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ANALISIS PENGAMBILAN KEPUTUSAN INVESTASI SAHAM SEKTOR PERBANKAN INDEX KOMPAS100 DENGAN MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM)

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ABSTRACT ANALYSIS OF STOCK INVESTMENT DECISION MAKING IN BANKING SECTOR INDEX KOMPAS100 BY USING CAPITAL ASSET PRICING MODEL (CAPM) Written by: Stanley NIM: 1231007 This study aimed to analyze stock investment decision making in banking sector in Kompas100 index. This study was conducted using descriptive analysis and quantitative approach. The research used secondary data that was companies’ monthly closing stock price, IHSG monthly closing stock price, and interest rate Bank Indonesia. Samples used on this research were the stock that consistently registered in Kompas100 index during 2010-2014. Stock chosen were BBCA, BBKP, BBNI, BBRI, BDMN, BMRI, and PNBN. Calculation and data analysis was performed using Capital Asset Pricing Model (CAPM). With CAPM, investors were able to predict shares with low risk and producing great profit based on the concept of risk and return. The results of this research shown that BBRI stock had the highest beta, that was 1,88612 and the highest expected return value that was 0,020. BBNI stock had the highest return level that was 0,023. There were 4 stocks eligible, those were BBKP, BBRI, PNBN, and BDMN to be invested for having return level higher than expected return. Keywords: beta, capital asset pricing model, risk, return