scholarly journals PENENTUAN KEPUTUSAN INVESTASI SAHAM MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM) DENGAN PENAKSIR PARAMETER STOKASTIK

2021 ◽  
Vol 10 (4) ◽  
pp. 251
Author(s):  
ICHA WINDA DIAN SAFIRA ◽  
KOMANG DHARMAWAN ◽  
DESAK PUTU EKA NILAKUSMAWATI
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Secondary Data ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Share Prices ◽  
Asset Pricing Model ◽  
Brownian Motion Model ◽  
Return Value

CAPM is a method of determining efficient or inefficient stocks based on the differences between individual returns and expected returns based on the CAPM’s positive value for efficient and negative value for inefficient stocks. The move to share prices in the process can influence investors's decisions in investing funds, so that it can be formulated in stochastic differential equations that form the Geometric Brownian Motion model (GBM). The purpose of the study is to determine return value using the CAPM based on share estimates and historical stock prices. The study uses secondary data that data a monthly closing of stock prices from December 2017 to December 2020. The GBG model's estimated stock price is used to determine the expected value return using the CAPM. In this case, it is called CAPM-Stochastic. Then the results of the CAPM-Stochastic was compared to the results of the CAPM-Historical to define efficient stocks and inefficient stocks. The results of research using CAPM-Stochastic obtained that HMSP, ICBP, KLBF, and WOOD shares are efficient stock while UNVR shares are inefficient. The results of CAPM-Historical obtained that HMSP, ICBP, KLBF, and UNVR shares are inefficient stocks and WOOD is an efficient stocks.

scholarly journals Nilai Wajar Saham Sektor Advertising, Printing, dan Media Di Bursa Efek Indonesia

2016 ◽  
Vol 10 (3) ◽  
pp. 449
Author(s):  
Edy Suryadi ◽  
Nur Fitria
Keyword(s):  
Stock Price ◽  
Stock Return ◽  
Intrinsic Value ◽  
Secondary Data ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Market Prices ◽  
Asset Pricing Model ◽  
The Media

The background of this research there is an indication that the stock price on the market does not showthe actual value of the shares, especially shares subsectors advertising, Printing, and Media. The intrinsicvalue of shares can be searched by using fundamental analysis of the company through the method ofdividend discount models (DDM). This research is a case study in which the withdrawal of a sample usingpurposive sampling. the data used are secondary data obtained from documents Indonesia StockExchange through its website www.idx.co.id. This research resulted in the intrinsic value of the shares ofthe sub sectors of advertising, Printing and Media, which found that the price of the shares of the subsectors of advertising, Printing, and the media in a state of high market prices (overvalued). Informationfor investors on the stock return is calculated through the method of capital asset pricing model (CAPM)and the formation of the portfolio as well as information for investors that the shares owned byPT.Jasuindo Tiga Perkasa has the highest return and can be considered for investment.

scholarly journals Validity of CAPM by Using Portfolios: Evidence from Indian Capital Market

2018 ◽  
Vol 2 (2) ◽  
pp. 15-25
Author(s):  
K.M. Yaseer ◽  
K.P. Shaji
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Conclusive Evidence ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Daily Data ◽  
Capm Model

This article tests the validity of Capital Asset pricing Model and compares the results of 16 periods including 14 sub periods which comprises 3 years each for the prediction of the expected returns in the Indian capital Market. The tests were conducted on portfolios having different security combinations. By using Black Jenson and Scholes methodology (1972) the study tested the validity of the model for the whole and different sub periods. The study used daily data of the BSE 100 index for the period from January 2001 to December 2010. Empirical results mostly in favor of the standard CAPM model. However, the result does not find conclusive evidence in support of CAPM  

scholarly journals MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH

2017 ◽  
Vol 6 (4) ◽  
pp. 241
Author(s):  
VIKY AMELIAH ◽  
KOMANG DHARMAWAN ◽  
I NYOMAN WIDANA
Keyword(s):  
Asset Pricing ◽  
Price Index ◽  
Secondary Data ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Stock Investment ◽  
Egarch Model ◽  
Stock Investments

In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate. All data were processed using matlab 13. The research sample consisted of 6 flagship shares for the period of 2013-2017 ie ADHI, SMGR, UNTR, BSDE, ICBP, KLBF. The conclusion of the research is the beta of each stock including aggressive beta because beta greater than 1. For return CAPM GARACH and CAPM EGARCH obtained Kalbe Farma stock (KLBF) has small beta and big return means GARCH and EGARCH model equally Can predict that stock KLBF shares the least risk and large returns among the six stocks.

scholarly journals Analysis of the Relationship of Risk and Return Using the Capital Asset Pricing Model (CAPM) Method at Kompas 100 for the 2015-2019 Period

2020 ◽  
Vol 2 (2) ◽  
pp. 383-393
Author(s):  
Andini Nurwulandari
Keyword(s):  
Asset Pricing ◽  
Stock Price ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Risk And Return ◽  
Asset Pricing Model ◽  
The Relationship

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.

scholarly journals Testing Capital Asset Pricing Model (CAPM) on Dhaka Stock Exchange

2021 ◽  
Author(s):  
Ataur Rahman Chowdhury
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Stock Prices ◽  
Stock Exchange ◽  
Securities Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

Abstract The study focuses on finding the validity of the capital asset pricing model (CAPM) on the Dhaka Stock Exchange (DSE) on both individual securities and portfolio levels. Using 102 securities data with the monthly stock prices for preceding five years, the outcome suggests that CAPM does not hold true for DSE, both on an individual company level and portfolio level. The securities market of Bangladesh (DSE in this case) proved inefficient as unsystematic risk premium become significant and beta cannot measure the risk component of securities investment.

Pengaruh Likuiditas, Debt to Equity Rasio dan Return on Asset Terhadap Harga Saham Perbankan yang Terdaftar di Bursa Efek Indonesa Periode 2014-2016

2019 ◽  
Author(s):  
Tan Kim Hek
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Secondary Data ◽  
Return On Assets ◽  
Current Ratio ◽  
Financial Report ◽  
Share Prices ◽  
Simultaneous Test ◽  
Equity Ratio

This study aims to examine the effect of Liquidity, Debt to Equity and Ratio Return On Assets on stock prices on banking companies listed on the Indonesia Stock Exchange for the period 2012-2016 both partially and simultaneously.The data in this study are secondary data obtained from the Indonesia Stock Exchange website. While the research data sources are: Financial Report of Banking Companies downloaded from the Indonesia Stock Exchange website in 2014 to 2016. The number of samples used is 24 companies taken from a population of 41 companies with year observation figures of 3 years so that the number of observations in this study is as much as 72 observations. The analytical method used in this study is using multiple regression analysis, partial test, simultaneous test and determination test, where the classical assumption has been previously performed.The results showed that the Return On Asset partially affects the stock price as evidenced by a significant value less than 0.05, while Current Ratio and Debt to Equity Ratio have no effect. Simultaneously Current Ratio, Debt to Equity Ratio and Return On Asset affect the stock price in Banking companies listed on the Indonesia Stock Exchange as evidenced by a significant value less than 0.05.Conclusions from the results of this study indicate that partially Return On Asset affects the stock price, while Debt to Equity Ratio and Current Ratio have no effect. Simultaneously Current Ratio, Debt to Equity Ratio and Return On Asset affect the stock price in Banking companies listed on the Indonesia Stock Exchange..Keywords: Current Ratio, Debt To Equity Ratio, Return On Assets and Share Prices

scholarly journals Effect of Capital Asset Pricing Model on Stock Prices

2020 ◽  
pp. 1-11
Author(s):  
Dini Dinahastuti ◽  
Jajang Badruzaman ◽  
Euis Rosidah, Wursan
Keyword(s):  
Asset Pricing ◽  
Stock Prices ◽  
Capital Asset Pricing Model ◽  
Measurement Scale ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Ratio Measurement ◽  
Asset Pricing Model ◽  
Technology Sector

Capital Asset Pricing Model (CAPM) is one of the balance models that can be used to determine the magnitude of the relationship between risk and return obtained by investors so that it will help investors to avoid investment errors. This study aims to determine (1) capital asset pricing model, and company stock prices in the Nikkei 225 Index technology sector; (2) capital asset pricing model on the company's stock prices in the Nikkei 225 index technology sector. The technique of data collection is done through secondary data, namely data obtained from the study of documentation and literature. The method used is descriptive method with census approach method. The population and sample of this study were the technology sector companies of the Nikkei 225 Index in 2016-2018. There were 57 companies in 2016-2018. The data analysis technique used is panel data regression analysis with a ratio measurement scale. Based on the results of the research and the results of data processing, it is shown that (1) Capital Asset Pricing Model in the technology sector company Nikkei 225 Index shows fluctuating results each year and effective in determining efficient and inefficient stocks for investors to use in making investment decisions. The company's stock price in the technology sector. The Nikkei 225 index shows an increase in average stock prices each year; (2) Capital Asset Pricing Model has a significant positive effect on Stock Prices.

scholarly journals ANALYSIS Of CAPITAL ASSET PRICING MODEL ACCORDING TO SHARIAH PRINCIPLE: INDONESIAN EVIDENCE

2019 ◽  
Vol 3 (03) ◽  
Author(s):  
Yuni Pristiwati Noer Widianingsih
Keyword(s):  
Asset Pricing ◽  
Stock Prices ◽  
Capital Asset Pricing Model ◽  
Stock Index ◽  
Capital Asset Pricing ◽  
Financial Instruments ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model

Capital Asset Pricing Model (CAPM) is one of the estimated return models developed in conventional financial instruments that have different characteristics from Islamic financial instruments. So the CAPM model cannot be directly applied in Islamic financial instruments, so an estimation model is needed, namely the Shariah Compliant Capital Asset Pricing Model (SCAPM). This study aims to produce a SCAPM model that can be applied to estimate returns in Islamic financial instruments. The data used in the test is a list of sharia companies listed on the IDX, sharia company stock prices, Indonesia Sharia Stock Index (ISSI), yield of sukuk and return of Bank Indonesia Certificates (SBI) for the period 2010 - 2018. Testing is done by comparing expected return with the CAPM and SCAPM models. The SCAPM model used is to eliminate the risk free asset factor and replace it with inflation, zakat, and yield of sukuk. The results of the analysis using graphs and the compare mean test show that the results of the expected return with the SCAPM and CAPM models have no difference, so the SCAPM model can be used as an alternative model of return estimation in Islamic Financial Instruments on the IDX.

scholarly journals Effect of Corporate Fundamental and Macro Economic Factors on Share Prices in Indonesia Stock Exchange Market

2020 ◽  
Vol 1 (2) ◽  
pp. 117-127
Author(s):  
Mulyanto Mulyanto ◽  
◽  
Riyanti Riyanti ◽  
Keyword(s):  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Secondary Data ◽  
Sampling Technique ◽  
Least Square ◽  
Research Subjects ◽  
Macroeconomic Factors ◽  
Share Prices

This paper aims to examine and analyze the influence of fundamental and macroeconomic factors on stock prices either partially or simultaneously. The research subjects focused on LQ45 Index companies listed on the Indonesia Stock Exchange. Secondary data of Indonesian stock market share prices covering between 2013-2019 were used. One Least Square was used to analyze the data. The sampling technique used is the purposive sampling method, the sample used is the LQ45 Index Company. The results shows fundamental factors include ROA, ROE, DER, EPS, and PER have a positive and significant effect on stock prices. and Inflation and interest rates have a negative and significant effect on stock prices. And simultaneously these variables have a significant and significant effect on stock prices. The study can provide a picture that stock price movements have a strong and clear influence on the company's fundamentals and are reflected in some of the ratios contained in the financial statements, as well as macroeconomic conditions.

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