Hubungan kondisional beta-return :: Studi pada Bursa Efek Indonesia periode 2004-2009

YULIANTO, Fajar, Suad Husnan, Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Capital Asset Pricing Model (CAPM) yang diperkenalkan oleh Sharpe, Lintner, dan Black (SLB Model), menyatakan bahwa, return yang diestimasi (expected return) atas suatu sekuritas merupakan fungsi linear positif dari tiga variabel: beta (covariance antara return sekuritas tersebut dan return pasar), tingkat bunga bebas risiko, dan return pasar yang diestimasi. Dalam model tersebut, untuk setiap tambahan unit dalam beta, maka ada tambahan yang sama dalam return suatu sekuritas. CAPM juga menyatakan bahwa beta cukup untuk menjelaskan cross-section dari expected return. Beta tersebut merupakan ukuran risiko dari suatu sekuritas yang dikuantitatifkan. Setelah penelitian Fama dan Macbeth (1973), yang hasilnya mendukung CAPM, penelitian-penelitian sejenis yang hasilnya membantah CAPM mulai bermunculan. Penelitian Chen, Roll, dan Ross (1986) menginginkan variabel-variabel makroekonomi yang menjadi risiko sistematis suatu sekuritas. Penelitian Lakonishok dan Shapiro (1986) menginginkan diikutsertakannya ukuran-ukuran nonsistematis dalam menentukan risiko. Penelitian Fama dan French (1992) mengindikasikan tidak adanya hubungan sistematis antara beta dengan return. Akhirnya, Gienti N. Pettengill, Sridhar Sundaram, dan Ike Mathur (1995), menemukan bahwa inkonsistensi hubungan linear positif beta-return adalah sebagai hasil dari agregasi return selama periode pasar dalam kondisi down dan up. Periode kondisi down ialah periode dimana market excess return, yaitu return pasar minus risk-free rate, bernilai negatif. Periode kondisi up ialah ketika market excess return bernilai positif. Menurut mereka, CAPM tidak menjamin bahwa return pasar selalu di atas return risk-free rate, sehingga dalam periode dimana market excess return negatif, akan terjadi hubungan beta-return berkebalikan dengan periode dimana market excess return positif. Jadi, ketika kondisi pasar down, portofolio dengan beta tinggi akan memperoleh return yang lebih sedikit dibanding portofolio dengan beta rendah. Hal ini menyebabkan agregasi return dan akhirnya hasil pengujian CAPM menunjukkan beta kurang efisien dan kurang lengkap sebagai ukuran risiko. Hubungan linear antara beta-return terbukti ketika pengujian dimodifikasi untuk mengakomodasi hubungan kondisional, yaitu dengan melakukan regresi beta dan realized return serta dihubungkan dengan kondisi pasar saat pengujian, apakah up atau down. Penelitian pada Bursa Efek Indonesia (BEI) dengan menggunakan pendekatan ini, menunjukkan bukti adanya hubungan linear antara beta dan return. Ketika tidak dibedakan kondisi pasar periode pengujian, tidak terdapat hubungan linear antara beta dan return. Hal ini membuktikan pendapat yang diungkapkan Pettengill et al.

Capital Asset Pricing Model (CAPM) that was introduced by Sharpe, Lintner, and Black (SLB Model), said that, expected return on a security was the linear function positive of three variables: beta (the covariance of asset return and market return), the risk-free rate, and the expected market return. This assertion implies that for each addition unit in the beta of securities, then there is an additional same unit in the return of the securities. CAPM also stated that beta was enough to explain cross-section from expected returns. Beta is the quantitative measurement of securities' risk. After the research of Fama and Macbeth (1973), which results supported CAPM, similar researches that results denied CAPM began to be springing. The research of Chen, Roll, and Ross (1986) wanted macroeconomics variables that became the systematic risk of a security. The research of Lakonishok and Shapiro (1986) wanted the unsystematic measurements was included in determining the risk. The research of Fama and French (1992) indicated the nonexistence of systematic relations between beta and return. Finally, Gienti N. Pettengill, Sridhar Sundaram, and Ike Mathur (1995), found that inconsistency of positive linear relationship beta-return was as results of return aggregation during period the market in the condition down and up. The period of the condition down was the period where market excess return, that is return market minus risk-free rate, was negative. The period of the condition up was when market excess return was positive. According to them, in the period where market excess return the negative, the relation of beta-return was inverse with the period where market excess return positive. So, when down condition, the realized returns for high beta portfolios will be lower than the realized returns for low beta portfolios. It causes return aggregation and at last the CAPM research reported that beta lacks efficiency and completeness as a measure of risk. Linear relations between beta-return was proven when the test was modified to account for conditional relationship, that is by regression beta and realized return of portfolios while introduced to condition of the market, either market was up or down. The research to the Indonesian Stock Exchange (BEI) that used this approach, showed existence proof of linear relations between beta and return. When the condition for the period market of the testing was not distinguished, there was not linear relations between beta and return. This proved the opinion that was revealed by Pettengill et al.

Kata Kunci : Beta,return,Capital asset pricing model (CAPM),Bursa Efek Indonesia