Effectiveness of Green Shoe option in India.
Shastri, Siddharth ; Purohit, Harsh ; Choudhary, Nidhi 等
[ILLUSTRATION OMITTED]
Introduction
One of the most important events in the life of a firm is the
transition from being a private company to a public one through the
initial public offering (IPO) process. The IPO provides a fresh source
of capital that is critical to the growth of the firm. When a company
goes "public" and offers its stock, it lends some prestige and
legitimacy to the business. It is a transformational stage in the life
of any firm which can change lives and fortunes of its owners, investors
and employees. The Indian Capital Market is ranked seventh in the list
of countries with maximum IPOs in the Global IPO Trend Report 2011 by
Ernst and Young. The country has been appreciated for bringing new
companies into the market. But, after a robust performance in 2010,
India's IPO market was quiet last year. Worries about the global
economy (after the global recession of 2008), receding growth and a
lackluster secondary market dampened investor enthusiasm for newly
listed companies in India; 80 percent of recent IPOs traded at a
discount in 2011 and 2 out of 19 IPOs failed in 2012. In such a turn
moiled stock market, a green shoe option can act as a guard against the
wide fluctuations in the prices of the newly listed stock. Green Shoe
Option (GSO) is a mechanism used by companies to provide price support
to investors for shares procured by them in the public offering, in the
event that the prices of equity shares witness wide fluctuations
immediately after listing. It is an over allotment mechanism legally
permitted for stabilizing the prices of newly-listed shares of
companies. A commonly used tool in international capital market
transactions, GSO--also known as IPO's best friend is used by
investment bankers, acting as stabilizing agents, to provide share price
support to the companies for a certain small period after their public
offering. It is expected to boost investors' confidence by
arresting the speculative forces which work immediately after the
listing and thus resulting in controlling short-term volatility in post
listing price.
The term "green shoe" came from the Green Shoe
Manufacturing Company, USA (now called Stride Rite Corporation), founded
in 1919. It was the first company to implement the green shoe clause
into their underwriting agreement. The exercise of the GSO--if
necessary--is not decided by the issuer, but by the placement syndicate
managers. The option is exercised if the demand for shares on the market
during such period exceeds the offering and therefore the price of the
share tends to rise above the subscription price. The GSO therefore
depends on an adequate development of the offering: in such conditions
the placement syndicate managers can in fact use the shares obtained
from the issuer by exercising the option to cover the short sale made
through the over-allotment. If then the IPO is successful and the shares
are appreciated by investors, the members of the placement syndicate
will ask for the GSO to be exercised, the company will place a higher
number of shares and the issuer's equity structure will change
accordingly, increasing the number of shares on the market and,
consequently, the security's price comes under control. From this
standpoint, the exercise of the GSO represents an additional way of
remunerating the placers, since the proceeds from the operation depend
on the overall number of shares placed on the market. On the other hand,
if the stock prices drop with respect to the placement, the shares
needed to "cover" the over-allotment will be purchased on the
market by the placement syndicate members (thus realizing a trading
profit, the shares of the over-allotment having been sold during the
placement at the offer price and repurchased on the market at a lower
price). This process is also called reverse GSO. In these circumstances
the GSO or the over-allotment mechanism therefore serve to stabilize the
prices of the shares during the first few days of listing. In the case
of low demand, the placers will purchase shares to cover the
over-allotment, and such purchases may help to avoid excessive fall in
share prices. The option typically allow underwriters to sell up to 15
percent more shares than the original number set by the issuer, if
demand conditions warrant such action.
Process of Green Shoe Option in India
The provision of underwriting is provided in the underwriting
agreement. It gives the stabilizing agent the right to sell more shares
than originally planned by the issuer. The stabilizing agent is
appointed from the Book Runners of the issue. In India, SEBI gives the
underwriter the right to sell upto 15 percent more shares than the
original number set by the issuer if demand conditions warrant such
action. These shares are borrowed from the promoters or any other
existing shareholder (with shareholding of more than 5 percent). The
option enables underwriters to stabilize fluctuating share prices by
increasing or decreasing the supply of shares according to initial
public demand. However the agent has to return back the borrowed shares
to the promoters within 2 days of closure of green shoe option.
For example, let a company X announce a public issue of 1,00,000
equity share of Rs. 10 each at par. The issue has a green shoe option of
15 percent. This means that the company can lend 15,000 shares from the
promoters or any other existing shareholder (with shareholding of more
than 5 percent), and ultimately issue 1, 15,000 shares but the
additional 15,000 shares are to be returned to the company either by
buying back from market or by issuing new shares within a period of 2
days of closure of green shoe option.
After listing on the exchange if share prices declines, the
stabilizing agent will start buying the shares from the market to
stabilize the prices of the stock. The maximum shares which the agent
can buy back are up to a maximum of 15,000 shares. Now after some time
if due to excessive demand if share prices rise after listing, the agent
is not required to stabilize the prices. In such situation, the agent
will buy back the extra shares 15,000 shares and return it back to the
lender.
[FIGURE 1 OMITTED]
IPOs in India
India has been placed at number seven in the list of number of IPO
deals all over the world in Global IPO Trends 2012 report by Ernst and
Young. India has been a hot destination for IPOs in Asia after Greater
China. The Indian Capital markets were considered a good investment
option globally in terms of returns and performance when the global
markets were melting and were adversely impacted by business recession.
Though the IPO market shows the impact of business slowdown in 2008 and
2009, the recovery was commendable in 2010 (Fig. 2). The number of IPOs
in 2011 and 2012 again took a back seat. The poor performance of the
global economy, receding growth forecast of the Indian economy and a
lackluster secondary market adversely impacted investor enthusiasm for
newly listed companies. However, the Indian IPO market is set to perform
better in near future as the economy has strong fundamentals coupled
with strong government initiatives to help the economy grow.
[FIGURE 2 OMITTED]
Green Shoe Option: Regulatory Framework in Different Countries
Different countries have different market regulators who decide the
norms for green shoe option in the country. The highlights of the
regulatory framework for green shoe option (or the overallotment option
as called in different countries) are given below:
* The option is regulated by norms provided by Securities Exchange
Board of India (SEBI) in India, United Kingdom Financial Services in
United Kingdom, Financial Supervisory Authority (FSA) in Germany and
Securities Exchange Commission (SEC) in US.
* The option window is open for about 14 calendar days from listing
day in US while it has to be open mandatorily for 30 calendar days from
listing day in UK and India and in Germany it is open customarily for
one month from the listing day.
* Naked short position is not allowed in Germany and India and it
is rarely used in UK though allowed whereas it is widely used concept in
US.
* The maximum size of over allotment is 15 percent of the issued
size in all countries except that in US where the maximum tab is 20
percent.
* The underwriters are allowed to retain the profits (if any) in
all countries except in India where the profits need to be deposited
with SEBI.
Green Shoe Option in India
SEBI introduced the Green Shoe mechanism in Indian Capital Markets
in 2003 vide a circular SEBI/CFD/DIL/ DIP/ Circular No. 11 dated August
14, 2003. The red hearing prospectus provides the details of the
implementation of the green shoe option in the IPO. Though the option
was open to the Indian market in 2003, only 18 companies since then have
exercised the option in their IPOs. Table I provides the details of the
number of companies that have exercised the option since 2003.
Literature Review
Table I highlights that the option is yet to catch up in India and
therefore, a lot of existing literature is not available about GSO in
India. This can be attributed to the fact that the Indian Capital
Markets are still not very familiar with the option. But a lot of
existing literature is available on Green Shoe Option in the western
economies.
Ray (2012) in his study on green shoe option in India commented
that the option is popular because it is one of a few legally
-permitted, risk-free avenues for an underwriter to stabilize the price
of a newly issued security post-listing. Contradictory, his study found
that the majority of the issuer companies and merchant banks are
unresponsive to GSOs, and consequently such options were seldom availed.
He concluded a variety of reasons for this indifference. One of the
prime reasons is the vagueness about the effects of GSOs, which makes
the underwriters reluctant to bear added responsibility. According to
him, the regulators in India need to be a bit more specific about
regulations of green shoe option in India. Secondly, there is a very big
lack of incentives. The underwriters are asked to refund the profits
earned from the process of option to SEBI in India. Also, there is an
absence of market discipline and a variety of other reasons which
contribute to the unresponsiveness of GSO in India. Very few companies
have opted for green shoe option and reaped its benefits. Nevertheless,
one of the advantages of using the greenshoe is its capability to reduce
risk for the company issuing the shares. It enables the underwriter to
have buying power in order to cover their short position when a stock
price falls, without the risk of having to buy stock if the price rises.
In return, it also facilitates to maintain the share price stable which
positively affects both the issuers and investors which in return boosts
the investor's confidence in the company. The paper further
suggested that GSOs should be made obligatory in stabilizing prices of
shares going for initial public offering and alertness programs should
be conducted to instruct the companies about the significance of GSO.
Merchant bankers should unveil their track record and the IPO rules
would have to be restricted in case of small new issues. The study
further revealed that Qualified Institutional Buyer (QIBs) interrupt the
efficiency of an IPO so they should be checked, especially if the IPO
included the green shoe option.
Athma and Rani (2012) undertook a study with objectives of
highlighting the importance of GSO, to analyze the purpose for opting
for GSO and to present the Companies opting for GSO in their IPO's
since inception in India. The study was a conceptual and was based on
Secondary Data. The study highlighted that there could be two reasons
for opting GSO. Firstly, the main objective could be price stabilization
post issue. The other main objective could be lack of confidence of full
subscription of shares in an IPO or Further Public Offer (FPO) and to
scale down an IPO size and retain the over-subscription amount. The
study further pointed out that GSO was exercised by the companies in
order to see that the price of the securities do not fall below the
issue price after the listing of the security. It also pointed out an
interesting statistics that from August 2003 to December 2011 only 4.93
percent of the total IPOs listed exercised the GSO option in India. The
study concluded that GSO though introduced in 2003, nearing a decade
back, still it is in infantry stage in India. The number of companies
which have gone for GSO and reaped its benefit is very less. It is high
time that awareness programs are conducted to educate the companies
about the importance of GSO as it is a strong tool to stabilize prices
of newly listed securities post listing.
Alle (2012) in a research project on GSO in India emphasized the
need of GSO in India. The effectiveness of GSO in IPO program was
evaluated on using listing day return (LDR); mean daily return (MDR)
during the GSO window period; market-adjusted average daily return
during the GSO window period; and number of days when the closing price
of the company's share was below the issue price in the GSO window
period. The results showed that the stock prices of the company using
the option showed relatively more stability in comparison to the stock
prices of shares of the companies not using the option. However since a
lot of companies have not used the option in India, a very small data
set was available for the study and hence the results could not be
generalized.
In a study which was done on Italian IPOs by Signoria, Meoli and
Vismara (2012) the findings depicted a very positive role of green shoe
option in IPOs in Italy. The stabilization process for European IPOs is
a bit different than that in India. The stabilization activity is
uniformly regulated in Europe only since the December 2003 when the
Commission Regulation (EC) 2273/2003 entered into force (December 23,
2003). The regulation provides for two types of IPOs stabilization
devices. The first one is pure stabilization. In this case the
underwriting syndicate supports the share's price by standing ready
to buy shares in the aftermarket. The second type of stabilization is
short covering. In this case the syndicate typically completes the
shares' distribution by assuming a short position and later
covering it by either buying the shares in the aftermarket or by
exercising the green shoe option. The sample comprised of 167 IPOs of
Italy in the period from 1999 to 2008 in which the underwriter declares
to stabilize the market price when needed. The study showed that the
success rate of underwriters in case of price stabilization was only 50
percent. This means that only half of the IPOs with the underwriter
'availed' to stabilize are then actually stabilized. The
underwriters seem to stabilize IPOs that actually need it, since bad
performing offerings experiencing downward price revisions are more
likely to be price-supported. Hence, underwriters act according to the
issuer's interest. They also concluded that the nationality and
reputation of the underwriter are also crucial in the stabilization
decision: foreign and highly ranked banks act less promptly to support
stock prices, probably because they take public only high-quality firms
that are less likely to underperform. The study also concluded that
underwriters with a better reputation are better in identifying, those
issues that will not need any stabilization activity even though they
conclude this by unobservable characteristics.
The over allotment or greenshoe option became very popular in the
German IPO market since its introduction in 1995 and is an important
tool to stabilize IPOs or to issue additional shares in the case of
excess demand. In another study on existence and effectiveness of price
support activities in Germany, Oehler, Rummer and Smith (2004) provided
evidence for prevalence of price support activities by the underwriter.
The trio conducted the study on all initial listings on Frankfurt Stock
Exchange across different stock market segments for the period of
1997-2001. Inspecting the return pattern of newly public firms, they
found that the IPOs where the greenshoe has been used perform much
better than firms where it has not been exercised in case of firms with
returns between -5 percent and +5 percent. Analyzing offerings with an
initial return being below -5 percent shows again that price support of
the underwriter by using the overallotment option does not seem to be
very effective. They also concluded that the greenshoe option which
seems to be used to support overpriced offerings in the secondary market
is not very effective in propping up aftermarket prices. This may be
because of the fact that the investors in German stock Market decide
very early that which firms lose or which capture the market in terms of
performance on stock exchange as a small group of IPOs are immediately
pointed out by investors as a not so profitable investment and
consequently do not benefit from price support. It was also observed
that offerings with no greenshoe exhibit a more random pattern of price
performance and therefore one could conclude that this option has at
least some stabilizing impact on the return patterns during the first
few trading days.
Oskarsson and Stromberg (2009) in their master's thesis
analyzed the usage and effects of overallotment arrangements in Swedish
IPOs. The study was conducted for 77 IPOs on the main lists of the
Stockholm Stock Exchange during 1999-2008 with a focus on whether an
overallotment arrangement was included and if the accompanied
overallotment option subsequently was exercised or not. The data showed
that more than 70 percent of the initial public offerings contained the
expression for overallotment option and the overallotment arrangement. A
good majority of Swedish IPOs now a days include an overallotment
arrangement which enables the underwriter to stabilize the share price
of the IPO if it is needed. The findings indicate that the overallotment
arrangement is generally triggered in the case of an IPO but the
underwriters, in general, stabilize the IPOs when this coincides with
their interest of maximizing the payoff from the arrangement. However,
the price stabilization associated with the overallotment arrangement
does impact the share price, but only for a limited time period. IPOs
that were stabilized tend to fall as time passes by, indicating that
mainly the investors that instantly sell their allocations benefit from
price stabilization. The findings also indicated that there is no
evidence of the overallotment arrangement mitigating underpricing. The
study hence highlighted that it is the underwriter; and those investors
that instantly sell their allocations, who are the primary beneficiaries
of the overallotment arrangement. Moreover, the option is more
beneficial in IPOs which have a high probability of being
undersubscribed by general public. The study also showed that the use of
the arrangement by lead underwriters in general is according to
theory--exercising the option when the share price is above the share
price and conducting short covering transactions for lower share price
levels. The study also showed that the price stabilizing activities
creates an artificial price support by supporting shares with initial
negative returns.
Boreiko and Lombardo (2011) analyze the stabilization activities of
underwriters for 142 Italian IPOs, listed from January 2000 to July 2008
on Milan Stock Exchange. The research was concentrated on the activities
of the underwriters in the aftermarket trading of Italian IPOs. The
study could find the instances of not only short covering transactions
but also direct trading in securities in order to support its price by
the underwriter after using certain statistical tests and techniques on
the data collected. The findings indicate that instead of allowing the
issue price to go down since it would be concealed by the overall
downward market movement, the underwriter does support the issue trying
to keep the price from falling. Furthermore, the total amount of the
global offer repurchased by the underwriter, termed as stabilizing
intensity, is positively related to the size of the firm, gross spread
and negatively to the offer period length, market return during the
offer date and 100 days before. The stabilizing activities have also
different effect on post-stabilizing stock returns. The pure
stabilization IPOs do not show any price fall following the withdrawal
of aftermarket support, whereas pure short covering issues show 2 per
cent negative average market-adjusted return during the first 5 days
following the stabilization end. The findings were consistent with that
of Signoria, Meoli and Vismara (2012).
Aggarwal (2000) used a unique data set to examine exactly what
types of aftermarket activities underwriters engage in, how long these
activities last, what costs the underwriters incur, and how the
combination of these activities helps to provide price support to weak
IPOs in US economy. The results presented show that underwriters manage
the stabilization process and limit their losses by using a combination
of short covering in the aftermarket, penalty bids, and exercise of the
overallotment option. These activities are relatively inexpensive
because the underwriter can manage the process. But he also highlighted
that the aftermarket price support activities by underwriters are
performed in ways that are not transparent to investors, regulators, or
researchers.
Prabhala and Puri (1999) tried to understand what type of IPOs do
underwriters support and why. The market regulator of USA, Securities
Exchange Commission (SEC) viewed price support as an instrument of price
manipulation in the past (see, e.g., SEC Release 2446, 1940).
Nevertheless, it allows underwriters to support issues, by specifically
exempting price support from anti-manipulative provisions in the 1934
Securities Act. The study was conducted in reference of US IPOs using a
unique dataset of filings supplemented with additional public data of 46
IPOs. The analysis show that supported IPOs are large offerings, have
low spreads and higher offer prices, and are unlikely to be underwritten
by less prestigious underwriters.
In another study by Muscarella, Peavy III and Vetsuypens (1992) on
GSO or the overallotment option (as termed in US economy) drew the
conclusions that the IPOs in US economy typically include the Over
Allotment Option (OAO). Further they used two contrasting IPO samples to
investigate the OAO, firstly a sample of industrial IPOs (which
typically rise in price after issuance) and second one a sample of
closed end fund IPOs which tend not to rise in price after issuance. The
two samples demonstrate dramatically different OAO exercise patterns. In
the non- fund- IPO sample, more than 80 percent of the option able
shares are exercised. Furthermore, the option is exercised in a
predictable manner suggesting that that the typical OAO for non- fund
IPOs is more valuable than the typical OAO for the fund IPOs. It
supports the proposition that the overallotment option allows the
underwriters to reduce the risk of overselling a new issue. However, the
further reference to OAO in other countries and the various studies on
them is restricted keeping in mind that different economies have
different legal framework for OAOs. Comparing the framework in India and
US, the study find that one of the major differences is that while the
US framework allows the underwriter to retain the profits from OAO, the
Indian framework does not allow the underwriters to retain the profit
with itself but to submit it to SEBI.
Data and Methodology
The study is an attempt to judge the effectiveness of the GSO in
India using the value at risk approach. The Valueat-Risk (VaR) is a
category of risk metrics that describes probabilistically the market
risk of a trading portfolio or stock. Value-at-Risk is widely used by
banks, securities firms, commodity merchants, energy merchants, and
other trading organizations. Such firms could track their
portfolios' market risk by using historical volatility as a risk
metric. The historical volatility would illustrate how risky the
portfolio had been over the period under study. However, it would say
nothing about how much market risk the portfolio was taking today. It is
a technique which uses the statistical analysis of historical market
trends and volatilities to estimate the likelihood that a given
portfolio's losses will exceed a certain amount. The VaR in the
study is calculated using Historical Simulation Approach. The entire
sets of calculations are done using MS Excel.
The Historical Simulation Approach used in this study has the
following advantages:
* No Normality Assumption--The method is not dependent on
assumptions regarding the shape of the distribution of asset returns. It
might reflect any kurtosis in the markets caused by chaotic events.
* Non-parametric--It eliminates the possibilities of incorrectly
estimating certain parameters such as volatility and correlation. These
parameters are already reflected in the historical data.
* Comprehensive--The method can be applied to any type of financial
positioning including non linear products.
The method also has certain drawbacks but they do not impact the
scope of the current study.
The analysis calculates the VaR at 95 percent confidence level
meaning that it will find the least return and then the probability of
occurrence of such a case with 95 percent confidence level. The period
for GSO in India is for 30 calendar days from the day of listing as per
the legal guidelines. The current study takes into consideration the
data for 30 calendar days from the day of listing (GSO period) and the
next 30 calendar day period (soon after GSO is deactivated). The VaR for
the two time period is calculated and then compared. It is to be noted
that since the concept of GSO involves stabilizing the stock prices
after listing of stocks, the VaR during GSO should be less as compared
to post GSO period. The data for study is secondary in nature and
collected from the official website of National Stock Exchange, India
(NSE).
Findings
The primary arm of Indian Capital Market has witnessed 425 IPOs
after the introduction of the GSO in 2003. Out of these, only 18 have
exercised the option. The fact that only 4 percent of the IPOs have
opted for GSO has question the popularity of the mechanism in India.
Hence, the sample size of this study is very small to generalize the
findings. But the study is an attempt to know if GSO in India was a
success when exercised considering that one of the prime issues is that
the findings of the study cannot be generalized to the entire market
because the sample size was too small.
The VaR for 18 IPOs which have opted for GSO was calculated and the
results of calculation of VaR during and after the GSO period are
compiled in Table II.
The calculated VaR in GSO and post GSO period gives interesting
results. The VaR in the GSO period was low for 12 companies (66.66
percent of cases) as compared to post GSO period. This implies that the
stock prices post GSO period were less stable than prices during GSO
period. This implies that in general the GSO was successful in
stabilizing the prices of stock post GSO in 66.66 percent of cases.
After such an observation, the scope of the study was extended and the
VaR of the capital market was introduced for the various time periods in
GSO and post GSO data set.
The performance of Nifty was introduced in the study as a barometer
of Indian Financial Markets. The SandP CNX Nifty, also called the Nifty
50 or simply the Nifty, is a stock market index and one of several
leading indices which comprises of leading fifty large companies of
various sectors which are listed on National Stock Exchange of India.
The findings are summarized in Table III. The new data set gives another
set of interesting results.
The data indicated that GSO is very much effective if the market
conditions are stable as seen in cases of Shree Renuka Sugars Limited,
Jagran Prakashan Limited, B. L. Kashyap and Sons Limited, Cairn India
Limited and others. The cases when GSO failed can be attributed to the
sudden fluctuations in the capital market like in case of Deccan
Chronicle Holdings Limited, HT Media Limited, and others wherein the VaR
is high or too high during GSO period and it observes a sudden fall in
VaR soon after GSO period or vice versa. The sudden fluctuations in the
Indian Financial Markets as indicated by sudden changes in VaR will
definitely have a devastating impact on price stability of the newly
introduced stocks in the market. The data shows that the green shoe
option is an effective tool in Indian Capital Market for the newly
launched IPOs and the tool is even better in case the markets do not
show exceptional fluctuations.
[FIGURE 3 OMITTED]
Conclusion
The study concludes that the Green Shoe Option is an effective
price stabilizing mechanism for newly listed stocks on the exchanges in
India. The conclusion of the study is in conformity with the other
studies about effectiveness of GSO in India and abroad most of which
agree to the fact that the GSO is a useful instrument against wide
fluctuations in the prices of the newly listed stocks. By allowing an
underwriter to obtain additional securities under the green shoe option
with a right to sell these securities to the public if required, an
underwriter is given an additional responsibility of maintaining the
balance between demand and supply of the newly listed stock. The process
also serves as a reassurance to the small or rather the retail
individual investors that they would have a safe exit route during the
first 30 days after the listing of shares i.e. the green shoe option
period. This exit would be definitely at a price close to the issue
price, due to the price stabilizing activity of the merchant banks. This
enhanced investor confidence will result in more bids from investors at
better prices which is the requirement for every company. But like the
other studies, the results of this analysis also do not lead to any
generalization due to the small number of companies that opted for GSO.
The regulators of the Indian financial market need to take certain steps
to popularize the green shoe option in India. One of the prime
initiatives in this direction can be that the underwriters should be
allowed to retain the profits from the green shoe option. The recent
statistics reveal that the underwriters can make profit up to $100
Million in the stabilizing process as earned by Morgan Stanley while
stabilizing the Facebook IPO (The Wall Street Journal, May 24, 2012).
The Securities and Exchange Board of India restricts to retain such
profits by the underwriter. This kills the major initiative by the
underwriters to take the additional pain of stabilizing the prices.
Furthermore, there is a requirement to conduct an aggressive awareness
campaign for the green shoe option in India. It is of no doubt that the
option can benefit all- the companies, the investors and the regulators
saving all from the wide price fluctuation of newly listed shares.
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04- 2012, Department of Economics and Technology Management, University
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Siddharth Shastri
Vice-President,
Banasthali Vidyapith, Rajasthan.
Harsh Purohit
ICICI Bank Chair for BFSI,
Dean, FMS-WISDOM,
Banasthali Vidyapith, Rajasthan.
Nidhi Choudhary
Research Scholar,
WISDOM, Banasthali Vidyapith,
Rajasthan.
Table - I
Number of Companies that Opted for GSOs in their IPOs in
India from August 14, 2003 to December 31, 2012
Year Number of IPOs Number of Companies Opting for GSO
2003 3 0
2004 21 2
2005 43 3
2006 60 6
2007 86 5
2008 30 0
2009 17 1
2010 66 1
2011 39 0
2012 21 0
Total 143 18
Table - II
VaR for Companies Exercising GSO
Company VAR (in Percentage)
GSO After GSO
TCS 2.03 1.01
Deccan Chronicle Holdings Limited 4.87 3.26
3I INFOTECH 2.3 3.21
HT Media Limited 5.81 2.86
Shree Renuka Sugars Limited 5.09 5.41
Entertainment Network (India) Limited 4.49 5.59
JagranPrakashan Limited 3.09 6.69
B. L. Kashyap and Sons Limited 4.52 5.91
Prime Focus Limited 5.94 7.61
Parsvnath Developers Limited 1.26 11.35
House of Pearl Fashions Limited 5.93 7.87
Cairn India Limited 2.22 5.66
Idea Cellular Limited 3.06 3.38
Housing Development and 10.25 2.22
Infrastructure Limited
Omaxe Limited 5.14 12.4
Brigade Enterprises Limited 13.19 12.15
Indiabulls Power Limited 2.75 2.04
Electrosteel Steels Limited 1.78 4.24
Table - III
VaR for Companies Exercising GSO with VaR of Nifty
VAR
Company (in Percentage)
GSO After GSO
TCS 2.03 1.01
Deccan Chronicle Holdings Limited 4.87 3.26
3I INFOTECH 2.3 3.21
HT Media Limited 5.81 2.86
Shree Renuka Sugars Limited 5.09 5.41
Entertainment Network (India) Limited 4.49 5.59
JagranPrakashan Limited 3.09 6.69
B. L. Kashyap and Sons Limited 4.52 5.91
Prime Focus Limited 5.94 7.61
Parsvnath Developers Limited 1.26 11.35
House of Pearl Fashions Limited 5.93 7.87
Cairn India Limited 2.22 5.66
Idea Cellular Limited 3.06 3.38
Housing Development and 10.25 2.22
Infrastructure Limited
Omaxe Limited 5.14 12.4
Brigade Enterprises Limited 13.19 12.15
Indiabulls Power Limited 2.75 2.04
Electrosteel Steels Limited 1.78 4.24
VAR for Nifty
Company (in Percentage)
GSO After GSO
TCS 1.25 2.47
Deccan Chronicle Holdings Limited 1.09 3.33
3I INFOTECH 2 1.07
HT Media Limited 2.46 3.54
Shree Renuka Sugars Limited 1.71 1.94
Entertainment Network (India) Limited 1.97 2.83
JagranPrakashan Limited 2.06 2.69
B. L. Kashyap and Sons Limited 2.69 2.19
Prime Focus Limited 3.69 3.32
Parsvnath Developers Limited 1.55 3.44
House of Pearl Fashions Limited 3.83 4.92
Cairn India Limited 0.02 0.02
Idea Cellular Limited 3.38 3.06
Housing Development and 4.37 0.49
Infrastructure Limited
Omaxe Limited 4.38 4.87
Brigade Enterprises Limited 8.43 1.1
Indiabulls Power Limited 2.98 1.42
Electrosteel Steels Limited 1.86 2.16
