Friday, September 14, 2007

The Beta of Stocks on the NSE

In order to calculate the expected return on a stock I needed to calculate the beta of individual stocks.

Taking the daily closing stock prices over the last year I calcluated Beta as the covariance between the security's daily return and the market's daily return divided by the variance of the market return.

STOCK BETA
NATIONAL BANK 1.85
SASINI TEA & COFFE 1.78
NATION MEDIA GROUP 1.71
KP&L 1.61
SAMEER AFRICA LTD 1.52
BARCLAYS BANK KENYA 1.43
ICDCI 1.41
KCB 1.40
NIC 1.34
EAST AFRICAN CABLE 1.29
GEORGE WILLIAMSON 1.22
DIAMOND TRUST 1.19
KENYA AIRWAYS 1.16
STANDARD CHARTERED BANK KENYA 1.15
CMC HOLDINGS 1.14
STANDARD NEWSPAPER 1.11
JUBILEE HOLDINGS LTD 1.06
CROWN BERGER 1.05
NSE INDEX 1.00
MUMIAS SUGAR 0.97
EQUITY BANK 0.94
CFC BANK 0.93
CITY TRUST 0.93
BAMBURI CEMENT LTD 0.92
EXPRESS KENYA LTD 0.92
BAT KENYA 0.87
ATHI RIVER MINING 0.85
KAKUZI 0.82
HFCK 0.81
KENGEN 0.72
REA VIPINGO 0.70
ACCESSKENYA 0.68
SCAN GROUP 0.67
CAR & GENERAL 0.66
UNGA GROUP 0.64
KENYA OIL 0.58
TOTAL KENYA 0.54
TPS EASTERN AFRICA 0.51
EVEREADY 0.49
UNILEVER TEA KENYA 0.43
EAST AFRICAN PORTLAND CEMENT 0.43
OLYMPIA CAPITAL HOLDINGS 0.40
EAST AFRICAN BREWERIES 0.39
PAN AFRICA INSURANCE 0.20
EAAGADS 0.15
KAPCHORUA TEA 0.15
MARSHALLS E.AFRICA 0.03
KENYA RE-INSURANCE (0.42)
A BAUMANN & CO (0.74)

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