ANALISIS PENGARUH BETA TERHADAP RETURN SAHAM MENGGUNAKAN UNCONDITIONAL APPROACH DAN CONDITIONAL APPROACH (Studi Kasus pada Perusahaan yang Tergabung di Jakarta Islamic Index Periode Tahun 2013-2016)
Abstract: The relationship
between beta and return has always been
a controversy in various studies. Many
studies proves that the Capital Asset Pricing Model (CAPM) model is able to
describe the variation of returns caused by beta. But several studies deny that
beta can not be used as a basis for estimating return. This study aims to
analyze the relationship between beta and return as a validity test of Capital
Asset Pricing Model (CAPM) theory using the Unconditional and Conditional
approach.
The population in
this study are
all companies listed
on Indonesian Stock Exchage which are included on Jakarta
Islamic Index in period 2013-2016 and took 8 companies as a research sample .
The secondary data of this research is obtained from Yahoo Finance and official
website of Bank Indonesia. The analytical method used in this research is
simple linear regression model with SPSS 24 program.
The result of this research explains that beta has a significant positive
effect to stock returns using
unconditional approach while
another approach, conditional approach, explains that beta has
a significant positive effect to stock returns during market risk premium
positive (up market) and an insignificant positive effect during market risk
premium negative (down market)
Keywords: Stock return, Beta,
Market Risk Premium, Unconditional Approach, Conditional Approach
Penulis: Aisyah Intan Puji
Astuti, Sugeng Wahyudi
Kode Jurnal: jpmanajemendd180402
