Analisis Perbandingan Capital Asset Pricing Model (CAPM) dan Fama and French Three Factors Model dalam Keputusan Investasi

Abstract

Abstract. Diversification is done by estimating returns and risks using the Capital Asset Pricing Model (CAPM) and the Fama and French Three Factors Model portfolio. CAPM is used to describe the relationship between expected return and risk of an asset with market risk factors, while the Fama and French Three Factors Model extends the CAPM factors by adding SMB and HML. This study aims to analyze and compare the differences in the ability of the portfolio model using the CAPM and FFTFM in estimating the expected return of stocks that will be used as investment decisions. The samples of this study were 30 companies in the infrastructure, utility and transportation sectors for the period 2015-2019. Hypothesis testing is done by using the One Way Anova difference test and the Independent Sample t-Test. The results of this study conclude that there is no difference in the expected return between comparisons using the CAPM and FFTFM and based on the average stock comparison analysis using the CAPM and FFTFM in a case study of shares in the Infrastructure, Utilities, and Infrastructure sectors. Transportation for the 2015-2019 period of expected return of these stocks, CAPM is considered better than FFTFM in determining investment decisions.

Keywords: Investment Decisions, Capital Asset Pricing Model (CAPM), Fama and French Three Factors Model, Expected Return.

Abstrak. Diversifikasi dilakukan dengan mengestimasi return dan risiko dengan menggunakan model portofolio Capital Asset Pricing Model (CAPM) dan Fama and French Three Factors Model. CAPM digunakan untuk menggambarkan hubungan expected return dan risiko dari suatu aset dengan faktor risiko pasar sementara Fama and French Three Factors Model memperluas faktor yang dimiliki CAPM dengan menambah SMB dan HML. Penelitian ini bertujuan untuk menganalisis dan membandingkan perbedaan kemampuan model portofolio menggunakan CAPM dan FFTFM dalam mengestimasi expected return dari saham-saham yang akan dijadikan sebagai keputusan investasi. Sampel penelitian ini sebanyak 30 perusahaan sektor Infrastruktur, Utilitas, dan Transportasi periode 2015-2019. Pengujian hipotesis dilakukan dengan menggunakan uji beda One Way Anova dan Independent Sampel t-Test. Hasil penelitian ini menyimpulkan bahwa tidak adanya perbedaan dalam estimasi expected return antara perbandingan menggunakan CAPM dan FFTFM dan berdasarkan rata-rata analisis perbandingan saham menggunakan CAPM dan FFTFM pada studi kasus saham sektor Infrastruktur, Utilitas, dan Transportasi periode 2015-2019 expected return dari saham tersebut, CAPM dianggap lebih baik daripada FFTFM dalam menentukan keputusan investasi.

Kata Kunci: Keputusan  Investasi, Capital Asset Pricing Model (CAPM), Fama and French Three Factors Model, Expected Return.