THE COMPARISON OF APPLICATION OF STOCK RETURN EVALUATION IN RECORDED COMPANIES IN LQ 45 FOR THE 2012-2016 PERIOD

Neneng Susanti, Deden Novan Setiawan Nugraha

Abstract

The purpose of this study is not only to compare the Capital Asset Price Model, Arbitration Price Theory, Three Factor Price Model, Three Factor Price Model, and Five Factor Price Model to study the Capital Asset Price Model, Price Arbitration Price Theory, Three Factor Price Model, Four Factors Pricing Model and Five Factors Pricing Model for excess returns and for determining the best asset pricing model in terms of the ability to explain estimates of excess returns. This research includes explanatory research (explanatory research), namely looking at the relationship between research variables and testing hypotheses that have been formulated previously. This study examines the effect of variables in the asset pricing model and compares the asset pricing models in explaining excess returns. Based on the results of the research that has been carried out the best model that can be used in assessing the asset pricing model is the five Price Model Factors, this is evidenced by the value of R2 or R Square of 89.4%, the value is greater than the value of R2 or R Square Capital Asset Pricing Model, Arbitration Price Theory, Three Price Factor Models, and Four Price Factor Models, which were 34.7%, 55.2%, 77.2% and 79% respectively.

Keywords

Asset Pricing Model (CAPM), Arbitration Pricing Determination Theory (APT), Three Factor Model, Carhart Model four factors, and Five Factor Price Model.

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DOI: https://doi.org/10.30740/jees.v2i1.30