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ANALISIS RISIKO DAN ANALISIS RISIKO DAN RETURN RETURN INVESTASI UNTUK INVESTASI UNTUK MENENTUKAN KEPUTUSAN INVESTASI SAHAM PADA MENENTUKAN KEPUTUSAN INVESTASI SAHAM SUB SEKTOR MAKANAN DAN MINUMAN DI BURSA EFEK PADA SUB SEKTOR MAKANAN DAN MINUMAN INDONESIA DENGDI BURSA EFEK INDONESIA DENGAN AN METODE CAPM METODE CAPM

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ABSTRACT ANALYSIS OF RISK AND RETURN OF INVESTMENT TO DETERMINE ANALYSIS OF RISK AND RETURN OF INVESTMENT TO SHARE INVESTMENT FOOD AND BEVERAGE SUB SECTOR IN INDONESIA STOCK EXCHANGE USING THE CAPM METHODDETERMINE SHARE INVESTMENT FOOD AND BEVERAGE SUB SECTOR IN INDONESIA STOCK EXCHANGE USING THE CAPM METHOD Written by: Rut Naomi NIM: 1331027 This study aimed to analyze the risk and return of investment in shares to determine the decision of investment shares on food and beverages sub-sector in the Indonesian Stock Exchange. This study is a quantitative study with a method descriptive in nature. This study used secondary data in the form of monthly stock closing prices of the company, monthly closing share price of JCI, and the interest rate data of Bank Indonesia. Data was analyzed using measurements from the Capital Asset Pricing Model (CAPM) method. The research sample used purposive sampling technique with criteria of companies that consistently registered in the company’s stock sub-sectors of food and beverages in Indonesia Stock Exchange for two years starting from October 2014 until October 2016. The chosen stocks are: AISA, ALTO, CEKA, DLTA, ICBP, INDF, MLBI, MYOR, PSDN, SKBM, ROTI, SKLT, STTP, and ULTJ. The results showed that there were two stocks that have the aggressive types of shares which amounted to 1,441 shares for AISA and INDF amounting to 1,301. And there were 8 company shares from 14 samples used that were eligible to be invested or recommended for purchase. Because 8 company shares were included in a group of undervalued shares that has a return value (Ri) greater than the value of expected return [E(Ri)], namely CEKA, PSDN, ROTI, INDF, ULTJ, STTP, MLBI, and AISA shares. Keywords: CAPM, risk of investment, return of investment, Indonesia stock exchange