Pengujian Kembali Validitas CAPM dengan Pemodelan Pengestimasian Beta (Studi Empiris di Bursa Efek Indonesia)

Capital Asset Pricing Model (CAPM) has been widely tested by researchers where the result of this research is still mixed (some are rejected and supported CAPM). This cause not from theoretical problems, but from methodological problems concerning errors in the method of estimating beta. Thus, this study aimed to test the beta (CAPM) with single factor and multi factor models using several techniques of estimating beta, like Indeks Tunggal beta, Blume-Lynch beta, Dimson beta, Scholes-William beta and Fowler-Rorke beta. In this study, 73 companies have been selected as sample based on some criteria and divided into four periods of observation 2004-2005, 2005-2006, 2007-2008 and 2004-2008. Beta testing is done using OLS method and perform calculations on each beta. The results showed that beta correction which considers lead and lag produces beta values close to one but not exactly used to test the validity of CAPM. Meanwhile, the single index method produces beta values far from one but it is the best method in explaining stock returns. In addition, research results also support CAPM when tested with single factor and multi factor models