Analisis Komparatif Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Keakuratan Return Saham pada Perusahaan Sub-Sektor Perbankan di Bursa Efek Indonesia Tahun 2018-2022

Abstract

There are two models that investors can use to predict company stock returns, namely the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). There is still debate between these two models as to which model is more accurate in predicting company stock returns. The accuracy of the CAPM and APT models is measured by the Mean Absolute Deviation (MAD) and the comparison of accuracy between the CAPM and APT models is tested by the Mann Whitney U-Test. The type of research used is comparative research. The population of this research is stock returns in the banking sub-sector on the Indonesia Stock Exchange. The sample used in this research is the monthly stock returns of 41 shares in the banking sub-sector for 2018-2022. The type of data used in this research is secondary data which includes monthly data on sample company share prices, macroeconomic factors obtained through the Indonesian Stock Exchange, Bank Indonesia and the Ministry of Trade. The research results show that: (a) The CAPM model is more accurate than the APT model in predicting stock returns of banking sub-sector companies and (b) There is a significant difference between the accuracy of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting stock returns of banking sub-sector companies on the Indonesian Stock Exchange.