PERBANDINGAN KEAKURATAN MODEL CAPM DAN APT DALAM MEMPREDIKSI EXPECTED RETURN SAHAM PADA SEKTOR PROPERTY DAN REAL ESTATE DI BEI (PERIODE 2011-2015)

The aim of this research is to analyze the level of accuracy between CAPM and APT models in predicting the expected return on a stock property and real estate sector. In predicting expected stock returns, CAPM model uses a single
factor, namely the market return, while the APT model uses three macroeconomic factors, namely inflation, SBI interest rate, an exchange rate against the dollar. The population in this study are all shares listed on the Stock Exchange from the period January 2011 to December 2015. The samples were determined using purposive sampling method obtained a sample of 38 companies from 49 companies. The results showed that the model Capital Asset Pricing Model (CAPM) is more accurate than the Arbitrage Pricing Theory (APT) in predicting the expected return on a stock property and real estate sector, as the value MADCAPM (0.11071) is smaller than the value MADAPT (0.23025). And based on the results of testing with Paired Samples T-test, showed that there are differences in accuracy between CAPM and APT models in predicting the expected return on a stock property and real estate sector in the Stock Exchange (2011-2015).

Keywords: CAPM, APT, market returns, inflation, SBI, exchange rates, expected return, property and real estate sectors.