Analisis Capital Asset Pricing Model (CAPM) Dan Arbitrage Pricing Theory (APT) Dalam Memprediksi Return Saham Pada Indeks IDX- 30 Di Bursa Efek Indonesia (Periode 2020-2023)

The capital market is one of the means of investing that is quite in demand by the public, the growth of investors in Indonesia continues to increase, however, many investors do not understand the meaning of investment so that many investors suffer losses. This study aims to find out which method is more accurate between the Capital Asset Pricing Model (CAPM) and Abritage Pricing Theory (APT) in predicting the return of IDX-30 index stocks on the Indonesia Stock Exchange. The population used in this study is all companies listed in the IDX-30 index The sample in this study is 18 companies listed in the IDX-30 index from the Indonesia Stock Exchange in 2020-2023. The data sources used are secondary data. The Mean Absolute Deviation (MAD) value is calculated to evaluate the prediction error of each model. The results show that the Capital Asset Pricing Model (CAPM) method is more accurate than the Arbitrage Pricing Theory (APT) method, with the MAD Capital Asset Pricing Model (CAPM) value of 0.0085 smaller than the MAD Abritage Pricing Theory (APT) value of 0.0346.