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Regression Statistics
Multiple R
0.364208289
R Square
0.132647678
Adjusted R Square
0.117693328
Standard Error
0.077508167
Observations
60
ANOVA
df
Regression
Residual
Total
SS
MS
F
Significance F
1 0.053288 0.053288 8.870173 0.004226
58 0.348436 0.006008
59 0.401724
Intercept
rm-rf
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
Predicted rmsft-rf
0.058216146
0.087176715
0.037797902
0.014983641
0.057278573
-0.034395171
0.061237212
0.037277029
-0.00428868
0.027172082
-0.028561388
0.132701063
-0.005330427
0.02800548
-0.006372174
0.044569259
0.020296551
-0.000850915
0.056341001
-0.006163825
0.026859558
0.01894228
Residuals
0.24101
-0.03466
-0.01965
-0.08729
0.046658
-0.03869
0.012683
0.118123
0.043672
0.023229
0.060775
0.007237
0.080679
-0.00156
-0.03759
-0.11739
0.074318
-0.13451
-0.03087
0.034953
0.05457
0.081366
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
0.050298868
0.028318004
0.022796744
0.029359751
0.037381204
-0.010434988
0.043423337
0.018421406
0.010191604
0.054674205
0.007170538
0.036443631
0.005191218
0.02800548
0.049882169
-0.012726832
-0.030540707
0.028318004
0.031234896
-0.011372561
0.049152946
0.056132651
-0.011372561
0.037485378
-0.024498574
0.028213829
0.040298096
0.053840808
0.043631686
0.043319162
0.053111585
0.037172854
0.047590325
0.015504515
0.0567577
0.009045683
0.059049543
0.031755769
-0.00348
-0.11424
-0.01198
-0.06763
0.069498
-0.06764
0.037652
-0.0708
-0.17168
-0.04204
0.088472
-0.06749
-0.00919
-0.02256
0.003435
-0.02015
0.054507
0.061072
0.127727
-0.03117
-0.05447
0.068905
-0.02673
0.081109
0.018894
-0.06044
-0.07313
0.003122
0.080816
0.101585
-0.02255
0.025313
-0.05076
0.001895
-0.08268
0.091227
-0.19195
-0.02954
Upper 95.0%
0.038751
1.74191
40.00%
30.00%
rmsft-rf
20.00%
-6.00%
10.00%
-4.00%
0.00%
-2.00% 0.00%
2.00%
4.00%
-10.00%
-20.00%
rm-rf
rmsft-rf
Predicted rmsft-rf
4.00%
6.00%
8.00%
10.00% 12.00%
Nonfactor risk ( 2 )
Factor Sensitivity ( )
Security
A
B
0.2
3.5
portfolio
49
100
2.18
Portfolio's factor risk
portfolio's non factor risk
portfolio's Standard deviation
a.
b.
c.
Close Price
Jan-91
Feb-91
Mar-91
Apr-91
May-91
Jun-91
Jul-91
Aug-91
Sep-91
Oct-91
Nov-91
Dec-91
Jan-92
Feb-92
Mar-92
Apr-92
May-92
Jun-92
Jul-92
Factor SD ( )
0.4
15
0.6
=C3*E3+C4*E4
1,069.29 =C8^2*F3^2
43.84 =E3^2*D3+E4^2*D4
33.36 =SQRT(E9+E10)
rm
21.81
23.06
23.58
22.00
24.39
22.71
24.50
28.42
29.67
31.29
32.42
37.08
40.00
41.17
39.50
36.75
40.33
35.00
36.00
proportion
rf
4.42%
7.16%
2.38%
0.28%
4.28%
-4.57%
4.68%
2.35%
-1.64%
1.34%
-4.04%
11.43%
-1.86%
1.28%
-1.96%
2.91%
0.54%
-1.45%
4.03%
0.52%
0.48%
0.44%
0.53%
0.47%
0.42%
0.49%
0.46%
0.46%
0.42%
0.39%
0.38%
0.34%
0.28%
0.34%
0.32%
0.28%
0.32%
0.31%
rm-rf (1)
3.90%
6.68%
1.94%
-0.25%
3.81%
-4.99%
4.19%
1.89%
-2.10%
0.92%
-4.43%
11.05%
-2.20%
1.00%
-2.30%
2.59%
0.26%
-1.77%
3.72%
M. Bima Adinugraha D.
1306497182
( + )
rmsft
price des 90
30.44%
16.72
5.73%
2.25%
-6.70%
10.86%
-6.89%
7.88%
16.00%
4.40%
5.46%
3.61%
14.37%
7.87%
2.93%
-4.06%
-6.96%
9.74%
-13.22%
2.86%
rmsft-rf (2)
29.92%
5.25%
1.81%
-7.23%
10.39%
-7.31%
7.39%
15.54%
3.94%
5.04%
3.22%
13.99%
7.53%
2.65%
-4.40%
-7.28%
9.46%
-13.54%
2.55%
Aug-92
Sep-92
Oct-92
Nov-92
Dec-92
Jan-93
Feb-93
Mar-93
Apr-93
May-93
Jun-93
Jul-93
Aug-93
Sep-93
Oct-93
Nov-93
Dec-93
Jan-94
Feb-94
Mar-94
Apr-94
May-94
Jun-94
Jul-94
Aug-94
Sep-94
Oct-94
Nov-94
Dec-94
Jan-95
Feb-95
Mar-95
Apr-95
37.13
40.25
44.38
46.56
42.69
43.25
41.69
46.25
42.75
46.31
44.00
37.00
37.56
41.25
40.06
40.00
40.31
42.56
41.25
42.35
46.25
53.75
51.63
51.50
58.13
56.13
63.00
62.88
61.13
59.38
63.00
71.13
81.75
-2.02%
1.15%
0.36%
3.37%
1.31%
0.73%
1.35%
2.15%
-2.45%
2.70%
0.33%
-0.47%
3.81%
-0.74%
2.03%
-0.94%
1.23%
3.35%
-2.70%
-4.35%
1.30%
1.63%
-2.47%
3.31%
4.07%
-2.41%
2.29%
-3.67%
1.46%
2.60%
3.88%
2.96%
2.91%
0.26%
0.26%
0.23%
0.23%
0.28%
0.23%
0.22%
0.25%
0.24%
0.22%
0.25%
0.24%
0.25%
0.26%
0.22%
0.25%
0.23%
0.25%
0.21%
0.27%
0.27%
0.32%
0.31%
0.28%
0.37%
0.37%
0.38%
0.37%
0.44%
0.42%
0.40%
0.46%
0.44%
-2.28%
0.89%
0.13%
3.14%
1.03%
0.50%
1.13%
1.90%
-2.69%
2.48%
0.08%
-0.71%
3.56%
-1.00%
1.81%
-1.19%
1.00%
3.10%
-2.91%
-4.62%
1.03%
1.31%
-2.78%
3.03%
3.70%
-2.78%
1.91%
-4.04%
1.02%
2.18%
3.48%
2.50%
2.47%
3.14%
8.40%
10.26%
4.91%
-8.31%
1.31%
-3.61%
10.94%
-7.57%
8.33%
-4.99%
-15.91%
1.51%
9.82%
-2.88%
-0.15%
0.78%
5.58%
-3.08%
2.67%
9.21%
16.22%
-3.94%
-0.25%
12.87%
-3.44%
12.24%
-0.19%
-2.78%
-2.86%
6.10%
12.90%
14.93%
2.88%
8.14%
10.03%
4.68%
-8.59%
1.08%
-3.83%
10.69%
-7.81%
8.11%
-5.24%
-16.15%
1.26%
9.56%
-3.10%
-0.40%
0.55%
5.33%
-3.29%
2.40%
8.94%
15.90%
-4.25%
-0.53%
12.50%
-3.81%
11.86%
-0.56%
-3.22%
-3.28%
5.70%
12.44%
14.49%
May-95
Jun-95
Jul-95
Aug-95
Sep-95
Oct-95
Nov-95
Dec-95
84.69
90.38
90.50
92.50
90.50
100.00
87.13
87.75
3.95%
2.35%
3.33%
0.27%
4.19%
-0.35%
4.40%
1.85%
0.54%
0.47%
0.45%
0.47%
0.43%
0.47%
0.42%
0.49%
3.41%
1.88%
2.88%
-0.20%
3.76%
-0.82%
3.98%
1.36%
3.60%
6.72%
0.13%
2.21%
-2.16%
10.50%
-12.87%
0.71%
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.364208289
R Square
0.132647678
Adjusted R Square
0.117693328
Standard Error
0.077508167
Observations
60
ANOVA
df
Regression
Residual
Total
Intercept
rm-rf
3.a
3.b
1
58
59
SS
MS
0.053287707 0.053287707
0.348435923 0.006007516
0.401723629
Coefficients
0.017588009
1.041747098
Standard Error
t Stat
0.010572217 1.663606538
0.349781028
2.9782836
Adjusted R-square
1.041747098
0.117693328
F
Significance F
8.870173201
0.004226197
P-value
0.101585781
0.004226197
3.06%
6.25%
-0.32%
1.74%
-2.59%
10.03%
-13.29%
0.22%
length
Short term
Intermediate term
long term
rf
5.13%
5.50%
6.00%
rm-rf
8.40%
7.40%
7.00%
Re=rf+(rm-rf)
4
5
6
7
8
13.88% =E102+(E98*F102)
13.21% =E103+(E98*F103)
13.29% =E104+(E98*F104)
Hasil yang didapat berbeda karena terdapat perbedaan nilai risk free rate dan market
risk premium diantara masing-masing periode waktu
Salah satu asumsi dasar penggunaan CAPM adalah semua investor berencana
menggunakan satu periode waktu tertentu