IJSRP, Volume 8, Issue 5, May 2018 Edition [ISSN 2250-3153]
The objectives of this study are to determine the eligible stocks to be selected based on the CAPM and APT methods, to determine the accuracy level of expected return of the stock using Mean Absolut Deviation (MAD), and to compare the accuracy level of CAPM and APT methods. Based on the CAPM method, there are 18 eligible stocks to choose : AKRA, ADRO, BPRT, CTRA, ICBP, INCO, KLBF, LPPF, LSIP, MYRX, PTBA, PTPP, PWON, TPIA, UNTR, UNVR, WSKT, TLKM. Based on APT method, there are 16 selected stocks: AKRA, ADRO, BPRT, CTRA, ICBP, INCO, LPPF, MYRX, PTBA, PTPP, PWON, TPIA, UNTR, UNVR, WSKT TLKM. MAD APT method is more accurate than MAD CAPM in determining the expected return. The comparative result shows that there is no significant difference between the accuracy of CAPM and APT methods in estimating the stock return of the company in Jakarta Islamic Index.