Komparasi Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham

Abstract

This research aims to determine the comparison of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting stock returns of LQ45 index companies on the Indonesian Stock Exchange. Data analysis methods use Simple Regression Analysis, Multiple Regression Methods, and Difference tests. The results of data analysis show that there are differences between CAPM and APT in predicting stock returns. The emergence of varying differences in research results regarding the accuracy of the CAPM and APT models is caused by data disturbances that appear in the historical data used. The CAPM and APT models have a very important element, namely beta (????) as a measure of return on factors that are considered to influence, so this beta (????) must be BLUE (Best Linear Unbiased Estimator) so that the prediction results from the two CAPM and APT models become more accurate and reliable