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E-Jurnal Manajemen Unud, Vol. 5, No. 12, 2016: 8079-8106 ISSN : 2302-8912 8079 PENERAPAN METODE CAPITAL ASSET PRICING MODEL SEBAGAI PERTIMBANGAN DALAM PENGAMBILAN KEPUTUSAN INVESTASI SAHAM Made Dwi Mahendra Putra 1 I Putu Yadnya 2 1,2 Fakultas Ekonomi dan Bisnis Universitas Udayana (Unud), Bali, Indonesia e-mail : [email protected] ABSTRAK Tujuan penelitian ini adalah menerapkan metode Capital Asset Pricing Model (CAPM) untuk mengetahui jenis saham yang undervalued dan overvalued, berdasarkan tingkat pengembalian saham dan risikonya sebagai pertimbangan dalam pengambilan keputusan investasi saham. Populasi pada penilitian ini adalah saham perusahaan sektor infrastruktur, utilitas dan transportasi di Bursa Efek Indonesia periode Agustus 2015 Juli 2016. Jumlah sampel dalam penelitian ini sebanyak 20 saham perusahaan, dengan menggunakan metode purvosive sampling . Berdasarkan hasil penelitian, diperoleh sebanyak 15 saham perusahaan yang termasuk undervalued , karena saham tersebut memiliki tingkat pengembalian saham individu lebih besar dari tingkat pengembalian yang diharapkan, untuk saham undervalued keputusan yang diambil adalah membeli saham tersebut. Saham yang termasuk overvalued sebanyak 5 saham perusahaan, karena saham tersebut memilki tingkat pengembalian saham individu lebih kecil dari tingkat pengembalian yang diharapkan, untuk saham overvalued keputusan yang diambil adalah menjual saham tersebut. Kata kunci : CAPM, tingkat pengembalian saham, risiko. ABSTRAC The purpose of this study is to apply the method of Capital Asset Pricing Model (CAPM) to determine the type of stock that is classified as undervalued and overvalued, based on the stock returns and risks as consideration in stock investment decisions. The population in this study is the share of infrastructure, utilities and transportation in Indonesia Stock Exchange period August 2015 until July 2016. The number of samples used in this study were 20 shares of the company, using the method of purvosive sampling. Based on the results of study, obtained many as 15 shares of the company included undervalued, because these stock have the return of individual share is greater than the expected rate. The decision taken for undervalued stocks is to buy the shares. stock included overvalued many as 5 shares of the company, because these stock have the return of individual stocks is smaller than the expected rate, the decision to overvalued stock is to sell the shares. Keywords : CAPM, stock of returns, risk.
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Made Dwi Mahendra Putra, Penerapan Metode Capital Asset 8080 PENDAHULUAN Investasi adalah komitmen atas sejumlah dana atau sumber daya lainnya yang dilakukan pada saat ini, dengan tujuan memperoleh sejumlah keuntungan di masa mendatang (Tandelilin, 2010:2). Investasi dilakukan, karena seorang investor termotivasi oleh suatu keutungan yang akan diterima nantinya sesuai dengan investasi yang dijalankan, selain itu investasi dilakukan untuk meningkatkan kesejahteraan investor, karena investasi memberikan suatu pilihan
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