Return And Risk Analysis In Determining Stocks Investments Decision (Study On Companies Listed In IDX30 Index)

Basri, Raihan (2024) Return And Risk Analysis In Determining Stocks Investments Decision (Study On Companies Listed In IDX30 Index). S1 thesis, Universitas Andalas.

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Abstract

The objectives to be achieved in this study are to group the stocks that make up the IDX30 composition into undervalued and overvalued stock groups using CAPM and explain whether there is a return and risk relationship between stocks included in the optimal portfolio candidate group and non-optimal portfolio candidate stocks. The type of research used is verification explanatory survey with quantitative statistical research techniques. The sample amounted to 13 shares of the company obtained using purposive sampling method. The analysis methods used are CAPM, Optimal Portfolio and Mann Whitney difference test by utilizing Microsoft Excel and SPSS-23. The results showed that of the 13 company stocks that were sampled, there were 8 stocks that were included in the undervalued group, namely ADRO, BBCA, BBNI, BBRI, BMRI, KLBF, SMGR and UNTR stocks with investment decisions for investors and potential investors, namely buying and maintaining shares. While the other 5 stocks are included in the overvalued stock group, namely ASII, INDF, PGAS, TLKM and UNVR with investment decisions for investors and potential investors are selling and not buying shares. Of the 8 undervalued stocks, 6 company stocks are included in the optimal portfolio candidate stocks, namely ADRO, BBCA, BBNI, BBRI, BMRI and UNTR. The results of the Mann Whitney return difference test show that there is no difference in the return of optimal portfolio candidate stocks and optimal portfolio non-candidates, and the Mann Whitney risk difference test shows that there is a difference in risk between optimal portfolio candidate stocks and optimal portfolio non-candidates. So that the determination of candidate stocks and non-candidate optimal portfolios is influenced by the amount of risk.

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