Capital Asset Pricing Model Method Research Articles

Sri Kehati Stock Index Portfolio Optimization

The purpose of this research is to analyze the composition of stocks to form the optimal portfolio of 25 issuers included in the SRI KEHATI Index for the period 2017 – 2021. The method used to form the portfolio is the Single Index Model (SIM) and the Capital Asset Pricing Model (CAPM), to measure stock performance using the Sharpe, Treynor and Jensen indices and equipped with a Monte Carlo simulation to measure the level of risk (Value at Risk). This research is a descriptive and quantitative research using secondary data. The calculation results show the composition of the portfolio and the proportion of funds: (1) SIM method, there are 5 stocks namely: BBCA (69%), BBRI (13%), EXCL (8%), JPFA (5%) , TINS ( 4%) with portfolio return of 1.49%, Sharpe index 0.16525, Treynor 0.00994, Jensen 0.0178 and the highest VaR value is found at the 99% confidence level in TINS stock , which is -44.3%. (2) CAPM method, there are 8 stocks namely: BBCA (23.59%), BBRI (16.27%), BMRI (16.19%), EXCL (13.95%), BBNI (11.50%), JPFA (7.08%), TINS ( 6.77 %), UNTR (5.56%) with a portfolio return of 0.47%, Sharpe index 0.02298, Treynor 0.00065, Jensen 0.00180 and the highest VaR value is found at a 99% confidence level in TINSstocks , which is - 45.1%.

The Application of Capital Asset Pricing Model (CAPM) Analysis Method as the Basis of Stock Investment Decision Making: Study of 18 Technology Companies on the Indonesia Stock Exchange

This study aims to determine the application of the capital asset pricing model method as a basis for consideration in making stock investment decisions (study on shares of technology companies on the Indonesia Stock Exchange). The research variable is based on the concept of the Capital Asset Pricing Model. This research is a descriptive study with a quantitative approach. The population in this study is 27 shares of technology companies that have been listed on the Indonesia Stock Exchange (IDX) for the period November 2020-October 2022, while the sample is 18 company shares which is selected based on purposive sampling technique. The data processed is the closing price of shares (closing price) sourced from the IDX. The data was collected by literature study and data collection from several websites, including:(www.idx.co.id, www.finance.yahoo.com, https://www.bi.go.id and www.pefindo.com.) Data analysis is carried out by using the stages of the capital asset pricing model (CAPM) which starts from collecting stock closing price data to classifying stocks as investment decisions. The results of this study indicate that there is a unidirectional or non-linear relationship between systematic risk and the expected rate of return. There are 7 stocks that are included in the efficient stock category, and 11 stocks that are included in the inefficient stock category. Thus, the investment decision is to buy in efficient stocks and to sell in inefficient stocks if they have them.

Capital Assets Analysis Pricing Model as a Basis for Investment Decisions Investment in Shares of PT Mustika Ratu and PT Multi Indocitra Listed on the IDX Period 2022

In investing, prospective investors' astuteness in exploring and processing information will be used as a decision-making tool for investing which will determine how much risk and profit they will obtain in the future. This research aims to determine the magnitude of profits and risks and classify efficient and inefficient shares by applying the Capital Asset Pricing Model method to cosmetics sub-sector companies listed on the IDX. The method used in the research is a qualitative method with quantitative data, in the form of a list of the latest stock prices, interest rates, and the Indonesian Sharia Stock Index sourced from the official website of the Indonesian Stock Exchange, Yahoo Finance, and Bank Indonesia.

Analisis Komparasi Metode CAPM dan APT dalam Memprediksi Return Saham LQ45 2019-2021

The investment climate is developing rapidly in Indonesia, many people are interested in investing, and the capital market is a common and legal place to invest. In investing, stocks are one of the long-term financial instruments traded on the capital market. The goal of investors in stock investment is to obtain the maximum stock return with a certain risk. Financial experts have developed two approaches to predict return on investment based on risk and use certain macroeconomic variables, the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). This study aims to determine the best model between the CAPM and APT in determining the expected return on shares of companies that are members of the IDX LQ45 for the period 2019-2021. Data is processed using Unbalance Data Panel Analysis with the Eviews application. The results of data processing show that the CAPM method is more precise or accurate than the APT method.

ANALISIS PORTOFOLIO OPTIMAL MODEL CAPM DALAM PENGAMBILAN KEPUTUSAN INVESTASI SAHAM PADA IDXQ30

This paper aimed to analyze the optimal portfolio based on the Capital Asset Pricing Model (CAPM) method by classifying the undervalued and overvalued stocks. The population of this paper are stocks listed on IDXQ30 in the 2022-2023 period, there are 22 stocks used as research samples. This paper used IDXQ30 daily closing price, closing price of the daily Jakarta Stock Exchange Composite Index on the IDX, and Bank Indonesia's daily reference interest rate or the BI-7 Day Reverse Repo Rate. The results of this paper indicated that CAPM method generates 8 undervalued stocks and 14 overvalued stocks. Undervalued stocks consist of KLBF, ITMG, ASII, UNTR, BBCA, PTBA, BMRI and HRUM while overvalued stocks consist of MIKA, SIDO, HEAL, INTP, UNVR, HMSP, MNCN, CPIN, TLKM, TAPG, LSIP, ACES, SCMA and SRTG. The investment decisions are made by buying stocks that are classified as undervalued and selling stocks that are classified as overvalued.
 
 Keywords: Capital Asset Pricing Model, IDXQ30, Investment Decision, Optimal Portfolio

Analisis Keakuratan Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham (Studi Pada Perusahaan LQ 45 Di Bursa Efek Indonesia Periode 2016-2020)

This study is based on the rapid development of the investment world. Hence, most investors have limited abilities and strategies in investing, therefore it takes important methods and concepts to assess the level of profit from an investment with various existing risk factors. This study focuses on the comparison of the accuracy between the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) methods in predicting stock returns of LQ 45 index companies for the 2016-2020 period. This study aimed to determine which method was more appropriate in predicting the company's stock returns. The accuracy of the CAPM and APT methods was measured by using the Mean Absolute Deviation (MAD). The Independent Sample T-test was used to determine whether there was a difference in accuracy between the CAPM and APT methods in predicting stock returns. The results of this study show that by using the calculation of the Mean Absolute Deviation, the APT method is more accurate than the CAPM method in predicting stock returns. The MAD APT value (0.000246) is smaller than the MAD CAPM value (0.003739) and based on data processing from the Independent Sample T-test shows that H0 is rejected, which means that there is a significant difference in accuracy between the CAPM and APT models particularly in predicting the company's stock return.

CAPM Method in Determining Investment Decisions in the Tourism Sector in Covid-19 Pandemic

Using the Capital Asset Pricing Model (CAPM) technique, this study attempts to identify and evaluate stock investment decision-making in the tourist industry listed on the Indonesia Stock Exchange. The data for this study were collected between 2018 and 2021. The findings acquired are stock investment decisions in the tourist industry listed on the Indonesia Stock Exchange using the Capital Asset Pricing Model (CAPM) approach. Stock investment decisions cannot be made because they have inefficient shares. since the Ci calculation's result does not exceed the cutoff threshold value This is reflected in the stock's projected return (0.00264561 < 0.00288417), which is lower than the market's expected return. Keywords: Capital Asset Pricing Model, Investment decision.

Analisis Perbandingan Portofolio Optimal Single Index Model dan Metode CATM Menggunakan Indeks Pengukur Sharpe, Treynor, dan Jensen (Studi Kasus Saham Jakarta Islamic Index) Pada Masa Pandemi Covid 19

Investment is the investment of funds to earn profits in the future. The higher the expected rate of return, the higher the risk that will be faced. To minimize the level of risk and maximize the rate of return, an optimal portfolio is formed. The models that can be used to form an optimal portfolio are the Single Index Model and the Capital Asset Pricing Model (CAPM). This study aims to analyze the comparison of the optimal portfolio of Jakarta Islamic Index shares during the Covid-19 pandemic with the Single Index Model and CAPM and to measure the optimal portfolio performance formed by measuring indexes, namely Sharpe, Treynor, and Jensen. Based on the analysis of the optimal portfolio performance measurement shows that the optimal portfolio formed by the CAPM method has a better performance than the Single Index Model.

The Comparison of Optimal Portfolio Formation Analysis with Single Index Model and Capital Asset Pricing Model in Making Investment Decision

This research aims to find out the portfolio comparison that results from Single Index Model and Capital Asset Pricing Model methods, also portfolio performance evaluation results from Sharpe Index, Treynor Index, and Jensen Index on stocks listed in the LQ45 Index from 2017-2019. Samples taken consisted of 17 shares of companies listed on the LQ45 Index successively and it has a positive average return. Analysis using the Single Index Model method produces an optimal portfolio consisting of 6 shares. Whereas the Capital Asset Pricing Model method produces an efficient portfolio consisted of 13 shares. Portfolio performance evaluation created from both methods results from the rank of shares from each portfolio also has a positive average index, that means shares consisted of these portfolios are worth to be invested.

PERBANDINGAN KEAKURATAN CAPITAL ASSETS PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) DALAM MENENTUKAN PILIHAN BERINVESTASI PADA SAHAM JAKARTA ISLAMIC INDEX (JII)

The formulation of the problem in this study was how the accuracy of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Determining the Choice of Investing in the Jakarta Islamic Index (JII). The objective of this study was to find out the differences of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Determining the Choice of Investing in the Jakarta Islamic Index (JII). There were two balance methods that are still used as the approach material for accuracy in predicting expected return. The two models were the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). In predicting CAPM company stock returns using risk-free return asset factors, market returns and beta while APT uses macroeconomic factors, namely interest rates, inflation, exchange rates and the money supply. The population in this study was 68 company shares after passing the purposive sampling stage, the sample of this study consisted of 27 monthly company shares that were registered continuously in the period 2010 - 2017. The data used in this study were secondary data with the data collection technique was documentation. The analysis technique used is independent sample t-test. The results of this study indicate that the CAPM method is more accurate than APT in determining the choice of investing in JII shares and there was no significant difference in accuracy between the CAPM and APT methods in determining the choice of investing in JII shares.

Comparison of the Accuracy of Capital Asset Pricing Model (CAPM) and Abitrage Pricing Theory (Apt) in Predicting LQ45 Stock Returns

This study aims to determine which method is more appropriate in predicting LQ45 stock returns (2015-2017 period). The accuracy of the CAPM method and the APT method is measured by Mean Absolute Deviation (MAD). This research uses quantitative methods with purposive sampling tech- nique. The population used in this study were all company shares listed in the LQ45 Index and obtained 32 shares for the LQ45 Index which was used as the research sample. The accuracy of the CAPM and APT models is measured through MAD (Mean Absolute Deviation), while the independent sample t-test is used to compare the accuracy between the CAPM method and the APT method. The results showed that the CAPM method was more appropriate than the APT method in predicting LQ45 stock returns because the value of MADCAPM was smaller than the average MADAPT, namely MADCAPM (0.0004) < MADAPT 0.0113, and based on the results of different test independent sample t-test with SPSS H0 is rejected and Ha is accepted, there is a difference in accuracy because the Sig value is smaller than the significance level (5%), namely Sig = 0,000 < 0.05.

On the Use of the CAPM in Public Utility Rate Cases: Comment

* In a recent issue of Financial Management, Professors Eugene Brigham and Roy Crum called for caution when using the Capital Asset Pricing Model (CAPM) to estimate the cost of equity capital of a regulated utility [2]. While it is hard tp question the wisdom of caution in using any method of cost of capital estimation, it is unfair to single out the CAPM method as a biased mechanism for estimating a utility's fair rate of return. This note shows that, had Brigham and Crum (B-C) heeded their own caveat and cautiously reviewed the basics of the CAPM, they could not have made such a strong indictment of this model. A thorough analysis of beta and other indispensable aspects of the CAPM framework provides the analyst or regulator with proper signals that make it possible to detect changes in a stock's fundamental risk and the accompanying changes in the cost of equity capital. Any method that attempts to account rigorously for risk and return can be misleading if the analyst is not aware of potential biases. CAPM estimates are no exception. Although recent studies by Vasicek [8] and Klemkosky and Martin [4] show that expected bias in