Finance Capm Essay

1309 words - 6 pages

MM 5009
FINANCIAL MANAGEMENT

CAPITAL ASSET PRICING MODEL (CAPM)

50A – Syndicate 6
Alexius Justianto (29113336)
Dwi Aprilia (29113338)
Denia Fadila Rusman (29113360)
Talitha Marcia Farid (29113382)
Delfi Kusumawardhani (29113545)

MASTER OF BUSINESS ADMINISTRATION
SCHOOL OF BUSINESS AND MANAGEMENT
INSTITUT TEKNOLOGI BANDUNG
2014
EXECUTIVE SUMMARY
I. Objective
Choose 1 public company. Try to get the stock price from past year performance. Calculate the return, plot the market return against the asset return and find the slope.

II. Analysis
For this case, we choose the XL Axiata Company to be analyzed. Here is the historical prices of XL Axiata Company (EXCL.JK)
...view middle of the document...

34 | -0.037 | 8.530 | -0.037 |
Apr-13 | 4,921.58 | -0.029 | 8.501 | -0.029 |
May-13 | 4,945.83 | 0.005 | 8.506 | 0.005 |
Jun-13 | 4,772.73 | -0.035 | 8.471 | -0.036 |
Jul-13 | 4,451.25 | -0.067 | 8.401 | -0.070 |
Aug-13 | 4,426.52 | -0.006 | 8.395 | 0 |
Sep-13 | 4,203.96 | -0.050 | 8.344 | -0.052 |
Oct-13 | 4,426.52 | 0.053 | 8.395 | 0.052 |
Nov-13 | 4,945.83 | 0.117 | 8.506 | 0.111 |
Dec-13 | 5,143.67 | 0.040 | 8.546 | 0.039 |

Then, below is a table of historical price index of IHSG and its normal logarithm value :
IHSG (RF = 7.5%) |
Date | Adj Close | Return Market | RM - RF | Ln Price | Return Ln | Return Ln - RF |
Jan-11 | 3,409.17 | | | 8.134 | | |
Feb-11 | 3,470.35 | 0.018 | -0.057 | 8.152 | 0.018 | -0.057 |
Mar-11 | 3,678.67 | 0.060 | -0.015 | 8.210 | 0.058 | -0.017 |
Apr-11 | 3,819.62 | 0.038 | -0.037 | 8.248 | 0.038 | -0.037 |
May-11 | 3,836.97 | 0.005 | -0.070 | 8.252 | 0.005 | -0.070 |
Jun-11 | 3,888.57 | 0.013 | -0.062 | 8.266 | 0.013 | -0.062 |
Jul-11 | 4,130.80 | 0.062 | -0.013 | 8.326 | 0.060 | -0.015 |
Aug-11 | 3,841.73 | -0.070 | -0.145 | 8.254 | -0.073 | -0.148 |
Sep-11 | 3,549.03 | -0.076 | -0.151 | 8.174 | -0.079 | -0.154 |
Oct-11 | 3,790.85 | 0.068 | -0.007 | 8.240 | 0.066 | -0.009 |
Nov-11 | 3,715.08 | -0.020 | -0.095 | 8.220 | -0.020 | -0.095 |
Dec-11 | 3,821.99 | 0.029 | -0.046 | 8.249 | 0.028 | -0.047 |
Jan-12 | 3,941.69 | 0.031 | -0.044 | 8.279 | 0.031 | -0.044 |
Feb-12 | 3,985.21 | 0.011 | -0.064 | 8.290 | 0.011 | -0.064 |
Mar-12 | 4,121.55 | 0.034 | -0.041 | 8.324 | 0.034 | -0.041 |
Apr-12 | 4,180.73 | 0.014 | -0.061 | 8.338 | 0.014 | -0.061 |
May-12 | 3,832.82 | -0.083 | -0.158 | 8.251 | -0.087 | -0.162 |
Jun-12 | 3,955.58 | 0.032 | -0.043 | 8.283 | 0.032 | -0.043 |
Jul-12 | 4,142.34 | 0.047 | -0.028 | 8.329 | 0.046 | -0.029 |
Aug-12 | 4,060.33 | -0.020 | -0.095 | 8.309 | -0.020 | -0.095 |
Sep-12 | 4,262.56 | 0.050 | -0.025 | 8.358 | 0.049 | -0.026 |
Oct-12 | 4,350.29 | 0.021 | -0.054 | 8.378 | 0.020 | -0.055 |
Nov-12 | 4,276.14 | -0.017 | -0.092 | 8.361 | -0.017 | -0.092 |
Dec-12 | 4,316.69 | 0.009 | -0.066...

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