Finance Capm

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)

EXCL.JK | | | | |

Date | Adj Close | Return | Ln Price | Return Ln |

Jan-11 | 4,888.10 | | 8.495 | |

Feb-11 | 5,307.08 | 0.086 | 8.577 | 0 |

Mar-11 | 5,074.31 | -0.044 | 8.532 | -0.045 |

Apr-11 | 6,331.25 | 0.248 | 8.753 | 0.221 |

May-11 | 5,809.94 | -0.082 | 8.667 | 0 |

Jun-11 | 5,809.94 | 0 | 8.667 | 0.000 |

Jul-11 | 5,432.05 | -0.065 | 8.600 | -0.067 |

Aug-11 | 4,770.76 | -0.122 | 8.470 | -0.130 |

Sep-11 | 4,699.91 | -0.015 | 8.455 | 0 |

Oct-11 | 4,723.52 | 0.005 | 8.460 | 0 |

Nov-11 | 4,392.88 | -0.070 | 8.388 | -0.073 |

Dec-11 | 4,274.79 | -0.027 | 8.360 | -0.027 |

Jan-12 | 4,227.55 | -0.011 | 8.349 | -0.011 |

Feb-12 | 4,463.73 | 0.056 | 8.404 | 0 |

Mar-12 | 4,770.76 | 0.069 | 8.470 | 0 |

Apr-12 | 5,211.09 | 0.092 | 8.559 | 0 |

May-12 | 5,693.60 | 0.093 | 8.647 | 0.089 |

Jun-12 | 5,934.85 | 0.042 | 8.689 | 0 |

Jul-12 | 5,934.85 | 0 | 8.689 | 0 |

Aug-12 | 6,948.12 | 0.171 | 8.846 | 0.158 |

Sep-12 | 6,417.36 | -0.076 | 8.767 | -0.079 |

Oct-12 | 6,610.36 | 0.030 | 8.796 | 0 |

Nov-12 | 4,969.83 | -0.248 | 8.511 | 0 |

Dec-12 | 5,355.84 | 0.078 | 8.586 | 0 |

Jan-13 | 4,825.08 | -0.099 | 8.482 | 0 |

Feb-13 | 5,259.34 | 0.090 | 8.568 | 0.086 |

Mar-13 | 5,066.34 | -0.037 | 8.530 | -0.037 |

Apr-13 | 4,921.58 | -0.029 | 8.501 | -0.029 |

May-13 | 4,945.83...