JURNAL KLKP

Pemilihan Model Asset Pricing: Studi Empiris Emiten Non-Keuangan (from http://rowlandpasaribu.wordpress.com)

Abstract 

The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining the price movements in the stock exchange. The Arbitrage Pricing Theory (APT) has been proposed as the first multifactor successor to the CAPM without being a real success. Later, researchers support that average stock returns are related to some fundamental factors such as size, book-to-market equity and momentum. Alternative studies come as a response to the poor performance of the standard CAPM. They argue that investors choose their portfolio by using not only the first two moments but also the skewness and kurtosis. The main contribution of this paper is comparison between the CAPM, the Fama and French asset pricing model (TPFM) and the Four Factor Pricing Model (FFPM) adding the third and fourth moments to calculate expected return of non-financial Indonesian listed firms. The selection of the best model is based on the highest coefficient of determination. The kurtosis-FFPM turned out to be the best model.

Kesimpulan

Penelitian ini bertujuan untuk mengetahui model asset pricing yang terbaik dari sembilan model yang ada berdasarkan indikator koefisien determinasi guna mengestimasi tingkat pengembalian saham yang diharapkan pada emiten saham non-keuangan di BEI periode 2003-2006. Dalam hal menetapkan kinerja model yang terbaik untuk mengestimasi biaya ekuitas, penelitian ini menggunakan dua pendekatan (kriteria informasi dan kemampuan menjelaskan variasi) memberikan hasil hasil yang bertolak belakang satu sama lain perihal penambahan moment ke dalam pembentukan model asset pricing dengan pendekatan kriteria informasi model terbaik adalah model CAPM empat moment (SCAPM). Berdasarkan kriteria koefisien
determinasi dapat disimpulkan bahwa secara umum penggunaan model asset pricing 4 faktor memang lebih superior dibanding dua model lainnya (3 faktor dan 1
faktor) dilihat dari rata-rata koefisien determinasi agregate ataupun setiap portofolio yang terbentuk.
Bahkan semakin dipertegas setelah menambahkan faktor skewness dan kurtosis ke dalam model. 

Sumber Jurnal: http://rowlandpasaribu.wordpress.com/jurnalku/pemilihan-model-asset-pricing-studi-empiris-emiten-non-keuangan/  (7/4/2013 at 21:00 pm)