PENILAIAN EKUITAS DI PASAR EMERGING: PENERAPAN DI INDONESIA

Abstract

The increasing global investment flows provide formidable challenge to equity valuation approach in emerging markets (Indonesia). The standard theory in equity valuation is Capital Asset Pricing Model (CAPM), that estimates required returns on equity based on measuring risk by beta. In an equilibrium condition, investors maximize a utility function that depends on the mean and variance of returns of their portfolio (MVB, Mean-Variance Behavior). CAPM cannot be applied in emerging market because of highly non-normal data and emerging market not integrated into world capital market. The semivariance of returns is a more plausible measure of risk and can be used to generate an alternative behavioral hypothesis (MSB, Mean-Semivariance Behavior). Investors do not dislike upside volatility but only dislike downside volatility (measure by semivariance) and called downside beta with downside CAPM or D-CAPM. The small empirical Indonesia evidence discussed below that seem supports the downside beta over beta CAPM.