Reassessment of CAPM’s Relative Accuracy: Comparative Study with Actual Price Movement Using Moving Average on the Indonesian Stock Exchange (2019-2022)

Fajarini, Nurfahma (2023) Reassessment of CAPM’s Relative Accuracy: Comparative Study with Actual Price Movement Using Moving Average on the Indonesian Stock Exchange (2019-2022). Tesis (S2) - thesis, UNIVERSITAS BAKRIE.

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Abstract

This study aims to investigate the accuracy of the Capital Asset Pricing Model (CAPM) in predicting stock returns on the Indonesian Stock Exchange (IDX) during the period of 2019 to 2022. The objectives of the research are to benefit the individuals and communities such as enhancing individuals’ decision-making in predicting stock returns, advancing community understanding of financial markets, and contributing new investment insight for societal benefits. The sample comprises 45 selected stocks out of more than 700 stocks, using K-Means Clustering to ensure a diverse and representative dataset. The selected stocks were predominantly from the Energy sector (14), followed by Consumer Non-Cyclicals (9), Basic Materials (6), Healthcare (5), Industrials (3), Financials (3), and other sectors with one stock each. In order to assess the accuracy of the CAPM, this analysis was conducted by comparing the predictive capabilities of CAPM with the Moving Average (MA) method. The study’s findings demonstrate that the CAPM is effective in predicting stock returns, as the suggested decisions based on the CAPM results are 87% aligned with the price movements observed in the MA analysis, which means this analysis validates the accuracy of the CAPM and demonstrate the value of incorporating multiple analytical methods to strengthen the accuracy of financial predictions. Although the CAPM method also identified as a good predictor for the portfolio during the economic recovery, it still needs wider analysis from another aspect to build better investment strategies. These findings differ from certain researchers who argue against the effectiveness or accuracy of CAPM when compared to alternative models. This contrast reinforces the relative accuracy of CAPM within the scope of this study.

Item Type:	Thesis (Tesis (S2) - )
Uncontrolled Keywords:	Capital Asset Pricing Model, Moving Average, Indonesian Stock Exchange, Investment, Financials, Data Analyst
Subjects:	Business Management > Business Plan > Business Finance Thesis > Thesis (S2)
Divisions:	Fakultas Ekonomi dan Ilmu Sosial > Program Studi Magister Management
Depositing User:	Nurfahma Fajarini
Date Deposited:	17 Nov 2023 04:18
Last Modified:	17 Nov 2023 04:18
URI:	http://repository.bakrie.ac.id/id/eprint/8822

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