Impact of Capital Asset Pricing Model (CAPM) on Excess Return

Abstract

Different ways and methods can be used in calculating asset pricing models. One method that can be used in calculating asset pricing model is Capital Asset Pricing Model (CAPM). Capital Asset Pricing Model (CAPM) is a model that links the expected rate of return of risk assets with asset risk to balanced market conditions. This study aims to assess the risk and stock returns with the CAPM method of excess return, in order to provide a decent investment decision on stocks listed in the index LQ 45. Type of research used is descriptive quantitative research. Population in this research is the stock of LQ 45 period of 2012 until 2016. The sampling method in this research uses purposive sampling with a criterion of the company which listed continuously in Indonesia stock exchange and recorded in index LQ 45 period 2012 until 2016, which is 20 companies selected to sample research. Secondary data used in the form of closing price of shares of LQ 45 and interest rate of Bank Indonesia on a monthly basis. All data then calculated, hypothesis testing using multiple linear regression analysis with the help of software used is SPSS Version 24.