Komparasi Kinerja Capital Asset Pricing Model, Three Factors Pricing Model, dan Four Factor Pricing Model

Abstract

This study aims to compare the performance of the capital asset pricing model (CAPM), three-factor pricing model, and four factors pricing model for estimating expected returns. Firstly, this study examines the factors which are contained in the three models. The objective of the study is to choose  The Best Asset Pricing Model for Estimating the expected return. 132 samples are consisting of all sectors which are listed in The Indonesia Stock Exchange period 2015-2017. This study uses T-test and F test to test the hypotheses which are hypothesis 1, hypothesis 2 and hypothesis 3, to test the hypotheses which are hypothesis 4 and hypothesis 5 using other statistical analysis tools, Analysis of variance (ANOVA), by quantifying the standard deviation of each model. The results show that (1) Market excess return factor in the capital asset pricing model (CAPM) has an effect on stock return, (2) market excess return, size premium and value premium factors in Three Factors Pricing Model have an effect on stock returns simultaneously, (3) market excess return, size premium, value premium and momentum factors in Four Factors Pricing Model have an effect on stock return simultaneously, (4) Based on the standard deviation value of the three models indicates that the Three Factors Pricing Model is better to explain the estimated rate of return than the capital asset pricing model (CAPM), (5) and Four Factors Pricing Model is better to explain the estimated rate of return than the Three Factors Pricing Model.