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All Journal EkoBis ( Ekonomi & Bisnis ) Jurnal Ilmu Manajemen (JIM) Jurnal Keuangan dan Perbankan The Winners Media Trend: Berkala Kajian Ekonomi dan Studi Pembangunan JBTI : Jurnal Bisnis : Teori dan Implementasi JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi) Jurnal DISPROTEK Owner : Riset dan Jurnal Akuntansi MABIS: Manajemen dan Bisnis Prosiding Seminar Nasional Multidisiplin Ilmu International Journal of Business, Humanities, Education and Social Sciences (IJBHES) Telaah Bisnis Jurnal Ilmu Manajemen & Ekonomika Journal of Applied Economics in Developing Countries
Tri Gunarsih
Universitas Teknologi Yogyakarta
Agriculture, Biological Sciences & Forestry Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Social Sciences Other

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Journal : Journal of Applied Economics in Developing Countries

 1 
COMPARATIVE ANALYSIS OF ACCURACY BETWEEN CAPITAL ASSET PRICING MODEL (CAPM) AND ARBITRAGE PRICING THEORY (APT) IN PREDICTING STOCK RETURN (CASE STUDY: MANUFACTURING COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE FOR THE 2015-2018 PERIOD) Try Wahyuny; Tri Gunarsih
Journal of Applied Economics in Developing Countries Vol 5, No 1 (2020): Journal of Applied Economics in Developing Countries
Publisher : MESP–FEB UNS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20961/aedc.v5i1.53442

Abstract

This study aims to analyze the accuracy comparison between the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) in predicting stock return in manufacturing companies listed on the Indonesia Stock Exchange (BEI) for the period 2015 - 2018. CAPM is a model of the relationship between risk and expected return of a security or portfolio. It can be used to determine the price of a risky asset, whereas APT is an approach in determining the price of an asset that is not only based on one variable, but many variables. The variables used in this study consist of market risk premium, inflation, exchange rates (Rp / USD), interest rates, and stock returns. The method used in sampling is purposive sampling. Based on the method, 20 samples of companies with certain criteria were obtained. The data used in this study are secondary data. Secondary data collection was obtained from the Yahoo Finance website, the Bank Indonesia website, and the Ok Stock website, which includes monthly time series data on closing stock prices and the Composite Stock Price Index (CSPI), as well as monthly time series on macroeconomic variables. Data analysis in this study uses Mean Absolute Deviation (MAD) by comparing the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). The results of data calculations show that the Mean Absolute Deviation (MAD) value on the CAPM model has a value of 0.1096 and the APT model has a value of 0.3631. The smaller the value of Mean Absolute Deviation (MAD), it indicates that the regression model is more precise or accurate in predicting the dependent variable, namely stock returns. The results of data analysis show that the CAPM model is more precise or accurate than the APT model in predicting stock returns.Keywords: CAPM, APT, Accuracy, Stock Return  
THE INFLUENCE OF DIVIDEND POLICY, PROFITABILITY, AND CORPORATE GOVERNANCE (CG) ON COMPANY VALUE (EMPIRICAL STUDY ON GO PUBLIC COMPANIES LISTED IN CGPI INDEX IMPROVEMENTS 2010-2017) Wahyu Widiastuti; Tri Gunarsih
Journal of Applied Economics in Developing Countries Vol 4, No 1 (2019): Journal of Applied Economics in Developing Countries
Publisher : MESP–FEB UNS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20961/aedc.v4i1.42561

Abstract

This study aims to analyse the effect of the proxy policy dividend with Dividend Payout Ratio on firm value, the effect of proxied profitability with Return On Equity on firm value, and the effect of Corporate Governance proxied by the CGPI index on firm value. The company's value in this study is proxy by Price to Book Value. The independent variables in this study are dividend policy, profitability, and corporate governance, while company value is the dependent variable. This research is a type of quantitative research. The sample of companies in this study were 15 companies that go public on the Indonesia Stock Exchange (IDX) listed on The Indonesian Institute for Corporate Governance (IICG) and received a rating of the CGPI index (Corporate Governance Perception Index) in 2010 to 2017. So the amount of data in this study are 120 data. Sampling in this study uses a purposive sampling method that uses several terms and criteria. Data analysis in this study used descriptive statistical tests, multiple linear regression tests, and the classic assumption test consisting of normality tests, multicollinearity tests, autocorrelation tests, and heteroscedasticity tests. While the statistical tests in this study use the coefficient of determination (R²) test, srimultan test (F test), partial test (t test). Based on the results of research that has been done, it shows that the dividend policy which is proxied by the Dividend Payout Ratio has no effect on the value of the company, Profitability which is proxied by Return On Equity has a positive and significant effect on company value, and Corporate Governance using the CGPI index has a positive and significant effect to the value of the company. Keywords: Company Value, Dividend Policy, Profitability, Corporate Governance (CG)
DETERMINANT VARIABLES ON LEVERAGE AND SPEED OF ADJUSTMENT(STUDY IN INDONESIA STOCK EXCHANGE) Anggun Septina Lukitasari; Tri Gunarsih
Journal of Applied Economics in Developing Countries Vol 4, No 2 (2019): Journal of Applied Economics in Developing Countries
Publisher : MESP–FEB UNS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20961/aedc.v4i2.44400

Abstract

There have been many types of research on capital structure, however, those researches have not shown consistent results yet. This research aims to determine the effect of determinant variables of capital structure on leverage and speed of adjustment partially. The samples comprise 459 manufacturing companies listed in Indonesia Stock Exchange from 2009-2017. The statistic analysis utilized to test the hypothesis is multiple linear regression analysis. The test result shows that the determinant variables of capital structure have significant effects on leverage, and the partial effect of the determinant variables of capital structure (Profitability, Tangibility, Size, Growth Opportunity, and Income Variability) also has a significant effect. For the speed of adjustment, the size variable gives the biggest contribution compared to the other variables.Keywords: Leverage, Speed of Adjustment, Profitability, Tangibility, Size, Growth Opportunity, Income Variability.
Co-Authors Anggun Septina Lukitasari Astri Wening Perwitasari Bambang Hartadi Eka Maya Sari Etty Puji Lestari Eva Nurul Ramdiani Fran Sayekti Gunawan, Jhoni Jhoni Gunawan Lilis Endang Wijayanti Mirna Indah Nurlita Oki Ragil Wardana Prasasti, Ponco Adityia Priska Ralna Eunike Culata Priska Ralna Eunike Culata, Priska Ralna Eunike Putri Endah Astuti Ristianawati Dwi Utami, Ristianawati Dwi Saefudin Saefudin Sari, Eka Maya Septi Diana Sari, Septi Diana Setiyono Setiyono Setiyono Setiyono Tamas Novak Tamas Novak Tanti Febi Setiawan Triana Aryanti Try Wahyuny Wahyu Widiastuti Wulan Handayani