single index model (sim) &capital asset pricing model (capm) by arshad liantono
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![Page 1: Single Index Model (SIM) &Capital Asset Pricing Model (CAPM) by Arshad Liantono](https://reader037.vdocument.in/reader037/viewer/2022102516/55c45c1bbb61ebca5b8b4638/html5/thumbnails/1.jpg)
Single Index Model (SIM) &Single Index Model (SIM) &Capital Asset Pricing Model (CAPM)Capital Asset Pricing Model (CAPM)Single Index Model (SIM) &Single Index Model (SIM) &Capital Asset Pricing Model (CAPM)Capital Asset Pricing Model (CAPM)
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Single Index Model Single Index Model (SIM)(SIM)
Sekuritas berfluktuasi searah dengan indeks harga pasar
Return sekuritas ◦Return unik yang independen terhadap pasar
◦Return yang berhubungan dengan pasar
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Return Ekspektasi dan Risiko Sekuritas
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ContohContoh
Periode
RA RM
2012 0.060 ?
2013 0.077 ?
2014 0.095 ?
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Return dan Risiko PortofolioReturn dan Risiko Portofolio
ERB = Excess Return to Beta
ERB dalam portofolio yang lebih tinggi
A B C
R 0.2 0.15 0.17
α 0.04 0.06 0.02
β 1.1 0.9 0.5
w 50% 50% 50%
σei2 0.003
0.002 0.002
σM2 0.0055
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CAPMCAPMPremium Risiko =Tambahan return yang dituntut oleh pasar karena kenaikan risiko portofolio terhadap pasar
Harga pasar risiko = Ex: 1.6 setiap tambahan risiko 1% akan diminta tambahan return sebesar 1.6
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Contoh:Suku bunga deposito 7% beta saham A dengan pasar selama 3 tahun adalah 1,1 sedangkan saham B adalah 0,8. Hitunglah ER dari masing-masing saham!Evaluasi sahamER > R OvervaluedER < R UndervaluedER = R Titik keseimbangan
Undervalued baik
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Diketahui suku bunga deposito 8%
risiko portofolio 10%
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KuisKuisBerikut ini adalah data harga
saham A dan suku bunga SBI pada beberapa periode
Hitunglah Return Ekspektasi berdasarkan SIM dan CAPM!
Tahun Harga Saham
SBI
2010 7.500 6%
2011 6.900 6%
2012 7.100 7%
2013 6.800 7%
2014 7.300 7.5%