American Journal of Economics, Finance and Management
Articles Information
American Journal of Economics, Finance and Management, Vol.1, No.3, Jun. 2015, Pub. Date: May 14, 2015
The Validity of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Predicting the Return of Stocks in Indonesia Stock Exchange 2008-2010
Pages: 184-189 Views: 2715 Downloads: 3850
[01] Zainul Kisman, Department of Finance, School of Business and Manaagement, Universitas Trilogi (STEKPI), Jakarta, Indonesia.
[02] Shintabelle Restiyanita M., Graduate School of Business and Management, Universitas Trilogi (STEKPI), Jakarta, Indonesia.
Financial experts have developed two approaches to measure the required return of stock, those are the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing. Theory (APT). CAPM explains that stock return is the sum of the risk free rate plus beta times the excess return. While APT explain that return can be predicted by using a number of macro factors (such as GDP, inflation, and others).The purpose of this study was to determine whether there is an effect of the market excess return on LQ45 companies stock returns (using CAPM) and also whether there is an effect of the variable / factor Arbitrage Pricing Model(APT) as Gross Domestic Product and Interest rate on stock returns in period 2008-2010. By using multiple regression, the results show that CAPM and APT, with the t-test and F-test results are very significant. Based on coefficient of determination, APT is better than CAPM in predicting stock returns. The limitation of the model which is used in this study is depend on the capital market wheter efficient or not. This study differs from other studies due to be implemented in emerging capital markets and decisively APT better to determine the return.
Return, CAPM, APT, Validity, Predicting
[01] Berk, Jonathan and Peter Demarzo. Corporate Finance. Jakarta: Pearson, 2007.
[02] Brealey, Richard A., Stewart C. Myers, Franklin Allen.2014. Principles of Corporate Finance: Global Edition, 11/e.McGraw-Hill.
[03] Delly.” Perbandingan Keakuratan Capital Asset Pricing Model CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Return Saham yang Aktif di PT. Bursa Efek Indonesia (BEI) dan di Singapore Stock Exchange, 2001-2006”. Surabaya. Universitas Kristen Petra.
[04] Foerster,Stephen R, and Stephen G Sapp.2005. Valuation of financial versus non-financial firms: a global perspective.Journal of International Markets,Institution and Money.Volume 15,January 2005.
[05] Gitman, Laurence, J. Priciple of Managerial Finance. Jakarta: Prentice Hall, 2000.
[06] Gujarati,Damodar N and Dawn Porter.2008.Basic Econometrics. McGraw- Hill/Irwin; 5 edition.
[07] Hill, R.C., W.E. Griffiths and G.G. Judge, 2001. Econometrics (2nd edition).John Wiley and Sons,New York, NY, USA.
[08] Jogiyanto, Hartono. Teori Portofolio dan Analisis Investasi. Yogyakarta: Liberty Jogyakarta, 2000.
[09] Megginson, William L.1997. Corporate Finance Theory.Addison Wesley. United States.
[10] Premanto, Gandar Candra dan Muhammad Madyan. .” Perbandingan Keakuratan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Tingkat Pendapatan Saham Industri Manufaktur Sebelun dan Semasa Krisis Ekonomi,1991-2001”. Universitas Airlangga.
[11] Ross, Stephen A.1976. The Arbitrage Theory of Capital Asset Pricing.Journal of Economic Theory 13,1976.
[12] Sharpe, William F.1964. ”Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”. The Journal of Finance, Vol. 19, No. 3 (Sep., 1964).
[13] Zubairi, Jamal dan Shazia Farooq. “ Testing The Validity Of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) In The Oil, Gas, and Fertilizer Companies Listed The Karachi Stock Exchange,2004-2009”. Karachi. Department Of Finance and Accounting College of Business &Management.
MA 02210, USA
AIS is an academia-oriented and non-commercial institute aiming at providing users with a way to quickly and easily get the academic and scientific information.
Copyright © 2014 - American Institute of Science except certain content provided by third parties.