ANALYZING THE LEVEL OF STOCK RETURN WITH CAPITAL ASSET PRICING MODEL (CAPM) FOR DETERMINING THE COMPANY’S STOCK PORTFOLIO IN INDEX LQ-45

Nisa, Mardini (2015) ANALYZING THE LEVEL OF STOCK RETURN WITH CAPITAL ASSET PRICING MODEL (CAPM) FOR DETERMINING THE COMPANY’S STOCK PORTFOLIO IN INDEX LQ-45. Diploma thesis, UPT. Perpustakaan Unand.

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Abstract

This study is to analyze the relationship between stock returns and risks using Capital Asset Pricing Model (CAPM) in LQ-45 period February 2010 - January 2015. The results of analysis is investors can predict stock with a small risk but generate profits largely based on the concept of risk and the rate of return. The method used in this research is descriptive method with quantitative approach, samples used were 18 shares for 10 period of LQ-45 index continuously and only stocks that has individual positive stock returns are taken. Analysis of the results showed Shares of PT. Bank Negara Indonesia Tbk (BBNI) had the highest individual stock price of 0.064893, while the stock Unilever Indonesia Tbk (UNVR) has the highest beta price of 3.071964 and the company Semen Indonesia Tbk (SMGR) have the highest total expected return is 0.030468291. Keywords: beta, Capital Asset Pricing Model, Risk, Return, individual stock return, expected return

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