Kurniawan, Ch Marcelin Vika (2026) EVALUASI CAPITAL ASSET PRICING MODEL (CAPM) SEBAGAI DASAR KEPUTUSAN INVESTASI PADA SAHAM IDX ESG LEADERS (IDXESGL). Skripsi thesis, Universitas BPD.
![[img]](http://eprints.stiebankbpdjateng.ac.id/style/images/fileicons/text.png) |
Text
DAFTAR PUSTAKA.pdf Download (522kB) |
|
Text
BAB 1-3.pdf Download (801kB) |
Abstract
This study aims to evaluate the Capital Asset Pricing Model (CAPM) as a basis for investment decision-making in IDX ESG Leaders (IDXESGL) stocks during the 2021–2024 period. The study is motivated by differing empirical findings on the relationship between systematic risk (beta) and stock returns. A descriptive quantitative approach using CAPM was applied to secondary data, including monthly closing prices, the Composite Stock Price Index, and the Bank Indonesia policy rate. The sample consists of 17 stocks selected through purposive sampling. The findings show that most stocks are classified as undervalued, as realized returns (Ri) exceed expected returns [E(Ri)]. A negative relationship between beta and expected return was also observed, reflected in the negative slope of the Security Market Line (SML). Despite suboptimal risk compensation, CAPM remains effective for stock classification and rational investment decision-making.
| Item Type: | Thesis (Skripsi) |
|---|---|
| Additional Information: | Penelitian ini bertujuan menganalisis Capital Asset Pricing Model (CAPM) sebagai dasar keputusan investasi pada saham IDX ESG Leaders (IDXESGL) periode 2021–2024. Penelitian ini dilatarbelakangi oleh perbedaan temuan empiris mengenai hubungan risiko sistematis (beta) dan tingkat pengembalian saham. Metode yang digunakan adalah deskriptif kuantitatif dengan pendekatan CAPM menggunakan data sekunder berupa harga penutupan saham bulanan, IHSG, dan suku bunga Bank Indonesia. Sampel terdiri dari 17 saham yang dipilih melalui purposive sampling. Hasil menunjukkan mayoritas saham tergolong undervalued karena realized return (Ri) lebih besar daripada expected return [E(Ri)]. Ditemukan pula hubungan negatif antara beta dan expected return yang tercermin pada kemiringan negatif Security Market Line (SML). Meskipun mekanisme kompensasi risiko tidak berjalan optimal, CAPM tetap efektif sebagai alat klasifikasi saham dan pendukung keputusan investasi. |
| Uncontrolled Keywords: | Capital Asset Pricing Model, Systematic Risk, Expected Return, Investment Decision |
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HE Transportation and Communications H Social Sciences > HG Finance H Social Sciences > HJ Public Finance H Social Sciences > HM Sociology H Social Sciences > HN Social history and conditions. Social problems. Social reform H Social Sciences > HT Communities. Classes. Races H Social Sciences > HV Social pathology. Social and public welfare H Social Sciences > HX Socialism. Communism. Anarchism |
| Divisions: | Faculty of Law, Arts and Social Sciences > School of Management |
| Depositing User: | Wisudawan S1 |
| Date Deposited: | 30 Mar 2026 08:02 |
| Last Modified: | 30 Mar 2026 08:02 |
| URI: | http://eprints.stiebankbpdjateng.ac.id/id/eprint/3188 |
Actions (login required)
 |
View Item |
