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Seminar Investasi dan Pasar Modal

Seminar Investasi dan Pasar Modal. Session 3: CAPM By Dr. Ir. Sugeng Purwanto MBA,FRM Jakarta, 3 March 2010. Source : BKM (2005). “INVESTMENTS”, 6 th Edition, Chaper 1-3, Page 1-100. CAPM (Capital Assets Pricing Mode). k = E ri = r f + β [E rm – r f ]. E ri.

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Seminar Investasi dan Pasar Modal

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  1. Seminar Investasi dan Pasar Modal Session 3: CAPM By Dr. Ir. Sugeng Purwanto MBA,FRM Jakarta, 3 March 2010 Source : BKM (2005). “INVESTMENTS”, 6th Edition, Chaper 1-3, Page 1-100.

  2. CAPM (Capital Assets Pricing Mode) k = Eri = rf + β [Erm – rf] Eri SECURITY MARKET LINE [SML] A STOCK A UNDER-VALUED Price below its intrinsic value STOCK B FAIR-VALUED Price equal to its intrinsic value STOCK C OVER-VALUED Price above its intrinsic value B rf C β

  3. DETERMINATION OF REQUIRED RATE OF RETURN Determination of ke by using Capital Assets Pricing Model (CAPM) ke = rf + β (Erm – rf) ke Investors’ required rate of return rf Risk-free rate (US: T-bill, Indonesia: SBI rate) Erm Expected return of stock market (IHSG return) β Systematic risks. Sensitivity of stock price to market [IHSG] movement Critical Reading - PGS Orientation Week - Sugeng Purwanto PhD, FRM 2.2.2010

  4. STOCK INTRINSIC VALUE D0 (1+g) P = ke - g P Stock (Share) price equal Value of the firm per number of Shares ke Investors required rate of return D0 Current year dividend per-share g Sustainable growth rate 4 Critical Reading - PGS Orientation Week - Sugeng Purwanto PhD, FRM 2.2.2010

  5. RELATIVE VALUATION DPR X E0 (1+g) P = ke – g DPR (1 + g) P/E = = PER ke – g Relative Valuation P = PER x Earnings PER Price to Earnings Ratio Critical Reading - PGS Orientation Week - Sugeng Purwanto PhD, FRM 2.2.2010

  6. PER VALUATION • PRICE = PER x EARNINGS • PRICING METHOD: • FIND AVERAGE PER IN THE MARKET • FAIR VALUE OF SELECTED STOCK WILL BE EQUAL TO AVERAGE PER MULTIPLIED WITH FIRM’s BOOK VALUE 6 Critical Reading - PGS Orientation Week - Sugeng Purwanto PhD, FRM 2.2.2010

  7. Critical Reading - PGS Orientation Week - Sugeng Purwanto PhD, FRM 2.2.2010

  8. CONSUMPTION BASED CAPM (CCAPM) E(RM ) = αM + βMC E(RC ) – εM Critical Reading - PGS Orientation Week - Sugeng Purwanto PhD, FRM 2.2.2010

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