Liquidity-adjusted Capital Asset Pricing Research Articles

PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)

Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing Model (LCAPM). CAPM is a model that connects expected return with the risk of an asset under market equilibrium condition. LCAPM is a method of new development of the CAPM model which is influenced by liquidity risk. To analyze whether the formed portfolio have a good performance or not, so portfolio perfomance assessment will be done by using The Sharpe Index. This research uses data from closing prices, transaction volume and volume total of LQ45 Index stock on period March 2016-February 2020 and then data of JCI and interest rate of central bank of the Republic of Indonesia. Based on The Sharpe Index, optimal portfolio is LCAPM model portfolio with 3 stock composition and the proportion investment are 32,39% for LPPF, 49,86% for SRIL and 17,75% for TLKM. Keywords: LQ45 Index, Portfolio, Capital Asset Pricing Model (CAPM), Liquidity Adjusted Capital Asset Pricing Model (LCAPM), The Sharpe Index.

PAY GETİRİLERİNDE LİKİDİTE AZLIK PRİMİ ETKİSİ: BORSA İSTANBUL UYGULAMASI

Bu çalışmanın amacı, likidite azlık priminin mevcudiyetinin Borsa İstanbul (BIST) Pay Piyasası’nda araştırılmasıdır. Bu amaç kapsamında, likidite azlık primi, Ocak 2002-Eylül 2018 dönem aralığında, sıfır getirili ölçüt ve likidite azlık ölçütü (ILLIQ) aracılığıyla, Acharya ve Pedersen (2005) Likidite Ayarlı Finansal Varlık Fiyatlandırma Modeli (LFVFM) üzerinden regresyon analizi ile test edilmiştir. Likidite azlık göstergelerine göre oluşturulan 20 adet portföyden elde edilen analiz sonuçları BIST Pay Piyasası’nda ilgili dönem aralığında likidite azlık priminin beklenen getiri oranı üzerinde anlamlı bir etkiye sahip olmadığını ortaya koymuştur. Diğer bir ifadeyle, elde edilen bulgular, yatırımcı kararları ile likidite azlık primi arasında bir ilişki olmadığı yönündedir.

PERBANDINGAN MODEL CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM SYARIAH

In stock investments, every investor wants to get a high level of return and low risk. The stock price is very volatile and unpredictable, this makes investors have to find solutions in order to get a benefit from this investment. One way is to form a portfolio. A portfolio is a collection of several shares. There are several models for calculating stock portfolios such as CAPM (Capital Asset Pricing Model) and LCAPM (Liquidity Adjusted Capital Asset Pricing Model). The CAPM is a model that describes the relationship between the expected return and risk of investing in a security. The LCAPM is an extension of CAPM by taking into account the liquidity of assets. Data from Jakarta Islamic Index is used to verify the two models. In this case, the empirical results show that the performance of CAPM is better than the LCAPM.