Bekti Wiji Lestari 132 Analysis Comparative Method Shari’a Compliant Asset Pricing Model Bekti Wiji Lestari 1* , Erma Setiawati 2 , Noer Sasongko 3 1, 2, 3 Faculty of Economics, University of Muhammadiyah Surakarta, Indonesia E-mail : *bektiwiji@gmail.com *corresponding author direvisi: 21/06/2021 dipublikasikan: 30/06/2021 Abstrak. Pandangan peneliti terhadap model CAPM tidak sesuai dengan ekonomi syariah karena terdapat elemen Rf sebagai instrumen yang mengandung elemen kepentingan, sehingga diperkenalkan model modifikasi CAPM berbasis syariah yaitu SCAPM. Penelitian ini bertujuan untuk menganalisis perbedaan metode SCAPM menurut Tomkins & Karim (1987) SCAPM non Rf, Ashker (1987) SCAPMZ, Shaikh (2010) SCAPM NGDP, dan Hanif (2011) SCAPMI. Teknik pengambilan sampel yang digunakan adalah purposive sampling dan diperoleh 19 sampel. Analisis data yang digunakan adalah perhitungan Mean Absolute Deviation (MAD), Mean Square Error (MSE), dan koefisien determinasi. Hasil perhitungan Mean Absolute Deviation (MAD) dan Mean Square Error (MSE) menjelaskan bahwa terdapat perbedaan dari model SCAPM tanpa risk free rate, SCAPMZ, SCAPM NGDP, dan SCAPMI. Sementara itu, SCAPMI memiliki kekuatan penjelas terbaik dibandingkan empat model SCAPM lainnya. Investor syariah dan konvensional disarankan untuk menggunakan pemodelan SCAPMZ dalam memprediksi return saham. Kata kunci: SCAPM, SCAPMZ, NGDP, SCAPMI Abstract. The researcher's view of the CAPM model is not in accordance with the Islamic economy because there is an Rf element as an instrument that contains an interest element, so a modified model of CAPM based on sharia is introduced, namely SCAPM. This study aims to analyze the differences in the SCAPM method according to Tomkins & Karim (1987) SCAPM non Rf, Ashker (1987) SCAPMZ, Shaikh (2010) SCAPM NGDP, and Hanif (2011) SCAPMI. The sampling technique used was purposive sampling and obtained 19 samples. Data analysis used is the calculation of Mean Absolute Deviation (MAD), Mean Square Error (MSE), and the coefficient of determination. The results of the calculation of Mean Absolute Deviation (MAD) and Mean Square Error (MSE) explain that there are differences from the SCAPM models without risk free rate, SCAPMZ, SCAPM NGDP, and SCAPMI. Meanwhile, SCAPMI has the best explanatory power than the other four SCAPM models. It is recommended that Islamic and conventional investors use SCAPMZ modeling in predicting stock returns. Keywords: SCAPM, SCAPMZ, NGDP, SCAPMI Introduction The lack of ability of investors led them to miscalculate return and risk. In order to asses return levels and risk, it can use the estimated model capital asset pricing model (CAPM) made famous by Markowitz (1995). Hanif (2011) argued that the CAPM was incompatible with the Islamic economic system because of R f (risk free) as one of the ribawi instruments that conflict with the religion of Islamic doctrine or Islamic principles. And in islam riba is a deed that must be abandoned. One modification that can be made is by the establishment of a CAPM model accoding to Islamic principles because as a muslim investor, sharia compliance is of the highest importance. In the research, these will be used as SCAPM ( Shari’a Compliant Assets Pricing Model)