PENDETEKSIAN OUTLIER PADA CAPITAL ASSET PRICING MODEL (CAPM) MENGGUNAKAN LEAST TRIMMED SQUARES (LTS)

Elis Ratna Wulan (Jurusan Matematika, Fakultas Sains dan Teknologi, Universitas Islam Negeri Sunan Gunung Djati, Bandung, Indonesia.)
Enung Nurhayati (Jurusan Matematika, Fakultas Sains dan Teknologi, Universitas Islam Negeri Sunan Gunung Djati, Bandung, Indonesia.)

JURNAL ISTEK
Vol 8, No 1 (2014): ISTEK

An outlier in the Capital Asset Pricing Model (CAPM) is detected using Least Trimmed Squares (LTS), in order to obtain a robust estimation against outliers without discarding existing data, so it can be considered by investors to make informed decisions in determining the allocation of capital and investment in a company. To detect outlier on the Capital Asset Pricing Model (CAPM) using the Least Trimmed Squares (LTS), Capital Asset Pricing Model (CAPM) to be transformed into a simple linear regression equation.