Record Detail

Pembimbing : Mustanwir Zuhri -- This study aimed to test the accuracy level of expected return compared to the actual return of two pricing model, which are the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT) on companies listed in the LQ45 index of Indonesia Stock Exchange (IDX). The accuracy of two pricing model is measured by Mean Absolute Deviation (MAD) and the accuracy level between MAD APT and MAD CAPM is determined by using Mann-Whitney U test. This research use data from 2016-2018 with sample of 35 companies. The variable data used in this research are monthly closing stock price, BI rate, IDX Composite (IHSG), and other macro variables data which consists of inflation and IDR/USD Exchange Rate. Using the secondary data obtained from the reliable resources, this research reviewed differences between the two models out of sectors analysis. Based on the results, APT shows the better outcomes in determine expected returns rather than CAPM. It can be seen from MAD APT (0,0059) is closer than the actual return (0,0073) compared to MAD CAPM (0,0146). And according to Mann-Whitney U test, significance value of MAD CAPM and MAD APT is (0,001) which is below 0,05. This result of U test indicates that there is significant difference between those pricing models in a study conducted in the Indonesia Stock Exchange of LQ45 index.