Analysis of the Capital Asset Pricing Model (CAPM) as a Basis for Making Stock Investment Decisions

Abstract

This study aims to analyze the application of the Capital Asset Pricing Model (CAPM) as a framework for making stock investment decisions on the Indonesia Stock Exchange (IDX) for the period October 2023 to October 2025. The approach used is descriptive quantitative. The analysis results show that of the ten issuers studied, seven stocks are categorized as efficient or undervalued, namely AALI, ANTM, BBRI, CITA, DNET, GGRM, and GMTD, because their actual returns exceed CAPM expectations and are therefore worth buying. Conversely, three other stocks, namely BBCA, BBNI, and HERO, are classified as inefficient or overvalued because their actual returns are lower than model expectations and are therefore recommended for sale. These findings indicate that in bear market conditions with negative risk premiums, the CAPM model remains relevant as a tool for assessing the relative efficiency of stocks in the Indonesian capital market. Practically, the results of this study can serve as a reference for retail and institutional investors in developing rational portfolio strategies based on measurable risk and return considerations.