Abstract
The Capital Asset Pricing Model and the Arbitrage Pricing Theory are a balance model that uses risk measurement variables to see risk correlations and returns. This research is descriptive quantitative. The purpose of this research is to find out how much the value of stock returns in the banking sector is calculated by the Capital Asset Pricing Model and Arbitrage Pricing Theory, looking for a more accurate model and how big is the difference in accuracy of the significant accuracy of the Capital Asset Pricing Model and Arbitrage Pricing Theory in making investment decisions in the banking sector. The population in this study is a banking company registered at Indonesia Stock Exchange during 2015-2018. The sample in this study amounted to 36 banking companies listed on the Indonesia Stock Exchange during 2015-2018. The sampling method is a non-probability sampling method that is purposive sampling technique. The results of this study indicate that the Capital Asset Pricing Model is better than the Arbitrage Pricing Theory and there is no difference in accuracy between the Capital Asset Pricing Model and the Arbitrage Pricing Theory in an investment decision making effort at banking sector.
Highlights
The Capital Asset Pricing Model and the Arbitrage Pricing Theory are a balance model that uses risk measurement variables to see risk correlations and returns
The results of this study indicate that the Capital Asset Pricing Model is better than the Arbitrage Pricing Theory and there is no difference in accuracy between the Capital Asset Pricing Model and the Arbitrage Pricing Theory in an investment decision making effort at banking sector
Diakses pada 10 April 2020, dari https://www.ojk.go.id/id/kanal/perbankan/data-dan-statistik/statistik-perbankanindonesia/default.aspx
Summary
Tujuan dalam penelitian ini adalah untuk mengetahui seberapa besar nilai return saham sektor perbankan yang dihitung dengan Capital Asset Pricing Model dan Arbitrage Pricing Theory, mencari model yang lebih akurat dan seberapa besar perbedaan akurasi akurasi yang signifikan dari Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam pengambilan keputusan investasi pada sektor perbankan. Populasi dalam penelitian ini adalah perusahaan perbankan yang terdaftar di Bursa Efek Indonesia selama tahun 2015-2018. Sampel dalam penelitian ini berjumlah 36 perusahaan perbankan yang terdaftar di Bursa Efek Indonesia selama tahun 2015-2018. Hasil penelitian ini menunjukan bahwa Capital Asset Pricing Model lebih baik dibandingkan Arbitrage Pricing Theory dan tidak terdapat perbedaan akurasi antara Capital Asset Pricing Model dengan Arbitrage Pricing Theory dalam pengambilan keputusan investasi saham pada sektor perbankan di Bursa Efek Indonesia. Kata Kunci: Capital Asset Pricing Model; Arbitrage Pricing Theory; Sektor Perbankan
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