SALEHA, MEGAWATI (2018) PENGGUNAAN METODE CAPITAL ASSET PRICING MODEL DALAM MENILAI RISIKO DAN EXPECTED RETURN SAHAM UNTUK MENENTUKAN PILIHAN BERINVESTASI (Studi Kasus pada Saham-Saham Jakarta Islamic Index di Bursa Efek Indonesia Periode 2016-2017). S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
The aim of this study is to determine the optimal stock and analyze the performance of shares listed in the Jakarta Islamic Index (JII) using the Capital Asset Pricing Model. Based on the results, there are 14 stocks which categorized as stocks that are sensitive, 16 stocks which categorized as stocks that are less sensitive. Therefore, this results also found that there are 10 stocks that have a negative Capital Asset Pricing Model return and 20 stocks that have a positive Capital Asset Pricing Model return. The conclusion of the research results are if if the beta value of a stock becomes more sensitive, the greater the risk that the stock has. Beta individually affects a stock's return. With a portfolio, it can reduce risk without having to reduce the return received. A viable investment choice is found in the optimal stock shares which consist of Sawit Sumbermas Sarana Tbk (SSMS), Indofood CBP Sukses Makmur Tbk (ICBP), Jasa Marga (Persero) Tbk (JSMR), PP London Sumatra Indonesia Tbk (LSIP) and PP (Persero) Tbk (PTPP). Keyword: Return, Beta, Capital Asset Pricing Model Penelitian ini bertujuan untuk menentukan saham yang optimal dan melakukan analisis kinerja saham yang terdaftar di Jakarta Islamic Index (JII) dengan menggunakan Capital Asset Pricing Model. Berdasarkan hasil penelitian terdapat 14 saham yang dikategorikan saham sensitif, 16 saham yang dikategorikan saham yang kurang sensitif. Selain itu, terdapat pula 10 saham yang memiliki return Capital Asset Pricing Model yang negatif dan 20 saham yang memiliki return Capital Asset Pricing Model yang positif. Kesimpulan hasil penelitian adalah apabila nilai beta suatu saham semakin sensitif, maka semakin besar risiko yang dimiliki saham tersebut. Beta secara individu mempengaruhi return suatu saham. Dengan adanya portofolio, dapat mengurangi risiko tanpa harus mengurangi return yang diterima. Pilihan investasi yang layak terdapat pada saham saham optimal yang terdiri atas saham Sawit Sumbermas Sarana Tbk (SSMS), Indofood CBP Sukses Makmur Tbk (ICBP), Jasa Marga (Persero) Tbk (JSMR), PP London Sumatra Indonesia Tbk (LSIP) dan PP (Persero) Tbk (PTPP). Kata Kunci: Return, Beta, Capital Asset Pricing Model
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