Model Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) Dalam Memprediksi Imbal Hasil Saham (Return Saham) Di Bursa Efek Indonesia (BEI)

Abstract

The objective of this research is to analysis the influence of a market risk, inflation, and rate of exchange toward return of securities with CAPM and APT models. The research will use correlation and multiple regression analysis model with several hypothesis test:determination coefficient (R2), Anova (Fisher test), and t- test (student test). Data processed by SPSS program (Statistic and Product Services Solution) version 17.0. The research has used dependent variable is return of securities and independent variable are mrket risk, inflation, and rate of exchange . The determinant coefficient analysis CAPM models show that market risk amount 0.559 (55.9%) and the rest 0.441(44.1%) should be caused by other variables. While in APT models, inflation, and rate of exchange influences toward return of securities amount 0.184 (18.4%) and the rest 0.816 (81.6%) should be caused by other variables. The hypothesis test with used F test shown that of independent variable market risk, inflation, and rate of exchange as joint influence significantly toward return of securities variable significance rate 0.000. The hypothesis test as single with used t test shown that market risk, inflation, and rate of exchange influence significantly toward return of securities.