ANALISIS CAPITAL ASSET PRICING MODELTERHADAP KEPUTUSAN INVESTASI PADA PERUSAHAAN FOOD AND BEVERAGE

Abstract

This research is aimed to describe the implementation of CAPM (capital asset pricing model) in the selection of stock to conduct invesments. Capital Asset Pricing Model is a model which correlates the expected return rate [E(Ri)] of a risk assets with the risk of the asset on balanced market condition. The method which has been applied in this research is descriptive method with quantitative approach. The population is 11 food and beverage companies sector which are listed on the Indonesia Stock Exchange in 2012-2015 periods. The stock selection criteria in this research is to select efficient stock, in which the individual return rate (Ri) is larger than the expected rate [E(Ri)]. The result of the research show that : (1) There is a non-liniear or inverse correlation between systematic risk and expected return. (2) There are 6 stocks which are included in efficient stocks i.e.: AISA, ICBC, MYOR, ROTI, STTP, and ULTJ. There stocks have Ri> E(Ri) value. The investment decision which has to be made is to buy efficient stocks.

Keywords: Beta, capital asset pricing model, individual stock return rate, expected return rate, efficient stock.