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Perbandingan kinerja capital asset pricing model (CAPM) dan arbitrage pricing theory (APT) dalam menduga expected return saham pertambangan yang terdaftar di Bursa Efek Indonesia periode tahun 2003 - 2009
This study examines two asset pricing models, Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in estimating expected return of shares under the mining sector in Indonesian Capital Market as well as to test which model is better as forecasting model of expected return. This research uses 14 stocks under the mining sector listed in Indonesian Capital Market during period of 2003-2009 as research?s sample. For APT testing, five variables are expected to affect the stock?s returns, they are change in one-month SBI rate, change in exchange rate (IDR to US dollar return), mining index return, change in oil price, and change in gold price. All data are monthly time series data and collected from January 2003 to December 2009. The statistical method to test on the hypothesis is Ordinary Least Square (OLS) regression. The results show that both CAPM and APT are significant in explaining variation in actual returns of individual stocks as well as in estimating their expected returns. This research also indicates that as a forecasting model of required or expected return, APT does better than CAPM.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 7017 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia 2010 |
|---|---|
| Edisi | - |
| Subjek | Shares Stock return Ordinary least square Capital asset pricing |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xiii, 130 p.: il. ; 30 cm & lamp |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |