Capital asset pricing model as an analysis of the efficient grouping of stock
##plugins.themes.academic_pro.article.sidebar##
Published
Apr 28, 2023
Download
Statistic
Downloads
Download data is not yet available.
##plugins.themes.academic_pro.article.main##
Abstract
This research is applied research with descriptive research methods using secondary data. The purpose of this study is to find out which stocks are efficient and inefficient by using the CAPM method to avoid investment mistakes so that investors can understand the CAPM method to help them determine the best investment decisions. The population of this study is the Business-27 Index for the 2019–2021 period. The sampling method used was purposive sampling, with a total sample of 16 companies. This study uses monthly closing price data and SBI data with Business Index data 27. The results show that there are seven efficiency stocks in the CAPM model, namely ADRO, BBCA, BBNI, BBRI, BMRI, TLKM, and UNTR.
##plugins.themes.academic_pro.article.details##
How to Cite
Azzahra, A. S., Susilawaty , T. E., & Andini, A. (2023). Capital asset pricing model as an analysis of the efficient grouping of stock. Enrichment : Journal of Management, 13(1), 385-395. https://doi.org/10.35335/enrichment.v13i1.1231
References
Aprialinita, Dhea, Fezi Waldeska Aulia, Mentari Dwi Aristi, Nurul Hikmah Putri, and Vina Putri Permatasari. 2022. “Capital Asset Pricing Model (CAPM) As An Analytical Tool In Making Stock Investment Decisions On The LQ-45 Iidex On The Indonesia Stock Exchange (IDX) For The Period August 2020-January 2021 Capital Asset Pricing Model (CAPM) Sebagai Alat Analisis Dalam P.” Research In Accounting Journal 2(2):256–63.
Ayub, U. 2020. “Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing.” Sustainability (Switzerland) 12(17). doi: 10.3390/SU12176756.
Bai, H. 2019. “The CAPM Strikes Back? An Equilibrium Model with Disasters.” Journal of Financial Economics 131(2):269–98. doi: 10.1016/j.jfineco.2018.08.009.
Bai, Y. 2020. “Country and Industry Factors in Tests of Capital Asset Pricing Models for Partially Integrated Emerging Markets.” Economic Modelling 92:180–94. doi: 10.1016/j.econmod.2019.12.019.
Barinov, A. 2020. “Estimating the Cost of Equity Capital for Insurance Firms With Multiperiod Asset Pricing Models.” Journal of Risk and Insurance 87(1):213–45. doi: 10.1111/jori.12267.
Bekaert, G. 2021. “Risk and Return in International Corporate Bond Markets.” Journal of International Financial Markets, Institutions and Money 72. doi: 10.1016/j.intfin.2021.101338.
Bodie, Kane, and Marcus. 2014. Manajemen Fortofolio Dan Investasi. 9th ed. Makassar: Salemba Empat.
Borup, D. 2019. “Asset Pricing Model Uncertainty.” Journal of Empirical Finance 54:166–89. doi: 10.1016/j.jempfin.2019.07.005.
Boussaidi, R. 2022. “Contrarian Profits and Representativeness Heuristic in the MENA Stock Markets.” Journal of Behavioral and Experimental Economics 97. doi: 10.1016/j.socec.2021.101820.
Caesar, G., Y. Shia, Y. Dananjaya, and C. E. Susilawati. 2021. “The Effect Of Return On Equity, Dividend Yield, Price Earning Ratio, Earning Per Share, And Firm Size On Stock Return On LQ45 Shares In Indonesia Stock Exchange.” International Journal of Research Publications 245–53.
Cenesizoglu, T. 2019. “An Analysis on the Predictability of CAPM Beta for Momentum Returns.” Journal of Forecasting 38(2):136–53. doi: 10.1002/for.2552.
Chen, X. 2022. “Economic Uncertainty and Australian Stock Returns.” Accounting and Finance 62(3):3441–74. doi: 10.1111/acfi.12892.
Curran, M. 2020. “The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global Analysis.” Open Economies Review 31(4):787–820. doi: 10.1007/s11079-020-09579-2.
Ding, R. 2022. “Drawdown Beta and Portfolio Optimization.” Quantitative Finance 22(7):1265–76. doi: 10.1080/14697688.2022.2037698.
Doukas, J. A. 2021. “Sentiment-Scaled CAPM and Market Mispricing.” European Financial Management 27(2):208–43. doi: 10.1111/eufm.12306.
Evans, R. B. 2021. “Models or Stars: The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment.” Review of Financial Studies 34(1):67–107. doi: 10.1093/rfs/hhaa043.
Ewald, C. O. 2022. “Salmon Futures and the Fish Pool Market in the Context of the CAPM and a Three-Factor Model.” Aquaculture Economics and Management 26(2):171–91. doi: 10.1080/13657305.2021.1958105.
Firmansyah, M. I., N. Norisanti, and R. D. M. Danial. 2022. “Analisis Capital Asset Pricing Model (CAPM) Dan Earning Per Share (EPS) Dalam Pengambilan Keputusan Investasi Saham Pada Masa Covid-19.” … Entrepreneurship Journal … 3(1):296–304.
da Fonseca, J. S. 2020. “Portfolio Selection in Euro Area with CAPM and Lower Partial Moments Models.” Portuguese Economic Journal 19(1):49–66. doi: 10.1007/s10258-019-00153-4.
Gonçalves, A. S. 2021. “Aggregation, Capital Heterogeneity, and the Investment CAPM.” Review of Financial Studies 33(6):2228–2771. doi: 10.1093/RFS/HHZ091.
Grillini, S. 2019. “Pricing of Time-Varying Illiquidity within the Eurozone: Evidence Using a Markov Switching Liquidity-Adjusted Capital Asset Pricing Model.” International Review of Financial Analysis 64:145–58. doi: 10.1016/j.irfa.2019.05.002.
Guo, H. 2020. “ICAPM and the Accruals Anomaly.” Quarterly Journal of Finance 10(3). doi: 10.1142/S2010139220500147.
Hens, T. 2021. “Behavioural Heterogeneity in the Capital Asset Pricing Model with an Application to the Low-Beta Anomaly.” Applied Economics Letters 28(6):501–7. doi: 10.1080/13504851.2020.1761529.
Holden, C. 2019. “Do the LCAPM Predictions Hold? Replication and Extension Evidence.” Critical Finance Review 8(1):29–71. doi: 10.1561/104.00000071_supp.
Hollstein, F. 2020. “The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas.” Management Science 66(6):2474–94. doi: 10.1287/mnsc.2019.3317.
Hsu, P. H. 2022. “Patent Thickets, Stock Returns, and Conditional CAPM.” Management Science 68(11):8343–67. doi: 10.1287/mnsc.2021.4229.
Hung, P. 2019. “The Relationship between Risk and Return - An Empirical Evidence from Real Estate Stocks Listed in Vietnam.” Asian Economic and Financial Review 9(11):1211–26. doi: 10.18488/journal.aefr.2019.911.1211.1226.
Indra, Yetti Afrida. 2018. “Perbandingan Keakuratan Metode Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham (Studi Pada Perusahaan Sektor Barang Konsumsi Dan Sektor Pertambangan Yang Terdaftar Di Indeks Saham Syariah Indonesia (ISSI) Periode 20.” Journal of Economic, Business and Accounting (COSTING) 1(2):233–40.
Jain, S. 2022. “Betas in the Time of Corona: A Conditional CAPM Approach Using Multivariate GARCH Model for India.” Managerial Finance 48(2):243–57. doi: 10.1108/MF-05-2021-0226.
Jan, M. N. 2019. “Do the Fama and French Five-Factor Model Forecast Well Using Ann?” Journal of Business Economics and Management 20(1):168–91. doi: 10.3846/jbem.2019.8250.
Johnstone, D. 2020. “Fama’s Ratio and the Effect of Operating Leverage on the Cost of Capital Under CAPM.” Abacus 56(2):268–87. doi: 10.1111/abac.12191.
Kayo, E. K. 2020. “Capital Asset Pricing Model, Beta Stability, and the Pricing Puzzle of Electricity Transmission in Brazil.” Energy Policy 142. doi: 10.1016/j.enpol.2020.111485.
Khoa, B. T. 2021. “Support Vector Regression Algorithm under in the CAPM Framework.” 2021 International Conference on Data Analytics for Business and Industry, ICDABI 2021 186–90. doi: 10.1109/ICDABI53623.2021.9655797.
Kovner, A. 2022. “Evaluating Regulatory Reform: Banks’ Cost of Capital and Lending.” Journal of Money, Credit and Banking 54(5):1313–67. doi: 10.1111/jmcb.12875.
Kumar, G. 2019. “Liquidity-Adjusted CAPM — An Empirical Analysis on Indian Stock Market.” Cogent Economics and Finance 7(1):1–15. doi: 10.1080/23322039.2019.1573471.
Kusmayadi, Dedi, Rani Rahman, and Yusuf Abdullah. 2018. “Analysis of the Effect of Net Profit Margin, Price to Book Value, and Debt to Equity Ratio on Stock Return.” International Journal of Recent Scientific Research.
Kusumawati, Dian, and Muhammad Safiq. 2019. “Analisis Faktor–Faktor Yang Mempengaruhi Investment Opportunity Set Dan Implikasinya Terhadap Return Saham.” Jurnal STEI Ekonomi 28(01):1–27. doi: 10.36406/jemi.v28i01.258.
Kwon, J. H. 2019. “Tail Risk and the Consumption CAPM.” Finance Research Letters 30:69–75. doi: 10.1016/j.frl.2019.03.025.
Lin, Q. 2021. “The q5 Model and Its Consistency with the Intertemporal CAPM.” Journal of Banking and Finance 127. doi: 10.1016/j.jbankfin.2021.106096.
Martinez-Fernandez, P. 2019. “Assessing Renewable Energy Sources for Electricity (RES-E) Potential Using a CAPM-Analogous Multi-Stage Model.” Energies 12(19). doi: 10.3390/en12193599.
Masithoh, Latifatuzzarah. 2017. “Pengujian Validitas Capital Asset Pricing Model (CAPM), Islamic Capital Asset Pricing Model (ICAPM) Dan Arbitrage Pricing Theory (APT) Dalam Memprediksi Return Saham Syariah Di Jakarta Islamic Index (Periode Tahun 2012-2016).” Universitas Islam Negeri Syarif Hidayahtullah.
Mishra, D. R. 2019. “Fama-French, CAPM, and Implied Cost of Equity.” Journal of Economics and Business 101:73–85. doi: 10.1016/j.jeconbus.2018.08.002.
Mondal, D. 2019. “A Note on a Mean-Lower Partial Moment CAPM without Risk-Free Asset.” Operations Research Letters 47(4):264–69. doi: 10.1016/j.orl.2019.03.017.
Muhamad, Gulam, and Raju Maulana. 2019. “ANALISIS KOMPARASI KEAKURATAN METODE CAPITAL ASSET PRICING MODEL ( CAPM ) DAN ARBITRAGE PRICING THEORY ( APT ) DALAM MEMPREDIKSI RETURN SAHAM ( STUDI KASUS PADA PERUSAHAAN SEKTOR PRBANKAN DI BEI PERIODE 20014- Model Keseimbangan ( CAPM ) Dan Arbitrage Pri.” JMBT (Jurnal Manajemen Dan Bisnis Terapan) 10(10):43–52.
Peswani, S. 2022. “Low-Risk Investment Strategy: Sector Bets or Stock Bets?” Managerial Finance 48(3):521–39. doi: 10.1108/MF-09-2021-0415.
Pham, T. N. 2019. “Estimating Sectoral Systematic Risk for China, Malaysia, Singapore, and Thailand.” Annals of Financial Economics 14(3). doi: 10.1142/S2010495219500118.
Rojo-Suárez, J. 2022. “Liquidity, Time-Varying Betas and Anomalies: Is the High Trading Activity Enhancing the Validity of the CAPM in the UK Equity Market?” International Journal of Finance and Economics 27(1):45–60. doi: 10.1002/ijfe.2136.
Rutkowska-Ziarko, A. 2019. “Accounting Beta in the Extended Version of CAPM.” Springer Proceedings in Business and Economics 147–56. doi: 10.1007/978-3-030-15581-0_14.
Savoia, J. R. Ferreira. 2019. “Comparing Results of the Implied Cost of Capital and Capital Asset Pricing Models for Infrastructure Firms in Brazil.” Utilities Policy 56:149–58. doi: 10.1016/j.jup.2018.12.004.
Subekti, R. 2020. “Modified Capital Asset Pricing Model (CAPM) into Sharia Framework.” Journal of Physics: Conference Series 1581(1). doi: 10.1088/1742-6596/1581/1/012021.
Terraza, M. 2021. “Adjusted Beta Based on an Empirical Comparison of OLS -CAPM and the CAPM with EGARCH Errors.” International Journal of Finance and Economics 26(3):3588–98. doi: 10.1002/ijfe.1977.
Tilfani, O. 2020. “Multiscale Optimal Portfolios Using CAPM Fractal Regression: Estimation for Emerging Stock Markets.” Post-Communist Economies 32(1):77–112. doi: 10.1080/14631377.2019.1640983.
Urom, C. 2020. “A Dynamic Conditional Regime-Switching GARCH CAPM for Energy and Financial Markets.” Energy Economics 85. doi: 10.1016/j.eneco.2019.104577.
Vinodkumar, N. 2020. “Financial Evaluation of Tadawul All Share Index (TASI) Listed Stocks Using Capital Asset Pricing Model.” Investment Management and Financial Innovations 17(2):69–75. doi: 10.21511/imfi.17(2).2020.06.
Wahyuny, Try, and Tri Gunarsih. 2020. “Comparative Analysis of Accuracy Between Capital Asset Pricing Model (Capm) and Arbitrage Pricing Theory (Apt) in Predicting Stock Return (Case Study: Manufacturing Companies Listed on the Indonesia Stock Exchange for the 2015-2018 Period).” Journal of Applied Economics in Developing Countries 5(1):23–30.
Widyawati, Nur, Ita Rakhmawati, Nurjannah, Pipit Novila Sari, Cahyani Dewi Pangestuti, Donna Dwinita Adelia, Bethani Suryawardani, Yanti Budiasih, Putu Eka Nopiyani, Tieka Trikartika Gustyana, Misbawati, Helin G. Yudawisastra, and Maria Lusiana Yulianti. 2022. Manajemen Keuangan. CV. Widina Media Utama.
www.idx.co.id. n.d. “No Title.”
Xie, S. 2022. “Exposure to Concentrated Ambient PM2.5 (CAPM) Induces Intestinal Disturbance via Inflammation and Alternation of Gut Microbiome.” Environment International 161. doi: 10.1016/j.envint.2022.107138.
Yang, C. 2021. “Individual Stock Sentiment Beta and Stock Returns.” North American Journal of Economics and Finance 55. doi: 10.1016/j.najef.2020.101306.
Zemmoudj, S. 2019. “CAPM: Context-Aware Privacy Model for IoT-Based Smart Hospitals.” 2019 15th International Wireless Communications and Mobile Computing Conference, IWCMC 2019 1139–44. doi: 10.1109/IWCMC.2019.8766630.
Ayub, U. 2020. “Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing.” Sustainability (Switzerland) 12(17). doi: 10.3390/SU12176756.
Bai, H. 2019. “The CAPM Strikes Back? An Equilibrium Model with Disasters.” Journal of Financial Economics 131(2):269–98. doi: 10.1016/j.jfineco.2018.08.009.
Bai, Y. 2020. “Country and Industry Factors in Tests of Capital Asset Pricing Models for Partially Integrated Emerging Markets.” Economic Modelling 92:180–94. doi: 10.1016/j.econmod.2019.12.019.
Barinov, A. 2020. “Estimating the Cost of Equity Capital for Insurance Firms With Multiperiod Asset Pricing Models.” Journal of Risk and Insurance 87(1):213–45. doi: 10.1111/jori.12267.
Bekaert, G. 2021. “Risk and Return in International Corporate Bond Markets.” Journal of International Financial Markets, Institutions and Money 72. doi: 10.1016/j.intfin.2021.101338.
Bodie, Kane, and Marcus. 2014. Manajemen Fortofolio Dan Investasi. 9th ed. Makassar: Salemba Empat.
Borup, D. 2019. “Asset Pricing Model Uncertainty.” Journal of Empirical Finance 54:166–89. doi: 10.1016/j.jempfin.2019.07.005.
Boussaidi, R. 2022. “Contrarian Profits and Representativeness Heuristic in the MENA Stock Markets.” Journal of Behavioral and Experimental Economics 97. doi: 10.1016/j.socec.2021.101820.
Caesar, G., Y. Shia, Y. Dananjaya, and C. E. Susilawati. 2021. “The Effect Of Return On Equity, Dividend Yield, Price Earning Ratio, Earning Per Share, And Firm Size On Stock Return On LQ45 Shares In Indonesia Stock Exchange.” International Journal of Research Publications 245–53.
Cenesizoglu, T. 2019. “An Analysis on the Predictability of CAPM Beta for Momentum Returns.” Journal of Forecasting 38(2):136–53. doi: 10.1002/for.2552.
Chen, X. 2022. “Economic Uncertainty and Australian Stock Returns.” Accounting and Finance 62(3):3441–74. doi: 10.1111/acfi.12892.
Curran, M. 2020. “The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global Analysis.” Open Economies Review 31(4):787–820. doi: 10.1007/s11079-020-09579-2.
Ding, R. 2022. “Drawdown Beta and Portfolio Optimization.” Quantitative Finance 22(7):1265–76. doi: 10.1080/14697688.2022.2037698.
Doukas, J. A. 2021. “Sentiment-Scaled CAPM and Market Mispricing.” European Financial Management 27(2):208–43. doi: 10.1111/eufm.12306.
Evans, R. B. 2021. “Models or Stars: The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment.” Review of Financial Studies 34(1):67–107. doi: 10.1093/rfs/hhaa043.
Ewald, C. O. 2022. “Salmon Futures and the Fish Pool Market in the Context of the CAPM and a Three-Factor Model.” Aquaculture Economics and Management 26(2):171–91. doi: 10.1080/13657305.2021.1958105.
Firmansyah, M. I., N. Norisanti, and R. D. M. Danial. 2022. “Analisis Capital Asset Pricing Model (CAPM) Dan Earning Per Share (EPS) Dalam Pengambilan Keputusan Investasi Saham Pada Masa Covid-19.” … Entrepreneurship Journal … 3(1):296–304.
da Fonseca, J. S. 2020. “Portfolio Selection in Euro Area with CAPM and Lower Partial Moments Models.” Portuguese Economic Journal 19(1):49–66. doi: 10.1007/s10258-019-00153-4.
Gonçalves, A. S. 2021. “Aggregation, Capital Heterogeneity, and the Investment CAPM.” Review of Financial Studies 33(6):2228–2771. doi: 10.1093/RFS/HHZ091.
Grillini, S. 2019. “Pricing of Time-Varying Illiquidity within the Eurozone: Evidence Using a Markov Switching Liquidity-Adjusted Capital Asset Pricing Model.” International Review of Financial Analysis 64:145–58. doi: 10.1016/j.irfa.2019.05.002.
Guo, H. 2020. “ICAPM and the Accruals Anomaly.” Quarterly Journal of Finance 10(3). doi: 10.1142/S2010139220500147.
Hens, T. 2021. “Behavioural Heterogeneity in the Capital Asset Pricing Model with an Application to the Low-Beta Anomaly.” Applied Economics Letters 28(6):501–7. doi: 10.1080/13504851.2020.1761529.
Holden, C. 2019. “Do the LCAPM Predictions Hold? Replication and Extension Evidence.” Critical Finance Review 8(1):29–71. doi: 10.1561/104.00000071_supp.
Hollstein, F. 2020. “The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas.” Management Science 66(6):2474–94. doi: 10.1287/mnsc.2019.3317.
Hsu, P. H. 2022. “Patent Thickets, Stock Returns, and Conditional CAPM.” Management Science 68(11):8343–67. doi: 10.1287/mnsc.2021.4229.
Hung, P. 2019. “The Relationship between Risk and Return - An Empirical Evidence from Real Estate Stocks Listed in Vietnam.” Asian Economic and Financial Review 9(11):1211–26. doi: 10.18488/journal.aefr.2019.911.1211.1226.
Indra, Yetti Afrida. 2018. “Perbandingan Keakuratan Metode Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham (Studi Pada Perusahaan Sektor Barang Konsumsi Dan Sektor Pertambangan Yang Terdaftar Di Indeks Saham Syariah Indonesia (ISSI) Periode 20.” Journal of Economic, Business and Accounting (COSTING) 1(2):233–40.
Jain, S. 2022. “Betas in the Time of Corona: A Conditional CAPM Approach Using Multivariate GARCH Model for India.” Managerial Finance 48(2):243–57. doi: 10.1108/MF-05-2021-0226.
Jan, M. N. 2019. “Do the Fama and French Five-Factor Model Forecast Well Using Ann?” Journal of Business Economics and Management 20(1):168–91. doi: 10.3846/jbem.2019.8250.
Johnstone, D. 2020. “Fama’s Ratio and the Effect of Operating Leverage on the Cost of Capital Under CAPM.” Abacus 56(2):268–87. doi: 10.1111/abac.12191.
Kayo, E. K. 2020. “Capital Asset Pricing Model, Beta Stability, and the Pricing Puzzle of Electricity Transmission in Brazil.” Energy Policy 142. doi: 10.1016/j.enpol.2020.111485.
Khoa, B. T. 2021. “Support Vector Regression Algorithm under in the CAPM Framework.” 2021 International Conference on Data Analytics for Business and Industry, ICDABI 2021 186–90. doi: 10.1109/ICDABI53623.2021.9655797.
Kovner, A. 2022. “Evaluating Regulatory Reform: Banks’ Cost of Capital and Lending.” Journal of Money, Credit and Banking 54(5):1313–67. doi: 10.1111/jmcb.12875.
Kumar, G. 2019. “Liquidity-Adjusted CAPM — An Empirical Analysis on Indian Stock Market.” Cogent Economics and Finance 7(1):1–15. doi: 10.1080/23322039.2019.1573471.
Kusmayadi, Dedi, Rani Rahman, and Yusuf Abdullah. 2018. “Analysis of the Effect of Net Profit Margin, Price to Book Value, and Debt to Equity Ratio on Stock Return.” International Journal of Recent Scientific Research.
Kusumawati, Dian, and Muhammad Safiq. 2019. “Analisis Faktor–Faktor Yang Mempengaruhi Investment Opportunity Set Dan Implikasinya Terhadap Return Saham.” Jurnal STEI Ekonomi 28(01):1–27. doi: 10.36406/jemi.v28i01.258.
Kwon, J. H. 2019. “Tail Risk and the Consumption CAPM.” Finance Research Letters 30:69–75. doi: 10.1016/j.frl.2019.03.025.
Lin, Q. 2021. “The q5 Model and Its Consistency with the Intertemporal CAPM.” Journal of Banking and Finance 127. doi: 10.1016/j.jbankfin.2021.106096.
Martinez-Fernandez, P. 2019. “Assessing Renewable Energy Sources for Electricity (RES-E) Potential Using a CAPM-Analogous Multi-Stage Model.” Energies 12(19). doi: 10.3390/en12193599.
Masithoh, Latifatuzzarah. 2017. “Pengujian Validitas Capital Asset Pricing Model (CAPM), Islamic Capital Asset Pricing Model (ICAPM) Dan Arbitrage Pricing Theory (APT) Dalam Memprediksi Return Saham Syariah Di Jakarta Islamic Index (Periode Tahun 2012-2016).” Universitas Islam Negeri Syarif Hidayahtullah.
Mishra, D. R. 2019. “Fama-French, CAPM, and Implied Cost of Equity.” Journal of Economics and Business 101:73–85. doi: 10.1016/j.jeconbus.2018.08.002.
Mondal, D. 2019. “A Note on a Mean-Lower Partial Moment CAPM without Risk-Free Asset.” Operations Research Letters 47(4):264–69. doi: 10.1016/j.orl.2019.03.017.
Muhamad, Gulam, and Raju Maulana. 2019. “ANALISIS KOMPARASI KEAKURATAN METODE CAPITAL ASSET PRICING MODEL ( CAPM ) DAN ARBITRAGE PRICING THEORY ( APT ) DALAM MEMPREDIKSI RETURN SAHAM ( STUDI KASUS PADA PERUSAHAAN SEKTOR PRBANKAN DI BEI PERIODE 20014- Model Keseimbangan ( CAPM ) Dan Arbitrage Pri.” JMBT (Jurnal Manajemen Dan Bisnis Terapan) 10(10):43–52.
Peswani, S. 2022. “Low-Risk Investment Strategy: Sector Bets or Stock Bets?” Managerial Finance 48(3):521–39. doi: 10.1108/MF-09-2021-0415.
Pham, T. N. 2019. “Estimating Sectoral Systematic Risk for China, Malaysia, Singapore, and Thailand.” Annals of Financial Economics 14(3). doi: 10.1142/S2010495219500118.
Rojo-Suárez, J. 2022. “Liquidity, Time-Varying Betas and Anomalies: Is the High Trading Activity Enhancing the Validity of the CAPM in the UK Equity Market?” International Journal of Finance and Economics 27(1):45–60. doi: 10.1002/ijfe.2136.
Rutkowska-Ziarko, A. 2019. “Accounting Beta in the Extended Version of CAPM.” Springer Proceedings in Business and Economics 147–56. doi: 10.1007/978-3-030-15581-0_14.
Savoia, J. R. Ferreira. 2019. “Comparing Results of the Implied Cost of Capital and Capital Asset Pricing Models for Infrastructure Firms in Brazil.” Utilities Policy 56:149–58. doi: 10.1016/j.jup.2018.12.004.
Subekti, R. 2020. “Modified Capital Asset Pricing Model (CAPM) into Sharia Framework.” Journal of Physics: Conference Series 1581(1). doi: 10.1088/1742-6596/1581/1/012021.
Terraza, M. 2021. “Adjusted Beta Based on an Empirical Comparison of OLS -CAPM and the CAPM with EGARCH Errors.” International Journal of Finance and Economics 26(3):3588–98. doi: 10.1002/ijfe.1977.
Tilfani, O. 2020. “Multiscale Optimal Portfolios Using CAPM Fractal Regression: Estimation for Emerging Stock Markets.” Post-Communist Economies 32(1):77–112. doi: 10.1080/14631377.2019.1640983.
Urom, C. 2020. “A Dynamic Conditional Regime-Switching GARCH CAPM for Energy and Financial Markets.” Energy Economics 85. doi: 10.1016/j.eneco.2019.104577.
Vinodkumar, N. 2020. “Financial Evaluation of Tadawul All Share Index (TASI) Listed Stocks Using Capital Asset Pricing Model.” Investment Management and Financial Innovations 17(2):69–75. doi: 10.21511/imfi.17(2).2020.06.
Wahyuny, Try, and Tri Gunarsih. 2020. “Comparative Analysis of Accuracy Between Capital Asset Pricing Model (Capm) and Arbitrage Pricing Theory (Apt) in Predicting Stock Return (Case Study: Manufacturing Companies Listed on the Indonesia Stock Exchange for the 2015-2018 Period).” Journal of Applied Economics in Developing Countries 5(1):23–30.
Widyawati, Nur, Ita Rakhmawati, Nurjannah, Pipit Novila Sari, Cahyani Dewi Pangestuti, Donna Dwinita Adelia, Bethani Suryawardani, Yanti Budiasih, Putu Eka Nopiyani, Tieka Trikartika Gustyana, Misbawati, Helin G. Yudawisastra, and Maria Lusiana Yulianti. 2022. Manajemen Keuangan. CV. Widina Media Utama.
www.idx.co.id. n.d. “No Title.”
Xie, S. 2022. “Exposure to Concentrated Ambient PM
Yang, C. 2021. “Individual Stock Sentiment Beta and Stock Returns.” North American Journal of Economics and Finance 55. doi: 10.1016/j.najef.2020.101306.
Zemmoudj, S. 2019. “CAPM: Context-Aware Privacy Model for IoT-Based Smart Hospitals.” 2019 15th International Wireless Communications and Mobile Computing Conference, IWCMC 2019 1139–44. doi: 10.1109/IWCMC.2019.8766630.