The Application of Capital Asset Pricing Model (CAPM) Analysis Method as the Basis of Stock Investment Decision Making: Study of 18 Technology Companies on the Indonesia Stock Exchange

This study aims to determine the application of the capital asset pricing model method as a basis for consideration in making stock investment decisions (study on shares of technology companies on the Indonesia Stock Exchange). The research variable is based on the concept of the Capital Asset Pricing Model. This research is a descriptive study with a quantitative approach. The population in this study is 27 shares of technology companies that have been listed on the Indonesia Stock Exchange (IDX) for the period November 2020-October 2022, while the sample is 18 company shares which is selected based on purposive sampling technique. The data processed is the closing price of shares (closing price) sourced from the IDX. The data was collected by literature study and data collection from several websites, including:(www.idx.co.id, www.finance.yahoo.com, https://www.bi.go.id and www.pefindo.com.) Data analysis is carried out by using the stages of the capital asset pricing model (CAPM) which starts from collecting stock closing price data to classifying stocks as investment decisions. The results of this study indicate that there is a unidirectional or non-linear relationship between systematic risk and the expected rate of return. There are 7 stocks that are included in the efficient stock category, and 11 stocks that are included in the inefficient stock category. Thus, the investment decision is to buy in efficient stocks and to sell in inefficient stocks if they have them.


A B S T R A C T
This study aims to determine the application of the capital asset pricing model method as a basis for consideration in making stock investment decisions (study on shares of technology companies on the Indonesia Stock Exchange).The research variable is based on the concept of the Capital Asset Pricing Model.This research is a descriptive study with a quantitative approach.The population in this study is 27 shares of technology companies that have been listed on the Indonesia Stock Exchange (IDX) for the period November 2020-October 2022, while the sample is 18 company shares which is selected based on purposive sampling technique.The data processed is the closing price of shares (closing price) sourced from the IDX.The data was collected by literature study and data collection from several websites, including:(www.idx.co.id, www.finance.yahoo.com,https://www.bi.go.id and www.pefindo.com.)Data analysis is carried out by using the stages of the capital asset pricing model (CAPM) which starts from collecting stock closing price data to classifying stocks as investment decisions.The results of this study indicate that there is a unidirectional or non-linear relationship between systematic risk and the expected rate of return.There are 7 stocks that are included in the efficient stock category, and 11 stocks that are included in the inefficient stock category.Thus, the investment decision is to buy in efficient stocks and to sell in inefficient stocks if they have them.

Financial ratio
Financial ratios are activities to compare the numbers in the financial statements by dividing one number by another.This comparison can be made between a component with other components in a financial statement.In addition, it can also be used as a comparison between components that exist in the financial statements of a company.

Technology company
Technology companies are companies that have an electronic base.Some examples of businesses such i.e internet business, computer hardware, software, ecommerce, communication devices, semiconductors, and other computer services.Jacques Ellul explained that technology is a whole method that is rationally directed and has the characteristics of efficiency in every activity carried out by humans.

Stock
According to Fahmi, shares are a sign of ownership of capital or funds (partially or wholly) in a company or business that generates profit (Budisantoso, 2006).
In addition, the owners of shares in a company have rights and obligations, and these rights and obligations are clearly explained to the shareholders.

Stock exchange
Budisantoso (2006)  organizes and provides a system to bring together offers from sellers to buyers of securities as well as other parties, where this aims to trade securities on the market among them.

Stock price index
The Stock Price Index is a change in the increase or decrease in the stock price of a company that is listed on the capital market.A previous study explains that the stock price index is the main indicator that describes stock price movements.This index consists of an individual stock price index and IDX composite (IHSG).An individual stock price index can show a comprehensive set of information on the value of a company from a certain period.Meanwhile, the IDX Composite is the price of a share that is valued in a group or jointly.

The capital asset pricing model (CAPM)
The capital asset pricing model (CAPM) is an equilibrium asset pricing model that states that the expected return on certain securities is a positive linear function of the sensitivity of securities to changes in market portfolio returns (Fahmi, 2014).
CAPM is a model that connects the returns of the expected rate of a risky asset with the risk of that asset in a balanced market condition (Tandelilin, 2010).

Company acquisition
Sudana explained that the acquisition is a merger of two companies in which the company acting as the acquirer buys a portion of the shares of the company being acquired.This resulted in the management of the acquired company being transferred to the acquiring company, even though the two companies were still operating as separate legal entities.An acquisition is a transaction that occurs between two parties, where one party, as the buyer, ultimately gets and becomes the owner of most or all of the wealth of the other party, as the seller.According to previous research, acquisition is the takeover of ownership or control of shares or assets of a company by another company.

Methods
The Calculating the market rate of return (Rm) The average Rm has a positive value of 0.001, which comes from the total amount of Rm of 0.17 divided by the number of months of research that has a market return (Figure 1), which is 24 months.The highest market rate of return occurred in February 2021 at 0.065 or 6.5%.%.This illustrates that stock trading conditions in that month were very active.
Meanwhile, the lowest market rate of return in March 2021 was -0.041 or -4.1%, which illustrates that stock trading during that month was sluggish.

Graphic depiction of security market line (SML)
The SML shows the relationship between the magnitude of systematic risk and the expected rate of return.The following is an SML chart of 18 company stocks that are used as research samples.Based on Figure 4, it can be seen that the greater the systematic risk/beta (βi), the smaller the level, indicating that there is a non-linear or non-linear relationship between βi and E(Ri).The graph also shows that when the beta value is 1, the expected rate of return is equal to the market rate of return, which is 0.01 or 1%.
Meanwhile, when the value of βi is 0, then E(Ri) = Rf is 0.036 or 3.6%.Of the 18 stocks that became the research sample, there were 13 stocks with a beta value greater than 1 (βi>1) with an E(Ri) value.

Classification of stocks as investment decisions
There  In addition to calculating the rate of return on individual shares, this study also calculates the market rate of return (Rm).From the research results, Tech companies have flocked to the Stock Exchange Indonesia (IDX) in the last few years.By 2022, there will be 23 technology companies that have conducted IPOs in IDX.Some of these technology companies include Gojek Corp, Tokopedia Corp Inc (GOTO), Bukalapak.Com Corp Inc, DCI Indonesia (DCII) Corp Inc, Indointernet (EDGE) CorpInc, and Elang Mahkota Teknologi Corp Inc (EMTK).These companies are also very familiar to Indonesian society and the public.For example, Gojek, Tokopedia, and Bukalapak became the leaders of technology companies in the transportation sector and marketplaces.Both did IPOs at a relative distance, where Bukalapak conducted a public offering of its shares in August 2021 and Gojek Tokopedia in March 2022.The number of technology companies that are on the IDX are responded positively by the investor.This is evidenced by the public's high interest in acquiring shares of technology companies.For example, Bukalapak Corp shares reached 24.71 percent within the first 30 minutes of the IPO.It doesn't stop there; stock BUKA also touches Auto Reject Up (ARA) (To).The success story of Bukalapak's IPO was also followed by Gojek Tokopedia Corp (GOTO), which conducted an IPO in early 2022.GOTO also often reaches the ARA, as happened at BUKA at the The Application of Capital Asset Pricing Model (CAPM) Analysis Method as the Basis of Stock Investment Decision Making: Study of 18 Technology Companies on the Indonesia Stock Exchange Ade Irma Setya Negara 1* https://doi.org/10.37275/oaijss.v7i2.221
are 7 stocks (DIVA, DMMX, KIOS, NFCX, PGJO, TECH, TFAS) that are included in the efficient stock category, and as many as 11 stocks are included in the inefficient stock category.It can also be seen on the security market line chart that the position of the average return of efficient individual stocks on the chart is above the SML line, which means the stock is undervalued.On the other hand, in inefficient stocks, the individual return point is below SML, which indicates that the stock is overvalued.
returns, market returns, and so on.This kind of calculation is expected to be a security market line to guide the acquisition of a technology company.The