THE COMPARISON OF APPLICATION OF STOCK RETURN EVALUATION IN RECORDED COMPANIES IN LQ 45 FOR THE 2012-2016 PERIOD

Abstrak

The purpose of this study is not only to compare the Capital Asset Price Model, Arbitration Price
Theory, Three Factor Price Model, Three Factor Price Model, and Five Factor Price Model to study
the Capital Asset Price Model, Price Arbitration Price Theory, Three Factor Price Model, Four
Factors Pricing Model and Five Factors Pricing Model for excess returns and for determining the
best asset pricing model in terms of the ability to explain estimates of excess returns. This research
includes explanatory research (explanatory research), namely looking at the relationship between
research variables and testing hypotheses that have been formulated previously. This study examines
the effect of variables in the asset pricing model and compares the asset pricing models in explaining
excess returns. Based on the results of the research that has been carried out the best model that can
be used in assessing the asset pricing model is the five Price Model Factors, this is evidenced by the
value of R2 or R Square of 89.4%, the value is greater than the value of R2 or R Square Capital
Asset Pricing Model, Arbitration Price Theory, Three Price Factor Models, and Four Price Factor
Models, which were 34.7%, 55.2%, 77.2% and 79% respectively