PENENTUAN RETURN EKSPETASI PADA PORTOFOLIO OBLIGASI MENGGUNAKAN LIQUIDITY-ADJUSTED CAPITAL ASSET PRICING MODEL; (STUDI KASUS PADA OBLIGASI PEMERINTAH INDONESIA) PRICING AN EXPECTED RETURN FOR BOND PORTFOLIO USING LIQUIDITY-ADJUSTED CAPITAL ASSET PRICING MODEL (STUDY CASE FOR INDONESIA GOVERMENT BOND)

ANGGORO, APRILITA EVARISKA, Dedi Rosadi

2016 | Skripsi | FMIPA

In the capital market, there are variety of assets that traded and not all of the assets can be sold quickly. Liquidity describe whether or not an asset is sold in the capital market quickly at reasonable price. Illiquid asset is an asset that can not be sold quickly in the capital market due to lack of interested buyer. The asset has a risk of the holder when holding the illiquid asset before selling it willingly below market price. Liquidity of an asset represented by liquidity cost and liquidity risk where both factors affect the expected return of an asset. Assets used are goverment bonds. Liquidity-Adjusted Capital Asset Pricing Model (LCAPM) is a model which using liquidity risk to determine return of an asset. In LCAPM liquidity risk is represented by three covariance, covariance between asset’s liquidity and market’s liquidity, covariance between asset’s return and market’s liquidity and last covariance between asset’s liquidity and market’s return. Measuring liquidity use bid-ask spread. By using the expected return LCAPM models will be formed bond portofolios for various maturities. This work provide LCAPM’s portfolio with bonds maturity period of 6 years as forming assets show higher expected return with smallest risk.

Kata Kunci : Bid-Ask Spread, Likuidity, Bond, Portfolio, LCAPM.