Analisis Perbandingan Keakuratan Model CAPM dan FFTFM dalam Mengestimasi Return Saham Indeks LQ45 di Bursa Efek Indonesia

Dimas Hermawan, Fathurrahman Anwar

Abstract


This research aims to determine the performance and accuracy of two asset pricing models in estimating stock returns. The two models in question are the Capital Asset Pricing Model and the Fama-French Three Factor Model. The sample in this study was selected using purposive sampling, resulting in the selection of 23 companies that are part of the LQ45 Index. Data processing is carried out with the help of Microsoft Excel and EViews 12. The data analysis techniques in this study are simple linear regression analysis and multiple linear regression analysis. The research results indicate that the Fama-French Three Factor Model is superior in estimating stock returns compared to the Capital Asset Pricing Model based on the coefficient of determination (R2) of each model. Meanwhile, based on the Mean Absolute Deviation (MAD) values of each model, both the Capital Asset Pricing Model and the Fama-French Three Factor Model have relatively similar MAD values, suggesting that both models are equally accurate in estimating stock returns.

Keywords


Capital Asset pricing Model; Fama-French Three Factor Model; Stock Return; Coefficient of Determination (R2); Mean Absolute Deviation (MAD)

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DOI: https://doi.org/10.24815/jimen.v10i1.32455

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Tim Redaksi:

Jurusan Manajemen Fakultas Ekonomi dan Bisnis, Universitas Syiah Kuala

Lantai II Gedung Induk

Darussalam, Banda Aceh, 2311

email: jim.manajemen@feb.usk.ac.id

 
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