ANALISIS PERBANDINGAN KEAKURATAN METODE CAPM DAN APT DALAM MEMPREDIKSI EXPECTED RETURN SAHAM(Studi Pada Perusahaan Sektor Makanan dan Minuman Yang Terdaftar Pada Bursa Efek Indonesia Periode 2016-2020)

Abstract

The purpose of this research is to find out whether there are difference  in accuracy between CAPM and APT in determine the expected return in the food and baverage companies. The population in this study was 32 company after passing the purposive sampling stage, the sample of this study consisted of 12 companies.The data analysis technique on this study uses the CAPM, APT, and Mean Absolute Deviation (MAD) models. The results of data analysis show that the CAPM  method is better and more accurate than the APT model in predicting expected return. Based on the results of the Independent Sample T-test conclusions can be drawn stating that there is no significant difference between the accuracy of CAPM and APT in estimating the expected return of the food and baverage companies listed on the Indonesian Stock Exchange 2016-2020.