 0.16 0.14 0.12 0.1 0.08 0.06 0.04 0.02 0 0
VOLATILITY VS FREE CASH FLOWS y = -0.0049x3 + 0.0459x2 - 0.1058x + 0.1721 R² = 0.9999 Poly. (VOLATILITY VS FREE CASH FLOWS)
2
4
6
4.Ador Welding Ltd: 4.1 FCFF vs volatility: Year Free Cash Flow for the Firm(IN US MN $) Volatilities(50 days of corresponding year) 2007-08 2006-07 2005-06 2004-05 2003-04
0.69
1
0.81
9.96
-0.28
0.53012 0.530194 0.530057 0.529766 0.529961 0.469145 0.395945 0.40428 0.401826 0.398359 0.411515 0.411334 0.412649 0.424112 0.462988 0.463368 0.451253 0.451283 0.452086 0.435754 0.447409 0.44235 0.430694 0.429904 0.448199 0.444974 0.449609 0.457101 0.460058 0.489639 0.489676 0.489894 0.498062 0.49715 0.493245 0.491839 0.476623
0.84996 0.855951 0.848988 0.944177 0.94331 0.938084 0.939355 0.940597 0.928263 0.929468 0.829456 0.829897 0.832666 0.832676 0.832278 0.833297 0.834528 0.832035 0.827114 0.827027 0.826936 0.824031 0.823908 0.82403 0.823971 0.818977 0.815857 0.81762 0.816648 0.816373 0.814051 0.813402 0.815607 0.778927 0.782727 0.753645 0.751502
0.685369 0.685722 0.687283 0.694705 0.697588 0.699514 0.715254 0.70713 0.704525 0.705019 0.732642 0.745937 0.754766 0.761539 0.761074 0.735092 0.734565 0.720525 0.719472 0.585595 0.573704 0.573774 0.569195 0.554118 0.553982 0.559461 0.555949 0.550279 0.549236 0.544339 0.568098 0.571776 0.570764 0.571684 0.572091 0.581952 0.582391
0.751328 0.750875 0.750322 0.755721 0.753082 0.752938 0.753007 0.751727 0.751143 0.757372 0.755121 0.756424 0.755254 0.754225 0.754081 0.754805 0.756514 0.756453 0.73471 0.735809 0.745082 0.745488 0.745974 0.718218 0.719273 0.542664 0.522612 0.516155 0.509675 0.508995 0.507185 0.473412 0.396438 0.338737 0.34167 0.341778 0.34178
0.632613 0.634722 0.635274 0.635372 0.62442 0.62019 0.60027 0.58983 0.58996 0.590185 0.632261 0.634369 0.633123 0.633077 0.634104 0.645524 0.643854 0.643603 0.638576 0.678854 0.677762 0.712937 0.712819 0.708023 0.707755 0.707387 0.707304 0.719447 0.70509 0.703933 0.661113 0.656875 0.652797 0.663503 0.667865 0.662609 0.670266
0.468978 0.471551 0.476812 0.465916 0.459062 0.480321 0.477337 0.475768 0.493551 0.493626 0.500332 0.50885 0.514824 0.51255 0.518097 0.517535 0.517518 0.517789 0.519726 0.519413 0.503906 0.503288 0.505583 0.489396 0.494198 0.490743 0.489307 0.444803 0.445118 0.438851 0.440884 0.437495 0.436139 0.429493 0.429109 0.427528 0.427427 0.412913 0.412445 0.407199 0.404847 0.404223 0.373995 0.378329 0.376249 0.37061
0.726176 0.723722 0.718494 0.716869 0.724136 0.724854 0.702878 0.702903 0.68755 0.632064 0.615806 0.598951 0.589722 0.589723 0.577113 0.558891 0.398903 0.395329 0.384836 0.382623 0.381047 0.387419 0.384876 0.385078 0.38217 0.372304 0.371479 0.372906 0.352653 0.349402 0.347881 0.346678 0.353077 0.353191 0.354431 0.347753 0.3502 0.346299 0.345012 0.345282 0.338685 0.348874 0.348821 0.355539 0.355556 0.327994
0.587675 0.591174 0.596525 0.596682 0.58683 0.587765 0.597646 0.641711 0.641156 0.627952 0.620247 0.619623 0.620184 0.619795 0.625336 0.624779 0.646802 0.638946 0.63879 0.622689 0.622967 0.628738 0.628039 0.590116 0.580223 0.569513 0.559058 0.556256 0.556111 0.556119 0.550677 0.550696 0.544381 0.536472 0.535933 0.544109 0.503457 0.540781 0.531784 0.532939 0.531516 0.530274 0.527712 0.496776 0.484418 0.483699
0.348133 0.349476 0.354712 0.346294 0.337171 0.337188 0.333321 0.338688 0.333304 0.335659 0.335961 0.342474 0.342392 0.345586 0.348396 0.348427 0.323115 0.337113 0.366623 0.389487 0.417596 0.420238 0.410018 0.440113 0.439311 0.447579 0.444322 0.445243 0.449448 0.445833 0.451053 0.448707 0.445317 0.429442 0.430621 0.42396 0.42156 0.426154 0.424967 0.424985 0.448686 0.657728 0.669866 0.674689 0.673813 0.677492
0.669943 0.675925 0.671068 0.573853 0.560768 0.738891 0.760896 0.756393 0.754518 0.756063 0.759815 0.759904 0.760327 0.764246 0.769865 0.770947 0.773082 0.774131 0.779742 0.780357 0.783384 0.786995 0.787072 0.77773 0.785196 0.786447 0.788575 0.791202 0.780414 0.783298 0.783479 0.783713 0.744659 0.749499 0.727277 0.732672 0.750713 0.759122 0.763704 0.76457 0.75248 0.753248 0.753354 0.753541 0.752905 0.752503
0.371128 0.371315 0.373122 0.391922 0.39599 0.394112 0.438574 0.436477 0.436034 0.416776 0.43024 0.448026 0.440525 0.442845 0.433522 0.420663 0.410958 0.407923 0.40661 0.412051 0.417071 0.41728 0.412094 0.412975 0.4281 0.447465 0.452446 0.481996 0.47682 0.492113 0.482845 0.48271 0.482336 0.484288 0.486237 0.521941 0.521989 0.521908 0.526626 0.52669 0.531925 0.544172 0.547076 0.54917 0.543797 0.542328
0.297643 0.261925 0.251158 0.251473 0.250903 0.264476 0.26514 0.28609 0.271441 0.272431 0.290902 0.290657 0.290918 0.295823 0.295632 0.296195 0.296211 0.297738 0.297913 0.29817 0.296827 0.297754 0.2885 0.288621 0.287297 0.278693 0.277649 0.276808 0.278911 0.280239 0.28225 0.282182 0.282186 0.289969 0.292481 0.297078 0.291561 0.291495 0.292093 0.316954 0.366839 0.3734 0.374033 0.370316 0.370284 0.382125
0.484776 0.488762 0.479247 0.478956 0.46798 0.463798 0.452642 0.454177 0.455137 0.4548 0.432228 0.396101 0.39463 0.406741 0.406403 0.405044 0.410327 0.439977 0.510778 0.510778 0.543495 0.540912 0.539557 0.546157 0.547574 0.538058 0.536395 0.538325 0.549857 0.549782 0.563005 0.575266 0.576438 0.57681 0.588572 0.599618 0.610089 0.615153 0.618366 0.612349 0.618762 0.583065 0.58228 0.582634 0.589015 0.590215
0.68019 0.680159 0.681545 0.681767 0.679734 0.698303 0.697449 0.697326 0.697508 0.701612 0.7173 0.726055 0.737379 0.735458 0.745991 0.752889 0.760925 0.762708 0.76013 0.789808 0.79243 0.789593 0.779592 0.772442 0.760226 0.759207 0.757974 0.73907 0.738719 0.735101 0.737681 0.736784 0.772399 0.772399 0.76955 0.769349 0.770435 0.778119 0.777603 0.777185 0.795656 0.789488 0.79157 0.788557 0.779417 0.62867
0.742397 0.73288 0.731746 0.72328 0.723285 0.715609 0.717598 0.72009 0.720895 0.538436 0.510837 0.521965 0.522521 0.521503 0.517999 0.517999 0.528003 0.527077 0.519403 0.516195 0.516557 0.516351 0.534642 0.55492 0.555727 0.566372 0.567425 0.530301 0.531349 0.537321 0.533287 0.528887 0.528815 0.526515 0.526696 0.526681 0.523496 0.517932 0.506182 0.503113 0.475649 0.460124 0.457431 0.455689 0.454809 0.451643
0.564659 0.560918 0.562197 0.567276 0.566687 0.56623 0.573438 0.565535 0.603678 0.610004 0.583047 0.597437 0.595534 0.65474 0.649248 0.634842 0.653922 0.651752 0.664043 0.683301 0.682455 0.693738 0.797945 0.799574 0.830122 0.839613 0.84314 0.846208 0.853156 0.911963 0.91716 0.902315 0.901198 0.893565 0.900233 0.901473 0.901613 0.924551 0.923329 0.901536 0.926161 0.932173 0.933843 0.938242 0.935146 0.928283
0.387912 0.382229 0.38337 0.384142 0.434194 0.449206 0.449794 0.450247 0.453602 0.447959 0.447428 0.429268 0.429717 0.434779 0.422898 0.425843 0.427503 0.423951 0.424997 0.42498 0.424799 0.427234 0.427309 0.428636 0.428373 0.426236 0.424664 0.424931 0.424419 0.424554 0.428161 0.42808 0.426731 0.428999 0.434043 0.448713 0.448676 0.443555 0.459549 0.457437 0.456603 0.46142 0.461391 0.451244 0.413747 0.410157
0.589196 0.596377 0.605566 0.605385 0.607143 0.606911 0.605104 0.610828 0.631231 0.634524 0.633263 0.641571 0.657752 0.658289 0.662907 0.616568 0.619904 0.617598 0.616294 0.616632 0.616904 0.606745 0.56976 0.573515 0.524653 0.530398 0.531333 0.527315 0.526282 0.526091 0.535686 0.534567 0.536429 0.53683 0.522961 0.507145 0.506917 0.509732 0.496138 0.47818 0.459036 0.458238 0.466647 0.472105 0.47355 0.473505
0.616091 0.622855 0.622833 0.618916 0.615279 0.619609 0.621588 0.625865 0.618855 0.608593 0.613493 0.616438 0.624365 0.616718 0.599745 0.584711 0.584452 0.594469 0.579354 0.56571 0.576643 0.590836 0.605439 0.558978 0.585129 0.590985 0.592815 0.591679 0.597966 0.597652 0.603581 0.608277 0.607587 0.607587 0.624703 0.624312 0.559541 0.605981 0.604855 0.600641 0.608501 0.638656 0.638847 0.641068 0.623673 0.632122
0.45208 0.489232 0.489806 0.497393 0.49693 0.525243 0.531756 0.531979 0.542361 0.543144 0.539321 0.534835 0.572712 0.556501 0.541123 0.525094 0.546022 0.547247 0.54675 0.550837 0.540422 0.540559 0.554087 0.556262 0.557425 0.569168 0.537578 0.51696 0.514379 0.500436 0.50244 0.503098 0.507753 0.547759 0.595543 0.595418 0.596807 0.601265 0.601861 0.606592 0.606469 0.613364 0.623182 0.62348 0.624012 0.625855
0.92519 0.926941 0.922546 0.928522 0.919033 0.92091 0.921047 0.914367 0.915043 0.924029 0.923233 0.910782 0.877274 0.879648 0.87404 0.886731 0.902273 0.881007 0.883915 0.884974 ANOVA Output:
0.409819 0.438589 0.456259 0.466655 0.484084 0.483315 0.483359 0.485748 0.452649 0.444268 0.443737 0.44801 0.445479 0.446921 0.445227 0.44493 0.448863 0.448515 0.446978 0.458073
0.472336 0.471303 0.468258 0.464254 0.471142 0.451652 0.430414 0.428049 0.434126 0.431018 0.431392 0.410078 0.411371 0.41073 0.414928 0.406584 0.386603 0.382379 0.420864 0.41824
0.630781 0.636047 0.643852 0.641299 0.641411 0.625616 0.626274 0.628872 0.636562 0.631198 0.629989 0.632696 0.63424 0.616187 0.613855 0.61649 0.610856 0.611094 0.61108 0.612842
0.622512 0.622014 0.621639 0.624927 0.627062 0.595884 0.595627 0.59276 0.594905 0.5652 0.561638 0.561796 0.561385 0.565605 0.566924 0.562445 0.509135 0.509381 0.509708 0.510097
Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4 Column 5
Count Sum Average Variance 195 112.318 0.57599 0.034561 195 95.14802 0.487939 0.039656 195 108.8956 0.558439 0.007299 195 118.101 0.605646 0.020059 195 121.267 0.621882 0.009755
ANOVA Source of Variation
SS
df
MS
F
Between Groups 2.118866 Within Groups 21.59811 Total 23.71697
4 0.529716 23.79028 970 0.022266 974
Pvalue F crit 8.6E19 2.381107
4.2 Graphical representation:YEAR 2007-08 2006-07 2005-06 2004-05 2003-04 YEARLY VOLATILITY FCFF 0.575989712 0.69 0.487938573 1 0.558439138 0.81 0.605646115 9.96 0.621881868 -0.28
VOLATILITY VS FCFF
0.7 y = 0.0088x2 - 0.088x + 0.6051 0.6 R² = 0.7587 0.5 0.4 0.3 0.2 0.1 0 -5 0 5 10 15 VOLATILITY VS FCFF Poly. (VOLATILITY VS FCFF)
5.WOCKHARDT HOSPITALS:5.1 GRAPHICAL REPRESENTATION:YEAR 2002 2003 2004 2005 2006 2007 ANNUAL VOLATILITY FCFF 0.853292 3.12 0.613881 -19.04 0.527252 9.97 0.457088 17.44 0.416699 8.37 0.339222 -77.91
FCFF vs Volatility
0.9 y = -5E-06x3 - 0.0005x2 - 0.0056x + 0.6892 R² = 0.5474 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 -100 -80 -60 -40 -20 0 20 40
REFERENCES:1. 2. 3. 4. CAPITALINE DATABASE INDIA INFOLINE INVESTOPEDIA NSE WEBSITE
doc_338490470.docx
The report concludes that Volatility has a cyclical relationship with cash flows that is also attributed to human psyche because volatility of out-of-favor stocks and favorite stocks work in a cyclical manner in markets.
TOPIC:-CAN YOU ESTIMATE VOLATILITY IN THE MARKET USING FREE CASH FLOW FOR THE FIRM?
EXECUTIVE SUMMARY:1. Abstract:-We study free cash flows for the past few years for various firms and the corresponding years’ volatilities of their stocks in the market. We try to find out if we can estimate volatility of market using free cash flows for the firm. We find that firms have target cash levels and optimally issue equity when they run out of cash. We find that volatility of the stocks in the market doesn’t move with the free cash flows for the firm and changes significantly even if free cash flows for the firm do not vary much over the years.This is because there are two E’s which affect volatility in market:-earnings and emotions and emotional urges can (and do) often overtake the rational side. Overreaction is probably the most popularly known effect of human behavior on market prices. All things being equal, in a rational market the fundamentals of a company should determine its volatility, and there should be a clear relationship between the two. However, this research shows that this relationship doesn't necessarily happen as expected. Investors regularly overreact, often wildly, so pushing prices up too high or pushing them down too low against their fundamentals. Not only is the market, therefore, not wholly rational in reality, but the effect cannot be attributed to any financial or company-based factor(e.g. cash flows). The most likely reason for the anomaly appears to be the way investors perceive, and react to, earnings surprises or news items, or indeed other investors' actions. 2. Conclusion:-Hence we find that volatility is significantly affected by factors other than free cash flows. The estimation of volatility based solely on free cash flows is a relatively simplistic method which might lead to erroneous estimations. Volatility has a cyclical relationship with cash flows that is also attributed to human psyche because volatility of out-of-favor stocks and favourite stocks work in a cyclical manner in markets.
REPORT:1. Introduction 1.1. Payout policies of the firms play an important role in addressing agency conflicts between corporate insiders and outside shareholders. The basic idea is that the firm can either distribute free cash flows to the shareholders as dividend which will add to its brand image in market and then it can finance its investments by issuing shares. Operating costs and new investment expenditures would simply be met by issuing new shares. . In practice, however, publicly traded companies often issue new shares by organizing a seasoned equity offering (SEO), which involves huge transaction costs (13.74% in 1975 for US corporations) because of inefficiency in markets. These costs include the fees paid to the investment banks as well as other direct expenses such as legal and auditing costs. Second option for the firm is that the profits that are not paid out to shareholders can be diverted by insiders at their own advantage in projects (inefficient or efficient) which will later add on to shareholders value. But frictions within the corporation reduce the rate of return on cash held internally below the cost of capital. Hence the firm has to make a trade-off between the two options. 1.2. Now the stocks which pay a regular dividend generally trade in the market with less volatility and the investment done by the firm is not a one time gain to the shareholders hence can be taken as latent in shareholders’ eyes. Hence we can say that only free cash flows for the firm will not help one to estimate volatility of the market because volatility depends on other factors also other than dividend like uncertainty about the price level, the riskless rate of interest, the risk premium on equity and the ratio of expected profits to expected revenues in the economy. 2. Model:2.1. The explanation for the results is given using graphs , trend lines and Anova. Here the firms taken for analysis are based on their dividend history(amongst top 25 dividend paying companies for the last 5 years as per India Infoline) :2.1.1. Disa India Ltd. 2.1.2. Hindustan Unilever Ltd. 2.1.3. Ador Welding Ltd. 2.1.4. Hero Honda
HERO HONDA(%) 950 850 1000 1000 1000 900 850 935.7142857 DISA INDIA LTD. 2000 40 440 30 18 12 24 366.2857143 ADOR WELDING LTD. 80 120 150 80 25 25 22 71.71428571
YEAR 200803 200703 200603 200503 200403 200303 200203 DIVIDEND(AVG)
HUL 900 600 500 500 550 550 500 585.7143
WOCKHARDT 225 100 100 100 75 65 65 104.2857143
Disa India Ltd. last year distributed 2000% dividend but no change in volatility(Annexure 3.2) and Hero Honda , HUL have high dividend history for the last five years. Ador Welding Ltd. is comparatively low in these terms. So a mix of the firms based on their variation in cash flows over the years is taken to analyse the relationship. Following terms are calculated as:Free cash flow for the firm= Cash flow from operations-Capital expenditure Volatility = Standard deviation for 50days of ln(Previous day’s share price/today’s share price) *sqrt(50) 2.2 ANOVA:2.2.1 ANOVA for the firm with no significant change in cash flows over the years:Hero Honda has almost same free cash flow from 2001-02 to 2004-05. If we run Anova as follows:Null Hypothesis:- There is no significant difference in mean of volatility for 50 days in a year across years with 95% confidence level. Alternate Hypothesis:- There is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level. We see from the findings (Annexure 1.1) that the null hypothesis is rejected(pvalue<0.05) i.e. there is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level. Although free cash flows were almost same still volatility changed with years. This shows that for Hero Honda ltd. volatility can’t be calculated using only free cash flow for the firm as it is changing because of some other factors. 2.2.2 ANOVA for the firm with high change in cash flows over the years:Now following the same procedure for Ador Welding Ltd. where the cash flows are drastically changing over the years, we again find(Annexure 4.1) that there is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level(p-value<0.05). This shows that for Ador welding Ltd. free cash flow for the firm is changing but we can’t say that it is because of free cash flow for the firm. There can be other factors also. 2.2.3 ANOVA for the firms with moderate change in cash flows over the years:Now following the same procedure for Disa India Ltd. (Annexure 3.1)and HUL (Annexure 2.1)where the cash flows are moderately changing over the years, we again find that there is a significant difference in mean of volatility for 50 days in a year across years with 95% confidence level(p-value<0.05). This shows that for Disa India Ltd. and HUL free cash flow for the firm is changing but we can’t say that it is because of free cash flow for the firm. Since there is no difference in output irrespective of the fact that cash flow is changing or not hence cash flow alone can’t estimate volatility. 2.3 Seeing the graphical LTD.,HUL and ADOR 1.2,2.2,3.2,4.2,5.1) we degrees .Volatility has representation of HERO HONDA,DISA INDIA WELDING,WOCKHARDT HOSPITALS(Annexure see a polynomial relationship with greater than 3 a cyclic relationship with cash flows in all the
companies analysed which can’t help us in finding exact relationship between free cash flow for the firm and volatility in the market. The overreaction effect is highly pronounced when comparing 'out of favor' (contrarian stocks) against current 'favorites', or what are also known as value and glamour stocks. 'Out of favor' stocks are not stocks that are bad quality stocks, simply ones that are not attractive to the market, for whatever reason that might be. The interesting thing is, however, that over time the 'out of favor' stocks will, in general, outperform the 'favorites'. Then, when the 'out of favor' stocks become the 'favorites' due to increased buying the effect is reversed and the process is repeated in a cyclical manner, while only minor changes may take place to the stock's fundamentals.
ANNEXURE:*All FCFF values are in us million $. 1.Hero Honda: 1.1 FCFF vs Volatility: Year Free Cash Flow for the Firm(in US mn $) 2000-01 2001-02 2002-03 2003-04 2004-05
115.77
110.72
191.91
121
121.56
Volatilities(50 days of corresponding year) 0.611638 0.60665 0.608533 0.606098 0.591343 0.542657 0.513916 0.508155 0.489084 0.47956 0.478417 0.467809 0.468181 0.465536 0.43461 0.411874 0.391536 0.390571 0.37184 0.315789 0.317862 0.317654 0.342786 0.340768 0.3438 0.339432 0.31939 0.309939 0.30994 0.365294 0.379977
0.821422 0.810123 0.810107 0.803125 0.801335 0.801323 0.798612 0.788863 0.783592 0.783017 0.782043 0.782663 0.771521 0.771037 0.764596 0.759339 0.429495 0.424804 0.394973 0.398077 0.39527 0.397278 0.406988 0.406582 0.401674 0.401207 0.402877 0.400436 0.397645 0.404101 0.405394
0.407927 0.373997 0.358046 0.358051 0.357837 0.354978 0.357071 0.361624 0.361101 0.361676 0.361929 0.356051 0.35606 0.356544 0.356604 0.359002 0.358833 0.353348 0.355061 0.361795 0.358954 0.361563 0.364787 0.365824 0.36813 0.369627 0.375914 0.377519 0.377931 0.381508 0.378314
0.372231 0.383146 0.384745 0.384679 0.384379 0.37423 0.364358 0.357419 0.323088 0.31462 0.313952 0.300099 0.293584 0.291629 0.287472 0.287287 0.284346 0.282941 0.282921 0.283106 0.284017 0.284025 0.28211 0.361673 0.361485 0.358506 0.358367 0.359532 0.354496 0.354449 0.349797
0.484086 0.487342 0.487338 0.485912 0.483557 0.478989 0.478357 0.475365 0.478144 0.478361 0.477859 0.482869 0.483396 0.483294 0.483575 0.485446 0.471658 0.470387 0.485037 0.486343 0.475497 0.48052 0.489303 0.484903 0.485625 0.48558 0.479139 0.478818 0.478661 0.474244 0.403637
0.378794 0.378986 0.40385 0.403749 0.403245 0.400946 0.409279 0.423597 0.41869 0.417938 0.415765 0.417637 0.415648 0.415666 0.415831 0.417442 0.4195 0.419563 0.40911 0.408948 0.406043 0.402007 0.397832 0.397388 0.39703 0.397234 0.398206 0.397912 0.399421 0.395027 0.394964 0.393541 0.398535 0.398486 0.398962 0.398931 0.402959 0.403176 0.396557 0.414555 0.414442 0.386447 0.38446 0.385863 0.390948 0.39139
0.40542 0.407532 0.411263 0.415673 0.417313 0.416081 0.417337 0.417539 0.417328 0.420346 0.418404 0.416688 0.406907 0.301326 0.303415 0.30458 0.305077 0.307263 0.3078 0.321981 0.321175 0.320714 0.322286 0.318063 0.320105 0.325674 0.322907 0.323482 0.322753 0.32414 0.322943 0.348657 0.343534 0.343759 0.380179 0.387159 0.384178 0.399356 0.399881 0.413761 0.419772 0.409715 0.424816 0.427145 0.430833 0.429822
0.37127 0.371422 0.380785 0.394683 0.391206 0.400526 0.40033 0.388843 0.40056 0.398865 0.398975 0.398654 0.397132 0.399137 0.400292 0.416713 0.418989 0.417276 0.407819 0.41136 0.413138 0.414543 0.415105 0.417128 0.416888 0.415548 0.408907 0.408765 0.409339 0.406155 0.40692 0.409021 0.409223 0.411367 0.408028 0.408024 0.407758 0.40222 0.393885 0.410184 0.41202 0.416876 0.418197 0.417115 0.416337 0.411534
0.350869 0.347301 0.349881 0.359366 0.360271 0.360691 0.360797 0.374231 0.375249 0.367783 0.364738 0.361341 0.361927 0.364856 0.365753 0.365323 0.366378 0.367426 0.368455 0.364963 0.357265 0.374676 0.378243 0.377823 0.378603 0.37659 0.3778 0.378692 0.379256 0.375449 0.37529 0.37704 0.377103 0.379226 0.3845 0.384704 0.388695 0.400095 0.400241 0.401492 0.401473 0.413337 0.349725 0.350085 0.350613 0.354531
0.388139 0.380916 0.385698 0.390192 0.364636 0.364061 0.363024 0.371457 0.356431 0.341645 0.333402 0.322974 0.32452 0.326379 0.327073 0.32951 0.32957 0.329425 0.330912 0.330715 0.327395 0.327126 0.326167 0.326653 0.325231 0.325856 0.323613 0.317384 0.314573 0.316823 0.309689 0.306479 0.307551 0.305721 0.302269 0.313785 0.311896 0.292701 0.291954 0.28971 0.277867 0.261821 0.261782 0.26341 0.261539 0.247384
0.38599 0.389853 0.354028 0.351069 0.351284 0.354616 0.329709 0.361389 0.359853 0.359792 0.314821 0.309025 0.308928 0.310353 0.311011 0.309728 0.31932 0.342315 0.350976 0.349446 0.348171 0.34814 0.349075 0.348766 0.348794 0.369665 0.369895 0.370328 0.370754 0.371041 0.369768 0.376623 0.376953 0.377543 0.378027 0.377981 0.372591 0.37546 0.374735 0.37472 0.371132 0.371184 0.377166 0.348987 0.347738 0.347566
0.429735 0.460502 0.454157 0.455646 0.457786 0.464717 0.477112 0.474135 0.489105 0.488667 0.488017 0.48868 0.491593 0.505854 0.503771 0.514145 0.510334 0.503892 0.5023 0.513852 0.5252 0.523296 0.528928 0.523714 0.560464 0.560923 0.561817 0.561884 0.560686 0.562791 0.580645 0.580196 0.594234 0.596971 0.602979 0.586296 0.597725 0.617809 0.611999 0.607477 0.607083 0.598436 0.594432 0.587573 0.583585 0.583824
0.414737 0.425269 0.444009 0.442852 0.448274 0.445198 0.460439 0.438295 0.418899 0.393136 0.409935 0.423519 0.439122 0.441276 0.480611 0.480737 0.480516 0.479794 0.479795 0.467758 0.465643 0.465746 0.466944 0.457631 0.456081 0.455705 0.463325 0.461789 0.465695 0.46882 0.471699 0.471667 0.470993 0.472271 0.472168 0.473 0.486489 0.502153 0.513755 0.518153 0.517838 0.517695 0.513169 0.511522 0.510582 0.520367
0.35337 0.350644 0.36619 0.370524 0.371789 0.371875 0.370426 0.346727 0.346475 0.349324 0.351042 0.337608 0.337005 0.341162 0.349153 0.348788 0.351095 0.367916 0.369163 0.386151 0.386164 0.400897 0.456594 0.471386 0.471546 0.456579 0.453078 0.457824 0.456848 0.454999 0.457072 0.456225 0.462224 0.462704 0.470084 0.469781 0.472548 0.469677 0.480206 0.479453 0.477403 0.46348 0.465234 0.478649 0.481588 0.473678
0.247921 0.261741 0.264613 0.264287 0.2693 0.272442 0.259526 0.253687 0.246104 0.246199 0.248023 0.236286 0.235008 0.23043 0.22734 0.222651 0.220771 0.219185 0.219901 0.229314 0.228849 0.23374 0.232307 0.234455 0.232109 0.233155 0.233964 0.234533 0.233838 0.23335 0.232522 0.232175 0.232861 0.232323 0.23015 0.230886 0.224761 0.224782 0.224084 0.24184 0.251544 0.260186 0.275557 0.275063 0.272351 0.277534
0.347318 0.343573 0.342021 0.340838 0.341539 0.338551 0.339039 0.33149 0.330357 0.327742 0.327957 0.29122 0.29108 0.29193 0.293872 0.282135 0.282136 0.288972 0.322906 0.329426 0.326481 0.302956 0.291836 0.288903 0.293612 0.335954 0.342272 0.347073 0.362576 0.340173 0.339207 0.339873 0.341542 0.341316 0.341623 0.332462 0.331664 0.332032 0.335078 0.335367 0.335474 0.333541 0.33368 0.334304 0.334562 0.336104
0.57325 0.573988 0.570848 0.57221 0.573398 0.546452 0.546674 0.546705 0.546556 0.540681 0.526481 0.53001 0.515882 0.515255 0.518014 0.526058 0.541806 0.528029 0.528568 0.514996 0.518926 0.528809 0.550288 0.539066 0.530037 0.530079 0.532489 0.537117 0.496776 0.498031 0.520581 0.530082 0.530458 0.523861 0.501188 0.505172 0.490805 0.486569 0.480899 0.478765 0.462229 0.439349 0.421879 0.420044 0.421183 0.421481
0.518773 0.518552 0.518452 0.517847 0.516867 0.505891 0.482877 0.486131 0.487567 0.488754 0.469726 0.471441 0.468701 0.468039 0.452124 0.437294 0.419501 0.417361 0.366651 0.366326 0.371045 0.369943 0.36885 0.362726 0.362116 0.36416 0.365182 0.36504 0.36598 0.371571 0.36431 0.363685 0.35868 0.353916 0.353213 0.35415 0.359557 0.364321 0.362627 0.360099 0.340373 0.320604 0.315608 0.306262 0.310977 0.325017
0.479689 0.483152 0.48579 0.485762 0.482474 0.481569 0.4684 0.465523 0.468524 0.468508 0.468645 0.479046 0.477096 0.481436 0.487173 0.494909 0.496335 0.494441 0.489882 0.488037 0.485811 0.481407 0.478807 0.479337 0.484747 0.48317 0.431277 0.417387 0.416071 0.419498 0.424854 0.420329 0.425272 0.46563 0.473438 0.472999 0.484737 0.483414 0.483066 0.482934 0.480711 0.482438 0.475908 0.476247 0.480102 0.480231
0.27812 0.274536 0.274655 0.273979 0.273258 0.271361 0.278672 0.279365 0.273229 0.264549 0.347584 0.350207 0.35309 0.352184 0.347021 0.347224 0.34271 0.342042 0.341862 0.354364 0.354116 0.384735 0.384801 0.380565 0.38045 0.37647 0.385268 0.385822 0.413588 0.415187 0.418823 0.418759 0.420242 0.427321 0.426775 0.429573 0.430411 0.430697 0.430552 0.430151 0.430174 0.429507 0.429397 0.418002 0.413597 0.408765
0.325218 0.32531 0.329851 0.331241 0.335223 0.336046 0.337874 0.353645 0.355638 0.372011 0.430215 0.614783 0.616815 0.619367 0.619382 0.624462 0.63807 0.638478 0.636541 4.289669 4.289292 4.285652 4.27981 4.280515 4.278456 4.278895 4.277174 4.2759
0.426737 0.425322 0.424988 0.439158 0.441518 0.438733 0.44346 0.439439 0.452763 0.453778 0.472225 0.468523 0.474241 0.479844 0.482911 0.508702 0.531266 0.529807 0.533171 0.527878 0.508508 0.515174 0.513563 0.513113 0.514692 0.508947 0.489662 0.488968
0.342746 0.325935 0.326929 0.318262 0.33893 0.338658 0.339843 0.339752 0.332631 0.330861 0.330646 0.330835 0.319635 0.319001 0.31808 0.315475 0.325847 0.328265 0.355534 0.359296 0.35629 0.357356 0.362361 0.369376 0.369095 0.368946 0.368918 0.370522
0.478878 0.471198 0.467392 0.467578 0.462448 0.460119 0.457533 0.455347 0.456047 0.456099 0.455613 0.455603 0.457739 0.468018 0.470005 0.459269 0.456 0.450636 0.44479 0.455622 0.465383 0.469421 0.475758 0.480972 0.477437 0.476733 0.477675 0.46748
0.401834 0.407218 0.40899 0.406474 0.418682 0.419425 0.419095 0.418377 0.418405 0.412232 0.410484 0.412962 0.422414 0.423231 0.354992 0.355375 0.353973 0.355573 0.355547 0.355754 0.356733 0.360052 0.361244 0.344352 0.345451 0.320302 0.320472 0.321848
ANOVA Output: Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4 Column 5 Count 197 197 197 197 197 Averag e 0.56184 1 0.49532 8 0.40386 1 0.41205 2 0.34684 68.3292 9 Sum 110.682 7 97.5796 8 79.5606 5 81.1741 9 Varianc e 0.67163 8 0.01368 4 0.00309 6 0.00377 2 0.00705 7
ANOVA Source of Variation Between Groups Within Groups Total
SS 5.63249 9 137.052 5 142.685
df
MS F 1.40812 10.0688 4 5 6 0.13984 980 9 984
Pvalue F crit 5.47E 2.38101 -08 3
1.2 Graphical representation: Free Cash Flow for the Firm 25.28 45.7 115.77 110.72 191.91 121 121.56 25.16 208.93
Year 199900 200001 200102 200203 200304 200405 200506 200607 200708
Yearly Volatility 0.4720207 1.618525 0.4581434 0.3389159 0.3449592 0.3018272 0.246736 0.3172405 6.5680494
VOLATILITY VS FCFF
8 6 4 2 0 0 -2 -4 50 100 150 200 250 y = 1E-07x4 - 3E-05x3 + 0.0026x2 - 0.0306x - 0.0226 R² = 0.9864
2. HUL: 2.1 FCFF vs volatility Year Free Cash Flow for the Firm(in US mn $) 2007-08 2006-07 2005-06 2004-05 2003-04
363.08
336.51
403.13
254.99
219.09
Volatilities(50 days of corresponding year) 0.330102 0.327913 0.330195 0.328575 0.328629 0.324393 0.317197 0.314421 0.313415 0.315647 0.304736 0.304095 0.30304 0.303263 0.302454 0.299877 0.303329 0.301082 0.298065 0.291756 0.266919 0.270577 0.275693 0.274256 0.277453 0.284411 0.284334 0.280647 0.280647 0.277183 0.292235 0.298385 0.294302 0.294501 0.314676
0.550528 0.559073 0.549273 0.549273 0.547419 0.737895 0.739436 0.738376 0.738512 0.739927 0.742141 0.74461 0.745366 0.74741 0.779421 0.785879 0.784612 0.785593 0.785697 0.784247 0.785239 0.786189 0.786605 0.79073 0.787987 0.799811 0.799744 0.802163 0.807941 0.811056 0.808837 0.809789 0.811733 0.796153 0.779579
0.37686 0.382538 0.382093 0.377204 0.377492 0.376893 0.375277 0.379525 0.378529 0.378547 0.396265 0.391034 0.387174 0.382522 0.382241 0.382071 0.38235 0.375999 0.36631 0.375881 0.357109 0.34268 0.342323 0.341872 0.342828 0.342084 0.343487 0.343545 0.341889 0.341942 0.344626 0.345867 0.344558 0.342882 0.342646
0.57159 0.570175 0.569896 0.570201 0.552969 0.551937 0.552708 0.552638 0.550722 0.550653 0.553707 0.554667 0.554497 0.557081 0.556359 0.556297 0.556285 0.55646 0.550974 0.551223 0.558769 0.557894 0.558148 0.558149 0.558265 0.555601 0.555664 0.554626 0.554231 0.553019 0.55349 0.553528 0.336414 0.253526 0.239565
0.374163 0.36208 0.36206 0.353338 0.359344 0.350611 0.340892 0.340814 0.339358 0.340186 0.339245 0.32656 0.310284 0.314724 0.31682 0.315432 0.307699 0.292501 0.316364 0.318 0.317996 0.30974 0.309945 0.284124 0.287304 0.289693 0.29604 0.313789 0.327165 0.344536 0.349142 0.355743 0.372806 0.375569 0.377203
0.354416 0.356055 0.357306 0.355314 0.356853 0.360271 0.361341 0.359093 0.354198 0.361794 0.36473 0.367803 0.367756 0.367637 0.370892 0.379856 0.386353 0.3854 0.386128 0.386477 0.386636 0.386464 0.386353 0.386301 0.393077 0.390366 0.390414 0.390708 0.392017 0.393587 0.393646 0.388287 0.386958 0.388015 0.390327 0.384319 0.382773 0.380849 0.380734 0.382016 0.379544 0.380597 0.381477 0.390478 0.386282 0.366041
0.786113 0.787012 0.776622 0.770218 0.768673 0.768668 0.773371 0.768989 0.759823 0.72956 0.725658 0.71773 0.716292 0.687233 0.686603 0.668349 0.65719 0.657214 0.657181 0.658547 0.463816 0.463127 0.462991 0.463526 0.464528 0.457565 0.453607 0.452469 0.446252 0.388159 0.398576 0.395252 0.38636 0.388249 0.387487 0.393663 0.390563 0.391004 0.395057 0.395261 0.368422 0.372714 0.363679 0.356894 0.343971 0.340942
0.343588 0.352179 0.357115 0.36495 0.363545 0.347092 0.33427 0.334022 0.315873 0.334156 0.334647 0.334647 0.328001 0.326816 0.322796 0.319494 0.312408 0.312737 0.315979 0.31545 0.315562 0.315984 0.314989 0.314654 0.316569 0.28536 0.288558 0.288844 0.288839 0.288827 0.288474 0.293944 0.293015 0.294807 0.290532 0.290988 0.290852 0.293142 0.299005 0.314573 0.324072 0.332353 0.338226 0.341746 0.340358 0.340175
0.244108 0.245248 0.25645 0.245172 0.273672 0.290699 0.286161 0.286363 0.287094 0.286723 0.286198 0.288989 0.299817 0.304062 0.30642 0.303065 0.303055 0.316292 0.314719 0.31693 0.317474 0.316049 0.315391 0.314798 0.315266 0.30942 0.307049 0.308583 0.314095 0.312953 0.319589 0.324509 0.324936 0.327002 0.336202 0.321636 0.321974 0.320425 0.322079 0.321329 0.326073 0.326073 0.325362 0.324977 0.336397 0.335868
0.378739 0.3803 0.380252 0.379234 0.376626 0.384385 0.384214 0.391775 0.394463 0.397051 0.3945 0.397192 0.395417 0.395021 0.381917 0.39306 0.397584 0.402018 0.40453 0.410045 0.424632 0.424611 0.425933 0.42878 0.433751 0.434165 0.439293 0.438954 0.445482 0.442831 0.446605 0.446652 0.452666 0.442267 0.438865 0.441252 0.443248 0.45408 0.456095 0.466703 0.475447 0.473762 0.468751 0.4597 0.447811 0.444297
0.360261 0.360793 0.36054 0.341864 0.302225 0.301528 0.293825 0.294184 0.297952 0.29237 0.303841 0.306561 0.305728 0.303708 0.285495 0.30194 0.301926 0.302257 0.298716 0.288432 0.278737 0.315063 0.363095 0.36312 0.364384 0.365299 0.365299 0.367229 0.357686 0.366189 0.366351 0.365725 0.362153 0.361567 0.365362 0.363073 0.365499 0.364737 0.366322 0.370929 0.37027 0.369122 0.367975 0.365032 0.360071 0.357197
0.343756 0.337316 0.335394 0.337587 0.317317 0.319494 0.322189 0.321668 0.319605 0.319137 0.316212 0.3162 0.316757 0.316469 0.313857 0.313857 0.311463 0.310745 0.309269 0.310154 0.312797 0.313612 0.312917 0.308598 0.331935 0.32655 0.326493 0.327737 0.325746 0.322146 0.326254 0.327953 0.327823 0.328297 0.304365 0.309564 0.303962 0.305454 0.302363 0.294556 0.2939 0.292069 0.276281 0.281957 0.278612 0.270535
0.341299 0.341752 0.344652 0.356424 0.361389 0.344075 0.341805 0.335748 0.339107 0.339908 0.336128 0.335604 0.348006 0.325383 0.327957 0.334936 0.331347 0.331991 0.329332 0.339229 0.346301 0.345453 0.344718 0.345554 0.345197 0.350219 0.344491 0.346571 0.349281 0.352909 0.351332 0.351066 0.352047 0.352064 0.354303 0.351947 0.352183 0.353078 0.353985 0.383368 0.389812 0.394035 0.397432 0.386616 0.379268 0.36998
0.336616 0.336623 0.339211 0.341332 0.331097 0.327072 0.321232 0.323008 0.29084 0.278775 0.279727 0.280211 0.277982 0.280465 0.280156 0.263769 0.245074 0.244535 0.242805 0.258134 0.257253 0.246152 0.249844 0.248798 0.248458 0.259003 0.265312 0.265214 0.267327 0.269374 0.266881 0.266757 0.260658 0.260648 0.256286 0.251988 0.257303 0.256768 0.250516 0.256804 0.253844 0.267747 0.273652 0.274852 0.266102 0.265992
0.425443 0.409259 0.415529 0.41317 0.412752 0.41642 0.416389 0.413656 0.413561 0.407561 0.406399 0.399844 0.402645 0.40092 0.411034 0.410339 0.412516 0.417303 0.424503 0.419204 0.414351 0.412446 0.410747 0.417419 0.399268 0.401062 0.400354 0.399696 0.39463 0.392931 0.383724 0.383427 0.371303 0.37111 0.367938 0.369986 0.365044 0.36563 0.367393 0.364803 0.362843 0.350258 0.347332 0.331142 0.316173 0.312956
0.356774 0.348929 0.349044 0.348446 0.353135 0.352568 0.351478 0.356675 0.357258 0.367438 0.367668 0.366852 0.363275 0.364383 0.354056 0.35026 0.350128 0.34331 0.34381 0.329564 0.331435 0.338222 0.349997 0.355136 0.356568 0.322975 0.269921 0.2771 0.281315 0.284563 0.285302 0.284653 0.286991 0.337442 0.386451 0.38968 0.397386 0.454862 0.451943 0.464282 0.483959 0.502248 0.500222 0.499654 0.501015 0.503342
0.270517 0.270397 0.279111 0.283178 0.281699 0.284796 0.300547 0.299181 0.298727 0.300597 0.307371 0.306554 0.302706 0.302358 0.297939 0.297809 0.297728 0.300887 0.29986 0.29985 0.304048 0.301131 0.302331 0.30211 0.295665 0.292496 0.318538 0.318864 0.291557 0.291707 0.292141 0.292251 0.290537 0.292516 0.289512 0.300989 0.302256 0.300867 0.298575 0.290414 0.295677 0.293234 0.292076 0.290308 0.2904 0.290638
0.365291 0.362062 0.361914 0.35986 0.357937 0.358591 0.356594 0.345364 0.337734 0.350239 0.349318 0.34951 0.346138 0.344322 0.348439 0.350532 0.336813 0.336951 0.335952 0.329324 0.329304 0.327966 0.32257 0.309925 0.30503 0.313883 0.312549 0.31112 0.312029 0.306733 0.304777 0.303587 0.300122 0.297551 0.296409 0.296361 0.306998 0.306998 0.304692 0.304646 0.305228 0.308477 0.30188 0.267994 0.263671 0.259055
0.284801 0.289767 0.286463 0.309341 0.310097 0.311345 0.307368 0.310655 0.310691 0.311731 0.312079 0.318246 0.319917 0.32042 0.319454 0.318959 0.320135 0.317338 0.317746 0.318284 0.316276 0.315542 0.312967 0.306031 0.306626 0.307725 0.306188 0.309721 0.310119 0.299095 0.291798 0.295861 0.295567 0.29392 0.293827 0.311382 0.311041 0.31054 0.311132 0.312025 0.325528 0.349495 0.356553 0.353074 0.352958 0.350118
0.307497 0.316431 0.314091 0.310155 0.310114 0.310536 0.296208 0.308628 0.320293 0.313921 0.31296 0.313867 0.314367 0.312481 0.30969 0.309653 0.302846 0.305148 0.292029 0.289059 0.299216 0.2952 0.27716 0.263813 0.268574 0.265211 0.264864 0.246851 0.244303 0.240548 0.240582 0.240805 0.239398 0.244904 0.249846 0.270336 0.271575 0.2715 0.286271 0.306834 0.314522 0.310966 0.307941 0.309324 0.309718 0.309991
0.50797 0.531773 0.57194 0.572576 0.572599 0.590297 0.599216 0.601674 0.601809 0.608233 0.61184 0.610849 0.610494 0.60521 0.605156 0.60514 0.611081 0.61208 0.613174 0.614625 0.614605 0.614676 0.615361 0.613234 0.612421 0.60529 0.59846 0.594278 0.602468 0.606233 0.603366 0.600834 0.608227 0.615737 0.628223 0.636231 0.635069
0.291541 0.286183 0.286724 0.287768 0.287598 0.297929 0.290259 0.286413 0.287868 0.288629 0.271655 0.274138 0.276048 0.274225 0.294909 0.293482 0.29908 0.307501 0.30628 0.309366 0.404018 0.402317 0.403363 0.406071 0.407692 0.407808 0.405849 0.409646 0.414632 0.427329 0.417439 0.417772 0.416583 0.416361 0.416183 0.425056 0.42476
0.244492 0.240175 0.279555 0.276859 0.328557 0.350157 0.350519 0.362275 0.365915 0.366946 0.367763 0.372582 0.381982 0.37672 0.377538 0.378112 0.378571 0.37624 0.369554 0.37729 0.397665 0.397812 0.40323 0.401067 0.401904 0.400817 0.401238 0.402041 0.402821 0.395171 0.395813 0.395637 0.394595 0.411633 0.411767 0.410609 0.412363
0.345617 0.343993 0.362745 0.363207 0.351006 0.344303 0.372116 0.356913 0.356382 0.358561 0.362235 0.35698 0.35626 0.358474 0.364995 0.361113 0.360261 0.364954 0.364897 0.375366 0.375404 0.377004 0.376909 0.377016 0.387199 0.389172 0.388377 0.38576 0.385615 0.38886 0.388128 0.391492 0.391488 0.391473 0.391622 0.393343 0.393065
0.318285 0.322081 0.321493 0.322003 0.321284 0.318104 0.322125 0.335616 0.343792 0.352937 0.355068 0.350176 0.337681 0.337843 0.33849 0.337895 0.337857 0.337857 0.36493 0.378336 0.376843 0.372965 0.373237 0.380518 0.376158 0.379315 0.38202 0.383435 0.397899 0.398808 0.404882 0.407302 0.408555 0.409406 0.409596 0.414604 0.415095
ANOVA Output:
Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4 Column 5 Count 210 210 210 210 210 Sum 82.6721 4 92.0674 7 72.1710 6 73.5431 3 75.7933 7 Averag e 0.39367 7 0.43841 7 0.34367 2 0.35020 5 0.36092 1 Varianc e 0.01133 7 0.03557 1 0.00118 4 0.00909 0.00312 8
ANOVA Source of Variation
SS 1.28869 Between Groups 9 12.6046 Within Groups 5 13.8933 5
df
PMS F value F crit 0.32217 4.03E 2.38044 4 5 26.7102 -21 7 0.01206 1045 2
Total
1049
2.2 Graphical representation: Free Cash Flow for the Firm 363.08 336.51 403.13 254.99 219.09
Year 2007-08 2006-07 2005-06 2004-05 2003-04
Yearly Volatility 0.263191514 0.3064 0.2644 0.279379121 0.25848
VOLATILITY VS FCFF
0.35 0.3 0.25 0.2 0.15 0.1 0.05 0 0 100 200 300 400 500 y = 2E-09x4 - 3E-06x3 + 0.0012x2 - 0.2337x + 16.972 R² = 1 VOLATILITY VS CASH FLOW Poly. (VOLATILITY VS CASH FLOW)
3. DISA INDIA LTD.: 3.1 FCFF VS VOLATILITY: Year 2007 Free Cash Flow for the Firm(IN US MN 3.93 $) Volatilities(50 days of corresponding year) 0.2301 0.3521 0.3725 0.3729 0.3719 0.3722 0.3637 0.3616 0.3542 0.2922 0.3231 0.3718 0.2673 0.236 0.2303 0.2317 0.2237 0.2239 0.2196 0.215 0.2156 0.176 0.1203 0.119 0.1353 0.1248 0.1112 0.0984 0.0969 0.101 0.1001 0.1122 0.2992 0.3434 0.3438 0.3507 0.3525 0.3525 2006 5.31 2005 2.51 2004 1.87
0.0839 0.1731 0.1731 0.1746 0.1682 0.1574 0.2943 0.2941 0.3253 0.3629 0.3662 0.4417 0.4484 0.4761 0.4767 0.4806 0.4844 0.3811 0.3778 0.4102 0.3974 0.4175 0.3506 0.2783 0.257 0.2567 0.2541 0.2394 0.2253 0.2284 0.193 0.1814 0.1292 0.1283 0.1328 0.1442 0.143 0.136
0.2633 0.2603 0.257 0.2532 0.2504 0.2791 0.2796 0.2778 0.2978 0.2988 0.2567 0.23 0.2067 0.2161 0.2496 0.2505 0.2234 0.204 0.2091 0.1161 0.1132 0.1159 0.0967 0.0772 0.0772 0.0559 0.0314 0.0297 0.0296 0.032 0.0311 0.0326 0.0286 0.0338 0.0452 0.0485 0.0485 0.1274
0.1446 0.1471 0.1467 0.1342 0.1316 0.1218 0.122 0.1497 0.1525 0.1752 0.1758 0.1747 0.174 0.175 0.1758 0.1759 0.1758 0.1791 0.2198 0.2446 0.1882 0.1934 0.1954 0.199 0.1987 0.199 0.1964 0.2002 0.1843 0.1731 0.1675 0.1653 0.1875 0.1856 0.183 0.1779 0.1756 0.1767
0.3646 0.1354 0.139 0.1753 0.3792 0.1359 0.139 0.1774 0.377 0.1376 0.1366 0.1246 ANOVA Output:
Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4
Count Sum Average Variance 42 10.889 0.2593 0.0104 42 11.219 0.2671 0.0152 42 6.606 0.1573 0.0095 42 7.2675 0.173 0.0007
ANOVA Source of Variation Between Groups Within Groups Total
SS 0.4101 1.4668 1.8769
df 3 164 167
MS 0.1367 0.0089
PF value F crit 8E15.284 09 2.6597
3.2 Graphical representation: Free Cash Flow for the Firm 3.93 5.32 2.51 1.87 0.35
Year 2007 2006 2005 2004 2003
Yearly Volatility 0.16418 0.16231 0.11758 0.10199 0.14052
VOLATILITY VS FCFF
0.2 0.18 0.16 0.14 0.12 0.1 0.08 0.06 0.04 0.02 0 0
VOLATILITY VS FREE CASH FLOWS y = -0.0049x3 + 0.0459x2 - 0.1058x + 0.1721 R² = 0.9999 Poly. (VOLATILITY VS FREE CASH FLOWS)
2
4
6
4.Ador Welding Ltd: 4.1 FCFF vs volatility: Year Free Cash Flow for the Firm(IN US MN $) Volatilities(50 days of corresponding year) 2007-08 2006-07 2005-06 2004-05 2003-04
0.69
1
0.81
9.96
-0.28
0.53012 0.530194 0.530057 0.529766 0.529961 0.469145 0.395945 0.40428 0.401826 0.398359 0.411515 0.411334 0.412649 0.424112 0.462988 0.463368 0.451253 0.451283 0.452086 0.435754 0.447409 0.44235 0.430694 0.429904 0.448199 0.444974 0.449609 0.457101 0.460058 0.489639 0.489676 0.489894 0.498062 0.49715 0.493245 0.491839 0.476623
0.84996 0.855951 0.848988 0.944177 0.94331 0.938084 0.939355 0.940597 0.928263 0.929468 0.829456 0.829897 0.832666 0.832676 0.832278 0.833297 0.834528 0.832035 0.827114 0.827027 0.826936 0.824031 0.823908 0.82403 0.823971 0.818977 0.815857 0.81762 0.816648 0.816373 0.814051 0.813402 0.815607 0.778927 0.782727 0.753645 0.751502
0.685369 0.685722 0.687283 0.694705 0.697588 0.699514 0.715254 0.70713 0.704525 0.705019 0.732642 0.745937 0.754766 0.761539 0.761074 0.735092 0.734565 0.720525 0.719472 0.585595 0.573704 0.573774 0.569195 0.554118 0.553982 0.559461 0.555949 0.550279 0.549236 0.544339 0.568098 0.571776 0.570764 0.571684 0.572091 0.581952 0.582391
0.751328 0.750875 0.750322 0.755721 0.753082 0.752938 0.753007 0.751727 0.751143 0.757372 0.755121 0.756424 0.755254 0.754225 0.754081 0.754805 0.756514 0.756453 0.73471 0.735809 0.745082 0.745488 0.745974 0.718218 0.719273 0.542664 0.522612 0.516155 0.509675 0.508995 0.507185 0.473412 0.396438 0.338737 0.34167 0.341778 0.34178
0.632613 0.634722 0.635274 0.635372 0.62442 0.62019 0.60027 0.58983 0.58996 0.590185 0.632261 0.634369 0.633123 0.633077 0.634104 0.645524 0.643854 0.643603 0.638576 0.678854 0.677762 0.712937 0.712819 0.708023 0.707755 0.707387 0.707304 0.719447 0.70509 0.703933 0.661113 0.656875 0.652797 0.663503 0.667865 0.662609 0.670266
0.468978 0.471551 0.476812 0.465916 0.459062 0.480321 0.477337 0.475768 0.493551 0.493626 0.500332 0.50885 0.514824 0.51255 0.518097 0.517535 0.517518 0.517789 0.519726 0.519413 0.503906 0.503288 0.505583 0.489396 0.494198 0.490743 0.489307 0.444803 0.445118 0.438851 0.440884 0.437495 0.436139 0.429493 0.429109 0.427528 0.427427 0.412913 0.412445 0.407199 0.404847 0.404223 0.373995 0.378329 0.376249 0.37061
0.726176 0.723722 0.718494 0.716869 0.724136 0.724854 0.702878 0.702903 0.68755 0.632064 0.615806 0.598951 0.589722 0.589723 0.577113 0.558891 0.398903 0.395329 0.384836 0.382623 0.381047 0.387419 0.384876 0.385078 0.38217 0.372304 0.371479 0.372906 0.352653 0.349402 0.347881 0.346678 0.353077 0.353191 0.354431 0.347753 0.3502 0.346299 0.345012 0.345282 0.338685 0.348874 0.348821 0.355539 0.355556 0.327994
0.587675 0.591174 0.596525 0.596682 0.58683 0.587765 0.597646 0.641711 0.641156 0.627952 0.620247 0.619623 0.620184 0.619795 0.625336 0.624779 0.646802 0.638946 0.63879 0.622689 0.622967 0.628738 0.628039 0.590116 0.580223 0.569513 0.559058 0.556256 0.556111 0.556119 0.550677 0.550696 0.544381 0.536472 0.535933 0.544109 0.503457 0.540781 0.531784 0.532939 0.531516 0.530274 0.527712 0.496776 0.484418 0.483699
0.348133 0.349476 0.354712 0.346294 0.337171 0.337188 0.333321 0.338688 0.333304 0.335659 0.335961 0.342474 0.342392 0.345586 0.348396 0.348427 0.323115 0.337113 0.366623 0.389487 0.417596 0.420238 0.410018 0.440113 0.439311 0.447579 0.444322 0.445243 0.449448 0.445833 0.451053 0.448707 0.445317 0.429442 0.430621 0.42396 0.42156 0.426154 0.424967 0.424985 0.448686 0.657728 0.669866 0.674689 0.673813 0.677492
0.669943 0.675925 0.671068 0.573853 0.560768 0.738891 0.760896 0.756393 0.754518 0.756063 0.759815 0.759904 0.760327 0.764246 0.769865 0.770947 0.773082 0.774131 0.779742 0.780357 0.783384 0.786995 0.787072 0.77773 0.785196 0.786447 0.788575 0.791202 0.780414 0.783298 0.783479 0.783713 0.744659 0.749499 0.727277 0.732672 0.750713 0.759122 0.763704 0.76457 0.75248 0.753248 0.753354 0.753541 0.752905 0.752503
0.371128 0.371315 0.373122 0.391922 0.39599 0.394112 0.438574 0.436477 0.436034 0.416776 0.43024 0.448026 0.440525 0.442845 0.433522 0.420663 0.410958 0.407923 0.40661 0.412051 0.417071 0.41728 0.412094 0.412975 0.4281 0.447465 0.452446 0.481996 0.47682 0.492113 0.482845 0.48271 0.482336 0.484288 0.486237 0.521941 0.521989 0.521908 0.526626 0.52669 0.531925 0.544172 0.547076 0.54917 0.543797 0.542328
0.297643 0.261925 0.251158 0.251473 0.250903 0.264476 0.26514 0.28609 0.271441 0.272431 0.290902 0.290657 0.290918 0.295823 0.295632 0.296195 0.296211 0.297738 0.297913 0.29817 0.296827 0.297754 0.2885 0.288621 0.287297 0.278693 0.277649 0.276808 0.278911 0.280239 0.28225 0.282182 0.282186 0.289969 0.292481 0.297078 0.291561 0.291495 0.292093 0.316954 0.366839 0.3734 0.374033 0.370316 0.370284 0.382125
0.484776 0.488762 0.479247 0.478956 0.46798 0.463798 0.452642 0.454177 0.455137 0.4548 0.432228 0.396101 0.39463 0.406741 0.406403 0.405044 0.410327 0.439977 0.510778 0.510778 0.543495 0.540912 0.539557 0.546157 0.547574 0.538058 0.536395 0.538325 0.549857 0.549782 0.563005 0.575266 0.576438 0.57681 0.588572 0.599618 0.610089 0.615153 0.618366 0.612349 0.618762 0.583065 0.58228 0.582634 0.589015 0.590215
0.68019 0.680159 0.681545 0.681767 0.679734 0.698303 0.697449 0.697326 0.697508 0.701612 0.7173 0.726055 0.737379 0.735458 0.745991 0.752889 0.760925 0.762708 0.76013 0.789808 0.79243 0.789593 0.779592 0.772442 0.760226 0.759207 0.757974 0.73907 0.738719 0.735101 0.737681 0.736784 0.772399 0.772399 0.76955 0.769349 0.770435 0.778119 0.777603 0.777185 0.795656 0.789488 0.79157 0.788557 0.779417 0.62867
0.742397 0.73288 0.731746 0.72328 0.723285 0.715609 0.717598 0.72009 0.720895 0.538436 0.510837 0.521965 0.522521 0.521503 0.517999 0.517999 0.528003 0.527077 0.519403 0.516195 0.516557 0.516351 0.534642 0.55492 0.555727 0.566372 0.567425 0.530301 0.531349 0.537321 0.533287 0.528887 0.528815 0.526515 0.526696 0.526681 0.523496 0.517932 0.506182 0.503113 0.475649 0.460124 0.457431 0.455689 0.454809 0.451643
0.564659 0.560918 0.562197 0.567276 0.566687 0.56623 0.573438 0.565535 0.603678 0.610004 0.583047 0.597437 0.595534 0.65474 0.649248 0.634842 0.653922 0.651752 0.664043 0.683301 0.682455 0.693738 0.797945 0.799574 0.830122 0.839613 0.84314 0.846208 0.853156 0.911963 0.91716 0.902315 0.901198 0.893565 0.900233 0.901473 0.901613 0.924551 0.923329 0.901536 0.926161 0.932173 0.933843 0.938242 0.935146 0.928283
0.387912 0.382229 0.38337 0.384142 0.434194 0.449206 0.449794 0.450247 0.453602 0.447959 0.447428 0.429268 0.429717 0.434779 0.422898 0.425843 0.427503 0.423951 0.424997 0.42498 0.424799 0.427234 0.427309 0.428636 0.428373 0.426236 0.424664 0.424931 0.424419 0.424554 0.428161 0.42808 0.426731 0.428999 0.434043 0.448713 0.448676 0.443555 0.459549 0.457437 0.456603 0.46142 0.461391 0.451244 0.413747 0.410157
0.589196 0.596377 0.605566 0.605385 0.607143 0.606911 0.605104 0.610828 0.631231 0.634524 0.633263 0.641571 0.657752 0.658289 0.662907 0.616568 0.619904 0.617598 0.616294 0.616632 0.616904 0.606745 0.56976 0.573515 0.524653 0.530398 0.531333 0.527315 0.526282 0.526091 0.535686 0.534567 0.536429 0.53683 0.522961 0.507145 0.506917 0.509732 0.496138 0.47818 0.459036 0.458238 0.466647 0.472105 0.47355 0.473505
0.616091 0.622855 0.622833 0.618916 0.615279 0.619609 0.621588 0.625865 0.618855 0.608593 0.613493 0.616438 0.624365 0.616718 0.599745 0.584711 0.584452 0.594469 0.579354 0.56571 0.576643 0.590836 0.605439 0.558978 0.585129 0.590985 0.592815 0.591679 0.597966 0.597652 0.603581 0.608277 0.607587 0.607587 0.624703 0.624312 0.559541 0.605981 0.604855 0.600641 0.608501 0.638656 0.638847 0.641068 0.623673 0.632122
0.45208 0.489232 0.489806 0.497393 0.49693 0.525243 0.531756 0.531979 0.542361 0.543144 0.539321 0.534835 0.572712 0.556501 0.541123 0.525094 0.546022 0.547247 0.54675 0.550837 0.540422 0.540559 0.554087 0.556262 0.557425 0.569168 0.537578 0.51696 0.514379 0.500436 0.50244 0.503098 0.507753 0.547759 0.595543 0.595418 0.596807 0.601265 0.601861 0.606592 0.606469 0.613364 0.623182 0.62348 0.624012 0.625855
0.92519 0.926941 0.922546 0.928522 0.919033 0.92091 0.921047 0.914367 0.915043 0.924029 0.923233 0.910782 0.877274 0.879648 0.87404 0.886731 0.902273 0.881007 0.883915 0.884974 ANOVA Output:
0.409819 0.438589 0.456259 0.466655 0.484084 0.483315 0.483359 0.485748 0.452649 0.444268 0.443737 0.44801 0.445479 0.446921 0.445227 0.44493 0.448863 0.448515 0.446978 0.458073
0.472336 0.471303 0.468258 0.464254 0.471142 0.451652 0.430414 0.428049 0.434126 0.431018 0.431392 0.410078 0.411371 0.41073 0.414928 0.406584 0.386603 0.382379 0.420864 0.41824
0.630781 0.636047 0.643852 0.641299 0.641411 0.625616 0.626274 0.628872 0.636562 0.631198 0.629989 0.632696 0.63424 0.616187 0.613855 0.61649 0.610856 0.611094 0.61108 0.612842
0.622512 0.622014 0.621639 0.624927 0.627062 0.595884 0.595627 0.59276 0.594905 0.5652 0.561638 0.561796 0.561385 0.565605 0.566924 0.562445 0.509135 0.509381 0.509708 0.510097
Anova: Single Factor SUMMARY Groups Column 1 Column 2 Column 3 Column 4 Column 5
Count Sum Average Variance 195 112.318 0.57599 0.034561 195 95.14802 0.487939 0.039656 195 108.8956 0.558439 0.007299 195 118.101 0.605646 0.020059 195 121.267 0.621882 0.009755
ANOVA Source of Variation
SS
df
MS
F
Between Groups 2.118866 Within Groups 21.59811 Total 23.71697
4 0.529716 23.79028 970 0.022266 974
Pvalue F crit 8.6E19 2.381107
4.2 Graphical representation:YEAR 2007-08 2006-07 2005-06 2004-05 2003-04 YEARLY VOLATILITY FCFF 0.575989712 0.69 0.487938573 1 0.558439138 0.81 0.605646115 9.96 0.621881868 -0.28
VOLATILITY VS FCFF
0.7 y = 0.0088x2 - 0.088x + 0.6051 0.6 R² = 0.7587 0.5 0.4 0.3 0.2 0.1 0 -5 0 5 10 15 VOLATILITY VS FCFF Poly. (VOLATILITY VS FCFF)
5.WOCKHARDT HOSPITALS:5.1 GRAPHICAL REPRESENTATION:YEAR 2002 2003 2004 2005 2006 2007 ANNUAL VOLATILITY FCFF 0.853292 3.12 0.613881 -19.04 0.527252 9.97 0.457088 17.44 0.416699 8.37 0.339222 -77.91
FCFF vs Volatility
0.9 y = -5E-06x3 - 0.0005x2 - 0.0056x + 0.6892 R² = 0.5474 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 -100 -80 -60 -40 -20 0 20 40
REFERENCES:1. 2. 3. 4. CAPITALINE DATABASE INDIA INFOLINE INVESTOPEDIA NSE WEBSITE
doc_338490470.docx