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All Journal INPUT Jurnal Ekonomi dan Sosial Buletin Udayana Mengabdi Jurnal Ilmiah Akuntansi dan Bisnis Buletin Studi Ekonomi E-Jurnal Ekonomi dan Bisnis Universitas Udayana Juara: Jurnal Riset Akuntansi JIA (Jurnal Ilmiah Akuntansi) Jurnal Riset Akuntansi Kontemporer Budapest International Research and Critics Institute-Journal (BIRCI-Journal): Humanities and Social Sciences E-JURNAL AKUNTANSI
K. Budiartha
Fakultas Ekonomi Dan Bisnis, Universitas Udayana, Indonesia
Religion Arts Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Social Sciences

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The Capital Asset Pricing Model Forecast Using Artificial Intelligence Ni Putu Noviyanti Kusuma; I Ketut Budiartha
Budapest International Research and Critics Institute (BIRCI-Journal): Humanities and Social Sciences Vol 5, No 1 (2022): Budapest International Research and Critics Institute February
Publisher : Budapest International Research and Critics University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33258/birci.v5i1.3677

Abstract

The application of Artificial Intelligence (AI) with the Recurrent Neural Network (RNN) Long Short-Term Memory (LSTM) algorithm which has excellent accuracy in predicting stock prices, but still needs to be developed optimally in the accounting and finance fields. In many cases it was found that the value of the results of the traditional Capital Asset Pricing Model (CAPM) calculations was consistently below the estimated return. Therefore, it is necessary to calculate the CAPM that can optimize the estimated returns more accurately, by combining it using AI technology with the LSTM method RNN algorithm. The purpose of this study is to prove the accuracy of the CAPM calculation results generated by AI compared to the traditional CAPM calculation method in providing an estimate of the return on the best blue-chip group in the LQ45 index during the 2015-2019 observation period. The sample of this study uses data on closing prices adjusted for companies with the lowest Debt to Equity Ratio (DER). The results of the adjusted closing price prediction using AI with the LSTM method have high accuracy. From the analysis of the different paired sample t-test, it was found that there was a significant difference in the mean Absolute Percentage Error (MAPE), where the AI-optimized CAPM model had a lower MAPE value than the traditional CAPM model. This study concludes that the AI-optimized CAPM calculation method has proven to be able to provide more accurate return estimates than traditional CAPM calculation methods.
Co-Authors A. A. Sagung Shinta Devi Darmayani A.A Putri Adnyasuari Adelia Lukyta Arumsari Anak Agung Ayu Trisna Dewi Anak Agung Gede Pradnyana Dwipa Anak Agung Ngurah Bagus Dwirandra Anak Agung Sagung Indah Nareswari Astrid Fembriani Cokorda Istri Indraswari Pemayun Daniel Raditya Tandio Daniel Tonu Dewa Ayu Astina Dyah Priesty Dewa Ayu Candra Dewi Dewa Nyoman Badera Dewi Ayu Nita Kharisma Dhaniar Waghmi Pratami Eka Arya Kusuma Gayatri Gayatri Gede Krisna Pradipta Hasanah Vidya Putri Herkulanus Bambang Suprasto I Dewa Gede Dharma Suputra I Dewa Made Endiana I Gst Ngurah Agastya Mahasurya I Gusti Ayu Asri Pramesti I Gusti Ayu Asti Pratini I Gusti Ayu Made Asri Dwija Putri I Gusti Ayu Nyoman Budiasih I Gusti Ayu Ratih Permata Dewi I Gusti Ayu San Yogi Partini I Gusti Ketut Wira Widiana I Ketut Sujana I Ketut Yadnyana I Komang Sudika I Made Bagus Angga Merta Permana I Made Dwipayana Yasa I Made Sadha Suardikha I Made Toni Iriantika S I Nyoman Wijana Asmara Putra I Putu Ardhian Janu Mahendra I Putu Bagus Sastra Wirayudha I.D.G.D. Suputra IA Ika Vedanti Pratiwi Ida Ayu Istri Anom Nadinda Ida Ayu Nyoman Putriani Ida Ayu Santi Dharmastri Laksmi Ida Bagus Darsana Ida Bagus Putra Astika Ida Bagus Yoga Pandita Kadek Upawita Candra Pertiwi Kevin Senjaya Komang Gede Arya Abdi Sentosa Komang Risa Rahayu Ningsih Krisna Dekna Ningrum L. P. Novyanti Ciptana Ika Putri LINDIRA SUKMA DEWI Made Gede Wirakusuma Made Laksmi Cintya Pucangan Made Mega Ratnawati Made Wicaksana Maria Maria Meylinda Triyanthi Michael Sihombing N. P. Yani Wulandari N.L.S. Widhiyani Ni Ketut Rasmini Ni Ketut Sri Dahayani Ni Ketut Yudastri Ni Luh Gede Mahayu Dicriyani Ni Luh Putu Puspita Sari Ni Luh Supadmi Ni Made Dwi Candra Sawitri Ni Made Dwi Ratnadi Ni Made Mega Lapinayanti Ni Made Rukmiyati Ni Made Shinta Widhiasari Ni Nengah Devi Aryaningsih Ni Nyoman Sri Paramita Ni Nyoman Sri Wardani Ni Putu Ardyanti Pratami Ni Putu Ayu Nikita Sari Wulan Ni Putu Noviyanti Kusuma Ni Putu Sintya Sari Ni Putu Wanda Anggeliana Putri Ni Wayan Surya Handhayani Nyoman Trio Susandi Nyoman Trio Susandi Pande Putu Januraga Prihono Prihono Putu Ayu Agnes Veriana Putu Dewi Arina Pratiwi Putu Krisna Wijayanthi Putu Megayanti Putu Ryan Hendrawan Rai Gina Artaningrum Sony Ricardo Sembiring Wayan Suartana, Wayan William Jefferson Wiratama Yasa, Gerianta