Perbandingan Metode CAPM dan APT Dalam Memprediksi Return Saham di JII Periode 2011-2015

Abstract

Equilibrium model CAPM (Capital Asset Pricing Model) and APT (Arbitrage Pricing Theory) is one of the alternative tool that is used by investors to predict stock returns, but until now they are still a debate about the level of accuracy that is which model is more accurate in predicting stock returns , This study aimed to analyze the comparison of the accuracy of CAPM and APT in predicting stock returns. In predicting stock returns, CAPM uses one factor that the market return, while APT uses four macroeconomic factors, namely inflation, SBI interest rate, the rupiah exchange rate against the dollar, and the money supply. The study population was the whole monthly stock returns of companies listed in the Jakarta Islamic Index (JII). The sample was 12 monthly stock returns are registered continuously during the period 2011-2015. This study shows that there are significant differences in accuracy between CAPM and APT models in predicting stock returns of companies listed in JII, where CAPM method is more accurate than the method MADCAPM APT value (0.0035) is smaller than the value MADAPT (0.0102).