Analisis CAPM LQ45 di BEI Perbandingan pada Sektor Property & Bangunan dan Sektor Pertanian: Studi Sebelum Covid-19

Abstract

The Capital Asset Pricing Model (CAPM) is a model of the balance of the relationship between risk and expected return of a securities or portfolio. Using the Markowitz method, this research was conducted to describe LQ45 stocks from 2015 to 2019. The samples selected in this study were property & building sector companies and the agricultural sector. This type of research is descriptive research with a quantitative approach. The results of the study show that stocks in the Property & Building sector are more aggressive than stocks in the Agricultural sector, this can be seen from the beta (β) value of each research sample stock. Furthermore, this study proves that there is a linear relationship between beta and expected return. This means that the greater the value of β, the higher the return, so this is consistent with the theory that beta (β) and return (Ri) are positively related.