PENENTUAN HARGA ASET PADA LIQUIDITY-ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM); ASSET PRICING ON LIQUIDITY-ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)
Aryanto, Rio Rizki, Rosadi, Dedi
2015 | Skripsi | FMIPA UGMNot all of the assets in the capital market can be sold quickly. Liquidity is a measure that describe the ease of an assets can be sold quickly in capital market. Illiquid asset is an asset that can not be sold quickly in the market due to lack of interested buyer. Liquidity risk describe stockholder’s risk when holding an illiquid asset before selling it willingly below market price. Liquidity of an asset represented by liquidity cost and liquidity risk where these two factor effect the price of an asset. Liquidity-Adjusted Capital Asset Pricing Model (LCAPM) is a model which using liquidity risk to determine expected return of an asset. In LCAPM covariance beetwen asset’s liquidity and market’s liquidity, covariance beetwen asset’s return and market’s liquidity and last covariance beetwen asset’s liquidity and market’s return are used as proxy of liquidity risk. LCAPM show how liquidity effect the price of an asset. LCAPM is a model of development from Capital Asset Pricing Model (CAPM). This work provide LCAPM’s portfolio to be compared with CAPM’s portfolio to show which is having higher expected return. The result show LCAPM’s portfolio deliver higher expected return than CAPM’s portofolio.
Kata Kunci : Liquidity; Liquidity Risk; CAPM; Asset; Portfolio; Return
