Analisis Perbandingan Capital Asset Pricing Model (CAPM) dengan Three Factors Pricing Model dalam Mengestimasi Return Saham (Pada Saham Perusahaan Non Keuangan Yang Terdaftar di Bursa Efek Indonesia)

Nofitasari, Maya and , Zulfa Irawati, SE, M.Si. (2018) Analisis Perbandingan Capital Asset Pricing Model (CAPM) dengan Three Factors Pricing Model dalam Mengestimasi Return Saham (Pada Saham Perusahaan Non Keuangan Yang Terdaftar di Bursa Efek Indonesia). Skripsi thesis, Universitas Muhammadiyah Surakarta.

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Abstract

This study examines the factors that influence the estimation of stock returns and compare the two asset pricing models, the Capital Asset Pricing Model and the Three Factors Pricing Model and obtain asset pricing models that can provide better stock return estimates between the two types of models. The population in this study is non-financial sector companies listed on the Indonesia Stock Exchange 2013-2015. Samples obtained are 20 samples of non-financial companies from the mining and trading sectors, after purposive sampling. The data used in this research is obtained from Annual Report of Non-Treasury Annual Publication by Bank Indonesia. Regression analysis was done on independent variables to return stock expectation according to each model to know the influence between variable and feasibility model with R square. The results of this study indicate: (1) in the CAPM model the risk premium (excess return) has a significant positive effect on the return on stock expectations, (2) in the TFPM model shows that the excess return has a significant positive effect on stock return (3) Goodness of Fit (Test F) for CAPM and TFPM has a fit and proper model; (4) that the medium- and low- on the Adjusted R Square model of the Capital Asset Pricing Model (CAPM) model is greater than the Three Factor Pricing Model (TFPM) model, which means the CAPM model is able to better explain the return on stock expectations compared to the TFPM.

Item Type: Karya ilmiah (Skripsi)
Uncontrolled Keywords: Capital Asset Pricing Model (CAPM), Three Factor Pricing Model (TFPM), stock return
Subjects: H Social Sciences > HG Finance
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: MAYA NOFITASARI
Date Deposited: 11 Apr 2018 01:45
Last Modified: 11 Apr 2018 01:45
URI: http://eprints.ums.ac.id/id/eprint/61712

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