ANALISIS CAPITAL ASSET PRICING MODEL (CAPM) SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM SEKTOR ENERGI PADA INDEKS 30 (IDX30)

Abstrak

Investment has become an important part of long-term financial planning, especially in the capital market where stocks offer attractive return opportunities along with inherent risks. Therefore, investors need an analytical approach that can support objective decision-making by considering the relationship between return and risk. This study aims to examine investment decisions in energy sector companies listed in the IDX30 index during the 2021–2025 period using the Capital Asset Pricing Model (CAPM). This research applies a descriptive quantitative approach using secondary data obtained from financial statements, monthly closing stock prices, the Composite Stock Price Index (IHSG), and the Bank Indonesia interest rate. The sample was selected through purposive sampling, resulting in three companies: ADRO, PGAS, and PTBA. The analysis includes the calculation of individual return, market return, risk-free rate, beta, expected return, and stock classification based on the Security Market Line (SML). The findings show that ADRO is classified as an efficient and undervalued stock, indicating a buy recommendation, while PGAS and PTBA are categorized as inefficient and overvalued stocks, leading to a sell recommendation. These results indicate that CAPM can be effectively used as a basis for investment decision-making in the energy sector.