Analisis return saham saat siklus ekonomi resesi dan ekspansi pada sektor consumer goods dan sektor pertambangan terdaftar di BEI

Simamora, Ricky Triwanda Putra (2020) Analisis return saham saat siklus ekonomi resesi dan ekspansi pada sektor consumer goods dan sektor pertambangan terdaftar di BEI. Masters thesis, IPB University.

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Official URL: https://sb.ipb.ac.id

Abstract

In investing, all investors expect an optimal rate of return. But the rate of return received by investors (actual return) does not always match the expected rate of return (expected return). This situation shows that investors face investment risk, which is reflected in the value of beta (β). Beta is a systematic risk measure of a stock or portfolio. The term beta refers to an indicator, which shows the level of stock risk against the level of market risk. Beta value indicates the size of the sensitivity of changes in the level of stock returns to changes in market profit levels. This study aims to analyze stock returns during a recession and expansion cycle on two characteristics of different stock sectors, namely the Consumer goods Sector and the Mining Sector. This study also analyzes the asset pricing model with the best level of accuracy in estimating stock returns for two different sectors and two economic cycles. This study uses multiple regression to see the effect of beta and gross domestic product growth on stock returns and the Mean Absolute Deviation Method to measure the asset pricing model with the best level of accuracy. The analysis shows that beta has a significant influence on the return of shares of the consumer goods sector and the mining sector during recession and expansion. While the growth of gross domestic product only has a significant effect on the stock returns of the mining sector during recession and expansion. But in the consumer goods sector, gross domestic product growth has no significant effect on stock returns during recession and expansion cycles. The model with the best level of accuracy for estimating stock returns in the consumer goods sector is the Arbitrage Pricing Theory at the time of recession and expansion. As for the mining sector, the best models are Arbitrage Pricing Theory during a recession and the Capital Asset Pricing Model when expansion cycle. Managerial implications that can be conveyed for the type of risk averse investor with a low degree of risk aversion can choose the mining sector (aggressive stocks) and during the expansion cycle, due to better average stock returns. And, for the type of risk averse investor with a high degree of risk aversion can choose the consumer goods sector (defensive stocks) and during a recession, due to better stock returns. As for the asset pricing model in estimating stock returns with the best level of accuracy is Arbitrage Pricing Theory, illustrated from the expected return value and the smallest error value. This illustrates that in general, stock return analysis in the consumer goods sector and the mining sector both during the recession cycle and expansion cycle is influenced by macroeconomic variables contained in the calculation of the expected return model Arbitrage Pricing Theory as the model with the best level of accuracy.

Item Type: Thesis (Masters)
Uncontrolled Keywords: return saham, resesi, ekspansi, beta, CAPM, APT, fama french three factor model, Arbitrage Pricing Theory tock return, recession, expansion, Beta, CAPM, APT, fama french three factor model
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 19 Apr 2022 02:27
Last Modified: 19 Apr 2022 02:27
URI: http://repository.sb.ipb.ac.id/id/eprint/3839

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