Asset Pricing Analysis of Five Indonesian Banking Stocks Using the Capital Asset Pricing Model
DOI:
https://doi.org/10.59525/jess.1999Keywords:
capm, asset pricing, banking stocks, undervalued, overvaluedAbstract
Investment decisions regarding stocks require consideration of the relationship between risk levels and expected returns. One approach for analyzing this relationship is the Capital Asset Pricing Model (CAPM), which enables investors to assess stock returns based on systematic risk. This study aims to analyze the pricing of five Indonesian banking stocks using the CAPM approach. The research sample consists of BBCA, BMRI, BBNI, BRIS, and BBRI stocks. The variables analyzed include stock beta, the risk-free interest rate, individual stock returns, and market returns. The results indicate that BBNI stock is undervalued, as its actual return exceeds the return estimated via CAPM. Conversely, BBCA, BMRI, BRIS, and BBRI stocks are classified as overvalued, as their actual returns are lower than the CAPM-estimated returns. The average beta value for all the stocks exceeds 1, indicating that they carry higher systematic risk than the market average. Based on these findings, CAPM serves as a useful analytical tool for evaluating the fairness of stock prices and supporting investment decision-making. BBNI stock is a potential candidate for investor consideration, given that its actual return is relatively higher than the return required under CAPM; meanwhile, the other stocks warrant further scrutiny, as their returns fall below CAPM estimates.
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