IARJ

Capital Assets Pricing Model (CAPM), and Downside Capital Assets Pricing Model (D-CAPM) (The Comparison of Predicting Return on Indonesian Stock Exchange)

Published

Capital Assets Pricing Model (CAPM),and Downside Capital Assets Pricing Model (D-CAPM)

(The Comparison of Predicting Return on Indonesian Stock Exchange)

 

Widyahayu Warmmeswara Kusumastati

(Jenderal Soedirman University)

Jogiyanto Hartono

(Gadjah Mada University)

 

ABSTRACT

Many parties argued the ability of Capital Asset Pricing Model in predicting return. It is because of beta as the only variable that measure systematic risk of securities. Beta gives weight to upside and downside volatility of return to security market line. Actually, investors like upside volatility and dislike downside volatility. Based on this reality, is beta still relevant as the risk measurer of return? Meanwhile, downside beta tries to measure risk below the security market line. This research tried to prove whether downside beta has more influence to mean return than beta does, Furthermore, it also tried to prove the ability of downside Capital Market Pricing Model in predicting return of the stocks.This research was done to 50 companies listed on Indonesian Stock Exchange during 2000-2004. It was resulted that downside beta did not has significance influence to mean return and Downside Capital Asset Pricing Model can not predict return better than Capital Asset Pricing Model does.

 

Keywords : Beta, Downside Beta, Capital Pricing Model, and Downside Capital Asset Pricing Model


Pemilik: Dr. Priyo Sajarwo Y., M.Si., CA., Akt.


Direktur: Dr. Junaidi, M.Si., CA., Ak., CSRS


Mitra Bestari

  1. Prof. Dr. Abdul Halim, MBA., Akt. (Universitas Gadjah Mada)
  2. Prof. Dr. Gudono, MBA., Akt. (Universitas Gadjah Mada)
  3. Dr. Meinarni Asnawi, M.Si., Akt. (Universitas Cenderawasih )
  4. Dr. Luciana Spica Almilia, M.Si. Akt., CMA., CFA.(STIE Perbanas Surabaya)
  5. Dr. Syukriy Abdullah, M.Si., Akt. (Universitas Syiah Kuala)
  6. Dr. Negina Kencono Putri, M.Si., Akt. (Universitas Jendral Soedirman)
  7. Dr. (cand.)Icuk Rangga Bawono, M.Si., MH., Akt., CA. (Universitas Jendral Soedirman)
  8. Dr. (cand.) Yavida Nurim, M.Si. Akt.(Universitas Janabadra)
  9. Dr. Sri Suryaningsum, M.Si., Akt. (UPN Veteran Yogyakarta)
  10. Dr. I Made Narsa, M.Si., Akt., CMA. (Universitas Airlangga)
  11. Dr. (cand.) Denies Priantinah, M.Si., Akt., CA, (Universitas Negeri Yogyakarta)
  12. Dr. Susi Dwimulyani, MM. Akt. (Universitas Trisakti)
  13. Dr. Khomsiyah, M.Si., Akt. (Universitas Trisakti
  14. Dr. Rahmat Febrianto, M.Si. Akt. (Universitas Andalas)
  15. Dr. Atika Jauharia Hatta, M.Si., Akt. (STIE YKPN)
  16. Yuliansyah, M.S.A., Ph.D, Akt, CA (Universitas Lampung)
  17. Dr. Efraim Ferdinan Giri, M.Si., Akt.(STIE YKPN)