Electronic Theses and Dissertation

Formula metode capm serupa dengan persamaan linear, dengan variabel terikat adalah expected return saham dan variabel bebas adalah return pasar. penelitian ini dilakukan untuk menentukan expected return saham dengan metode capm, menguji hubungan linear risiko terhadap expected return saham dengan menghitung koefisien korelasi, melihat pengaruh risiko terhadap expected return saham dengan menggunakan koefisien determinasi, serta melihat keakuran metode capm dengan model regresi linear sederhana dengan menggunakan mean absolute deviation (mad). untuk mengaitkan dengan ilmu aktuaria, studi kasus penelitian ini adalah sektor perusahaan asuransi yang terdaftar di bursa efek indonesia (bei). adapun sampel yang memenuhi kriteria dalam penelitian ini adalah 10 perusahaan sektor asuransi. metode capm menggunakan tiga variabel yaitu variabel return bebas risiko diambil dari tingkat suku bunga sbi, variabel return pasar diambil dari ihsg, dan variabel return saham diambil dari harga saham tiap perusahaan sektor asuransi go public yang terdaftar di bei. data yang digunakan adalah data bulanan dalam periode 2015-2019. hasil penelitian menunjukkan bahwa: risiko sebesar -0.99184 menghasilkan expected return saham sebesar 0,00583 atau 0,58% oleh perusahaan pt. maskapai reasuransi indonesia tbk. (mrei). sedangkan risiko sebesar 1.19164 menghasilkan expected return saham sebesar 0,00341 atau 0,34% oleh pt. asuransi jasa tania tbk. (asjt); adanya hubungan linear negatif antara risiko dengan expected return saham dari metode capm pada periode 2015-2019. hasil penelitian ini tidak sama dengan konsep ekonomi, dikarenakan kondisi pasar selama kurun waktu penelitian tidak seimbang; adanya pengaruh negatif risiko terhadap expected return saham dari metode capm selama periode 2015-2019; dan metode capm lebih akurat dibandingkan model regresi linear sederhana dalam menentukan expected return saham. kata kunci: capital asset pricing model (capm), regresi linear sederhana, perusahaan asuransi, expected return, risiko. the capm method formula is similar to the linear equation, with the dependent variable being the expected stock return and the independent variable being the market return. this research was conducted to determine the expected return of stocks using the capm method, to test the linear relationship of risk to the expected return of stocks by calculating the correlation coefficient, to see the effect of risk on expected returns stock using the coefficient of determination, and to see the accuracy of the capm method with a simple linear regression model using the mean absolute deviation (mad). to relate with actuarial science, this research case study is a sector of insurance companies listed on the indonesia stock exchange (idx). the samples that meet the criteria in this study are 10 insurance sector companies. the capm method uses three variables, namely the risk-free return variable which is taken from the sbi interest rate, the market return variable is taken from the ihsg, and the stock return variable is taken from the stock price of each go public insurance sector company listed on the idx. the data used are monthly data in the 2015-2019 period. the results showed that: the risk of -0.99184 resulted in a stock expected return of 0.00583 or 0.58% by the company pt. reinsurance airlines indonesia tbk. (mrei). meanwhile, the risk of 1.19164 resulted in a stock expected return of 0.00341 or 0.34% by pt. asuransi jasa tania tbk. (asjt); there is a negative linear relationship between risk and the expected return of stocks from the capm method in the 2015-2019 period. the results of this study are not the same as the economic concept, because market conditions during the study period are not balanced; there is a negative effect of risk on the expected return of stocks from the capm method during the 2015-2019 period; and the capm method is more accurate than the simple linear regression model in determining the expected return of stocks. keywords: capital asset pricing model (capm), simple linear regression, insurance company, expected return, risk.