SUHARYONO, - (2015) HUBUNGAN RESIKO DENGAN EXPECTED RETURN DALAM CAPITAL ASSET PRICING MODEL (CAPM). Ilmu dan Budaya, 39 (47). pp. 5559-5592. ISSN 0126-2602
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Abstract
To analyze “the Risk Relationship with the Expected Return on Capital Asset Pricing Model (CAPM)”, CAPM equation that used are consist of standard CAPM Model, CAPM model with Zero Beta, CAPM model with the whole risk, and CAPM testing model with Lintner, Miller dan Scholer, and also CAPM testing model by Black, Jensen dan Scholes. The data used are data companies listed in Indonesian Stock Exchange (BEI) in the form of time series data, with the number of objects of study as many as 12 companies, consist of 6 companies in groups of various industry and 6 companies in groups of property and real estate. Selection of the object of study conducted by simple random sampling method. The riset result showed that the relation pattern between the risk with expected return is positive, both in market risk (systematic risk) and the outside market risk (unsystematic risk). Almost the whole CAPM model applied to company that became the object of study showed Beta values are theoritically valid. But only a fraction statistically valid, the addition of un-systematic risk factors are interest rate, inflation and rupiah kurs value to US Dollar has increased the number of determination coefficent significantly, so it should be considered by investors to determine the expected return. Keywords : CAPM, systematic risk, un-systematic risk, expected return, beta dan koefisien determinasi.
| Item Type: | Article |
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| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Artikel > Ekonomi |
| Depositing User: | BPSI Unas |
| Date Deposited: | 21 Aug 2017 10:29 |
| Last Modified: | 21 Aug 2017 10:29 |
| URI: | http://repository.unas.ac.id/id/eprint/106 |
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