ANALISIS PERBANDINGAN KEAKURATAN ANTARA CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) DALAM MEMPREDIKSI RETURN SAHAM

., Sandra (2014) ANALISIS PERBANDINGAN KEAKURATAN ANTARA CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) DALAM MEMPREDIKSI RETURN SAHAM. Undergraduate thesis, Universitas Katolik Musi Charitas Palembang.

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Abstract

This research aims to examine the analysis of comparative accuracy between Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting share return. The population in this research is all the corporations registered in Indonesia Stock Exchange (ISE). Samples determined by using purposive sampling method. The samples of the research which are obtained are one hundred and seventeen (117) corporations. The testing of hypothesis uses the method of the analysis of comparing two paired sample t-test with the assistance of SPSS program. The result of testing claims that the first hypothesis (H1) accepted which indicates that Capital Asset Pricing Model (CAPM) can’t be used in predicting share return. The result of testing claims that the second hypothesis (H2) accepted which indicates that the model of Arbitrage Pricing Theory (APT) can’t be used in predicting share return. The third hypothesis (H3) which indicates that which models between CAPM and APT in predicting share return more accurately is Capital Asset Pricing Model (CAPM).

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