Teori Portofolio dan Analisis Investasi sesi 12 ( Menghitung Capital Aset Pricing Model)

Summary

In this lecture on Capital Asset Pricing Model (CAPM) for portfolio theory and investment analysis, the professor explains how to determine whether stocks are undervalued or overvalued. CAPM is used to calculate the expected return of a stock by incorporating risk-free rates, beta, and market returns. The lecturer walks through using Excel to apply the formula, showing how to find stock valuation, interpret results, and compare expected vs. actual returns. The example using Bank BCA stock demonstrates how to assess overvaluation. The session emphasizes practical application and systematic risk analysis for better investment decisions.

Takeaways

• 😀 The Capital Asset Pricing Model (CAPM) helps determine the value of a stock and assesses whether a stock is overvalued or undervalued.
• 😀 CAPM evaluates the risk and return of stocks, allowing investors to make informed decisions on whether to buy stocks at the right price.
• 😀 The formula for CAPM is: Expected Return = Risk-Free Return + Beta * (Expected Market Return - Risk-Free Return).
• 😀 Beta is an important metric in CAPM, as it measures the stock's volatility compared to the market, helping to determine its risk level.
• 😀 The risk-free return is typically derived from the Bank Indonesia certificate, which represents an investment with no risk of loss.
• 😀 To calculate the expected return, investors use historical data such as the daily returns of the stock, market, and risk-free asset.
• 😀 In the example provided, BBCA stock had an average expected return of -0.46%, while the expected return from the market (IHSG) was -0.44%.
• 😀 A negative difference between the actual and expected returns suggests that the stock is overvalued, as seen in BBCA's case, where the actual return was lower than expected.
• 😀 Investors should look for stocks that provide actual returns greater than their expected returns to achieve better returns on their investments.
• 😀 The CAPM model provides a way to assess if an investment is worth pursuing based on its systematic risk (beta) and expected return compared to actual returns.

Q & A

What is the primary purpose of the Capital Asset Pricing Model (CAPM)?

The primary purpose of the Capital Asset Pricing Model (CAPM) is to determine the expected return of a stock or security based on its risk (beta) and the market conditions, helping investors assess whether a stock is overvalued or undervalued.

How does CAPM help investors make decisions about stock prices?

CAPM helps investors by calculating the expected return on a stock based on its beta, risk-free return, and market return. If the actual return is lower than the expected return, the stock is considered overvalued, signaling a potential issue for investment.

What formula is used to calculate the expected return in CAPM?

The formula used in CAPM to calculate the expected return is: E = R_f + β × (R_m - R_f), where E is the expected return, R_f is the risk-free return, β is the stock's beta, and R_m is the market return.

What is beta in the context of CAPM, and how is it calculated?

Beta is a measure of a stock's volatility relative to the overall market. It represents the stock's systematic risk. Beta can be calculated through statistical methods by comparing the stock's returns to the market's returns over a period.

In the example provided, what is the beta value of BBCA shares?

In the example, the beta value of BBCA shares was calculated as 0.98, which means the stock's price moves slightly less than the market.

What does a negative value for the expected return indicate about a stock?

A negative expected return indicates that, according to the CAPM model, the stock is not likely to provide returns that justify its risk level. It could also imply that the stock is overpriced in relation to its risk-adjusted expected return.

How can the risk-free return be defined in CAPM?

The risk-free return in CAPM refers to the return on an investment that is considered free of risk, such as government bonds or Bank Indonesia certificates, which guarantee returns with no chance of loss.

What does the actual return being lower than the expected return signify about a stock’s valuation?

When the actual return is lower than the expected return calculated using CAPM, it signifies that the stock is overvalued. Investors may have priced it higher than what the stock is actually worth based on its risk profile.

What practical steps does the instructor take to demonstrate the CAPM model using Excel?

The instructor demonstrates how to use Excel by entering stock return data, calculating the beta of a stock, and applying the CAPM formula to assess the stock's expected return. The results are then used to determine whether the stock is overvalued or undervalued.

How does the assignment relate to the application of the CAPM model?

The assignment involves calculating the systematic risk (beta) of stocks and applying the CAPM formula to determine whether the stocks are overvalued or undervalued, using Microsoft Excel for the calculations and analysis.