Metode Capital Asset Pricing Model dalam Penentuan Keputusan Investasi Saham pada Bursa Efek Indonesia (Studi Empiris pada Subsektor Properti dan Real Estate)

Abstract

Now is an era of investment without space and time limits, so investors make investment as one of the options for managing their sources of funds. The purpose of this researchto find out which stocks are included in efficient stocks and inefficient stocks in order to determine the best investment choice using the CAPM (Capital Asset Pricing Model) method. The research method used in this study is a descriptive method with a quantitative approach. Data collection techniques used are documentation and study of literature. The population in this study is the property and real estate subsector companies listed on the Indonesia Stock Exchange in 2017-2019 as many as 38 companies. Based on the results of research and analysis that has been done, it shows that there are 23 efficient shares and 15 inefficient shares. Stocks are said to be efficient [(Ri) > (E(Ri)] and said to be inefficient if [(Ri) < E(Ri)]. Another thing that causes shares to be efficient and inefficient is the price of the stock itself. If the share price is low then the beta or risk of each individual stock becomes smaller and results in a small expected return. So when compared with individual stock returns can be categorized as undervalued shares or efficient shares, and vice versa.