| dc.description.abstract | The purpose of this research is to analyze and estimate the portfolio construction in Indonesia Stock Exchange (IDX) using Capital Asset Pricing Model (CAPM). CAPM is one of important literature in financial development. CAPM explain the relationship between risk and expected return. The samples for this research obtained from stock returns KOMPAS100 index and computed periodically from August 2009 until July 2014.
The evaluation of CAPM model is done with monthly data selection from 45 qualified companies stocks and 5 portfolio made based on adjusted beta. Each portfolio consists of 9 variety stocks chosen through ranking method. Risk free rate data using Certificate of Bank Indonesia (SBI) interest rate.
The result shows that intercept, beta square, and unique risk from 2nd – 5th portfolio are not significant. This result corresponds with CAPM validity, but their beta (slope) do not have significant result. In 1st portfolio, beta has significant result but in negative form, this is different with the hypothesis which evaluates CAPM validity. | en_US |
