ANALYSIS OF RISK AND RETURN USING THE CAPM METHOD ON INVESTMENT DECISIONS IN THE IDX30 INDEX FOR THE PERIOD 2020-2024
DOI:
https://doi.org/10.58222/sdgs.v2i1.1787Keywords:
CAPM, systematic risk, stock return, banking stocksAbstract
Problem: This study addresses the issue of stock risk and return in the banking sector companies listed on the Indonesia Stock Exchange (IDX), specifically focusing on the IDX30 index, during the 2020–2024 period. Objective: The objective of this study is to analyze the risk and return of banking stocks using the Capital Asset Pricing Model (CAPM) to assess their investment potential. Method: A descriptive quantitative approach is used, utilizing secondary data such as stock prices, the Composite Stock Price Index (IHSG), and the BI-7 Day Repo Rate as the risk-free rate. The sample includes four IDX30 banking stocks: BBCA, BBRI, BBNI, and BMRI. Results: The results show that all sample stocks have beta values below one, indicating lower systematic risk than the market. However, the realized returns of all stocks are lower than their expected returns based on CAPM, suggesting that the stocks are inefficient or overvalued and therefore not recommended for investment during the study period.
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