Analysis Of The Relationship Between Risk And Return Using The Capital Asset Pricing Model (Capm) Method At Kompas 100

##plugins.themes.academic_pro.article.sidebar##

Published Jun 1, 2021
https://doi.org/10.35335/enrichment.v11i2.137
Download
PDF
Statistic

Downloads

Download data is not yet available.
Vol. 11 No. 2 (2021): May: Management Science

##plugins.themes.academic_pro.article.main##

Andini Nurwulandari
Universitas Nasional, Jakarta

Abstract

The risk-reward trade-off implies that risky investments should demand a premium over risk-free returns. It is critical to managing to change investment opportunities to maintain a healthy risk-reward relationship. This thesis employs a quantitative model in conjunction with a descriptive research strategy. This is a quantitative study using an analytic-descriptive approach. The sample size for this analysis is 100 Kompas. The data source is secondary sources from IDX publications. For four years, the data set contains the closing price of shares and the IHSG (1 January 2016 - 31 December 2019). The Rate of Return on Shares (Ri), Market Returns (Rm), Risk-Free Returns (Rf), Systematic Risk, Expected Return E (Ri), and the Relationship between Risk and Return with CAPM using Pearson Correlation are used to analyze the data. The results of the correlation coefficient test indicate that: 1) The sample used in the CAPM calculation exhibits a strong positive relationship between beta and the CAPM expected return. As beta increases, the predicted return increases proportionately and vice versa. If beta decreases, the expected return decreases; and 2) From the 52 study samples, 33 company stocks fall into the productive stock category, and 19 falls into the inefficient stock category.

##plugins.themes.academic_pro.article.details##

How to Cite
Andini Nurwulandari. (2021). Analysis Of The Relationship Between Risk And Return Using The Capital Asset Pricing Model (Capm) Method At Kompas 100 . Enrichment : Journal of Management, 11(2), 528-534. https://doi.org/10.35335/enrichment.v11i2.137

References

[1] Adnyana, M., &Nurwulandari, A. (2020). An empirical examination of intersectoral linkages between tourism and regional economy by using the social accounting matrix.
[2] Azifah, N., & Indah, M. (2017). AnalisisRisiko Dan Imbal Hasil Fortofolio Pasar Modal Syariah Dan Pasar Modal Konvensional. JurnalIlmiahEkonomiBisnis, 21(1).
[3] Dede, I. M. Y., Tiara, R., Thameliya, G. S., Sofia, S. M., Siti, N. I. M., Sunengsih., &Ruhenda, L. W. (2020). ModernisasiSistemKompensasi Pada Kinerja Karyawan Pt Angkasa Pura Ii. Akselerasi: JurnalIlmiah Nasional, 2(3), 17 - 26.
[4] Dulkiah, M. (2020). Relations Between Muslim Community and Government About ZISWAF Management in West Java, Indonesia. ENDLESS: International Journal of Future Studies, 3(1), 55-68.
[5] Fernos, J., & Dona, E. (2018). Analisis Loan To Deposit Ratio, Capital Adequacy Ratio dan Return On Assets PT. Bank Pembangunan Daerah Sumatera Barat. JurnalPundi, 2(2).
[6] Firdaus, R. G. (2020). PengaruhRisiko, Return, dan Perekonomian Indonesia Terhadap Keputusan BerinvestasiSaat Covid-19. Jurnal Pasar Modal dan Bisnis, 2(2), 115-128.
[7] Geriadi, M. A. D., &Wiksuana, I. G. B. (2017). Pengaruh Inflasi Terhadap Return Saham Pada Perusahaan Properti Dan Real Estate Yang Terdaftar Di Bursa Efek Indonesia (Risiko Sistematis Dan Profitabilitas Sebagai Variabel Mediasi). E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 3435-3462.
[8] Kurniawan, R., Djaenuri, A., Prabowo, H., & Lukman, S. (2020). Analysis of Policy Evaluation and Model of ASN Management Improvement in Planning, Recruitment, and Competency Development Aspects. International Journal of Science and Society, 2(4), 404-418.
[9] Mardhiyah, A. (2017). Peranan Analisis Return dan Risiko dalam Investasi. J-EBIS (Jurnal Ekonomi dan Bisnis Islam).
[10] Mawaddah, T., & Nurwulandari, A. (2019). Pengaruh Indeks KLCI, STI, SET dan PSEI (Intergasi AFTA) Terhadap IHSG. Oikonomia: Jurnal Manajemen, 14(2).
[11] Mulianingsih, S. (2019). Manajemen Sampah Padat Di Kota Bandung Dan Metode Altenatif Pengolahannya. Papatung: Jurnal Ilmu Administrasi Publik, Pemerintahan Dan Politik, 2(1), 170-179.
[12] Noer, M., Saribanon, N., & Nurwulandari, A. (2017). Business Model Analysis of Natural Production Forest with Sustainable Forest Management Approach. Geografia-Malaysian Journal of Society and Space, 13(1).
[13] Nurwulandari, A., & Darwin, M. (2020). Heywood Case Data Statistik Menggunakan teknik Respesifikasi Model. Nucleus, 1(2), 74-84.
[14] Putri, E., & Nurwulandari, A. (2020). Analisis reaksi Pasar Modal Bagi Perusahaan Dalam index IDX30 terhadap Kemenangan Donald Trump Pada Pemilihan Presiden Amerika Serikat. Oikonomia: Jurnal Manejemen, 15(2).
[15] Rabiqy, Y. (2018). Analisis Hubungan Earning Per Share Dengan Profitabilitas Pada Perusahaan Yang Go Public Di Bursa Efek Indonesia. Jurnal Ekombis, 4(1).
[16] Sari, I. P., & Oktavia, F. (2019). Pengaruh Return On Equity, Risiko Keuangan, Ukuran Perusahaan Dan Kepemilikan Manajerial Terhadap Income Smoothing (Studi Empiris Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010-2014. Menara Ilmu, 13(2).
[17] Wilis, R. A., & Nurwulandari, A. (2020). The effect of E-Service Quality, E-Trust, Price and Brand Image Towards E-Satisfaction and Its Impact on E-Loyalty of Traveloka's Customer. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 4(3), 1061-1099.