Capital Asset

Pricing Model
KADEK ARY WIDYAWATI
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10 Saham dengan Kinerja Terbaik Tahun 2018
Grafik Pergerakan Harga 4 Saham VS IHSG

30000

25000

20000

15000

10000

5000

PTBA PGAS BBCA ICBP IHSG

 CAPM PTBA
Regresion Beta PTBA 0,707708
Daily Market Return 0,032%
Annual Market Return (Rm) 12,42%
Regresi HPR PTBA VS HPR IHSG
Risk Free Rate (Rf) 4,87% 0.1

Cost of Equity = Rf + β*(Rm – Rf) 10,21% 0.05

0
-0.05 -0.04 -0.03 -0.02 -0.01 0 0.01 0.02 0.03

Beta PTBA Reuters 1,82 -0.05

Cost of Equity = Rf + β*(Rm – Rf) 18,61% -0.1

-0.15
y = 0,7077x + 0,0003
-0.2 R² = 0,0447

-0.25
 CAPM PGAS
Regresion Beta PGAS 1,488862
Daily Market Return 0,032%
Annual Market Return (Rm) 12,42%
Risk Free Rate (Rf) 4,87%
Regresi HPR PGAS VS HPR IHSG
Cost of Equity = Rf + β*(Rm – Rf) 16,11% 0.25

0.2
y = 1,4889x - 0,0012
R² = 0,1441 0.15

0.1
Beta PGAS Reuters 1,88
0.05

Cost of Equity = Rf + β*(Rm – Rf) 19,06% 0

-0.05 -0.04 -0.03 -0.02 -0.01 0 0.01 0.02 0.03
-0.05

-0.1

-0.15

-0.2

-0.25
 CAPM BBCA
Regresion Beta BBCA 0,850794
Daily Market Return 0,032%
Annual Market Return (Rm) 12,42%
Risk Free Rate (Rf) 4,87%
Cost of Equity = Rf + β*(Rm – Rf) 11,29%

Regresi HPR BBCA VS HPR IHSG

0.06

Beta BBCA Reuters 1,09

y = 0,8508x + 0,0007 0.04

Cost of Equity = Rf + β*(Rm – Rf) 13,10% R² = 0,2716

0.02

0
-0.05 -0.04 -0.03 -0.02 -0.01 0 0.01 0.02 0.03

-0.02

-0.04

-0.06
 CAPM ICBP
Regresion Beta ICBP 0,862893
Daily Market Return 0,032%
Annual Market Return (Rm) 12,42%
Risk Free Rate (Rf) 4,87%
Cost of Equity = Rf + β*(Rm – Rf) 11,38% Regresi HPR ICBP VS HPR IHSG
0.08

0.06
y = 0,8629x - 4E-05
Beta ICBP Reuters 1,17 R² = 0,2334 0.04

Cost of Equity = Rf + β*(Rm – Rf) 13,70% 0.02

0
-0.05 -0.04 -0.03 -0.02 -0.01 0 0.01 0.02 0.03
-0.02

-0.04

-0.06

-0.08
Summary CAPM dari 4 Saham

Saham CAPM dari Beta Manual CAPM dari Beta Reuters

PTBA 10,21% 18,61%
PGAS 16,11% 19,06%
BBCA 11,29% 13,10%
ICBP 11,38% 13,70%
TERIMA KASIH