Analisis Perbandingan Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham (Studi : Perusahaan Di Sektor Industri Barang Konsumsi Di Bei)

Irin Triastuti, Norita Norita

Abstract

Abstrak Penelitian ini bertujuan untuk melihat pengaruh variabel market-risk-premium yang diukur dengan CAPM, dan pengaruh variabel-variabel makro ekonomi di antaranya suku bunga SBI, inflasi, kurs, dan IHSG yang diukur dengan APT, serta untuk menunjukkan perbandingan keakuratan antara CAPM dan APT dalam memprediksi return saham perusahaan di sektor industri barang konsumsi di BEI yang masuk dalam indeks LQ45 periode 2009-2014 yang diukur berdasarkan hasil perhitungan MAD dan diuji dengan independent sample t-test. Penelitian ini menggunakan data yang diperoleh dari website resmi BEI, website resmi Bank Indonesia, dan yahoo finance. Teknik sampling yang digunakan yaitu purposive sampling dan diperoleh lima sampel perusahaan. Selanjutnya, pengujian terhadap hipotesis dalam penelitian ini menggunakan analisis linear sederhana, analisis linear berganda serta independent sample t-test. Hasil penelitian ini menunjukkan bahwa variabel market-risk-premium yang diukur dengan CAPM, dan variabelvariabel suku bunga SBI, inflasi, kurs, dan IHSG secara simultan memiliki pengaruh yang signifikan dalam memprediksi return saham empat dari lima perusahaan sampel penelitian. Sedangkan hasil independent sample t-test menunjukkan bahwa terdapat perbedaan akurasi yang signifikan antara CAPM dan APT. Berdasarkan hasil perhitungan nilai rata-rata MAD, CAPM lebih akurat dibandingkan APT.

Kata kunci : CAPM, APT, return saham, market-risk-premium, industri barang konsumsi.

Abstract This research aims to point out the influence of market-risk premium variable as measured by the Capital Asset Pricing Model, and the influence of macro economy variables including SBI interest rates, inflation, exchange rate and IHSG as measured by the Arbitrage Pricing Theory, and to demonstrate the comparative accuracy between CAPM and APT in predicting stock returns in the consumer goods industry sector on the Stock Exchange are included in LQ45 period 2009-2014 as measured by the results of the calculation of Mean Absolute Deviation (MAD) and tested with independent sample t-test. This research using data obtained from the official website of IDX, the official website of Bank Indonesia, and yahoo finance. The sampling technique used is purposive sampling and obtained five sample companies. Furthermore, testing of this hypothesis using by simple linear analysis and multiple regression linear analysis , independent sample t-test. The results showed that the variable market-risk premium as measured by CAPM, and variables SBI interest rate, inflation, exchange rate, and IHSG simultaneously have a significant influence in predicting stock returns four of the five companies sample. While the results of independent sample t-test showed that there were significant differences in accuracy between CAPM and APT. Based on the results of the calculation of the average value of MAD, CAPM is more accurate than APT.

Keywords : CAPM, APT, the stock return, market-risk premium, the consumer goods industry.

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