CAPITAL ASSET PRICING MODEL ANALYSIS IN DETERMINING RISK AND RETURN OF COMPANIES LISTED AT JAKARTA ISLAMIC INDEX (JII) OF INDONESIA STOCK EXCHANGE

Abstract

Investors often made decisions made that were aimed to help them generate return for their investment while in the same time reducing possible risks of their investment. Historical data as well as current returns are part of information that were vital for investors when they try to forecast how much their security will yield in the imminent future. There are several ways to measure the kind of investment that are good and risky. This study aimed to measure and analyze companies listed in Jakarta Islamic Index (JII) at Indonesian Stock Exchange using Capital Asset Pricing Model. The sample in this study are active companies listed at JII. Based on the results of the study, it can conclude that after analyzing the companies listed at JII using Capital Asset Pricing Model, the results shows that the Beta are below 1 and shows defensive type of stocks and has overvalued return compared to their expected return for all companies based on the period observed from December 2014 to December 2015.

Keywords: Capital Asset Pricing Model, Return of Investment, Risk of Investment