ANALISIS PERBANDINGAN METODE CAPITAL ASSETS PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) DALAM MEMPREDIKSI RETURN SAHAM PADA INDEKS LQ-45 DAN INDEKS KOMPAS100 PERIODE 2020-2021

STEVANO, FERDY RAMA and Taufik, Taufik and Muthia, Fida (2023) ANALISIS PERBANDINGAN METODE CAPITAL ASSETS PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) DALAM MEMPREDIKSI RETURN SAHAM PADA INDEKS LQ-45 DAN INDEKS KOMPAS100 PERIODE 2020-2021. Undergraduate thesis, Sriwijaya University.

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Abstract

The purpose of this study is to find out and analyze the CAPM method or the APT method which is better in calculating stock returns on the LQ-45 Index and the Kompas100 Index for the period 2020 to 2021. The population of this study is all companies listed on the LQ-45 Index and the Kompas100 Index in from 2020 to 2021 with a selected sample of 39 companies for the LQ-45 index and 79 companies for the Kompas100 index. The selection of data samples in this study was carried out by purposive sampling. The data analysis technique was carried out using the normality test. The result of this study is that there is a significant in accuracy between the Capital Assets Pricing Model (CAPM) method and the Arbitrage Pricing Theory (APT) method in predicting stock returns on the LQ-45 Index and the Kompas100 Index, as evidenced by the results of the paired t-test analysis using SPSS22 obtained a significance value of 0.000 <0.05. Based on the calculation of the average MAD, the CAPM method is better than the APT method. This can be seen from the average MAD CAPM as a whole on the LQ-45 Index of 0.106 while the APT method is 0.108. And on the Kompas 100 Index as a whole the MAD CAPM average is 0.111 while the APT method is 0.113.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Capital Assets Pricing Model (CAPM) , Arbitrage Pricing Theory (APT) dan Mean Absolute Deviaton (MAD).
Subjects:	H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance. Corporation finance
Divisions:	01-Faculty of Economics > 61201-Management (S1)
Depositing User:	Ferdy Rama Stevano
Date Deposited:	15 Feb 2023 02:46
Last Modified:	15 Feb 2023 02:46
URI:	http://repository.unsri.ac.id/id/eprint/89469

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