ANALISIS KELAYAKAN INVESTASI SAHAM PERUSAHAAN MAKANAN-MINUMAN DI BEI DENGAN PENDEKATAN CAPM

Abstract

The samples are 9 food and beverages stocks which are listed in Indonesia Stock Exchange (IDX), which have been selected by using purposive sampling. The data is the closing share price (closing price), the Composite Stock Price Index (CSPI) and the BI interest rate which have been obtained from the Indonesia Stock Exchange. All data are calculated by using the CAPM approach and the hypotheses are tested by using the simple linear regression analysis and these data are processed by using SPSS 21. The result of the research shows that there are 4 stocks which are feasible to be invested i.e. Akasha Wira International Tbk, Wilmar Cahaya Indonesia Tbk, Prashida Aneka Niaga Tbk and Ultrajaya Milk Industry and Trading Company Tbk since these stocks have met the determined criteria i.e. an aggressive stock in which (β > 1), its excess return has positive value, the risk and the return has linear correlation and the β value is significant.
Keywords: Risk, Return, Beta, CAPM and Investment