Analysis of the Relationship of Risk and Return Using the Capital Asset Pricing Model (CAPM) Method at Kompas 100 for the 2015-2019 Period
Abstract
This research aimed to investigate the relationship between risk and return on Kompas 100 shares using the Capital Asset Pricing Model (CAPM) approach from 2015 to 2019. The sample amounted to 52 companies registered in Kompas 100. This study used a quantitative approach. The data used includes the closing price of shares and the Composite Stock Price Index (IHSG) for 4 years (1 January 2015 - 31 December 2019) and the risk-free rate, which is calculated using the interest rate on Bank Indonesia Certificates ( SBI) issued by the Bank Indonesia. The results of testing the relationship with the simple correlation coefficient of CAPM calculation, Beta, and CAPM predicted return has a significant positive relationship. If beta increases, the expected return will increase, and vice versa. If Beta goes down, the expected return will go down. Of the 52 sample companies, 33 companies deserve to be used as investment destinations and purchase their shares.
References
Bénassy‐Quéré, A., Coupet, M., & Mayer, T. (2007). Institutional determinants of foreign direct investment. World economy, 30(5), 764-782.
Choong, C. K., Baharumshah, A. Z., Yusop, Z., & Habibullah, M. S. (2010). Private Capital Flows, Stock Market And Economic Growth In Developed And Developing Countries: A Comparative Analysis. Japan and the World Economy, 22(2), 107-117.
Dybvig, P. H., & Ross, S. A. (1985). Differential Information and Performance Measurement Using A Security Market Line. The Journal of Finance, 40(2), 383-399.
Homsud, N., Wasunsakul, J., Phuangnark, S., & Joongpong, J. (2009). A Study of Fama and French Three Factors Model and Capital Asset Pricing Model in Thailand's Stock exchange. International Research Journal of Finance and Economics, 25(3), 31-40.
Iqbal, M. J., & Shah, S. Z. A. (2012). Determinants of Systematic Risk. The Journal of Commerce, 4(1), 47.
Kuznets, S. (1973). Modern Economic Growth: Findings And Reflections. The American Economic Review, 63(3), 247-258.
Lintner, J. (1975). The Valuation of Risk Assets and The Selection of Risky Investments in Stock Portfolios and Capital Budgets. In Stochastic Optimization Models In Finance (pp. 131-155). Academic Press.
Maryanne, D. M. D. (2009). Pengaruh Nilai Tukar Rupiah, Suku Bunga Sbi, Volume Perdagangan Saham, Inflasi Dan Beta Saham Terhadap Harga Saham (Studi Empiris pada Perusahaan Sektor Perbankan Di Bursa Efek Indonesia Periode 2004-2007) (Doctoral dissertation, program Pascasarjana Universitas Diponegoro).
Natarsyah, S. (2000). Analisis Pengaruh Beberapa Faktor Fundamental dan Risiko Sistematik Terhadap Harga Saham Kasus Industri Barang Konsumsi yang Go-Publik di Pasar Modal Indonesia. Journal of Indonesian Economy and Business, 15(3), 294-312.
Obstfeld, M. (1998). The Global Capital Market: Benefactor or Menace?. Journal of Economic Perspectives, 12(4), 9-30.
Prsetyo, B., & Jannah, L. M. (2019). Metode Penelitian Kuantitatif. Litbang Kemenkes.
Rachmatika, D. (2006). Analisis Pengaruh Beta Saham, Growth Opportunities, Return On Asset Dan Debt To Equity Ratio Terhadap Return Saham. Universitas Dipanegoro Semarang.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 19(3), 425-442.
Sudiyatno, B., & Suharmanto, T. (2011). Kinerja Keuangan Konvensional, Economic Value Added, dan Return Saham. JDM (Jurnal Dinamika Manajemen), 2(2).
Sugiarto, A. (2011). Analisa Pengaruh Beta, Size Perusahaan, DER Dan PBV Ratio Terhadap Return Saham. Jurnal Dinamika Akuntansi, 3(1).
Treviño, L. J., & Mixon Jr, F. G. (2004). Strategic Factors Affecting Foreign Direct Investment Decisions By Multi-National Enterprises In Latin America. Journal Of World Business, 39(3), 233-243.
Treynor, J. L. (1961). Market Value, Time, and Risk. Time, and Risk (8 August 1961).
Copyright (c) 2020 International Journal of Science and Society
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
.png)
.jpg)
.png)
.png)
.png)
.png)
1.png)
.jpg)
-modified.png)
-modified.png)
-modified.png)
