Open AccessTHE COMPARISON OF APPLICATION OF STOCK RETURN EVALUATION IN RECORDED COMPANIES IN LQ 45 FOR THE 2012-2016 PERIOD
Author(s) -
Neneng Susanti,
Deden Novan Setiawan Nugraha
Publication year - 2019
Publication title -
journal of economic empowerment strategy
Language(s) - English
Resource type - Journals
eISSN - 2621-7724
pISSN - 2621-4652
DOI - 10.30740/jees.v2i1.30
Subject(s) - capital asset pricing model , consumption based capital asset pricing model , economics , arbitrage pricing theory , econometrics , security market line , rational pricing , value (mathematics) , financial economics , stock (firearms) , stock market , mathematics , paleontology , statistics , horse , biology , mechanical engineering , engineering
The purpose of this study is not only to compare the Capital Asset Price Model, Arbitration Price Theory, Three Factor Price Model, Three Factor Price Model, and Five Factor Price Model to study the Capital Asset Price Model, Price Arbitration Price Theory, Three Factor Price Model, Four Factors Pricing Model and Five Factors Pricing Model for excess returns and for determining the best asset pricing model in terms of the ability to explain estimates of excess returns. This research includes explanatory research (explanatory research), namely looking at the relationship between research variables and testing hypotheses that have been formulated previously. This study examines the effect of variables in the asset pricing model and compares the asset pricing models in explaining excess returns. Based on the results of the research that has been carried out the best model that can be used in assessing the asset pricing model is the five Price Model Factors, this is evidenced by the value of R2 or R Square of 89.4%, the value is greater than the value of R2 or R Square Capital Asset Pricing Model, Arbitration Price Theory, Three Price Factor Models, and Four Price Factor Models, which were 34.7%, 55.2%, 77.2% and 79% respectively.