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PENGUJIAN CAPITAL ASSET PRICING MODEL (CAPM) DI BURSA EFEK JAKARTA DENGAN MENGGUNAKAN TWO-PASS REGRESSION MODEL

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ABSTRACT
For more than 30 years, Capital Asset Pricing Model (CAPM) enjoyed popularity as an equilibrium model in determining the trade off between risk and return. According to the model, an investor can determine how much the risk and return he get if CAPM hold true. This study tried to test whether CAPM can be utilized or not in Jakarta Stock Exchange (JSX) by using two pass regression model as suggested by Lintner. Using the sample of 188 company listed in JSX, the results of the study indicated that CAPM can not be utilized in JSX.

Keywords: Capital Asset Pricing Model, Two Pass Regression Model, First Pass Regression, Second Pass Regression

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Ketersediaan

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Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

Bandung : LPPM IM., 2010

Deskripsi Fisik

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Bahasa

Indonesia

ISBN/ISSN

2085-8426

Klasifikasi

NONE

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

Vol. II No. 3 Desember 2010

Subjek

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Info Detail Spesifik

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Pernyataan Tanggungjawab

JSMA Jurnal Sains Manajemen dan Akuntansi

Versi lain/terkait

Lampiran Berkas

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