Perbandingan Keakuratan Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham pada Perusahaan Sektor Perbankan yang Terdaftar di Bursa Efek Indonesia Periode 2019-2021

Abstract

This study aims to test and investigate the comparison of the level of accuracy of the Capital Asset Pricing Model (CAPM) strategy and the Arbitrage Pricing Theory (APT) in predicting stock returns in the financial sector in the 2019-2021 period. This research is a comparative quantitative study, the type of data used is additional information such as financial reports. Determination of the sample using a purposive test method which resulted in 18 companies. Multiple linear regression analysis is an analytical technique used in research using software (SPSS). The results of this study indicate that there are major differences between the asset pricing model (CAPM) and arbitrage pricing theory (APT) in anticipating stock returns in the banking sector. A more accurate method for predicting stock returns in the banking sector in the future is the APT model, which is more precise than the CAPM model, because the MAD CAPM value (0.0483) is higher than the MAD APT value, which is (0.0277).