Beruflich Dokumente
Kultur Dokumente
Regression Statistics
Multiple R 0.2407914171
R Square 0.0579805065
Adjusted R 0.054087864
Standard E 0.0159921305
Observatio 244
ANOVA
df SS MS F Significance F
Regression 1 0.00380934346 0.003809343 14.8949 0.000145868
Residual 242 0.06189107359 0.000255748
Total 243 0.06570041705
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0%
Intercept -4.642286E-05 0.0010274941 -0.04518066 0.964001 -0.002070396 0.001977551 -0.002070396
X Variable 0.4748402577 0.12303503337 3.859390652 0.000146 0.2324839869 0.717196528 0.2324839869
Upper 95.0%
0.0019775506
0.7171965284
RM Return Market RF - Risk Free Growth Factor
No E(R)- Expected Return
JKSE (IHSG) SR017 Avg. IHSG
1 0.60% -0.21% 5.90% 0.9979
2 0.30% 0.80% 5.90% 1.0080
3 0.59% 0.00% 5.90% 1.0000
4 1.38% -0.24% 5.90% 0.9976
5 0.00% -1.41% 5.90% 0.9859
6 1.19% 0.70% 5.90% 1.0070
7 -0.29% 0.44% 5.90% 1.0044
8 -0.88% -0.11% 5.90% 0.9989
9 0.30% 0.67% 5.90% 1.0067
10 -0.89% -0.31% 5.90% 0.9969
11 -1.79% 0.00% 5.90% 1.0000
12 -0.91% 0.38% 5.90% 1.0038
13 -0.31% -0.93% 5.90% 0.9907
14 2.15% -0.26% 5.90% 0.9974
15 -1.20% 0.78% 5.90% 1.0078
16 0.61% 0.56% 5.90% 1.0056
17 0.61% 0.03% 5.90% 1.0003
18 0.60% -0.36% 5.90% 0.9964
19 -1.50% -0.15% 5.90% 0.9985
20 0.00% 0.81% 5.90% 1.0081
21 1.52% 2.02% 5.90% 1.0202
22 -0.30% -0.92% 5.90% 0.9908
23 3.90% 1.83% 5.90% 1.0183
24 2.02% -0.86% 5.90% 0.9914
25 0.28% 2.06% 5.90% 1.0206
26 0.00% -0.01% 5.90% 0.9999
27 0.56% 1.02% 5.90% 1.0102
28 -0.56% -0.34% 5.90% 0.9966
29 0.28% 0.41% 5.90% 1.0041
30 0.85% 0.78% 5.90% 1.0078
31 4.19% 1.36% 5.90% 1.0136
32 -0.54% 0.11% 5.90% 1.0011
33 0.27% 0.38% 5.90% 1.0038
34 0.00% -0.04% 5.90% 0.9996
35 -0.81% -0.35% 5.90% 0.9965
36 -1.36% 0.16% 5.90% 1.0016
37 0.00% -0.27% 5.90% 0.9973
38 0.00% 0.47% 5.90% 1.0047
39 -2.75% -0.82% 5.90% 0.9918
40 -0.56% -1.18% 5.90% 0.9882
41 0.00% 1.03% 5.90% 1.0103
42 0.00% -0.58% 5.90% 0.9942
43 0.57% -0.91% 5.90% 0.9909
44 -0.85% 0.91% 5.90% 1.0091
45 0.28% 0.52% 5.90% 1.0052
46 0.00% -0.07% 5.90% 0.9993
47 1.14% 0.77% 5.90% 1.0077
48 0.28% 0.57% 5.90% 1.0057
49 -0.28% 0.20% 5.90% 1.0020
50 -0.56% 0.12% 5.90% 1.0012
51 1.13% -0.60% 5.90% 0.9940
52 -0.28% -0.53% 5.90% 0.9947
53 -1.12% 0.53% 5.90% 1.0053
54 0.28% 0.37% 5.90% 1.0037
55 2.54% -0.59% 5.90% 0.9941
56 -0.55% 1.26% 5.90% 1.0126
57 0.55% 0.05% 5.90% 1.0005
58 -1.38% -0.68% 5.90% 0.9932
59 0.56% 0.08% 5.90% 1.0008
60 -0.56% 0.24% 5.90% 1.0024
61 -0.84% -2.06% 5.90% 0.9794
62 0.00% 0.71% 5.90% 1.0071
63 -4.79% -1.13% 5.90% 0.9887
64 5.62% -0.40% 5.90% 0.9960
65 -0.84% 1.17% 5.90% 1.0117
66 -1.69% -0.69% 5.90% 0.9931
67 0.57% 0.13% 5.90% 1.0013
68 0.00% 0.85% 5.90% 1.0085
69 0.29% 0.02% 5.90% 1.0002
70 1.99% 0.61% 5.90% 1.0061
71 -1.12% 0.14% 5.90% 1.0014
72 -1.13% 0.15% 5.90% 1.0015
73 -0.57% -0.71% 5.90% 0.9929
74 1.15% 0.16% 5.90% 1.0016
75 -0.57% -0.47% 5.90% 0.9953
76 0.57% 0.11% 5.90% 1.0011
77 0.28% -0.83% 5.90% 0.9917
78 -0.85% 0.11% 5.90% 1.0011
79 -0.86% -0.38% 5.90% 0.9962
80 1.15% 0.40% 5.90% 1.0040
81 -0.57% 0.11% 5.90% 1.0011
82 -0.86% 0.19% 5.90% 1.0019
83 0.58% 0.35% 5.90% 1.0035
84 -0.29% 0.04% 5.90% 1.0004
85 0.29% -0.29% 5.90% 0.9971
86 -0.86% 1.27% 5.90% 1.0127
87 1.74% 0.45% 5.90% 1.0045
88 0.57% -0.49% 5.90% 0.9951
89 0.28% -0.13% 5.90% 0.9987
90 0.28% 0.72% 5.90% 1.0072
91 -0.28% -0.15% 5.90% 0.9985
92 -1.69% -0.64% 5.90% 0.9936
93 0.57% -0.01% 5.90% 0.9999
94 0.29% 0.17% 5.90% 1.0017
95 -0.28% 0.53% 5.90% 1.0053
96 0.29% -0.72% 5.90% 0.9928
97 0.00% -0.47% 5.90% 0.9953
98 -0.28% -0.33% 5.90% 0.9967
99 -2.57% 0.53% 5.90% 1.0053
100 1.76% 1.50% 5.90% 1.0150
101 -0.86% -1.06% 5.90% 0.9894
102 1.74% -1.31% 5.90% 0.9869
103 0.00% 0.50% 5.90% 1.0050
104 -0.57% 0.16% 5.90% 1.0016
105 -0.29% 0.52% 5.90% 1.0052
106 0.58% -0.22% 5.90% 0.9978
107 -0.57% 1.15% 5.90% 1.0115
108 -2.02% -0.35% 5.90% 0.9965
109 1.47% 0.71% 5.90% 1.0071
110 0.29% 1.09% 5.90% 1.0109
111 -0.29% -0.23% 5.90% 0.9977
112 0.58% 0.66% 5.90% 1.0066
113 -0.58% -0.16% 5.90% 0.9984
114 0.29% -0.12% 5.90% 0.9988
115 -1.16% -1.19% 5.90% 0.9881
116 0.00% 1.08% 5.90% 1.0108
117 -0.58% 0.63% 5.90% 1.0063
118 0.29% -0.22% 5.90% 0.9978
119 0.00% 0.84% 5.90% 1.0084
120 -0.29% 0.15% 5.90% 1.0015
121 0.29% -0.59% 5.90% 0.9941
122 2.05% 0.85% 5.90% 1.0085
123 -2.01% -1.48% 5.90% 0.9852
124 -0.29% 1.03% 5.90% 1.0103
125 -2.94% 0.48% 5.90% 1.0048
126 -3.94% -0.77% 5.90% 0.9923
127 -1.26% 0.87% 5.90% 1.0087
128 -5.43% -0.86% 5.90% 0.9914
129 2.70% -0.80% 5.90% 0.9920
130 0.33% 0.74% 5.90% 1.0074
131 1.64% 0.87% 5.90% 1.0087
132 -2.58% -0.02% 5.90% 0.9998
133 -0.33% 0.43% 5.90% 1.0043
134 -1.33% -0.49% 5.90% 0.9951
135 2.69% 1.07% 5.90% 1.0107
136 -0.66% -0.40% 5.90% 0.9960
137 0.00% -0.14% 5.90% 0.9986
138 -1.65% 0.00% 5.90% 1.0000
139 0.34% 0.66% 5.90% 1.0066
140 0.33% -0.07% 5.90% 0.9993
141 0.67% 0.77% 5.90% 1.0077
142 -3.97% -0.67% 5.90% 0.9933
143 0.34% 0.67% 5.90% 1.0067
144 0.34% -0.54% 5.90% 0.9946
145 1.03% 0.59% 5.90% 1.0059
146 -0.34% 0.26% 5.90% 1.0026
147 2.38% 0.10% 5.90% 1.0010
148 0.33% 0.53% 5.90% 1.0053
149 0.33% 0.45% 5.90% 1.0045
150 -2.31% -0.62% 5.90% 0.9938
151 2.36% 0.33% 5.90% 1.0033
152 -1.65% 1.17% 5.90% 1.0117
153 1.01% -0.10% 5.90% 0.9990
154 -1.66% 0.15% 5.90% 1.0015
155 -1.01% 0.67% 5.90% 1.0067
156 -2.05% -0.38% 5.90% 0.9962
157 -1.05% 0.55% 5.90% 1.0055
158 1.06% -1.05% 5.90% 0.9895
159 2.09% 0.39% 5.90% 1.0039
160 1.37% 0.68% 5.90% 1.0068
161 -1.68% -0.70% 5.90% 0.9930
162 1.71% -0.13% 5.90% 0.9987
163 2.02% 0.22% 5.90% 1.0022
164 0.33% -0.49% 5.90% 0.9951
165 0.33% 0.45% 5.90% 1.0045
166 -2.95% -4.42% 5.90% 0.9558
167 7.77% -1.30% 5.90% 0.9870
168 4.08% -0.05% 5.90% 0.9995
169 -3.31% -3.17% 5.90% 0.9683
170 1.87% -0.03% 5.90% 0.9997
171 -4.28% 0.70% 5.90% 1.0070
172 3.51% 2.24% 5.90% 1.0224
173 -1.54% 0.44% 5.90% 1.0044
174 0.94% 1.39% 5.90% 1.0139
175 -0.93% -1.12% 5.90% 0.9888
176 2.19% 1.07% 5.90% 1.0107
177 1.23% -0.44% 5.90% 0.9956
178 4.55% 2.07% 5.90% 1.0207
179 -0.87% 0.16% 5.90% 1.0016
180 0.29% 1.58% 5.90% 1.0158
181 -0.29% 0.00% 5.90% 1.0000
182 0.29% 0.48% 5.90% 1.0048
183 0.87% -1.20% 5.90% 0.9880
184 -0.87% 0.63% 5.90% 1.0063
185 0.00% 0.73% 5.90% 1.0073
186 0.58% -0.15% 5.90% 0.9985
187 -1.45% -1.34% 5.90% 0.9866
188 1.18% -1.29% 5.90% 0.9871
189 0.58% 0.78% 5.90% 1.0078
190 -0.58% -0.61% 5.90% 0.9939
191 0.87% 0.62% 5.90% 1.0062
192 -1.44% -1.61% 5.90% 0.9839
193 4.97% 0.57% 5.90% 1.0057
194 1.95% 0.97% 5.90% 1.0097
195 0.82% -0.85% 5.90% 0.9915
196 1.08% 0.20% 5.90% 1.0020
197 1.07% 0.64% 5.90% 1.0064
198 0.80% -0.38% 5.90% 0.9962
199 0.00% -0.28% 5.90% 0.9972
200 -0.53% -0.77% 5.90% 0.9923
201 1.06% -0.44% 5.90% 0.9956
202 -2.09% -1.70% 5.90% 0.9830
203 -1.34% -2.28% 5.90% 0.9772
204 -0.54% 0.97% 5.90% 1.0097
205 3.00% -0.85% 5.90% 0.9915
206 0.26% 0.09% 5.90% 1.0009
207 -0.53% 1.32% 5.90% 1.0132
208 0.27% -0.27% 5.90% 0.9973
209 -1.32% -0.06% 5.90% 0.9994
210 -0.27% -1.15% 5.90% 0.9885
211 -0.54% 0.74% 5.90% 1.0074
212 1.08% -0.57% 5.90% 0.9943
213 1.60% 0.11% 5.90% 1.0011
214 -0.53% 1.15% 5.90% 1.0115
215 0.00% 2.06% 5.90% 1.0206
216 0.53% -0.15% 5.90% 0.9985
217 -1.05% 0.33% 5.90% 1.0033
218 0.53% -0.41% 5.90% 0.9959
219 -0.79% 0.19% 5.90% 1.0019
220 -1.07% 0.39% 5.90% 1.0039
221 -3.23% 0.85% 5.90% 1.0085
222 -1.67% -0.08% 5.90% 0.9992
223 0.85% 0.25% 5.90% 1.0025
224 3.34% 0.28% 5.90% 1.0028
225 -1.95% 0.84% 5.90% 1.0084
226 1.42% 0.15% 5.90% 1.0015
227 -1.40% 0.39% 5.90% 1.0039
228 0.00% 0.03% 5.90% 1.0003
229 -0.85% 0.23% 5.90% 1.0023
230 0.00% -0.23% 5.90% 0.9977
231 1.72% 1.05% 5.90% 1.0105
232 -2.25% -0.43% 5.90% 0.9957
233 2.31% -0.50% 5.90% 0.9950
234 -1.41% 0.57% 5.90% 1.0057
235 0.29% 0.74% 5.90% 1.0074
236 -0.85% -0.20% 5.90% 0.9980
237 0.29% -0.90% 5.90% 0.9910
238 0.86% 0.78% 5.90% 1.0078
239 -0.28% 0.44% 5.90% 1.0044
240 0.00% -0.28% 5.90% 0.9972
241 -0.57% -0.54% 5.90% 0.9946
242 1.43% -0.04% 5.90% 0.9996
243 -1.41% 0.38% 5.90% 1.0038
244 -4.87% 0.27% 5.90% 1.0027
Avg. Return Arithmetic Geometric
IHSG 0.069% 0.065%
Single Index Model Capital Asset Pricing Model
E( R ) = α + β RM + ε E( R ) = Rf + β (RM - Rf)
No Emiten α β No Emiten Rf β
1 ICBP.JK (0.00005) 0.47484 1 ICBP.JK 5.90% 0.5
No Emiten Rf β
1 ICBP.JK 0.065% 0.5
Avg. RM (A) E( R )
18.34% 11.81%
Avg. RM (G) E( R )
17.31% 8.25%
setiap kenaikan ihsg sebesar 1% artinya saham akan naik sesuai koef beta