Perbandingan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Return Saham Industri Pertambangan di BEI

  • Fibriantiwi Fibriantiwi STIE Widya Gama Lumajang
  • Muhaimin Dimyati STIE Widya Gama Lumajang
  • Emmy Ermawati STIE Widya Gama Lumajang


One of the financial investments that can be done by investors is by buying shares. Stock investment basically has the same goal, which is to expect maximum returns and minimal risks. In making investment decisions paying attention to investor expectations, accurate predictions are needed. There are two models that are often used in predicting stock returns based on factors that influence stock returns, namely the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). CAPM is a model to determine the expected return of stock in a state of equilibrium. APT assumes that stock expected return is influenced by various factors in the economy and industry. The purpose of this study is to compare the accuracy of the CAPM and APT levels in predicting the stock returns of mining industry companies listed on the IDX. This study uses monthly stock price close data with the period January 2015-December 2017. The results of this study indicate that the comparison of the accuracy of the CAPM and APT seen from the value of Mean Absolute Deviation (MAD) which has a very small difference. Based on the results of the two Independent Sample t-test conclusions can be drawn stating that there is no significant difference between the accuracy of CAPM and APT in estimating the expected return of the mining industry companies listed on the IDX


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