ANALISIS PERBANDINGAN KEAKURATAN CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICIN THEORY (APT) DALAM UPAYA MENGAMBIL KEPUTUSAN INVESTASI SAHAM PADA INDEKS LQ45 YANG TERDAFTAR DI BEI

Abstract

The purpose of this study is to understand some of the principles of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in order to make informed investment decisions for the LQ45 index, which is listed in BEI. The independent samples t-test, the kolmogorov-Smirnov test, the komperatif analysis technique, and the deskriptif kualitatif analysis technique are used to gather data. Penelitian results: 1. The return and risk of the LQ45 index can be analyzed using a more comprehensive CAPM sederhana or APT that takes macroeconomic factors into account. 2. There is no discernible difference in prediction accuracy using Mean Absolute Deviation (MAD) and test. The results of this study indicate that investors should diversify their portfolios in order to reduce risk and maximize returns by selecting undervalued stocks of LQ45 that have the potential to grow in value. Because beta tinggi does not always guarantee a large return, keputusan development must also take risk factors into account, as in the APT model.