Analisis Keakuratan Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham (Studi Pada Perusahaan LQ 45 Di Bursa Efek Indonesia Periode 2016-2020)

  • Yudi Partama Putra Universitas Muhammadiyah Bengkulu
  • Hesti Setiorini Universitas Muhammadiyah Bengkulu
  • Chairul Suhendra Universitas Muhammadiyah Bengkulu
Keywords: Stock Returns, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT)

Abstract

This study is based on the rapid development of the investment world. Hence, most investors have limited abilities and strategies in investing, therefore it takes important methods and concepts to assess the level of profit from an investment with various existing risk factors. This study focuses on the comparison of the accuracy between the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) methods in predicting stock returns of LQ 45 index companies for the 2016-2020 period. This study aimed to determine which method was more appropriate in predicting the company's stock returns. The accuracy of the CAPM and APT methods was measured by using the Mean Absolute Deviation (MAD). The Independent Sample T-test was used to determine whether there was a difference in accuracy between the CAPM and APT methods in predicting stock returns. The results of this study show that by using the calculation of the Mean Absolute Deviation, the APT method is more accurate than the CAPM method in predicting stock returns. The MAD APT value (0.000246) is smaller than the MAD CAPM value (0.003739) and based on data processing from the Independent Sample T-test shows that H0 is rejected, which means that there is a significant difference in accuracy between the CAPM and APT models particularly in predicting the company's stock return.

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Published
2023-01-22
How to Cite
Putra, Y., Setiorini, H., & Suhendra, C. (2023). Analisis Keakuratan Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham (Studi Pada Perusahaan LQ 45 Di Bursa Efek Indonesia Periode 2016-2020). EKOMBIS REVIEW: Jurnal Ilmiah Ekonomi Dan Bisnis, 11(1), 839 -. https://doi.org/10.37676/ekombis.v11i1.3254
Section
Articles

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