Analysis Of Investment Decisions In Iron & Steel Company Using The Capital Asset Pricing Model (CAPM)
Abstract
The purpose of this research is to apply the Capital Asset Pricing Model (CAPM) analysis technique to determine whether the final results are undervalued or overvalued, which becomes a consideration in making stock invest ment decisions. The variables used in this study are companies operating in the Iron & Steel industry. CAPM is a model used to estimate the returns obtained from risky securities or as a benchmark for evaluating the rate of return on investments. The criteria for selection in this study involve choosing efficient stocks in the Iron & Steel companies where individual returns are greater than the expected returns (Ri > ERi). The results of this research indicate that there are 8 company stocks that fall under the category of efficient stocks, namely BTON, CTBN, GDST, GGRP, ISSP, KRAS, LMSH, OPMS. These stocks have Ri > ERi values, so the recommended investment decision for investors is to buy efficient stocks. Based on the data analysis, there is a non-linear relationship between systematic risk and expected stock returns.
Keywords
References
(n.d.), d. c. (2023, February 23). Solid Economic Growth Persists in Indonesia. Retrieved from Bank Indonesia Government: https://www.bi.go.id/en/publikasi/ruang-media/news-release/Pages/sp_252823.aspx.
(n.d.), s. u. (2023). Indonesia Stock Market (JCI). Retrieved from Trading Economics: https://tradingeconomics.com/indonesia/stock-market.
Adam, R. O. ((August 2017)). Testing the Validity of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) on the Ghana Stock Exchange. GRP International Journal of Business and Economics, 1 No.2 , 159-184.
Arisoma, D. S. ( (2019)). System Design and Development of Financial Product Sales Forecasting with Exponentially Weighted Moving Average and Exponential Smoothing Method. Uii-Icabe,. Icabe.
Bandawaty, E. (2020). ANALISIS CAPITAL ASSET PRICING MODEL (CAPM) DALAM , 8.
Burky, D. A. ((2020)). Analysis Of The Effect Of Return On Asset, Debt To Equity Ratio, And Total Asset Turnover On Share Return. Indonesian College of Economics. 1-21.
Chen, Y. S. ( (2022)). The Ineffectiveness of Capital Asset Pricing Model and Its Possible Solutions. Proceedings of Capital Asset Pricing Model and Its Possible Solutions. Proceedings of Economic Development ), 648(Icfied),. (ICFIED 2022), 105-111.
Đaković, M. A. ( (2022)). Testing the Applicability of the Capm Model Using Selected Shares Listed on the Belgrade Stock Exchange. Facta Universitatis, Series: Economics and Organization, 19, 183. doi:10.22190/fueo220614014d.
Fakri Mursala, P. R. (n.d.). Perilaku Investor: Pengambilan Keputusan Investor Saham Penerbangan Di Bursa Efek Indonesia.
Group., W. B. (2022, December). Trade For Growth and Economic Transformation. Retrieved from www.worldbank.org : https://openknowledge.worldbank.org/server/api/core/bitstreams/1d2629 https://openknowledge.worldbank.org/server/api/core/bitstreams/1d2629.
Handri. (n.d.). Comparison of CAPM Results With The Beta Reward Approach In The Trade, Services, and Investment Sector At The Kompas100 Index In Indonesia. Al-Kharaj: Journal of Islamic Economic and Business. 128-139.
Hussein, Z. A. ((2023)). Accuracy of Capital Asset Pricing Model and Arbitrage Pricing Theory in Predicting Stock Return. Journal of Namibian Studies : History Politics Culture, 33, , 1539-1563.
Indonesia, B. ((2020)). Synergize to Build Optimism For Economic Recovery. Retrieved from https://www.bi.go.id/en/publikasi/laporan/Documents/10.LPI2020_full.pdf.
Indonesia., B. (2019). (2019). Latest Economic Development & Outlook. Retrieved 2019, from https://www.bi.go.id/en/publikasi/laporan/Documents/3_LPI2019_CHAPTER1.pdf.
Ishmah, H. S. (2022). Multiple Discriminant Analysis Stepwise and K-Means Cluster for Classification, of Financial Distress Status in Manufacturing Companies Listed on the . 184-189.
Issakainen, T. (2022). . The Performance of Value Investing Strategy in Helsinki Stock Exchange From 2005 to 2021: A Clustering Approach. Unpublished. 1-12.
Liu, T. Z. (n.d.). Empirical study on CAPM model on China stock market. Unpublished,. 1-43.
Manzar, S. H. ((2023)). Do CAPM vs APT better in Predicting Stock Return in Pakistan. SSRN Electronic Journal. 1-17. .
Maricar, M. A. (2019). Analisa Perbandingan Nilai Akurasi Moving Average dan Exponential Smoothing untuk Sistem Peramalan Pendapatan pada Perusahaan XYZ. Jurnal Sistem dan Informatika (JSI),. 36-45.
Maulid, R. ((2022, January 14).). Kriteria Jenis Teknik Analisis Data dalam Forecasting. Retrieved from DQLab: https://dqlab.id/kriteria-jenis teknik-analisis-data-dalam-forecasting.
Mulyaningsih, S. &. (2022). K-Means Clustering Using Principal Component Analysis (PCA) Indonesia Multi-Finance Industry Performance Before and During Covid-19. Asia Pacific Management and Performance Before and During Covid-19. Asia Pacific Management and Asia Pacific Management an. 131-142.
Nurain Hasan, F. A. (2019). Analisis Capital Asset Pricing Model (CAPM) Sebagai Dasar Pengambilan Keputusan Berinvestasi Saham (Studi pada Indeks Bisnis-27 di Bursa Efek Indonesia), 36 - 37.
Nurfahma Fajarini, J. H. (2023). Reassessment of CAPM Relative Accuracy: Comparative Study with Actual Price Movement in Indonesia (2019-2022). International Journal of Multidisciplinary Research and Publications (IJMRAP), , Volume 6, Issue 4, pp, 103-114.
Permatasari, E. &. ((2020)). The Influence of Liquidity, Solvency, Activity and Profitability On Stock Returns in Real Estate and Property Sectors Listed in Indonesian Stock Exchange. Indonesian College of Economics - Year 2020. 1-22.
Putra, K. &. (187(Gcbme 2020)). Accuracy Level Analysis of Pricing Model on State-Owned Enterprises Stocks. Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020),. 73-76.
Ridwan, A. F. ( (2021)). IDX30 Stocks Clustering with K-Means Algorithm based on Expected Return and Value at Risk. International Journal of Quantitative Research and Modeling,2(4), 201-208.
Sari, M. L. ((2023)). Analysis Of Share Investment Decision Making Using The Capital Asset Pricing Model (CAPM) Method In Companies Registered In IDX30 2018-2021 Period.unpublished 4(1),. 91-100.
Shukla, S. (2020). Concept of Population and Sample (pp. 2-7). Rishit .
Sindhuarta, S. J. (2023). Comparison Analysis Between Accuracy of CAPM and APT Models in Predicting Return of IDX-30 Stocks during Covid-19 Pandemic. . Indikator: Jurnal Ilmiah Manajemen dan Bisnis , 7(1), 48.
Translation., O. o. ( (2023, February 7)). Indonesia’s Economy Grows by 5.31% in 2022. Retrieved from Cabinet Secretariat of Republic of Indonesia: https://setkab.go.id/en/indonesias-economy-grows-by-5-31-in-2022/.
True, T. (2023, March 29). How is Expected Return (ER) of a Portfolio Calculated? Retrieved from www.financestrategists.com: https://www.financestrategists.com/wealth-management/risk profile/expected-return-er-of-a-portfolio/.
Usman. ((2022)). Comparison Analysis of Optimal Portfolio With the Capital Asset Pricing Model (CAPM) Before and During the Covid-19 Pandemic (Study on Liquid-45 Index Stock Period 2018-2021). Asian Journal of Innovative Research in Social Science, 1 , 89-97.
Wahyuny, T. &. (March 2020). Comparative Analysis of Accuracy Comparative Analysis of Accuracy Theory (Apt) in Predicting Stock Return (Case Study: Manufacturing Companies Listed on the Indonesia Stock Exchange for the 2015-2018. Journal of Applied Economics in Developing Countries 5 No 1, , 23-30.
Widodo, D. &. ((2016)). . Implementasi Simple Moving Average dan Exponential Moving Average dalam Menentukan Tren Harga Saham Perusahaan. Jurnal ULTIMATICS 7(2), 113-124.
Wijaya, E. &. ((2020)). Stocks Investment Decision Making Capital Asset Pricing Model (CAPM).
Jurnal Manajemen, 24,, 93. doi:10.24912/jm.v24i1.621.
Wijayanti, M. P. (2021). ANALISIS YURIDIS TERHADAP KEWENANGAN KOMISI PENGAWAS
PERSAINGAN USAHA PRO JUSTICIA TERHADAP PELANGGARAN PERSAINGAN USAHA
INDUSTRI AIR MINUM DALAM KEMASAN (STUDI KASUS PUTUSAN NOMOR 806 K Pdt.Sus-
KPPU/2019). Jakarta.
Wijayanti, R. I. (2022, September 29). Perbedaan First Liner, Second Liner, dan Third Liner dalam Level Saham yang Perlu Investor Ketahui. Retrieved from IDX Channel: https://www.idxchannel.com/market news/perbedaan-first-liner-second-liner-dan-third-liner-dalam-level saham-yang-perlu-investor.
Yunita, I. T. (2020). Accuracy Level of Capm and Apt Models in Determining the Expected Return of
Stock Listed on Lq45 Index. . Jurnal Aplikasi Manajemen, 18(4), 797-807.
Zubair, M. I. ((2022). An Improved K-means Clustering Algorithm Towards an Efficient Data-Driven
Modeling. Annals of Data Science. doi:10.1007/s40745-022-00428-2.
Refbacks
- There are currently no refbacks.
Indexed by :
Editorial Office :
Journal of Entrepreneurship, Management and Industry (JEMI)
Jl. HR Rasuna Said Kav. C-22, Rasuna Epicentrum, Kuningan. Jakarta Selatan 12920. email : [email protected]
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.