PENGUJIAN EMPIRIS TERHADAP KEKUATAN MODEL CAPM (CAPITAL ASSETS PRICING MODEL) DALAM MEMPREDIKSI RETUN PORTOFOLIO SAHAM YANG TERGABUNG PADA INDEKS LQ45 PERIODE 2013 SAMPAI 2016
Keywords:
CAPM, Return Saham, Portofolio, LQ45, Cross Sectional, Time Series, Two Stage Regression, Resiko Sistematik, Resiko Non-sistematik, Return Harapan
Abstract
Tujuan penelitian ini adalah untuk menguji model CAPM sebagai model keseimbangan harga pasar modal dalam memprediksi return saham-saham yang tergabung dalam indeks LQ45. Adapun data-data yang digunkan dalam penelitian ini merupakan harga penutupan saham-saham LQ45 dan return bulanan indeks LQ45. Untuk pengujian menggunakan two Stage Regresion menggunakan regresi time Series pada tahap satu dan regresi Cross Sectional pada regresi tahap dua. Hasil penelitian menemukan bahwa model CAPM kurang berkerja dengan baik dalam memprediksi harga saham di pasar modal Indonesia, terutama saham-saham yang tergabung dalam LQ45. Model CAPM, model regresi bertolak belakang dengan hipotesis CAPM, hal ini diterangkan dengan pengujian non-linieritas dan pengujian non-sistematis
References
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Harry Markowitz, 1952, “Portofolio Selection”,The Journal of Finance, Vol. 7, No. 1. (Mar., 1952), pp. 77-91.
Jansen, Michael C. 1968. “The Performance of Mutual Funds in the Period 1945-1964.” Journal of Finance. 23:2, pp. 389-416.
Lakonishok, J. and A.C.Shapiro (1986), “Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns”, Journal of Banking and Finance, Vol.10, pp.115-132.
Lintner, J. (1965), “The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Economics and Statistics,Vol.47, pp.13-37.
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Mossin, J. 1966, “Equilibrium in capital asset market”, Econometrica, 34: 768 – 783.
Reilly, Frank K and Rashid A Akhtar. (1995). The benchmark error problem with global capitalmarkets”. Journal of Portfolio Management, Fall 1995, Vol. 22 Issue 1, p33-50.
Richard Roll dan Sthephen Ross 1994,”On the Cross-Sectional Relation Between Expected Return and Beta : 1929-1997,” Jurnal Keuangan
Stambaugh, Robert F. (1982). “On The Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis.” Journal of Financial Economics. 10:3, pp. 237-268.
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William Sharpe (1964), “Capital Asset Prices : A theory of market equilibrium under conditions of risk” Journal of finance.
Zavie Bodie, Alex Kane, Alan J. Marcus, 2014, “Manajemen Portofolio dan Investasi”, Penerbit Salemba Empat
Bodie, Kane dan Marcus, 2005, “Investment”, Edisi ke Enam, Mc Grew Hill
Eugene F. Fama dan Kenneth R. French, (2004), Draft Kedua, “The Capital Asset Pricing Model”, artikel Keuangan
Dedi Irawan Saputra dan Umi Murtini (2008), “Perbandingan Fama and French Three Faktor Model dengan Capital aset Pricing Model” Jurnal riset akuntansi dan keuangan.
Douglas, George W. (1968). Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency. Ann Arbor, Michigan: University Microfilms, Inc.
Fama, Eugene F and Kenneth R French. (2006). The Value Premium and the CAPM. Journal of Finance, Oct 2006, Vol. 61 Issue 5, p2163-2185.
Fama, E.F. and K.R.French (1992), “The Cross-section of Expected Stock Returns”,Journal of Finance, Vol.47, no.2, pp.427-466.
Fama, E. F., dan MacBeth, J., 1974, “Test of multiperiod two parameter model”, journal of finance, 47 (juni)
Green, Richard C. (1986). Benchmark Portfolio Inefficiency and Deviations from the Security Market Line. Journal of Finance, Jun 1986, Vol. 41 Issue 2, p295-312.
Harry Markowitz, 1952, “Portofolio Selection”,The Journal of Finance, Vol. 7, No. 1. (Mar., 1952), pp. 77-91.
Jansen, Michael C. 1968. “The Performance of Mutual Funds in the Period 1945-1964.” Journal of Finance. 23:2, pp. 389-416.
Lakonishok, J. and A.C.Shapiro (1986), “Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns”, Journal of Banking and Finance, Vol.10, pp.115-132.
Lintner, J. (1965), “The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Economics and Statistics,Vol.47, pp.13-37.
Mona A. Elbannan, 2015, The Capital Asset Pricing Model: An Overview of the Theory,International Journal of Economics and Finance; Vol. 7, No. 1; 2015, ISSN 1916-971X E-ISSN 1916-9728, Published by Canadian Center of Science and Education
Miller, Merton, and Myron Scholes. 1972. “Rate of Return in Relation to Risk: A Reexamination of Some Recent Findings,” in Studies in the Theory of Capital Markets. Michael C. Jensen, ed. New York: Praeger, pp. 47-78.
Mossin, J. 1966, “Equilibrium in capital asset market”, Econometrica, 34: 768 – 783.
Reilly, Frank K and Rashid A Akhtar. (1995). The benchmark error problem with global capitalmarkets”. Journal of Portfolio Management, Fall 1995, Vol. 22 Issue 1, p33-50.
Richard Roll dan Sthephen Ross 1994,”On the Cross-Sectional Relation Between Expected Return and Beta : 1929-1997,” Jurnal Keuangan
Stambaugh, Robert F. (1982). “On The Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis.” Journal of Financial Economics. 10:3, pp. 237-268.
Stephan A. Ross”return, Risk and Arbiterage (1976) , Cambridge MA: Ballinger
Tatang Ary Gumawati (2011), “Manajemen Investasi : Konsep, Teori dan Aplikasi”, terbitan Mitra Wacana Media.
William Sharpe (1964), “Capital Asset Prices : A theory of market equilibrium under conditions of risk” Journal of finance.
Zavie Bodie, Alex Kane, Alan J. Marcus, 2014, “Manajemen Portofolio dan Investasi”, Penerbit Salemba Empat
Published
2017-06-01
How to Cite
Darma, Y. (2017). PENGUJIAN EMPIRIS TERHADAP KEKUATAN MODEL CAPM (CAPITAL ASSETS PRICING MODEL) DALAM MEMPREDIKSI RETUN PORTOFOLIO SAHAM YANG TERGABUNG PADA INDEKS LQ45 PERIODE 2013 SAMPAI 2016. Jurnal Akuntansi Bisnis Pelita Bangsa, 2(01), 43-62. Retrieved from https://journal.lppmpelitabangsa.id/index.php/akubis/article/view/111
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Articles
