PORTOFOLIO OPTIMAL DENGAN METODE BEST BETA CAPM ( Studi Kasus Pada Saham � Saham LQ-45 Periode 2010 � 2013 )
The issue of 'best-beta� arises as soon as potential errors in the Sharpe- Lintner-Black capital asset pricing model (CAPM) are acknowledged. By incorporating a target variable into the investor preferences, this study derives a best-beta CAPM (BCAPM) that maintains the CAPM's theoretica...
محفوظ في:
| المؤلفون الرئيسيون: | , |
|---|---|
| التنسيق: | Theses and Dissertations NonPeerReviewed |
| منشور في: |
[Yogyakarta] : Universitas Gadjah Mada
2014
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://repository.ugm.ac.id/126739/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=66970 |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|
| المؤسسة: | Universitas Gadjah Mada |
| الملخص: | The issue of 'best-betaâ�� arises as soon as potential errors in the Sharpe-
Lintner-Black capital asset pricing model (CAPM) are acknowledged. By
incorporating a target variable into the investor preferences, this study derives a
best-beta CAPM (BCAPM) that maintains the CAPM's theoretical appeal and
analytical simplicity yet unambiguously improves its pricing accuracy. Empirical
observations suggest that the BCAPM predicts expected returns better than the
CAPM by 20% to 30% annually. Where we cannot invent, we may at least
improve |
|---|