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Principles of Corporate Finance

Courtesy Brealey and Myers, Sixth Edition

 APPLICATION OF CAPITAL
ASSET PRICING MODEL

Courtesy Slides by Matthew Will.

(Modified by Sasmito Wibowo, 2011)
Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000
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Capital Asset Pricing Model

model keseimbangan yang

menggambarkan hubungan risiko
dan return secara lebih sederhana,
dan hanya menggunakan satu
variabel (yaitu variabel beta)

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Capital Asset Pricing Model

Asumsi
1. Semua investor mempunyai distribusi
probabilitas tingkat return di masa depan yg
sama.
2. Periode waktu yg digunakan adl sama.
3. Semua investor dpt meminjam atau
meminjamkan uang pd tgkat return bebas
risiko.
4. biaya transaksi, pajak, dan inflasi
diasumsikan konstan dan diketahui.
5. Investor adl price taker
6. Pasar dlm keadaan seimbang.
Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000
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Capital Asset Pricing Model

-CAPM adalah model yg

menghubungkan tingkat return yg
diharapkan dr suatu aset berisiko dg
risiko dr aset tersebut pd kondisi
pasar yg seimbang
-

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Capital Asset Pricing Model

R = rf + B ( rm - rf )

CAPM
Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000
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Testing the CAPM

Beta vs. Average Risk Premium
Avg Risk Premium
1931-65 SML
30

20 Investors

10 Market
Portfolio
0
Portfolio Beta
1.0

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

8- 7

Testing the CAPM

Beta vs. Average Risk Premium
Avg Risk Premium
1966-91

30

20 SML
Investors

10

Market
0 Portfolio
Portfolio Beta
1.0

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Testing the CAPM

Company Size vs. Average Return
Average Return (%)
25

20

15

10

Company size
0
Smallest Largest

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Consumption Betas vs Market Betas

Stocks
(and other risky assets)

Wealth = market
portfolio

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Consumption Betas vs Market Betas

Stocks
(and other risky assets)

Market risk
makes wealth
uncertain.

Wealth = market
portfolio

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Consumption Betas vs Market Betas

Stocks
(and other risky assets)

Market risk Standard

makes wealth
uncertain. CAPM

Wealth = market
portfolio

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

8- 12

Consumption Betas vs Market Betas

Stocks Stocks
(and other risky assets) (and other risky assets)

Market risk Standard

makes wealth
uncertain. CAPM

Wealth = market
Consumption
portfolio

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Consumption Betas vs Market Betas

Stocks Stocks
(and other risky assets) (and other risky assets)

Wealth is uncertain

Market risk Standard

makes wealth Wealth
uncertain. CAPM
Consumption is
uncertain

Wealth = market
Consumption
portfolio

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Consumption Betas vs Market Betas

Stocks Stocks
(and other risky assets) (and other risky assets)

Wealth is uncertain

Market risk Standard Consumption

makes wealth Wealth
CAPM CAPM
uncertain.
Consumption is
uncertain

Wealth = market
Consumption
portfolio

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Arbitrage Pricing Theory

Alternative to CAPM

Expected Risk
Premium = r - rf
= Bfactor1(rfactor1 - rf) + Bf2(rf2 - rf) + …

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Arbitrage Pricing Theory

Alternative to CAPM

Expected Risk
Premium = r - rf
= Bfactor1(rfactor1 - rf) + Bf2(rf2 - rf) + …

Return = a + bfactor1(rfactor1) + bf2(rf2) + …

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Arbitrage Pricing Theory

Estimated risk premiums for taking on risk factors
(1978-1990)

E s tim a te d R is k P re m iu m
F a c to r
( r fa c to r  r f )
Y ie ld s p re a d 5 .1 0 %
In te re s t ra te - .6 1
E x c h a n g e ra te - .5 9
R eal G N P .4 9
In fla tio n - .8 3
M rk e t 6 .3 6

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Capital Asset Pricing Model

Mengestimasi Beta
Beta adl ukuran seberapa besar perubahan return suatu
portfolio akibat perubahan return pasar.
Salah satu cara mengestimasi beta, menggunakan market
model, yang pada dasarnya sama dengan single index
model.
Persamaan market model:
Ri = αi + βi *Rm + ei
Persamaan market model bisa dilakukan dengan meregresi
antara return sekuritas yang akan dinilai dengan return
indeks pasar.
Regresi tersebut akan menghasilkan nilai αi (merupakan
ukuran return portfolio i yg tidak terkait dengan return
pasar), dan nilai βi (menunjukkan slope yang
mengindikasikan peningkatan return yang diharapkan pada
portfolio
Irwin/McGraw Hill i untuk setiap kenaikan return pasar sebesar
©The McGraw-Hill 1%).Inc., 2000
Companies,
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Capital Asset Pricing Model

Under value, over value
Contoh:

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Capital Asset Pricing Model

Under value, over value
Contoh:

Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000

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Capital Asset Pricing Model

E(Ra) = 0,15 + (0,2 -0,15) 1,2 = 21 %
E(Rb) = 0,15 + (0,2 – 0,15) 0,8 = 19 %
E(Rc) = 0,15 + (0,2 – 0,15) 1,5 = 22,5 %
Saham C d undervalued krn Return ekspetasi <
return realisasi shg Investor akan membeli
saham C tsb
Saham B overvalued krn return ekspetasi >
return realisasi shg investor akan menjual
saham B tsb.
Saham A berada pd titik keseimbangan.
Irwin/McGraw Hill ©The McGraw-Hill Companies, Inc., 2000