Komparasi Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham

Abstract

This study aims to determine the comparison of the Capital Asset Pricing Model and Arbitrage Pricing Theory in Predicting Stock Returns (Case Study of LQ45 Index Companies on the Indonesia Stock Exchange). This study uses secondary data in the form of stock prices obtained from the Indonesian Stock Exchange. Methods of data analysis using Simple Regression Analysis, Multiple Regression Methods, and the difference test. Based on the research results show that there are differences between the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) in predicting stock returns on the LQ45 Index. According to the authors, the emergence of differences in various research results regarding the accuracy of the CAPM and APT models is caused by data disturbances that appear in the historical data used. Because the CAPM and APT models have a very important element, namely beta (𝛽) as a measure of returns on factors that are considered to be influencing, beta (𝛽) must be BLUE (Best Linear Unbiased Estimator).