PENERAPAN CAPITAL ASSET PRICING MODEL DALAM MEMPREDIKSI RETURN SAHAM SYARIAH

Abstract

The purpose of investing for investors is to get a return on their investment. To be able to predict the expected balance of returns from a risky asset, the Capital Asset Pricing Model (CAPM) is used. The CAPM model is a portfolio theory development that is systematic risk and specific risk or unsystematic risk. The research objective is to determine the application of the Capital Asset Pricing Model (CAPM) in predicting the Jakarta Islamic Index (JII) Stock Return and to determine the accuracy of the Capital Asset Pricing Model (CAPM) in predicting the Jakarta Islamic Index (JII) Stock Return. The method for evaluating forecasts is to use Mean Absolute Deviation (MAD), which is to measure the accuracy of the forecast by averaging the estimated errors (absolute value of each error) and for measuring the forecast error in the same unit as the original series. The data analysis method uses the CAPM model to predict the balance of expected returns and risks of an asset in equilibrium conditions. The CAPM model is based on the idea that the greater the risk
of an investment, the greater the level of return demanded by investors. Based on the research results, it was
found that the rate of return on risk-free investment was 8%. Suppose that the expected average return on
investment in the security for the coming years is 20%. So a decent rate of return is 8%. MAD (Mean Absolute
Deviation) is a method used to measure the level of accuracy of a data forecast. Based on the results of the
study, it is concluded that the small Mean Absolute Deviation (MAD) value indicates that the expected return
does not deviate far from the actual return so that the level of accuracy can be said to be high. The MAD value represents the value with the error rate. The value with the smallest error means a value with a better level of accuracy than the other methods.