CAPITAL ASSET PRICING MODEL DAN PERILAKU KEUANGAN: STRATEGI DALAM BERINVESTASI
Keywords:
Capital Asset Pricing Model, herding behaviour, investasi, overconfidenceAbstract
Studi ini bertujuan untuk menyajikan bukti-bukti terkait perkembangan mengenai Capital Asset Pricing Model dan perilaku keuangan untuk mengatur strategi dalam berinvestasi. Penelitian ini merupakan jenis studi literatur. Analisis yang digunakan adalah penelitian deskriptif dengan dukungan teori dan temuan dari penelitian sebelumnya. Capital Asset Pricing Model dan perilaku keuangan terbukti berpengaruh terhadap keputusan investasi. Hasil penelitian ini memberikan beberapa wawasan baru tentang keputusan investasi dalam pasar modal dari hasil penelitian dan teori sebelumnya. Mengevaluasi faktor risiko sistematis dan perilaku keuangan dalam investasi dapat menghasilkan return yang diharapkan. Masih sedikit penelitian yang mengeksplorasi peran Capital Asset Pricing Model, overconfidence dan herding behaviour untuk menyusun keputusan investasi bagi investor dalam konteks pasar yang berkembang. Oleh sebab itu, investor perlu mempertimbangkan hal ini dalam berinvestasi di pasar modal.Warning: Invalid argument supplied for foreach() in /opt/lampp/htdocs/ojs/plugins/generic/usageStats/UsageStatsPlugin.inc.php on line 788
Downloads
References
Akdeniz, L., Salih, A.A., & Caner, M. 2003. Time Varying Betas Help in Asset Pricing: The Threshold CAPM. Studies in Nonlinear Dynamics and Econometrics, 6, 1-16
Barber, B. M., & Odean, T. 2000. Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. The Journal of Finance, 773-806.
Bashir, T., Javed, A., Ali, U., Meer, U. I., & Naseem, M. M. 2018. Empirical Testing of Heuristics Interrupting the Investor’s Rational Decision Making. European Scientific Journal, 9(28).
Bhandari, G. & Deaves, R. 2006. The Demographics of Overconfidence. The Journal of Behavioral Finance, 7(7), 5-11.
Black, F., Jensen, M. C. & Scholes, M. 1972. The Capital Asset Pricing Model: Some Empirical Tests. Studies in the Theory of Capital Markets, M. C. Jensen edition, Praeger Publishers.
Bodie, Z, A. Kane, & A.J. Marcus. 2007. Essential of Investment, Sixth Edition, The McGraw-Hill Companies. Inc.. USA
Brav, A., Lehavy, R. & Michaely R. 2005. Using Expectations to Test Asset Pricing Models. Financial Management, 34(3), 5-37.
Bulent, T., & Yilmaz, N. 2015. Are Individual Stock Investors Overconfident? Evidence from an Emerging Market. Journal of Behavioral and Experimental Finance, 35-45.
Creevy, M., Nicholson, N., Soane, E., & Willman, P. 2003. Trading on Illusions: Unrealistic Perceptions of Control and Trading Performance. Journal of Occupational and Organizational Psychology, 76, 53-68.
Durack, N.; Durand, R.B.; Maller, R.A. 2004. A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia. Accounting & Finance, 44, 139–162.
Fabozzi, Frank J. 1999. Manajemen Investasi. Edisi Indonesia. Salemba Empat, Jakarta.
Fama, E.F.; MacBeth, J.D. 1973. Risk, Return, and Equilibrium: Empirical Tests. J. Polit. Econ., 81, 607–636.
Fellner, Gerlinde. 2004. Illusion of Control as a Source of Poor Diversification: An Experimental Approach. Max Planck Institute Research paper
Fischhoff, B,, P. Slovic, & Linchtenstein, S. 1977. Knowing with Certainty: The Appropriateness of Extreme Confidence. Journal of Experimental Psychology: Human Perception and Performance, 3(4), 552-564.
Fletcher, J. 2000. On the Conditional Relationship between Beta and Return in International Stock Returns. International Review of Financial Analysis, 9, 235-245.
Fraser, P.(2003). How do US and Japanese Investors Process Information, and How Do They Form their Expectation of the Future? Evidence from Quantitative Survey Based Data. Journal of Asset Finance, 53, 77-90.
Froot, K. A., Scharfstein, D. S., & Stein & J. C. 1992. Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation. Journal of Finance, 47, 1461-1484.
Gervais, S., & Odean, T. 2001. Learning to Be Overconfident. The Review of Financial Studies Spring, 14(1), 1-27
Glaser, Markus, & Martin Weber. 2003. Overconfidence and Trading Volume, Working Paper, Universität Mannheim.
Haugen, Robert A. 1997. Modern Investment Theory. Fourth Edition. New Jersey: Prentice-Hall, Inc
Haugen, Robert, A. 1988. Modern Investment Theory. Second Edition. Prentice-Hall International, Inc. Singapore.
Hirshleifer, D., & Teoh, S. H. 2003. Limited Attention, Information Disclosure, and Finacial Reporting. Journal of Accounting and Economics, 36, 337-386.
Humra, Y., 2014. Behavioral Finance: An Introduction to the Principles Governing Investor Behavior in Stock Markets. International Journal of Financial Management, 5(2), 23-30
Husnan, Suad. 1998. Dasar-Dasar Teori Portofolio dan Analisis Sekuritas. Edisi Ketiga. UPP AMP YKPN, Yogyakarta.
Isakov, D. 1999. Is beta still alive? Conclusive Evidence from the Swiss Stock Market. The European Journal of Finance, 5, 202–212.
Jagannathan, R. & Wang, Z. 1996.The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance, 51(1), 3-53.
Jensen, M.C. 1968. The performance of mutual funds in the period 1945–1964. Journal of Finance, 23, 389–416.
Knight, D., Durham, C, C., & Locke, E. A. 2001. The Relationship of Team Goals, Incentives, and Efficacy to Strategic Risk, Tactical Implementation and Performance. Academy of Management Journal.
Kothari, S., Shanken, J. & Sloan, R.G. 1995.Another Look at the Cross-Section of Expected Stock Returns. The Journal of Finance, 1(1), 185-224.
Kumar, S. & Goyal, N., 2015. Behavioural Biases in Invesment Decision Making-A Systematic Literature Review. Qualitative Research in Financial Markets, 7(1), 88- 108.
Langer. E, and J. Roth, 1975. Heads I Win, Tails It’s Chance: The Illusions of Control as a Function of the Sequence of Outcomes in a Purely Chance Task. Journal of Personality and Social Psychology, 32, 951-955
Langer, E. J. 1975. The Illusion of Control. Journal of Personality and Social Psychology, 32(2), 311–328.
Linchtenstein,S; & B. Fischhoff, 1977. Do those who Know More also Know More about how Much they Know?. The Calibration of Probability Judgments. Organizational Behaviour and Human Performance, 20, 157-183
Lintner, J. 1965. The Valuation of Risk Assets on the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13-37.
Markowitz, Harry. 1952. Portfolio Selection. Journal of Finance, 7, 77-91.
Mossin, Jan. 1966. Equilibrium in a Capital Asset Market. Econometrica. October, 35, 768-83.
Nofsinger, J. R., & Sias, R. W. 1999. Herding and Feedback Trading by Institutional and Individual Investors. The Journal of Finance: The Journal of the American Finance Association
Nofsinger, Jhon R. 2005. Psychology of Investing. Second Edition. New Jersey. Precentice-Hall Inc
Odean, T. 1999. Do Investors Trade Too Much? Journal of American Economic Review, 89 5, 1279–1298.
Odean, T. (2002). Volume, Volatility, Price and Profit When All Traders are Above Average. The Journal of Finance.
Officer R. R., 1973. The Variability of the Market Factor of the New York Stock Exchange. The Journal of Business, 46, 434-453.
Pompian, M. 2006. Behavioral Finance and Wealth Management. Canada: John Wiley & Sons.
Qureshi SA, Rehman K, Hunjra AI, 2012. Factors Affecting Investment Decision Making of Equity Fund Managers. Wulfenia Journal of Management Sciences, 19, 280-291.
Ricciardi, V., & Simon, H. K. 2000. What is Behavioral Finance? Business, Education and Thecnology Journal.
Ritter, J. R. 2003. Behavioral Finance. Pasific-Basin Finance Journal, 11, 429-332.
Ross, Stephen A. 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341-36
Sharpe, William F. 1964. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 425- 442.
Sheikh, M. F., & Riaz, K. 2012. Overconfidence Bias, Trading Volume and Returns Volatility: Evidence from Pakistan. World Applied Sciences Journal, 1737-1748.
Sias, R. W. 2004. Institutional Herding. Review of Financial Studies, 17(1), 165-206.
Whitelaw, Robert F. 2000. Stock Market Risk and Return: An Equilibrium Approach. The Review of Financial Studies, 13(3), 521-547.