ANALISIS PENERAPAN ARBITRAGE PRICING THEORY (APT) UNTUK MENENTUKAN HARGA INTRINSIK SAHAM PADA PT. BANK MANDIRI Tbk.

Happi Setiyobudi

Abstract


This research constitute case study on PT. Bank Mandiri, Tbk. with the title ?The Analysis Implementation of Arbitrage Pricing Theory (APT) to Determine Intrinsic Price Stock at PT. Bank Mandiri, Tbk.? The purpose of this research to determine intrinsic price stock and to determine if stock in condition undervalued or overvalued by used of APT method. Analysis method that is utilized to determine the intrinsic price stock is by used of APT model is continued with dividend discount model. After true price is gotten, to know stock price fairness did by compares intrinsic price with stock market price. Decision that is taken is if intrinsic price  stock market price, therefore stock in condition overvalued, on the contrary if intrinsic price  stock market price, therefore stock in condition undervalued Count E (Ri) or expected return utilizing bilinear regression equation formula. Variable that is accounted in bilinear regression equation is expected return as dependent variable and IHSG surprise, inflation surprise and BI Rate surprise as independent variable
Surprise?s count got by accounts difference among changed one actually with expected change of each macro economic variable. Count result with bilinear regression equation gotten by APT?S formula already accomplishes classic assumption. APT'S formula results equation: Y. is expected return and X1, X2, and X3 is IHSG surprise, inflation surprise and BI Rate surprise. Expected return is utilized to account intrinsic price stock with dividend discount formula.
After intrinsic price is gotten further done by compare among intrinsic price stock with its market price. On 2003 and 2004 majority in condition undervalued. Its mean this stock is assessed too low, so investor advisable to buy stock. Meanwhile on October until December 2004 and 2005 until 2007, stock in condition overvalued. In this condition investor advisable to sell stock. In this condition, to be utilized to do long term investment decision.

Keywords


APT; IHSG; Tingkat Inflasi; BI Rate