Abstract

This study aims to ensure that the concept of CAPM still have strong relevance for use by financial experts, decision makers or management of companies and investors in the capital market to determine or quantify the risk or beta (β) shares.

The method used is the econometric approach and try to compare earlier research model that has been used by researchers and financial experts in several different places and periods. The selected sample is the most actively traded shares on the Indonesian Stock Exchange (BEI) in the period September to November 2014. The data used is data weekly or every Wednesday, to avoid anomalies or abnormalities price on Monday and Friday.

The results obtained from this study are: (A) model that has been used or developed but the result is the same in the valuation of the beta (β), but differ in the value of alpha (α) in each of these models, because the risk free return (Rf) constant during the observation period, or there will be differences in the value of beta (β) and alpha (α) when Rf is varied during the observation period. (B) According to research data, the ratio of non-linear or quadratic models is more relevant to use in assessing beta stocks, as comparison determinant coefficient (R²) of linear and non-linear models for the entire company shares were observed. (C) Results of measurement estimate stock return (Ri) both with linear and non-linear models, shows that the concept is still relevant or CAPM model used in the measurement of beta (β) shares. (D) non-linear model based Ln can not be used when there are negative returns or loss, as in this study, the data to for transformation will an error and SPSS simulation process can not be done. (E) In addition to the concept of CAPM still there are many important things that must be considered in relation to the risk and return of investment.

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