SELEKSI SAMPEL SEBAGAI PROKSI INDEKS PASAR DALAM PENGUJIAN CAPITAL ASSETS PRICING MODEL DI PASAR INDONESIA

Abstract

Some test about Capital Asset Pricing Model (CAPM) are in fact, most of them showed that there were in equilibrium between the CAPM theory with the empirical facts. This in equilibrium most can be see in the intercept which is not the same as zero. Some tests are resulting that linear relation between the return level which can be hoped by the risk which is measured with beta, but in the other fact shows that there is still factor or variable beside beta which influence the return of security, those variables are not explained by CAPMThe failure of empirical test for proving the CAPM hyphotesis are caused by the failure of the L""'APM specification itself then the use of market model which maybe is not relevant because of the return fluctuation and the free investment risk The investment process in security is doing evaluation to the investment performance, in security investment which is often done in portofolio form, so it is needed portofolio performance l!valuation. Some tests, empirical CAPM can be concluded that: (1) Security return is in fact in linear way can be related with beta as it is predicted in CAPM test; (2) There is positive relation between beta with historical return, that it means the bigger the beta the bigger the return; (3) The market line security test (SML) is in fact less steeply slope comparing to the theoretical SML, it means that shares with lower beta will have higher return as it is predicted by the Capital Asset Pricing Model, while the shares with higher beta have lower return as it is predicted, this is because of the mistake in the measurement; (4) The intercept criteria which is bigger can be predicted theoretically than the value offree risk return (RJ.Even the test result can not give support from the theory of Capital Asset Pricing Model, this test gives the consistent implication, beta is the linear systematic risk taht is related positively with the historical return.