INDIAN INSTITUTE OF MANAGEMENT,

LUCKNOW BEHAVIOURAL FINANCE

PROJECT REPORT

JANUARY EFFECT

SUBMITTED TO:

Prof. Madhumita Chakraborty

Section B Group – 10

Aditya Banerji (PGP39005)

Ankita Singh (PGP39009)

Jeet Shahi (PGP39303)

Sai Krishna (PGP39029)

Shivam Drolia (PGP39101)

Table of Contents
Introduction......................................................................................3

Causes of stock market anomalies....................................................3

Market Inefficiencies........................................................................3

Behavioural Biases...........................................................................3

Types of stock market anomalies........................................................4

Calendar Anomalies.........................................................................4

Fundamental Anomalies....................................................................5

Technical Anomalies.........................................................................5

Other Anomalies..............................................................................6

Literature Review...............................................................................7

Methodology......................................................................................7

Aim of the study...............................................................................7

Hypotheses to prove........................................................................7

Sample taken for the research..........................................................8

Data collection.................................................................................8

Data Analysis...................................................................................8

Analysis and Findings.........................................................................9

Conclusion.........................................................................................9

Appendix.........................................................................................10

References......................................................................................11
 Introduction
Stock market anomalies have long intrigued investors, academics, and financial professionals alike. These
anomalies, which defy the efficient market hypothesis (EMH), suggest that there are patterns in stock price
movements that can be exploited for profit. According to the EMH, prices of securities fully reflect all
available information, and thus, consistently achieving abnormal returns is impossible. However, empirical
evidence has shown that certain anomalies exist, challenging the EMH and providing opportunities for
investors.

This report delves into the nature of stock market anomalies, categorizing them, exploring their causes, and
assessing their implications. We will also examine the well-known anomaly, The January Effect through
data analysis and hypothesis testing.

Causes of Stock Market Anomalies

Stock market anomalies can arise from various factors, including market inefficiencies, behavioural biases,
and structural issues within the market. Understanding these causes is crucial for investors seeking to
exploit anomalies and for academics attempting to reconcile them with existing financial theories.

1. Market Inefficiencies

Market inefficiencies occur when securities are not priced accurately due to informational, transactional, or
operational issues. These inefficiencies can create opportunities for investors to earn abnormal returns.

a) Information Asymmetry

Information asymmetry occurs when some market participants have access to information that others do
not. This can lead to mispricing of securities, as investors with superior information can take advantage of
the less informed. Anomalies such as the PEAD can arise from information asymmetry, where the
market is slow to fully incorporate new information into stock prices.

b) Transaction Costs and Liquidity Constraints

Transaction costs and liquidity constraints can also contribute to market inefficiencies. High transaction
costs may prevent arbitrageurs from correcting mispricing, while liquidity constraints can lead to price
distortions, particularly in small-cap stocks and illiquid markets.

c)Institutional Constraints

Institutional constraints, such as regulations, investment mandates, and capital requirements, can limit the
ability of market participants to engage in arbitrage, leading to persistent anomalies. For example, mutual
funds with strict investment mandates may be unable to exploit certain anomalies, allowing them to persist.

2. Behavioural Biases

Financial decisions are essential and necessary in a family's financial and personal wealth management
(Sahi et al., 2013). The conventional finance theories focusing on utility maximization assume that
markets are efficient and investors are rational in their decision-making. In efficient markets,
information reaches the market quickly and equally. For rational decision-making, investors collect and
process this information. Based on the objective information and their attitude, investors make
investment decisions. However, in traditional finance, there is a lack of consensus on the efficiency of
the financial markets and rational decision-making of investors. The introduction of behavioural
finance further challenges the efficiency of markets and rationality in decision-making. In response to
the rationality of “economic man”, in the light of psychological theories, initially introduced the impact
of aspirations, where emotions dominate the limited knowledge or intellect in decision-making.

Extending a similar concept, Tversky and Kahneman (1974) proposed prospect theory, assuming that
investors' primary decisions are more influenced by psychological priorities than rationality. Investors
apply heuristics or shortcuts to overcome their limits of knowledge and rationality. Heuristics describes
valuable and vital techniques for discovering answers to problems that cannot be addressed using logic
or probability theory .Heuristics can be helpful in this regard; they can cause errors and systemic
distortions from rational approaches. Understanding how physiological and behavioural biases influence
individual speculators' judgments and the complicated decision-making process of picking investments
may enhance decision-making ability, reduce decision-making errors, and improve individual
speculators' performance (Yaowen et al., 2015).

From a behavioural finance perspective, psychological factors significantly influence investors' rational
decision-making. Therefore, the behavioural aspect that impacts an individual's investing choice is worth
exploring, particularly investors' behavioural biases .Hence, by observing the attitude and behaviour of
investors in financial markets in recent decades, behavioural finance integrated the theories of sociology
and psychology with finance. In traditional finance, people, organizations, and perhaps even markets are
believed to be rational. Individuals consider all available facts, risk avoiders, and logic and choose lower
risky securities at the same gain level. They adopt theoretical concepts and assumptions of traditional
finance to predict and measure risks before investing in different securities . However, multiple studies
show that investors behave irrationally and markets are inefficient. Similarly, Shefrin (2001) argued that
psychological (behavioural) factors negatively influence investors' investment decisions. In financial
markets, many investors do not possess sufficient knowledge and skills, and when making investment
decisions, they use their subjective intuition and emotions (Antony & Joseph, 2017). Due to individual
attitudes and behavioural biases, investors make trading mistakes, trade aggressively, purchase stocks
without evaluating their intrinsic worth, invest in a stock their peers are purchasing, make financial
market selections based on prior records, and hold losing investments while selling profitable ones.

According to behavioral finance, investors' psychological and emotional behaviour deviates from
rational behaviour (Bakar & Yi, 2016; Yoong & Ferreira, 2013) due to mental decline that leads to bad
investing decisions. Behavioural finance highlights various inefficiencies in financial markets by
examining the behaviours of investors in various market conditions contradictory to the traditional
norms and results in illogical decisions made by investors (Özen & Ersoy, 2019). Behavioural finance
research has recently uncovered a few behavioural biases that impact investment decisions. In this
regard, Kahneman and Tversky (1979) identified psychological traits, age, gender, and education level,
while (Metawa, Hassan, Metawa, & Safa, 2019; Shefrin, 2002; Statman et al., 2006) highlighted
emotional factors like anxiety, selfishness, and overconfidence that can substantially influence investing
decisions.

Apart from psychological traits, existing literature highlights the significance of financial
knowledge/literacy in investment decision-making. Studies concluded that investors' attitudes and
limited financial knowledge contributed to the 2007–2008 financial crises. Creating risky investment
opportunities, financial institutions attracted significant amounts of investments. The investors invested
in such investments for higher returns without analysing the risk and default factor of those investment
opportunities. Post-crisis research highlighted that low financial literacy resulted in irrational or harmful
financial decisions. They proposed that financial literacy can minimize the problems that arise from
investors' low levels of financial information, which could result in a higher risk of making poor
investment selections. Extending a similar argument, Gigerenzer and Gaissmaier (2011) examine the
relationship between financial literacy and heuristic variables. They found that combining the heuristics
with financial knowledge can reduce the negative impact of heuristic variables. Individuals change their
behaviour depending on the expertise and information gathered and invested based on their knowledge
and financial experience. A knowledgeable investor may overcome their biases and make sound
financial decisions.
 a) Overconfidence and Overreaction

Overconfidence is a common behavioural bias where investors overestimate their ability to predict future
stock prices. This can lead to overtrading and overreaction to news, resulting in price momentum and
subsequent reversals.

b) Herding Behaviour

Herding behaviour occurs when investors follow the actions of others rather than making independent
decisions. This can lead to bubbles and crashes, as large groups of investors

Types of Stock Market Anomalies

Stock market anomalies can be broadly categorized into calendar anomalies, fundamental anomalies,
technical anomalies, and others that do not fit neatly into these categories.

1. Calendar Anomalies

Calendar anomalies refer to patterns in stock returns that are linked to specific times of the year, days of
the week, or even times of the day.

a) The January Effect

The January effect is one of the most widely recognized calendar anomalies. Historically, stock prices,
particularly those of small-cap stocks, have shown a tendency to rise in January more than in other months.
This phenomenon was first documented by Sidney Wachtel in 1942, who observed that small stocks tended
to outperform large stocks in January.

The January effect is often attributed to tax-loss selling at the end of the year, where investors sell off
losing positions to offset capital gains and repurchase them in January. Additionally, year-end bonuses,
window dressing by fund managers, and new capital inflows at the beginning of the year may also
contribute to this anomaly.

b) The Weekend Effect

The weekend effect, also known as the Monday effect, refers to the pattern where stock returns on
Mondays tend to be lower than those on other weekdays. This anomaly suggests that investors who buy
stocks on Fridays and sell them on Mondays may experience lower returns.

Various explanations have been proposed for the weekend effect, including negative news announcements
over the weekend, investor pessimism on Mondays, and institutional trading patterns. However, the weekend
effect has become less pronounced in recent years, possibly due to changes in trading behaviour and the
globalization of markets.

c)The Turn-of-the-Month Effect

The turn-of-the-month effect is another calendar anomaly where stock returns tend to be higher during the
last trading day of the month and the first three trading days of the following month. This pattern may be
driven by institutional investors rebalancing portfolios or deploying new capital at the beginning of each
month.
d) The Holiday Effect

The holiday effect refers to the tendency for stock returns to be higher on the trading day before a holiday.
This anomaly is often attributed to increased optimism and lighter trading volumes leading up to holidays,
which can result in upward price pressure.
2. Fundamental Anomalies

Fundamental anomalies are patterns in stock returns that are related to a company's financial fundamentals,
such as earnings, book value, and cash flow.

a) The Value versus Growth Anomaly

The value versus growth anomaly is one of the most extensively studied fundamental anomalies. Value
stocks, characterized by low price-to-earnings (P/E) ratios, low price-to-book (P/B) ratios, and high
dividend yields, have historically outperformed growth stocks, which have high P/E ratios and high
expected future earnings growth.

Several theories have been proposed to explain this anomaly. The risk-based explanation suggests that
value stocks are inherently riskier and thus offer higher expected returns as compensation. Behavioural
explanations, on the other hand, argue that investors tend to overreact to recent poor performance of value
stocks, leading to undervaluation, while growth stocks may become overvalued due to over-optimism.

b) The Small-Cap Anomaly

The small-cap anomaly refers to the historical outperformance of small-cap stocks relative to large-cap
stocks. Small-cap stocks are generally less liquid and more volatile, which may contribute to their higher
returns. Additionally, small-cap companies may have greater growth potential, leading to higher returns
for investors willing to take on the associated risks.

c)The Post-Earnings Announcement Drift (PEAD)

The post-earnings announcement drift is an anomaly where stock prices continue to drift in the direction
of an earnings surprise for several weeks or months after the announcement. If a company reports earnings
that exceed expectations, its stock price may continue to rise, while a negative surprise may lead to
continued price declines.

PEAD is often attributed to investor underreaction, where the market initially underestimates the
significance of the earnings surprise, leading to a delayed adjustment in the stock price. This anomaly
challenges the EMH, as it suggests that investors can earn abnormal returns by trading on earnings
announcements.

3. Technical Anomalies

Technical anomalies are patterns in stock returns that can be identified using past price and volume
data. These anomalies challenge the weak form of the EMH, which asserts that past price movements
cannot predict future price movements.

a) The Momentum Effect

The momentum effect is a well-documented anomaly where stocks that have performed well in the past
tend to continue performing well in the short to medium term, typically over a 3- to 12- month period.
Conversely, stocks that have performed poorly tend to continue underperforming.

Behavioral finance provides several explanations for the momentum effect, including investor herding
behavior, where investors follow the actions of others, and the disposition effect, where investors are
reluctant to sell winning stocks and quick to sell losing stocks. These behaviors can lead to price trends that
persist longer than they would in a fully efficient market.
b) The Reversal Effect

The reversal effect is the opposite of the momentum effect, occurring over longer time horizons. Stocks that
have experienced extreme price increases or decreases tend to reverse direction in the long run, often over a
3- to 5-year period. This effect is also known as mean reversion.

The reversal effect is often attributed to investor overreaction, where extreme price movements are driven
by irrational behaviour, leading to subsequent corrections as the market returns to a more rational
valuation.

c)The Low-Volatility Anomaly

The low-volatility anomaly is the tendency for low-volatility stocks to outperform high-volatility stocks on a
risk-adjusted basis. This contradicts the traditional risk-return trade-off, which suggests that higher risk
should be compensated with higher returns.

Several explanations have been proposed for the low-volatility anomaly, including investor preferences for
high-risk, high-reward stocks, and the underappreciation of the stability and steady performance of low-
volatility stocks. Additionally, some researchers argue that the anomaly may be due to market inefficiencies,
where low-volatility stocks are systematically undervalued.

4. Other Anomalies

a) The IPO Anomaly

The initial public offering (IPO) anomaly refers to the tendency for newly issued stocks to experience
significant price increases on the first day of trading, followed by underperformance in the subsequent
months. This pattern suggests that IPOs are often overpriced due to investor excitement and underwriter
influence, leading to poor long-term performance.

b) The Closed-End Fund Puzzle

The closed-end fund puzzle is an anomaly where closed-end funds, which are publicly traded
investment funds with a fixed number of shares, often trade at a discount or premium to their net asset
value (NAV). The EMH would suggest that these funds should trade at their NAV, but they often do
not.

Various explanations have been proposed for this anomaly, including investor sentiment, management fees,
and the illiquidity of the underlying assets. However, no single theory fully explains why closed-end funds
frequently deviate from their NA
Literature Review
The January Effect:

The January effect is a hypothesis that there is a seasonal anomaly in the financial market where securities'
prices increase in the month of January more than in any other month. This calendar effect would create an
opportunity for investors to buy stocks for lower prices before January and sell them after their value
increases. As with all calendar effects, if true, it would suggest that the market is not efficient, as market
efficiency would suggest that this effect should disappear.

The effect was first observed around 1942 by investment banker Sidney B. Wachtel. He noted that since
1925 small stocks had outperformed the broader market in the month of January, with most of the disparity
occurring before the middle of the month. [Keim, Donald B. : Size- Related Anomalies and Stock Return
Seasonality: Further Empirical Evidence, Journal of Financial Economics 12 (1983)] It has also been
noted that when combined with the four-year US presidential cycle, historically the largest January effect
occurs in year three of a president's term.[ "Politics and Profit". November 14, 2012.]

The most common theory explaining this phenomenon is that individual investors, who are income tax-
sensitive and who disproportionately hold small stocks, sell stocks for tax reasons at year end (such as to
claim a capital loss) and reinvest after the first of the year. Another cause is the payment of year-end
bonuses in January. Some of this bonus money is used to purchase stocks, driving up prices. The
January effect does not always materialize; for example, small stocks underperformed large stocks in 1982,
1987, 1989 and 1990. [Siegel, Jeremy J.: Stocks for the Long Run (Irwin, 1994) pp. 267–274; Ciccone,
Stephen J. (January 18, 2013). "January's Stock Temptation". The New York Times.]

Burton Malkiel asserts that seasonal anomalies such as the January Effect are transient and do not present
investors with reliable arbitrage opportunities. He sums up his critique of the January Effect by stating that
"Wall Street traders now joke that the “January effect” is more likely to occur on the previous
Thanksgiving. Moreover, these non-random effects (even if they were dependable) are very small relative
to the transaction costs involved in trying to exploit them. They do not appear to offer arbitrage
opportunities that would enable investors to make excess risk adjusted returns." [Burton, Malkiel: Efficient
Market Hypothesis and Its Critics, The Journal of Economic Perspectives 17 (2003) pp. 64.]

Biases explaining the January Effect

The January Effect, a phenomenon where stock prices tend to rise in January, can indeed be explained
by a combination of behavioral biases. Here’s how specific biases contribute to this effect:

Tax-Loss Selling and the Disposition Effect:

Investors often sell stocks with losses at year-end to realize tax benefits, which can depress prices in
December. This selling pressure is relieved in January when many investors repurchase those stocks,
driving prices up. The disposition effect—the tendency to sell assets that have gained in value and hold
those that have lost—contributes to the selling and repurchasing behavior, particularly at year-end for
tax purposesssing

Institutional investors, such as fund managers, engage in window dressing by selling poorly performing
stocks before year-end to make their portfolios appear stronger in annual reports. In January, these
investors might reinvest in previously sold stocks or buy new positions, increasing market demand and
pushing prices up. This effect is related to presentation bias as investors try to manage how their
decisions are perceived .
Evidence shows that stock returns are, on average, higher in January than in other months. This applies
particularly to stocks with negative returns during the previous year. Tax-loss selling rather than window
dressing by institutions appears to be driving this phenomenon (Poterba and Weinbrenner, 2001;
Grinblatt and Moskowitz, 2004). If investors have an inherent aversion to realizing losses, but
nevertheless recognize the tax benefits available, this would cause tax-loss harvesting activities to
cluster at the year end, rather than occurring throughout the year. Such behavior would be consistent
with the asset pricing patterns.

Investor and the Fresh Start Effect:

The start of a new year can inspire optimism bias, where investors feel more confident and positive
about the market’s potential, leading them to buy more stocks in January. This "fresh start effect" is
linked to a psychological desire to take action on new goals, including investment goals, at the
beginning of the year .

Anchoring Bias:

Investors often anchor their perceptions of fair stock values to previous prices, particularly those at year-
end. If stocks dipped in December, investors might expect a correction in January, reinforcing the
buying trend. Anchoring bias plays a role here, as investors may use December prices as reference
points, creating a mental expectation of a January price increase .

Regret Aversion:

Some who missed gains or did not act on favourable opportunities in the previous year may feel regret
aversion and buy in January to avoid similar regrets, adding to buying pressure. This avoidance of
regret can make January an appealing time to re-enter the market or adopt new positions .

Methodology
Aim of the study

The aim of the study was to determine whether The January Effect exist in the Indian Stock Market. Since
the Indian fiscal year starts from April and ends in March, we can reframe this analysis as “The April
Effect” for our research purpose.

Hypotheses to prove

H1: April returns significantly outperform returns during the remaining months

H0: There is no significant difference in stock performance between the months of April and the remaining
months

Sample taken for the research

 The research includes a total of 30 companies listed on the National Stock Exchange (NSE) as on
August 31, 2024. The population comprises of a mix of large-cap, mid-cap and small- cap companies
across different sectors. The 30 companies that made up the study population are listed shown in
Appendix I.
 The period September 2017- August 2024 was sampled because it is the most recent data which can
be studied for our analysis.
 The sample data was selected based on the availability of beginning and ending share prices to
ensure the ability of obtaining relevant returns.

Data collection

The analysis uses secondary data captured from the NSE portal and also from other financial websites.

The data comprised of the following:

 List of 30 NSE Nifty listed companies obtained from the NSE website
 Yahoo Finance data collected to ascertain the prices of the 50 sampled stocks for the seven years (as
on 1st day of every month of the respective year)

Data Analysis

 Monthly returns for each month is calculated for the 7-year period. Return of an individual stock in
a portfolio was computed using the following formula:
Ri = (St / St-1) – 1
Where, St refers to the stock price in month t and St-1 refers to the stock price in month t-1
 Stock returns for April are taken as obtained, while the returns of months May to March are taken as
the geometric mean of the monthly returns for each period.
 The mean returns for all the stocks in the month of April and all the remaining months was
computed.
 Finally, the difference between mean returns between April and the remaining months was statically
tested for significance using a right tailed Z-test. The null hypothesis for the Z-test was that there is
no significant difference between the returns in April and the return during the remaining months.
 This test was chosen because of the following reasons:
I. the total number of stocks analysed in either of the two portfolios was more than 30
II. alternative hypothesis that the month of April earns higher returns than the remaining months,
was directional.
 The Z- statistic was computed using the formula below:

where,
x: refers to the seven-year average annual return for the month of April
μ: refers to the seven-year average annual return for months other than April
σ: refers to the standard deviation in monthly returns for the seven-year period
Analysis and Findings
Mean returns for the month of April: 6.14% Mean

returns for the remaining months: 1.40% Standard

Deviation of population: 1.26%

Z-stat = (6.14-1.40)%/1.26%

= 3.76 > critical value at 95% confidence level

Given the Z-statistic is greater than the critical value, the null hypothesis (H0) is rejected. This indicates
that, based on the sample and data analysed, April returns are significantly higher than those in other
months, supporting the existence of an "April Effect" in the Indian Stock Market.

Conclusion:
The study concludes that there is a statistically significant "April Effect" in the Indian Stock Market,
meaning that stocks tend to yield higher returns in April compared to the other months. The analysis, which
involved examining the returns of 30 diverse companies over a seven-year period, found that the average
return for April (6.14%) was statistically higher than the average return for the other months (1.40%), with a
Z-statistic of 3.76 exceeding the critical value for significance at the 95% confidence level.

In an efficient market, information would be processed and reflected in stock prices immediately.
However, the January Effect shows that year-end activities like tax-loss selling and year-end reporting
by institutions are not fully priced in December but rather lead to price adjustments in January. This
delay suggests that markets are not fully efficient in processing information at year-end, as rational
investors could anticipate these trends and react sooner if markets were truly efficient.

If the January Effect is a known and exploitable pattern, it suggests that the market is inefficient
enough for investors to gain abnormal returns simply by investing based on seasonal trends. This
contradicts EMH’s assertion that prices follow a random walk and that it’s impossible to consistently
"beat the market" using public information or historical trends.

In summary, the January Effect demonstrates that investor behavior, influenced by psychological
biases, can lead to predictable and non-random patterns in stock prices. This challenges the efficient
market hypothesis and supports the idea of behavioral finance, which suggests that cognitive biases and
emotional responses contribute to market inefficiencies.

How Results Could Have Been Different:

Despite the strong indication of an April Effect in this study, it's important to acknowledge the factors that
could lead to different results:

1. Sample Selection and Size: The study focused on 30 companies listed on NSE, which, while
diverse, may not be representative of the entire market. A different selection of companies or a
larger sample size might yield different outcomes.

2. Time Period Considered: The analysis covered the period from September 2017 to August 2024.
Stock market returns can be quite volatile, and extending the analysis over different time frames
or accounting for more recent data could influence the results.

3. Market Conditions: Macro-economic factors, global events, or changes in fiscal policies could
influence stock returns and might not have been consistent throughout the study period. If
economic conditions were particularly favorable in April for several years, it might exaggerate
 the observed effect.

4. Statistical Variability: Random fluctuations in stock returns due to market anomalies or

unexpected news could also play a role.

5. Data Anomalies or Errors: Any inaccuracies or gaps in the data collected might lead to skewed
results. Ensuring data integrity is crucial for reliable outcomes.

By considering these factors, future studies could adopt different approaches or additional controls to verify
and refine the understanding of seasonal effects such as the "April Effect." This also highlights the
importance of cautious interpretation of results and the need for thorough validation through repeated studies
under varying conditions.
Appendix
Appendix 1: List of companies taken for analysis

CESC Ltd Hindalco Industries Ltd

Trident Ltd Tata Motors Ltd
Radico Khaitan Ltd Grasim Industries Ltd
NBCC Ltd Asian Paints
IDFC Ltd Britannia Industries Ltd
Ircon International Ltd PI Industries Ltd
Glenmark Pharmaceuticals Ltd Indus Towers Ltd
Aarti Industries Ltd Indian Hotels Co Ltd
Tanla Platforms Ltd Federal Bank
Crompton Greaves Cummins India Ltd
JSW Steel Ltd Bharat Heavy Electricals Ltd
Apollo Hospitals Ltd Bharat Forge Ltd
ICICI Bank Ltd Astral Ltd
Wipro Ltd Ashok Leyland
Reliance Industries Ltd ACC Ltd

Appendix 2: Monthly returns data for the companies

Company April Average May-Mar Average

CESC Ltd 15.09% 0.06%
Trident Ltd 1.78% 2.80%
Radico Khaitan Ltd -0.89% 2.70%
NBCC Ltd 4.14% 0.33%
IDFC Ltd 0.47% 1.89%
Ircon International Ltd 9.87% 2.31%
Glenmark Pharmaceuticals Ltd 19.26% -0.53%
Aarti Industries Ltd 12.58% 0.03%
Tanla Platforms Ltd 13.88% 5.80%
Crompton Greaves 2.24% 0.80%
JSW Steel Ltd 14.9% 0.2%
Apollo Hospitals Ltd 4.5% 2.9%
ICICI Bank Ltd 5.8% 1.9%
Wipro Ltd 3.0% 1.1%
Reliance Industries Ltd 6.4% 1.2%
Hindalco Industries Ltd 8.6% 1.4%
Tata Motors Ltd 11.0% 1.8%
Grasim Industries Ltd 3.0% 0.8%
Asian Paints 2.5% 0.9%
Britannia Industries Ltd 1.5% 0.8%
PI Industries Ltd 8.8% 1.1%
Indus Towers Ltd 2.6% 0.1%
Indian Hotels Co Ltd 2.4% 2.3%
Federal Bank 4.4% 1.3%
 Cummins India Ltd -0.3% 2.4%
Bharat Heavy Electricals Ltd 5.2% 1.4%
Bharat Forge Ltd 6.7% 1.2%
Astral Ltd 3.6% 2.6%
Ashok Leyland 6.1% 0.2%
ACC Ltd 5.4% 0.3%

Appendix 3: Mean returns and standard deviation

April Average May-Mar Average

Mean Return 6.14% 1.40%

Standard Deviation 1.26%

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