ANALISIS PORTOFOLIO DENGAN MENGGUNAKAN MODEL CAPM DAN APT UNTUK MEMPREDIKSI RETURN SAHAM LQ 45 DI BEI

Abstract

The objective of the research is to analyze portfolio with Capital Asset Pricing Model (CAPM)
and Arbitrage Pricing Theory (APT) to predict Stock Return of LQ 45 at Indonenesia Stock Exchange
(BEI). This research uses simple linier regression analysis method for CAPM model and double linier
regression analysis method for APT model. The independent variable in this research is LQ 45
Stocks while the dependent variables are market risk premium, exchange, SBI, inflation and PDB.
The analysis with CAPM and APT model is used to know the optimum portfolio return, while
Index Jansen is used to measure the portfolio performance. Further, t test is used to know the
difference between CAPM and APT model. The sampling in this research is 31 companies with
certain criteria such as 1) A listed companies at LQ 45 stock at BEI, 2) Listed companies at LQ 45
stock which are actively traded continuously from January 2009 to December 2010.