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Saleh, Darwin Zahedy
Universitas Prasetiya Mulya
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Expected Return Dan Risiko Pengujian Consumption-Based Capital Asset Pricing Model (CCaPm) Pasar Saham Indonesia Saleh, Darwin Zahedy
INTERNATIONAL RESEARCH JOURNAL OF BUSINESS STUDIES Vol 3, No 1 (2010): April-July 2010
Publisher : Universitas Prasetiya Mulya

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Abstract

The aim of the study is to assess the positive relation between expected return of asset or portofolio with its consumption beta, using consumption-based capital asset pricing model (CCAPM) (Breden, 1979) in Indonesia Stock Exchange market. Hypothesis testing in this research utilizing two-step econometric models: frst pass regression and second pass regression. Based on the test, there is no linear and positive relation between expected return and consumption beta. The results suggest the limited correlation between the aggregate of consumption level and historical return movement. The research does not support CCAPM theory. The results indicate another factor aside from consumption in determining stock exchange return. It shows the fact that the small proportion of investor compared to the population of the country afects how the consumption data should be interpreted carefully since the data refect more on non-investor consumer consumption.
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