Isi Artikel Utama
Abstrak
In the world of investment, investors must be able to identify investment opportunities that provide returns so that they can generate optimal levels of return with minimal risk. This study aims to analyze stock investment decisions using the Capital Asset Pricing Model (CAPM) using the LQ45 Index as a market proxy.
This type of research is descriptive research with quantitative methods. The data source used is secondary data, namely monthly closing price data. The sampling in this study was determined using purposive sampling, out of 45 companies included in the LQ45 index, only 23 companies met the criteria and became a research sample. The data analysis method was used using the Capital Asset Pricing Model (CAPM) method to classify undervalued and overvalued stocks using Microsoft Excel 2016.
The results of the calculation of the rate of return of individual shares (Ri) resulted in an average of 0.00506, with the largest return owned by ANTM shares and the lowest by INDF shares. The average systematic risk is worth more than 1, which is 1.25, so in general, the 23 shares of the companies used as research samples have high systematic risk and tend to be active in responding to market price changes. Based on the data analysis, there is a nonlinear relationship between systematic risk (β) and the expected rate of return on shares [E(Ri)]. Of the 23 company stocks that were the research sample, there were 12 company stocks that were included in the undervalued category, namely, ADRO, ANTM, BBCA, BBNI, BBRI, BBTN, BMRI, CPIN, EXCL, INCO, INKP, ITMG. Meanwhile, there are 11 company stocks that are in the overvalued category, namely, ASII, ICBP, INDF, INTP, KLBF, PGAS, PTBA, SMGR, TLKM, UNTR, UNVR.
Kata Kunci
Risk
Return,
Undervalued
Overvalued
CAPM
Rincian Artikel
Referensi
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Bambang,iR.i(2001).iBasicsiExpenditureiCompanyiEditioniFourth.iYogyakarta:iBPFE.Darwin, Muhammad, Marianne Reynelda Mamondol, Salman Alparis Sormin, Yuliana Nurhayati, Hardi Tambunan, Diana Sylvia, and others, Quantitative Approach Research Methods (Media Sains Indonesia, 2021)
Dr. Darmawan, M.AB, Basics of Understanding Ratios and Financial Reports, ed. by SE Dini Maulana Lestari, Print 1 (Yogyakarta: UNY Press, 2020)
Drs. Danang Sunyoto, SH., SE., MM., Financial Report Analysis for Business, Print 1 (Yogyakarta: CAPS (Center of Academic Publishing Service), 2013)
Frihatni, Andi Ayu, Irmayanti Sudirman, and Frengky Mandacan, 'Analysis of Hospitality Financial Performance Due to the Covid-19 Pandemic', Mandala Education Scientific Journal, 7.3 (2021)
Gepp, Adrian, Martina K Linnenluecke, Terrence J O'Neill, and Tom Smith, 'Big Data Techniques in Auditing Research and Practice: Current Trends and Future Opportunities', Journal of Accounting Literature, 40.1 (2018), 102–15
Griffin, Oliver, 'How Artificial Intelligence Will Impact Accounting', ICAEW: Economia, 2019
Hamta, Firdaus, Book of Teaching Materials for Accounting Research Methods (Deepublish, 2015)
Iryanie, Emy, and Monika Handayani, Cost Accounting, ed. by Adi Pratomo, Cet. 1 (Banjarmasin: Poliban Press, 2019)
Kaplan, Andreas, and Michael Haenlein, 'Siri, Siri, in My Hand: Who's the Fairest in the Land? On the Interpretations, Illustrations, and Implications of Artificial Intelligence', Business Horizons, 62.1 (2019), 15–25
Kusumawati, Ririen, 'Human Artificial Intelligence (Artificial Intelligence); Future Dream Technology', ULUL ALBAB Journal of Islamic Studies, 9.2 (2008), 257–74
Luger, George F, Artificial Intelligence: Structures and Strategies for Complex Problem Solving (Pearson education, 2005)
Mahendra, Gede Surya, Daniel Adolf Ohyver, Najirah Umar, and Loso Judijanto, AI Technology Trends: Introduction, Theory, and Examples of Application of Artificial Intelligence in Various Fields, ed. by Efitra, Pe Printing (Jambi: Editorial, 2024)
Mahsun, Mohamad, 'Public Sector Performance Measurement', Yogyakarta: Bpfe, 2006
Manaseer, Sufian, and Suleiman Daood Al-Oshaibat, 'Validity of Altman Z-Score Model to Predict Financial Failure: Evidence from Jordan', International Journal of Economics and Finance, 10.8 (2018)
Marr, Bernard, and Matt Ward, Artificial Intelligence In Practice, ed. by Paulina Dewanti, Digi Edition (Jakarta: PT Elex Media Komputindo, 2021)
Parepare, IAIN, Guidelines for Writing Scientific Writing (Parepare, 2020)
Pasyarani, Lis, 'Revitalization of Accounting with the Application of Artificial Intelligence', Journal of Data Science, 3 (2) (2023)
Pratama, Jordy, and I Putu Julianto, 'The Effect of Implementing Internal Control Systems and Artificial Intelligence-Based Accounting Information Systems on the Tendency of Fraudulent Financial Reporting (Empirical Study of Star Hotels in Bali)', JIMAT (Scientific Journal of Accounting Students) Undiksha, 12.1 (2021 ), 889–901
Prihadi, Toto, Financial Report Analysis, ed. by Fajarianto (Jakarta: PT Gramedia Pustaka Utama, 2019)
Rahman, Ferry Fadzul, and Hendra Saputra, Artificial Intelligence in Health Services, ed. by Dwi Fadhila, Pe Printing (West Sumatra: Media Scholar Partner Team, 2023)
Ramadhana, Muhammad Abyan, and Ananda Sabil Hussein, 'The Effect of Using Artificial Intelligence on Customer Loyalty with Brand Image as a Mediating Variable', 2022
Raphael, Jon, 'How Artificial Intelligence Can Boost Audit Quality', CFO Magazine (CFO. Com), June, 15 (2015)
Sarip Muslim, S.Ag., MA, Sharia Financial Accounting, Edition 1 (Bandung: CV Pustaka Setia, 2015)
Siahaan, Mangapul, Christopher Harsana Jasa, Kevin Anderson, Melissa Valentino Rosiana, Satria Lim, and Wahyu Yudianto, 'Application of Artificial Intelligence (AI) to Blind People with Disabilities', Journal of Information Systems and Technology (JOINT), 1.2 (2020) , 186–93
Singh, Sarbjeet and Sukhvinder Singh, 'Artificial Intelligence', International Journal of Computer Applications, 6 (2010), 21–211 <http://www.ijcaonline.org/volume6/number6/pxc3871413.pdf.>
Siyoto, Sandu, and Muhammad Ali Sodik, Basic Research Methodology (media publishing literacy, 2015)
Sugiyono, 'Quantitative Research Methods' (Bandung: Alfabeta, 2019)
Sugiyono, Dr, 'Quantitative, Qualitative and R&D Approach Educational Research Methods', 2013
Sujarweni, V Wiratna, 'Financial Report Analysis (Theory, Application and Research Results). Yogyakarta' (PUSTAKA BARU PRESS. Susilo Wulandari, 2019)
Tedi, 'The Difference between Accuracy and Precision', 14 March, 2023 <https://besar.budisma.net/beda-akurasi-dan-presisi.html>
Tinabunan, Paulina, 'Vertical and Horizontal Analysis of the Financial Reports of PT Perkebunan Nusantara III (Persero) Medan', Management and Business, 2017, 134
Referensi
Amirullah, Introduction to Management, Second Edition, Graha Ilmu, Yogyakarta, 2011.
Bambang,iR.i(2001).iBasicsiExpenditureiCompanyiEditioniFourth.iYogyakarta:iBPFE.Darwin, Muhammad, Marianne Reynelda Mamondol, Salman Alparis Sormin, Yuliana Nurhayati, Hardi Tambunan, Diana Sylvia, and others, Quantitative Approach Research Methods (Media Sains Indonesia, 2021)
Dr. Darmawan, M.AB, Basics of Understanding Ratios and Financial Reports, ed. by SE Dini Maulana Lestari, Print 1 (Yogyakarta: UNY Press, 2020)
Drs. Danang Sunyoto, SH., SE., MM., Financial Report Analysis for Business, Print 1 (Yogyakarta: CAPS (Center of Academic Publishing Service), 2013)
Frihatni, Andi Ayu, Irmayanti Sudirman, and Frengky Mandacan, 'Analysis of Hospitality Financial Performance Due to the Covid-19 Pandemic', Mandala Education Scientific Journal, 7.3 (2021)
Gepp, Adrian, Martina K Linnenluecke, Terrence J O'Neill, and Tom Smith, 'Big Data Techniques in Auditing Research and Practice: Current Trends and Future Opportunities', Journal of Accounting Literature, 40.1 (2018), 102–15
Griffin, Oliver, 'How Artificial Intelligence Will Impact Accounting', ICAEW: Economia, 2019
Hamta, Firdaus, Book of Teaching Materials for Accounting Research Methods (Deepublish, 2015)
Iryanie, Emy, and Monika Handayani, Cost Accounting, ed. by Adi Pratomo, Cet. 1 (Banjarmasin: Poliban Press, 2019)
Kaplan, Andreas, and Michael Haenlein, 'Siri, Siri, in My Hand: Who's the Fairest in the Land? On the Interpretations, Illustrations, and Implications of Artificial Intelligence', Business Horizons, 62.1 (2019), 15–25
Kusumawati, Ririen, 'Human Artificial Intelligence (Artificial Intelligence); Future Dream Technology', ULUL ALBAB Journal of Islamic Studies, 9.2 (2008), 257–74
Luger, George F, Artificial Intelligence: Structures and Strategies for Complex Problem Solving (Pearson education, 2005)
Mahendra, Gede Surya, Daniel Adolf Ohyver, Najirah Umar, and Loso Judijanto, AI Technology Trends: Introduction, Theory, and Examples of Application of Artificial Intelligence in Various Fields, ed. by Efitra, Pe Printing (Jambi: Editorial, 2024)
Mahsun, Mohamad, 'Public Sector Performance Measurement', Yogyakarta: Bpfe, 2006
Manaseer, Sufian, and Suleiman Daood Al-Oshaibat, 'Validity of Altman Z-Score Model to Predict Financial Failure: Evidence from Jordan', International Journal of Economics and Finance, 10.8 (2018)
Marr, Bernard, and Matt Ward, Artificial Intelligence In Practice, ed. by Paulina Dewanti, Digi Edition (Jakarta: PT Elex Media Komputindo, 2021)
Parepare, IAIN, Guidelines for Writing Scientific Writing (Parepare, 2020)
Pasyarani, Lis, 'Revitalization of Accounting with the Application of Artificial Intelligence', Journal of Data Science, 3 (2) (2023)
Pratama, Jordy, and I Putu Julianto, 'The Effect of Implementing Internal Control Systems and Artificial Intelligence-Based Accounting Information Systems on the Tendency of Fraudulent Financial Reporting (Empirical Study of Star Hotels in Bali)', JIMAT (Scientific Journal of Accounting Students) Undiksha, 12.1 (2021 ), 889–901
Prihadi, Toto, Financial Report Analysis, ed. by Fajarianto (Jakarta: PT Gramedia Pustaka Utama, 2019)
Rahman, Ferry Fadzul, and Hendra Saputra, Artificial Intelligence in Health Services, ed. by Dwi Fadhila, Pe Printing (West Sumatra: Media Scholar Partner Team, 2023)
Ramadhana, Muhammad Abyan, and Ananda Sabil Hussein, 'The Effect of Using Artificial Intelligence on Customer Loyalty with Brand Image as a Mediating Variable', 2022
Raphael, Jon, 'How Artificial Intelligence Can Boost Audit Quality', CFO Magazine (CFO. Com), June, 15 (2015)
Sarip Muslim, S.Ag., MA, Sharia Financial Accounting, Edition 1 (Bandung: CV Pustaka Setia, 2015)
Siahaan, Mangapul, Christopher Harsana Jasa, Kevin Anderson, Melissa Valentino Rosiana, Satria Lim, and Wahyu Yudianto, 'Application of Artificial Intelligence (AI) to Blind People with Disabilities', Journal of Information Systems and Technology (JOINT), 1.2 (2020) , 186–93
Singh, Sarbjeet and Sukhvinder Singh, 'Artificial Intelligence', International Journal of Computer Applications, 6 (2010), 21–211 <http://www.ijcaonline.org/volume6/number6/pxc3871413.pdf.>
Siyoto, Sandu, and Muhammad Ali Sodik, Basic Research Methodology (media publishing literacy, 2015)
Sugiyono, 'Quantitative Research Methods' (Bandung: Alfabeta, 2019)
Sugiyono, Dr, 'Quantitative, Qualitative and R&D Approach Educational Research Methods', 2013
Sujarweni, V Wiratna, 'Financial Report Analysis (Theory, Application and Research Results). Yogyakarta' (PUSTAKA BARU PRESS. Susilo Wulandari, 2019)
Tedi, 'The Difference between Accuracy and Precision', 14 March, 2023 <https://besar.budisma.net/beda-akurasi-dan-presisi.html>
Tinabunan, Paulina, 'Vertical and Horizontal Analysis of the Financial Reports of PT Perkebunan Nusantara III (Persero) Medan', Management and Business, 2017, 134
Bambang,iR.i(2001).iBasicsiExpenditureiCompanyiEditioniFourth.iYogyakarta:iBPFE.Darwin, Muhammad, Marianne Reynelda Mamondol, Salman Alparis Sormin, Yuliana Nurhayati, Hardi Tambunan, Diana Sylvia, and others, Quantitative Approach Research Methods (Media Sains Indonesia, 2021)
Dr. Darmawan, M.AB, Basics of Understanding Ratios and Financial Reports, ed. by SE Dini Maulana Lestari, Print 1 (Yogyakarta: UNY Press, 2020)
Drs. Danang Sunyoto, SH., SE., MM., Financial Report Analysis for Business, Print 1 (Yogyakarta: CAPS (Center of Academic Publishing Service), 2013)
Frihatni, Andi Ayu, Irmayanti Sudirman, and Frengky Mandacan, 'Analysis of Hospitality Financial Performance Due to the Covid-19 Pandemic', Mandala Education Scientific Journal, 7.3 (2021)
Gepp, Adrian, Martina K Linnenluecke, Terrence J O'Neill, and Tom Smith, 'Big Data Techniques in Auditing Research and Practice: Current Trends and Future Opportunities', Journal of Accounting Literature, 40.1 (2018), 102–15
Griffin, Oliver, 'How Artificial Intelligence Will Impact Accounting', ICAEW: Economia, 2019
Hamta, Firdaus, Book of Teaching Materials for Accounting Research Methods (Deepublish, 2015)
Iryanie, Emy, and Monika Handayani, Cost Accounting, ed. by Adi Pratomo, Cet. 1 (Banjarmasin: Poliban Press, 2019)
Kaplan, Andreas, and Michael Haenlein, 'Siri, Siri, in My Hand: Who's the Fairest in the Land? On the Interpretations, Illustrations, and Implications of Artificial Intelligence', Business Horizons, 62.1 (2019), 15–25
Kusumawati, Ririen, 'Human Artificial Intelligence (Artificial Intelligence); Future Dream Technology', ULUL ALBAB Journal of Islamic Studies, 9.2 (2008), 257–74
Luger, George F, Artificial Intelligence: Structures and Strategies for Complex Problem Solving (Pearson education, 2005)
Mahendra, Gede Surya, Daniel Adolf Ohyver, Najirah Umar, and Loso Judijanto, AI Technology Trends: Introduction, Theory, and Examples of Application of Artificial Intelligence in Various Fields, ed. by Efitra, Pe Printing (Jambi: Editorial, 2024)
Mahsun, Mohamad, 'Public Sector Performance Measurement', Yogyakarta: Bpfe, 2006
Manaseer, Sufian, and Suleiman Daood Al-Oshaibat, 'Validity of Altman Z-Score Model to Predict Financial Failure: Evidence from Jordan', International Journal of Economics and Finance, 10.8 (2018)
Marr, Bernard, and Matt Ward, Artificial Intelligence In Practice, ed. by Paulina Dewanti, Digi Edition (Jakarta: PT Elex Media Komputindo, 2021)
Parepare, IAIN, Guidelines for Writing Scientific Writing (Parepare, 2020)
Pasyarani, Lis, 'Revitalization of Accounting with the Application of Artificial Intelligence', Journal of Data Science, 3 (2) (2023)
Pratama, Jordy, and I Putu Julianto, 'The Effect of Implementing Internal Control Systems and Artificial Intelligence-Based Accounting Information Systems on the Tendency of Fraudulent Financial Reporting (Empirical Study of Star Hotels in Bali)', JIMAT (Scientific Journal of Accounting Students) Undiksha, 12.1 (2021 ), 889–901
Prihadi, Toto, Financial Report Analysis, ed. by Fajarianto (Jakarta: PT Gramedia Pustaka Utama, 2019)
Rahman, Ferry Fadzul, and Hendra Saputra, Artificial Intelligence in Health Services, ed. by Dwi Fadhila, Pe Printing (West Sumatra: Media Scholar Partner Team, 2023)
Ramadhana, Muhammad Abyan, and Ananda Sabil Hussein, 'The Effect of Using Artificial Intelligence on Customer Loyalty with Brand Image as a Mediating Variable', 2022
Raphael, Jon, 'How Artificial Intelligence Can Boost Audit Quality', CFO Magazine (CFO. Com), June, 15 (2015)
Sarip Muslim, S.Ag., MA, Sharia Financial Accounting, Edition 1 (Bandung: CV Pustaka Setia, 2015)
Siahaan, Mangapul, Christopher Harsana Jasa, Kevin Anderson, Melissa Valentino Rosiana, Satria Lim, and Wahyu Yudianto, 'Application of Artificial Intelligence (AI) to Blind People with Disabilities', Journal of Information Systems and Technology (JOINT), 1.2 (2020) , 186–93
Singh, Sarbjeet and Sukhvinder Singh, 'Artificial Intelligence', International Journal of Computer Applications, 6 (2010), 21–211 <http://www.ijcaonline.org/volume6/number6/pxc3871413.pdf.>
Siyoto, Sandu, and Muhammad Ali Sodik, Basic Research Methodology (media publishing literacy, 2015)
Sugiyono, 'Quantitative Research Methods' (Bandung: Alfabeta, 2019)
Sugiyono, Dr, 'Quantitative, Qualitative and R&D Approach Educational Research Methods', 2013
Sujarweni, V Wiratna, 'Financial Report Analysis (Theory, Application and Research Results). Yogyakarta' (PUSTAKA BARU PRESS. Susilo Wulandari, 2019)
Tedi, 'The Difference between Accuracy and Precision', 14 March, 2023 <https://besar.budisma.net/beda-akurasi-dan-presisi.html>
Tinabunan, Paulina, 'Vertical and Horizontal Analysis of the Financial Reports of PT Perkebunan Nusantara III (Persero) Medan', Management and Business, 2017, 134