Nama: NIM : Manajemen Risiko

MARKET RISK – CAPM (CAPITAL ASSET PRICING MODEL) VERSION : PT Astra International Tbk (ASII) 2014-2016. Data
dalam kurung berikut ini adalah dalam persen . Stock return rA tahun 2014 (12,36), 2015 (-16,81), 2016 (38,82); . BI-rate rF tahun 2014 (7,75),
2015 (7,50), 2016 (4,75); Return market rM tahun 2014 (22,29), 2015 (-12,12), 2016 (15,32). Hitung dan interpretasikan expected excess
return, market risk.
No End of Stock BI-rate RA = (rA-rF) (RA-RA) [RA-RA]2 rM RM = rM – rF RM -RM (RM -RM)2 (RA-RA)(RM -RM)
year Return ( rF )
( rA )

(0) (1) (2) (3) (4)=(2)-(3) (5) (6) (7) (8) (9) (10) (11)=(5)x(9)
1 2014
2 2015
3 2016
4 Total (  ) # # #
5 Expected or average of # # # # # # #
stock excess return,
E(RA) = RA =  RA / n
6 Variance of stock excess return, 2 = [RA-RA]2 / (n-1) # # # # #
7 Expected or average of excess market return , E(RM) = RM =  RM / n # # #
8 Variance of excess market return , 2M = [RM-RM]2 / (n-1) #
9 Covariance of stock return and market return  {(RA-RA)(RM– RM)} /n-1= CovAM =
10 Market Risk :  = Cov AM / 2M =
11 Kategori Market risk :  < 1 (Defensive stock);  = 1 (Neutral stock); Saham ASII periode
 > 1 (Aggressive stock);  < 0 (Negative correlation with market stock) 2014-2016 disebut
12 Interpretasi 
13 Interpretasi E(RA)
14 Interpretasi E(RM)