Abstract :
The purpose of this study was to determine the best option to invest in stocks Pefindo25. The method used in decision-making is a model Capital Asset Pricing Model (CAPM) and the study period is 2008-2012.
The data used in this study are secondary data from the monthly stock closing price (monthly closing price), Composite Stock Price Index (CSPI) and SBI monthly. All data calculated with the CAPM method, the hypothesis was tested using simple linear regression analysis and processed using SPSS 15. The study sample consisted of 10 stocks PEFINDO the companies that distribute dividends, and a maximum of listed companies in January 2008, the stock ASGR, AISA, BISI, AMAG, CFIN, IGAR, PBRX, RALS, SSIA and TOTL. Research conclusion is that there are 4 stock aggressive ASGR, BISI, SSIA, and TOTL; 8 stock berexcess positive return that is ASGR, BISI, AMAG, CFIN, IGAR, PBRX, SSIA and TOTL, and there are 6 shares (almost all) are correlated linear positive and significant β is ASGR, BISI, AMAG, CFIN, RALS, and TOTL. Best investment options in shares carried ASGR, BISI and TOTL.