Comprehensive Analysis of Capital Asset Pricing Model and Arbitrage Pricing Theory  in Stock Investment Decision Making

Muhamad Syahwildan; Widiastuti Widiastuti

doi:10.47747/ijfr.v5i4.2255

Authors

Muhamad Syahwildan Universitas Pelita Bangsa
Widiastuti 1 Pelita Bangsa University, Indonesia

DOI:

https://doi.org/10.47747/ijfr.v5i4.2255

Keywords:

Risk Premium, Company Size, RiskBook To Market Ratio, Stock Price Volatility, Stock Return

Abstract

The increasingly advanced development of technology and the phenomenon of the Covid-19 outbreak, which has caused most employees to be affected by Work From Home, has led most people, especially the millennial generation or people under the age of 30, to be interested in allocating their excess funds into stock investments. This study aims to analyze the development of a multi-factor CAPM model by including volatility as an additional factor: a new approach in asset pricing with a case study of companies listed on the Indonesia Stock Exchange included in the LQ45 Index for the 2020-2023 period. The independent variables used in this study are Risk Premium (Beta), Company Size (SMB), book-to-market ratio (HML), and Stock Price Volatility. In contrast, the dependent variable used in this study is proxied by Stock Return with Excess Return. The population in this study consists of 45 companies. The sampling method uses a Purposive Sampling Technique. The analysis method used in this study is Multiple Linear Regression. The result of the study shows that the Risk Premium and Company Size variables partially have a significant positive effect on Stock Returns. The Book to Market Ratio variable partially has a negative but not significant impact on Stock Returns. Meanwhile, the Stock Price Volatility variable has a positive but insignificant effect on Stock Returns. The independent variables in this study can explain 88,61% of the factors affecting Stock Returns, while 11,39% is explained by other factors not researched in this study.

References

Andriana, S., Wana, D., Soraya, & Widodo, A. (2021). Determinan Volatilitas Harga Saham (Studi Pada Perusahaan Yang Terdaftar Pada Lq45). Simposium Nasional Akuntansi Vokasi (SNAV) Ke-9, 9(1), 76–93.

Bhuntar, C. P. D., Mursalini, W. I., & Indrawati, N. (2023). Pengaruh Volume Perdagangan Saham, Volatilitas Harga Saham Dan Kapitalisasi Pasar Terhadap Return Saham Pada Perusahaan Perdagangan Besar Yang Terdaftar Pada Bursa Efek Indonesia (Bei) Periode 2016-2020. Jurnal Penelitian Ekonomi Manajemen Dan Bisnis (JEKOMBIS), 2(1), 185–195.

Darma, Y. D., & Lestari, V. S. A. (2022). Fama-French Five Factors Model pada Excess Return Saham Indeks Kompas 100. Jurnal Riset Akuntansi & Perpajakan (JRAP), 9(01), 88–100. https://doi.org/10.35838/jrap.2022.009.01.07

Dewanto, C. A. N., & Sumiati. (2022). Pengaruh Fama-French Five Factor Model Terhadap Return Saham. Jurnal Management Risiko Dan Keuangan, 1(3), 138–198. http://dx.doi.org/10.

Fitroh, A. K., & Fauziah, F. E. (2022). Pengaruh Return On Asset, Firm Size Dan Price Earning Ratio Terhadap Return Saham. Jurnal Rekoginisi Ekonomi Islam, 1(1), 135–146

Komara, E. F., Febrian, E., & Mokhamad, A. (2019). Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014. Jurnal Inspirasi Bisnis Dan Manajemen, 3(2), 105–116. http://jurnal.unswagati.ac.id/index.php/jibm

Maramis, A., Norisanti, N., & Komariah, K. (2021). Analisis Pengaruh Firm Size Dan Sales Growth Terhadap Return Saham A nalysis Of The Influence Of Firm Size And Sales Growth On Stock Return. Costing: Journal of Economic, Business and Accounting, 5(1), 542–549.

Nugraha, F., Nurmatias, & Wahyudi. (2022). Analisis Fama French 5 Factors Model Dalam Mempengaruhi Excess Return Saham Pada Lq45. IKRAITH-EKONOMIKA, 5(1), 89–102. www.bi.go.id

Nurul, E., & Stella, D. (2021). Dividend Per Share, Earnings Per Share, Price Earnings Ratio, Book Value Dan Firm Size Terhadap Harga Saham. E-JURNAL MANAJEMEN TSM, 1(1), 29–36.

Ryanza, A. N. (2023). The Effect of Stock Price Volatility and Momentum [Undergraduate Thesis, Syarif Hidayatullah State Islamic University Jakarta].

Sugiyono. (2017). Metode Penelitian Kuantitatif, Kualitatif Dan R & D. (CV ALFABETA.

Sulistiani, A. (2022). The Effect of Return On Equity, Book To Market Ratio, and Firm Size on Stock Returns in Pharmaceutical Subsector Companies Listed on the Indonesia Stock Exchange for the Period 2013-2020 [Undergraduate Thesis, Pakuan University Bogor].

Vemberain, J., & Triyani, Y. (2021). Analisis Pengaruh Profitabilitas, Ukuran Perusahaan, Leverage, Dan Kepemilikan Institusional Tax Avoidance. Jurnal Akuntansi, 10(1), 40–62.