Proceeding of The International Conference on Science and Advanced Technology (ICSAT)

ISBN: 978-623-7496-62-5

Determination of Efficient Shares Using the Capital Asset Pricing

Model (CAPM) Method
Nurul Rahmah Dewi¹, Andi Besse Rafiana As², Nur Amanda Aprilia³,
Uhud Darmawan Natsir⁴
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Department of Management, Faculty of Economics, Makassar State University

Abstrak. This study aims to analyze investment decisions on IDX30 index stocks for the period
2018-2021 using the Capital Asset Pricing Model (CAPM) method. This type of quantitative
research is descriptive. The population in this study are companies listed on the Indonesia Stock
Exchange. The sample is all company shares listed in the IDX30 index for the period 2018-2021,
namely 19 company shares. Data collection techniques used are literature and documentation.
The data analysis technique used is the Capital Asset Pricing Model (CAPM). The results showed
that the systematic risk and the expected rate of return have a linear relationship and there are 12
company shares which are included in efficient shares and 7 company shares which include
inefficient shares.
Keywords: CAPM, IDX

INTRODUCTION

Globalization in the financial sector is one of the demands of economic development

in Indonesia and has an important role in driving the development of the capital market
in Indonesia. The business world in Indonesia, especially the investment sector, can be
said to be growing rapidly from time to time, this is indicated by the increasing number
of buying and selling shares by investors that occur in the capital market. The IHSG growth
in 2018-2022 has changed every month, for 2018 and 2019 the IHSG has not changed
significantly, but in 2020 it has decreased significantly due to the market response to
Covid-19, the IHSG market performance in early 2020 fell 18, 3%. According to the
Financial Services Authority (OJK), pressure on world capital markets was caused by three
external factors, namely the Covid-19 outbreak, oil price wars, and interest rate cuts by
the United States Federal Reserve (The Fed). Covid-19 as one of the negative sentiments
that continues to depress global economic performance and is getting stronger after the
World Health Organization (WHO) announced the status of Covid-19 as a global
pandemic.
The number of investors in Indonesia has increased every year in line with the
increasing public awareness of investing, which is supported by the development of
digital technology. Data from the Indonesian Central Securities Depository (KSEI) states
that as of August 2022 the number of capital market investors has exceeded 9.54 million
investors (KSEI, 2022). This number shot up 27.38% compared to December 2021 with
7.48 million investors. The surge in the number of capital market investors was mainly
supported by the number of mutual fund investors which jumped 25.56% to 8.86 million

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investors in August 2022. The increase was also recorded from investors in Government
Securities (SBN), which shot up 24.53% to 761,014 investors, and investors in stocks and
other securities rose 19.89% to 4.13 million investors.
The number of investors in Indonesia has increased every year in line with the
increasing public awareness of investing, which is supported by the development of
digital technology. Data from the Indonesian Central Securities Depository (KSEI) states
that as of August 2022 the number of capital market investors has exceeded 9.54 million
investors (KSEI, 2022). This number shot up 27.38% compared to December 2021 with
7.48 million investors. The surge in the number of capital market investors was mainly
supported by the number of mutual fund investors which jumped 25.56% to 8.86 million
investors in August 2022. The increase was also recorded from investors in Government
Securities (SBN), which shot up 24.53% to 761,014 investors, and investors in stocks and
other securities rose 19.89% to 4.13 million investors.
The large number of shares listed on the capital market makes investors have to
choose carefully if they want to invest among these stocks. Therefore, the Indonesia Stock
Exchange publishes a Stock Index, where the stock index is a statistical measure that
reflects the price of a group of stocks that are selected based on certain criteria and
methodologies and are evaluated periodically. Currently, the Indonesia Stock Exchange
has 42 stock indices, including the IDX30.
Capital Asset Pricing Model (CAPM) was pioneered by Willian Sharpe, John Litner, and
Jan Mossin in 1964-1966. The CAPM model is an important part in the financial sector
which is used to predict the balance of expected returns and risk of an asset in equilibrium
conditions. In an equilibrium condition, the required return for a stock will be affected by
the risk of the stock. The purpose of using the CAPM is to provide accurate predictions
regarding the relationship between the risk of an asset and the expected return, as well
as determining the price of an asset.
METHOD USED
The variable in this study is the analysis of the Capital Asset Pricing Model (CAPM)
method in making stock investment decisions on the IDX30 Index on the Indonesia Stock
Exchange for the 2018-2021 period. This study also uses secondary data sources collected
by documentation techniques. Operational definitions in this study include stock returns,
market returns, risk-free rates of return, systematic risk (beta), return expectations. The
population in this study are companies on the Indonesia Stock Exchange (IDX). In this
study used 19 samples. In this study using secondary data such as libraries,
documentation, or available reports, while data sources were obtained from the Indonesia
Stock Exchange through the websitewww.idx.co.id, www.yahoofinance.com,and BI rate
through the site www.bps.go.id.The data collection technique used in this study is the
documentation technique. The analytical method used in this research is descriptive
quantitative analysis.

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ACTIVITY IMPLEMENTATION AND RESULTS

The initial step in forming an optimal portfolio starts with determining the stocks
that are included in the IDX30 stock list. The selected stocks are stocks that consistently
appear during the study period, consisting of 19 company shares. Stocks included in the
optimal portfolio are stocks that have an expected return value greater than the riskfree
rate.
The stock price data studied is stock price data (closing price) at the end of each
transaction month during the 2018-2021 period. Other data needed in this study is data
on the Composite Stock Price Index (IHSG) which is data that represents market data from
reports on the Indonesian Stock Exchange (IDX), this is needed to calculate the rate of
market return (Rm) and measure the level of market risk. Furthermore, the data required
to calculate the risk-free market rate of return is used for one-month Bank Indonesia
Certificates (SBI) interest rates, arguing that the SBI interest rate is a risk-free certificate.
The calculation of the riskfree rate is carried out by averaging the SBI over the study
period.

a. Result of Individual Stock Return Rate Analysis (Ri)

The rate of return on individual stocks is one of the investors' considerations in
making an investment. This is one of the motivating factors for investors to invest and is
also a reward for the courage of investors to take risks.

Table 1. Results of Calculation of the Average Rate of Return on Individual Stocks (Ri)

No Code Company Name Ri

1 ADRO Adaro Energy Tbk. -0.0085
2 ANTM Aneka Tambang Tbk. 0.0480
3 ASII Astra International Tbk. 0.0001
4 BBCA Bank Central Asia Tbk. 0.0143
5 BBNI Bank Negara Indonesia (Persero) Tbk. -0.0005
6 BBRI Bank Rakyat Indonesia (Persero) Tbk. 0.0145
7 BBTN Bank Tabungan Negara (Persero) Tbk. 0.0053
8 BMRI Bank Mandiri (Persero) Tbk. 0.0048
9 GGRM Gudang Garam Tbk. -0.0190
10 HMSP HM Sampoerna Tbk. -0.0313
11 ICBP Indofood CBP Sukses Makmur Tbk. 0.0036
12 INDF Indah Kiat Pulp & Paper Tbk. 0.0016
13 INTP Indocement Tunggal Prakarsa Tbk. 0.0029
14 KLBF Kalbe Farma Tbk. 0.0065

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15 PGAS Medco Energi Internasional Tbk. 0.0069

16 SMGR Semen Indonesia (Persero) Tbk. 0.0197
Telekomunikasi Indonesia (Persero)
17 TLKM -0.0024
Tbk.
18 UNTR United Tractors Tbk. -0.0098
19 UNVR Unilever Indonesia Tbk. -0.0054
Data is processed

In table 1 there are 19 company shares in the IDX30 index which are the research
samples for the 2018-2021 period. The results of the analysis of these calculations
illustrate that shares of HMSP companies have the lowest average individual rate of return,
namely -0.0313 during the study period.
Meanwhile, the shares of the ANTM company had the highest average individual
return rate of 0.0480 in the study period. The calculation table above also shows that of
the 19 research samples, there are 12 company shares that have an average positive
individual rate of return and 7 company shares that have a negative average individual
rate of return.

b. Market Rate of Return Analysis Results (𝑅𝑚 )

Table 2. Results of Average Market Return Analysis

Date Close (Rupiah) Rm

01/07/18 5,936 -
01/08/18 6018 0.01382
01/09/18 5,977 -0.00696
01/10/18 5,832 -0.02425
01/11/18 6,056 0.03849
01/12/18 6,194 0.02285
01/01/19 6,533 0.05464
01/02/19 6,443 -0.01372
01/03/19 6,468 0.00394
01/04/19 6,455 -0.00207
01/05/19 6,209 -0.03814
01/06/19 6,359 0.02408
01/07/19 6,391 0.00501
01/08/19 6,328 -0.00971

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01/09/19 6,169 -0.02518

01/10/19 6,228 0.00960
01/11/19 6012 -0.03476
01/12/19 6,300 0.04786
01/01/20 5,940 -0.05707
01/02/20 5,453 -0.08204
01/03/20 4,539 -0.16758
01/04/20 4,716 0.03910
01/05/20 4,754 0.00789
01/06/20 4,905 0.03193
01/07/20 5.150 0.04979
01/08/20 5,238 0.01726
01/09/20 4,870 -0.07033
01/10/20 5.128 0.05302
01/11/20 5612 0.09442
01/12/20 5,979 0.06533
01/01/21 5,862 -0.01952
Average 0.00092

Based on the table above, the average market return (Rm) has a value of 0.00092
or 0.092%. The highest average market return value was in November 2020, which was
0.09442 or 9.44% which illustrates the condition of very active stock trading. Meanwhile,
the lowest average market return was in March 2020 with a result of -0.16758 or -16.76%,
which means that stock trading was sluggish that month.

c. Risk Free Rate of Return (𝑅𝑓 )

Table 3. Risk-Free Rate of Return

Year
2018 2019 2020 2021
Month
January - 6.00 5.00 3.75
February - 6.00 4.75 -
March - 6.00 4.50 -
April - 6.00 4.50 -
May - 6.00 4.50 -
June - 6.00 4,25 -
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July - 5.75 4.00 -

August 5.50 5.50 4.00 -
Septemb 5.75 5,25 4.00 -
er
October 5.75 5.00 4.00 -
Novembe 6.00 5.00 3.75 -
r
Decembe 6.00 5.00 3.75 -
r
Overall Average 5.04
Average per month 0.42

Based on the calculation results from the table above, the highest risk-free rate of
return occurred in the November 2018 – June 2019 period of 6.00% or 0.06 and then
decreased continuously in July 2019. The smallest risk-free rate of return occurred in the
November period 2020 – January 2021 of 3.75% or 0.0375. Therefore, the overall risk-free
average (Rf) result from August 2018 - January 2021 was 5.04% or 0.0504. The overall
average yield will be divided by the number of months in a year to get a risk-free average
yield per month of 0.42% or 0.042.

d. Stock Beta Analysis Results (𝛽)

Table 4. Systematic Risk or Stock Beta

No Code Beta (β)

1 ADRO 1.0357
2 ANTM 2.7394
3 ASII 1.3994
4 BBCA 0.9001
5 BBNI 2.0477
6 BBRI 1.4100
7 BBTN 2.4630
8 BMRI 1.4960
9 GGRM 1.0045
10 HMSP 1.0302
11 ICBP 0.2230
12 INDF 0.5441

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13 INTP 1.1689
14 KLBF 0.6176
15 PGAS 2.7373
16 SMGR 1.7401
17 TLKM 0.8037
18 UNTR 0.6147
19 UNVR 0.2513

Based on the results of the beta calculation above, from a number of 19 sample
companies it shows that all samples have a positive beta value which indicates the
movement of the company's stock price at IDX30 is in the same direction as the stock
price on the market. The highest Systematic Risk or Beta (β) occurs in shares of PT. Aneka
Tambang Tbk. (ANTM) with a value of 2.7394 which means that the stock has a high risk
and is very sensitive to changes in market prices. That is, if the IHSG price increases, then
the stock price also increases and vice versa. Meanwhile, the company's shares of PT.
Indofood CBP Sukses Makmur Tbk. (ICBP) has the lowest beta value of 0.2230 which
means that the stock has little risk and is not too sensitive to changes in market prices.

e. Results of Expected Return Analysis Using the Capital Assets Pricing Model (CAPM)

Table 5. Results of Analysis of Calculation of Expected Rate of Return with the Capital
Assets Pricing Model.

No Code E(Ri)
1 ADRO 0.00081
2 ANTM -0.00478
3 ASII -0.00039
4 BBCA 0.00125
5 BBNI -0.00251
6 BBRI -0.00042
7 BBTN -0.00387
8 BMRI -0.00070
9 GGRM 0.00091
10 HMSP 0.00082
11 ICBP 0.00347
12 INDF 0.00242
13 INTP 0.00037

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14 KLBF 0.00218
15 PGAS -0.00477
16 SMGR -0.00150
17 TLKM 0.00157
18 UNTR 0.00219
19 UNVR 0.00338

Based on the results of the calculation above, the average return rate expected
(expected return) is 0.00002263or 22.63%. Thus, the company's shares of PT. Aneka
Tambang Tbk. (ANTM) which has the highest beta (β = 2.7394) has the lowest expected
return value of 0.00478 with a negative value because it is possible to return in the form
of a loss (Capital Loss).
According to Tandelilin (2010), Capital Loss can occur if there is an increase in stock
prices, where these shares can provide losses for investors. Meanwhile, PT. Indofood CPB
Sukses Makmur Tbk (ICBP) has the highest expected return rate of 0.00347 with a positive
value. In this study, there is an anomaly in the relationship between the rate of return and
systematic risk (beta).

f. Share Classification

Table 6. Classification of Efficient and Inefficient Shares in Each Company and

Investment Decisions

Grouping
Code E(Ri) Ri Share Decision

ADRO 0.00081 -0.0085 Not efficient Sell

ANTM -0.00478 0.0480 Efficient Buy
ASII -0.00039 0.0001 Efficient Buy
BBCA 0.00125 0.0143 Efficient Buy
BBNI -0.00251 -0.0005 Efficient Buy
BBRI -0.00042 0.0145 Efficient Buy
BBTN -0.00387 0.0053 Efficient Buy
BMRI -0.00070 0.0048 Efficient Buy
GGRM 0.00091 -0.0190 Not efficient Sell
HMSP 0.00082 -0.0313 Not efficient Sell

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ICBP 0.00347 0.0036 Efficient Buy

INDF 0.00242 0.0016 Not efficient Sell
INTP 0.00037 0.0029 Efficient Buy
KLBF 0.00218 0.0065 Efficient Buy
PGAS -0.00477 0.0069 Efficient Buy
SMGR -0.00150 0.0197 Efficient Buy
TLKM 0.00157 -0.0024 Not efficient Sell
UNTR 0.00219 -0.0098 Not efficient Sell
UNVR 0.00338 -0.0054 Not efficient Sell

Based on the results of the table above, there are 12 company shares that are
included in the efficient (undervalued) stock with a value of Ri > E(Ri). Shares from
companies classified as efficient shares include: ANTM, ASII, BBCA, BBNI, BBRI, BBTN,
BMRI, ICBP, INTP, KLBF, PGAS, and SMGR. The investment decision taken is to buy these
shares. Meanwhile, a number of 7 other company shares are included in the inefficient
(overvalued) stocks with a value of Ri < E(Ri). Companies classified as inefficient shares
with the following company codes: ADRO, GGRM, HMSP, INDF, TLKM, UNTR, and UNVR.
The investment decision that should be taken by investors is to sell these shares.

CONCLUSION
Based on the results of the research and discussion that has been carried out
regarding the analysis of the Capital Asset Pricing Model (CAPM) in determining stock
investment decisions, it can be concluded that there is an anomaly in a linear or
unidirectional relationship between systematic risk (beta) and the expected rate of
return. Shares in the company PT. Aneka Tambang Tbk (ANTM) has the largest beta
value of 2.7394 with the smallest expected rate of return of -0.00478 which is negative
due to capital loss. PT. Indofood CBP Sukses Makmur Tbk. (ICBP) has the smallest beta
value of 0.2230 with the largest expected rate of return with a value of 0.00347. There
are 12 companies that fall into the efficient (undervalued) stock category, which means
that the individual rate of return is greater than the expected rate of return [Ri > E(Ri)].
And 7 other companies belonging to the inefficient (overvalued) stock category
because these stocks have an individual rate of return (return) that is smaller than the
expected rate of return [Ri < E(Ri)].

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