Model Penentuan Harga Asset: Perbandingan Model Pasar dan Model Multifaktor

KOMALA, DEA ANINDITA (Adv.: Suad Husnan, Dr., M.B.A.), Suad Husnan, Dr., M.B.A.

2012 | Skripsi | S1 Management

Untuk menentukan harga suatu aset, ada dua model yang sering digunakan investor, yaitu Model Pasar dan Model Multifaktor. Penelitian ini bertujuan untuk menghasilkan bukti empiris penentuan harga aset dengan membandingkan model pasar dan model multifaktor. Periode sampel dimulai dari Januari 2007 sampai Desember 2010. Sampel terdiri dari 40 saham perusahaan yang aktif diperdagangkan pada setiap sektor. Teknik analisis data dalam penelitian ini menggunakan regresi Ordinary Least Square dengan bantuan program Eviews 4.0. Pengujian hipotesis dilakukan dengan empat model pengujian yaitu Multiple Regression Model, Model Multifaktor Makro, Model Indeks Tunggal Pasar dan Model Makro-Pasar.

Hasil analisis menunjukkan bahwa Model Pasar masih merupakan model yang paling dapat menjelaskan return suatu saham, karena di dalam Model Pasar sudah terkandung informasi yang relevan yaitu faktor-faktor makroekonomi. Hasil analisis ini mendukung teori Model Pasar, bahwa return saham sepenuhnya dipengaruhi oleh risiko pasar.

To determine the price of an asset, there are two models are often used by investor, the Market Model and Multifactor Models. The aims of this research is to provide empirical evidence of asset pricing model by comparing the market model and multifactor models. Sampel period starts on January 2007 to December 2010. Sampel consist of 40 actively traded of companies in each sector. Technival analysis that is being used to estimate the regression in this research is Ordinary Least Square Method with the use of Eviews 4.0 statistical software. The hypothesis is done by testing the four models of Multiple Regression Model, Multifactor Macro Model, Single Index Market Model and Macro-Market Model,

The findings imply that Market Model is still the most models that can explain the return of stock, because in the Market Model already contained the information that is relevant macroeconomic factors. The result of this analysis support the theory of market models, that stock returns are affected by market risk entirely.

Kata Kunci : Market Model, Multifactor Models, Return Market, Individual Stock Return, Model Pasar, Model Multifaktor, Return Pasar, Return Saham Individu