Penerapan Metode Capital Asset Pricing Model (Capm) Sebagai Salah Satu Upaya Untuk Menentukan Kelompok Saham Efisien (Studi Pada Saham Perusahaan Sektor Industri Pengolahan Yang Terdaftar Di Bei Tahun 2009-2012)

This research aims to classify efficient stocks and inefficient stock using the Capital Asset Pricing Model approach (CAPM), it really helps the investors to make the right investment decisions. The object of research is done in the manufacturing sector shares which are listed in the Stock Exchange 2009-2012 . Based on the research result and the analysis that have been done, it can be seen that from the 11 manufacturing company shares which are used as the research sample, there are two company stocks that belong to inefficient company shares category. The shares can be said to inefficient because it has less rate of return than the expected individual rate of return, the decision which should be taken by investors is to sell the shares before prices overvalued. The amount of other processing industry company samples that are categorized as efficient shares category is 9 (nine) companies. The shares can be said to be efficient because it has a greater rate of return than the expected individual rate of return, the decision that have to be taken by the investor is taking or buying stock for undervalued