Arbitrage Pricing Theory

Pengertian Arbitrage
Arbitrage (Arbitrase) merupakan pembelian
dan penjualan berkesinambungan dari
sekuritas pada dua harga yang berbeda di
dua pasar yang berbeda

Arbitrase bertujuan mengambil keuntungan

dengan memanfaatkan perbedaan harga
pada aset atau sekuritas yang sama.

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 Arbitrage Pricing Theory
Model
Model APT yang diciptakan oleh Stephen A. Ross adalah alternatif dari Capital
Asset Pricing Model yang digunakan untuk memperhitungkan risiko dan imbal hasil
dari sebuah aset tertentu. Prinsip dasar yang muncul pada model mean varians
bahwa pada setiap asset berlaku sebuah persamaan:

(1)

Di mana adalah suku bunga bebas risiko

adalah lebihan pemasukan yang diharapkan dalam pasar ()
adalah koefisien beta yang bisa digambarkan sebagai berikut

Di mana adalah kovarians antara pemasukan pada asset ke-i dan

portfolio pasar
adalah varians dari portfolio pasar 2
 Continued
Dari persamaan (1), Ross mengajukan sebuah teori alternatif yang
dapat dijabarkan sebagai berikut:
(2)

Untuk mendapatkan rumus akhir APT perlu dilakukan langkah-

langkah berikut:
1. membuat sebuah portfolio arbitrase, , yang terdiri dari asset-
aset n.
2. dengan hukum angka-angka besar, akan menjadi

(3)
Dengan kata lain, diabaikan. 3
 Continued
3. Risiko sistematis dihilangkan,
Sehingga dari persamaan (3) didapatkan bahwa
4. E dijabarkan dengan e dan , atau

(4)

pada dan yang konstan. adalah risk of return pada

semua portofolio zero-beta, sehingga persamaan (4) akan
menjadi persamaan (5)

(5)

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 Continued
O Rumus APT single factor

O Rumus APT multi factor

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 Factor Models: Announcements,
Surprises, and Expected Returns
O The return on any security consists of two parts.
O First the expected returns
O Second is the unexpected or risky returns.
O A way to write the return on a stock in the coming
month is:
R = R +U
where
R is the expected part of the return
U is the unexpected part of the return
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 Risk: Systematic and
Unsystematic
O A systematic risk is any risk that affects a large
number of assets, each to a greater or lesser
degree.
O An unsystematic risk is a risk that specifically affects
a single asset or small group of assets.
O Examples of systematic risk include uncertainty
about general economic conditions, such as GNP,
interest rates or inflation.
O On the other hand, announcements specific to a
company, such as a gold mining company striking
gold, are examples of unsystematic risk.

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 Risk: Systematic and Unsystematic
We can break down the risk, U, of holding a stock into two
components: systematic risk and unsystematic risk:

R = R +U
Total risk; U
becomes

Nonsystematic Risk;
Systematic Risk; m
R = R +m +
where
m is thesystematic risk
is the unsystematicrisk

n
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 Systematic Risk and Betas
O The beta coefficient, b, tells us the response of
the stocks return to a systematic risk.
O In the CAPM, b measured the responsiveness of
a securitys return to a specific risk factor, the
return on the market portfolio.
Cov ( Ri , RM )
bi =
2 ( RM )
O We shall now consider many types of systematic
risk.

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 Systematic Risk and Betas
O For example, suppose we have identified three systematic risks
on which we want to focus:
1. Inflation
2. GNP growth
R = R +m +
3. The dollar-euro
spot exchange R = R + F + + S FS +
I I GNP FGNP
rate, S($,)
O Our model is: I is the inflation beta
GNP is the GNP beta
S is the spot exchange rate beta
is the unsystematic risk

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 Systematic Risk and Betas: Example

R = R + I FI + GNP FGNP + S FS +
O Suppose we have made the following estimates:
1. bI = -2.30
2. bGNP = 1.50
3. bS = 0.50.
O Finally, the firm was able to attract a superstar
CEO and this unanticipated development
contributes 1% to the return.
= 1%

R = R - 2.30 FI +1.50 FGNP + 0.50 FS +1%

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 Systematic Risk and Betas: Example
R = R - 2.30 FI +1.50 FGNP + 0.50 FS +1%
We must decide what surprises took place in the
systematic factors.
If it was the case that the inflation rate was expected
to be by 3%, but in fact was 8% during the time
period, then
FI = Surprise in the inflation rate
= actual expected
= 8% 3%
= 5%
R = R - 2.30 5% +1.50 FGNP + 0.50 FS +1%
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 Systematic Risk and Betas: Example
R = R - 2.30 5% +1.50 FGNP + 0.50 FS +1%
If it was the case that the rate of GNP growth was
expected to be 4%, but in fact was 1%, then
FGNP = Surprise in the rate of GNP growth
= actual expected
= 1% 4%
= 3%

R = R - 2.30 5% +1.50 ( -3%) + 0.50 FS +1%

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 Systematic Risk and Betas: Example

R = R - 2.30 5% +1.50 ( -3%) + 0.50 FS +1%

If it was the case that dollar-euro spot exchange rate,
S($,), was expected to increase by 10%, but in
fact remained stable during the time period, then
FS = Surprise in the exchange rate
= actual expected
= 0% 10%
= 10%

R = R - 2.30 5% +1.50 ( -3%) + 0.50 ( -10%) +1%

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 Systematic Risk and Betas: Example

R = R - 2.30 5% +1.50 ( -3 %) + 0.50 FS +1 %

Finally, if it was the case that the expected return on the
stock was 8%, then

R = 8%

R = 8% - 2.30 5% + 1.50 (-3%) + 0.50 (-10%) + 1%

R = -12%

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 Portfolios and Factor Models
O Now let us consider what happens to portfolios of
stocks when each of the stocks follows a one-factor
model.
O We will create portfolios from a list of N stocks and will
capture the systematic risk with a 1-factor model.
O The ith stock in the list have returns:

Ri = Ri + i F + i
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 Portfolios and Diversification
O We know that the portfolio return is the weighted average of the
returns on the individual assets in the portfolio:

RP = X1 R1 + X 2 R2 + L + Xi Ri + L + X N RN

Ri = Ri + i F + i
RP = X1 ( R1 + 1 F + 1 ) + X2 ( R2 + 2 F + 2 ) +
L + X N ( RN + N F + N )

RP = X1 R1 + X1 1 F + X1 1 + X2 R2 + X 2 2 F + X 2 2 +
L + X N RN + X N N F + X N N
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 Portfolios and Diversification
The return on any portfolio is determined by three sets
of parameters:
1. The weighed average of expected returns.
2. The weighted average of the betas times the factor.
3. The weighted average of the unsystematic risks.
RP = X1 R1 + X2 R2 + L + X N RN
+ ( X1 1 + X2 2 + L + X N N ) F
+ X1 1 + X2 2 + L + X N N
In a large portfolio, the third row of this equation disappears
as the unsystematic risk is diversified away.
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 Portfolios and Diversification
So the return on a diversified portfolio is determined by
two sets of parameters:
1. The weighed average of expected returns.
2. The weighted average of the betas times the factor F.

RP = X1 R1 + X 2 R2 + L + X N RN
+ ( X1 1 + X 2 2 + L + X N N ) F

In a large portfolio, the only source of uncertainty is the

portfolios sensitivity to the factor.
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 A Critical Reexamination of The Empirical
Evidence on The Arbitrage Pricing Theory
(By P.J. Dhrymes, I. Friend, and N.B. Gultekin)

1. The basic methodology of analyzing small groups of

securities in order to gather confirmatory or contrary
evidence relative to the APT model is seriously flawed

2. Its not possible to test directly whether a given

factor is priced. how many factors there are and
whether they are priced?

3. There are 3 to 5 factors dont appear to be robust.

Result: how many factors one discovers depends on
the size of the group of securities one deals with. 20
 A Critical Reexamination of The Empirical Evidence
on The Arbitrage Pricing Theory :
A Reply
(By Richard Roll and Stephen A. Ross)

O Reply 2
O Uji pada faktor harga tunggal tetap memiliki arti.
O Pertanyaanya adalah seberapa jauh perbedaan nilai yang
didapatkan dari estimasi yang menggunakan model APT
terhadap keadaan sebenarnya.

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 A Critical Reexamination of The Empirical Evidence
on The Arbitrage Pricing Theory :
A Reply
(By Richard Roll and Stephen A. Ross)

O Reply 3
O Semakin banyak jumlah sampel dalam suatu kelompok,
faktor yang berpengaruh akan semakin banyak.
O Tidak semua faktor yang muncul akan signifikan dalam
penghitungan APT.

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 Summary and Conclusions
Prinsip dari APT adalah sekuritas yang
mempunyai karakteristik yang sama, tidak
akan bisa dihargai dengan harga yang berbeda.
APT mengatakan bahwa tingkat keuntungan
suatu saham dipengaruhi oleh faktor-faktor
tertentu yang jumlahnya bisa lebih dari satu.
APT tidak dapat menjelaskan faktor-faktor apa
saja yang mempengaruhi pembentukan harga
sekuritas. 23
 Summary and Conclusions
O The APT assumes that stock returns are generated according to
factor models such as:

R = R + I FI + GNP FGNP + S FS +
O As securities are added to the portfolio, the unsystematic risks of
the individual securities offset each other. A fully diversified
portfolio has no unsystematic risk.
O The CAPM can be viewed as a special case of the APT.

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 Tugas Resume Jurnal
Aturan Tugas Ringkasan Jurnal Mata Kuliah Manajemen Investasi & Portofolio
Topik: Model Indeks Tunggal dan APT

1. Kertas A4 70 gr
2. Margin: top 3, left 4, bottom 3 dan right 3
3. Huruf: Arial 10
4. Dikumpul Hard copy ringkasan saja, Softcopy Emailkan ke: ima_andriyani@yahoo.co.id
5. Jlh hlm minimal 8-10
6. Sistematika ringkasan:
1. Abstrak
2. Latar belakang
3. Rumusan masalah (Issuenya ttg apa)
4. Teori yg digunakan
5. Hipotesis (jika ada)
6. Metode penelitian
7. Simpulan

7. Bahan diskusi siapkan file ppt untuk dipresentasikan.

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Arbitrage Pricing Theory

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