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All Journal Ta'dib: Jurnal Pendidikan Islam SERAMBI: Jurnal Ekonomi Manajemen dan Bisnis Islam Al-Kharaj: Journal of Islamic Economic and Business Jurnal Ilmiah Al-Tsarwah Jurnal Riset Manajemen dan Bisnis Jurnal Perspektif Pembiayaan dan Pembangunan Daerah Bandung Conference Series: Business and Management International Journal of Management, Entrepreneurship, Social Science and Humanities (IJMESH)
Handri Handri
Faculty Of Economics And Business , Master Of Management Study Program, Universitas Islam Bandung, Tamansari 1, 40116, Bandung, Indonesia
Religion Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Law, Crime, Criminology & Criminal Justice Social Sciences Other

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How accurate is the CAPM approach compared to the Reward Beta for shares of manufacturing and mining companies in Indonesia's LQ45 Index? Handri Handri
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah Vol. 11 No. 3 (2023): Jurnal Perspektif Pembiayaan dan Pembangunan Daerah
Publisher : Program Magister Ilmu Ekonomi Pascasarjana Universitas Jambi

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22437/ppd.v11i3.28904

Abstract

This study evaluates the efficacy of the Capital Asset Pricing Model (CAPM) and Beta Reward Model in forecasting stock returns of companies within the manufacturing and mining sectors listed on Indonesia's LQ45 index. Utilizing monthly closing stock prices from January 2010 to December 2019, the research focuses on ten companies—five from each sector—that consistently appeared in the index throughout the study period. The analysis involves a classic assumption test followed by regression analysis for each company. Key performance indicators, including R-squared, Root Mean Square Error (RMSE), and Mean Absolute Error (MAE), are employed to compare the predictive capabilities of the CAPM and Beta Reward Model. The findings indicate a systematic and superior performance of the Beta Reward Model over the CAPM in predicting stock returns in the Indonesian context. This study contributes to the existing literature on stock return prediction models and provides practical insights for investors and financial analysts in Indonesia.
Co-Authors Ahmad Syaichoni Deden Gandana Madjakusumah Dedih Surana Dellia Meitiofani Hamzah Devi Rahmawati Firda Ridhayanti Frisca Tri Aprilah Ilham Quddus Ramadani Isti Khairani M Munir Asrori Muhardi Muhardi Nabiel Karamy Nadia Meirani Nanda Surya Pratama Nandang Ihwanuddin Nandang Ihwanudin Raden Bhatara Didjaya Prawirawinata Rizka Estisia Pratiwi Siti Nurul Azizah Sri Suwarsi Susilo Setiyawan Udin Saripudin