PERBANDINGAN KEAKURATAN MODEL CAPM DAN APT DALAM MEMPREDIKSI RETURN SAHAM PADA INDEKS SRI KEHATI

This study aimed to examine the accuracy of the results of the calculation of stock returns on SRI- KEHATI stock indexes using test model Capital Asset Pricing Model ( CAPM ) and the Arbitrage Pricing Theory ( APT ) . The population in this study is a company belonging to the SRI - KEHATI index during the period 2009 - 2014 respectively . Determination of samples was done by using purposive sampling , and obtained a sample of 14 companies . Data were taken to test the accuracy of the calculation of the model of CAPM and APT models is the daily stock price data , interset rate return, IHSG return, and the interest rate of Bank Indonesia . The data is processed and tested with SPSS . Results from this study show that ( 1 ) there are differences in the calculation of the stock return calculation results of the two models but not significantly , and ( 2 ) the CAPM model is more accurate than APT model in predicting stock returns that are listed on stock index SRI - KEHATI .

Keywords : CAPM, APT, return IHSG, Kurs return, the interest rate of Bank Indonesia, SRI-KEHATI index