Appendix A Critical Values of F. (Source: Levine, 2004)

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1 REFERENCES Brealey, Richard A., Myers, Stewart C., Allen, Franklin, 2006, Corporate Finance 8 th Edition, New York: The McGraw-Hill Company Budiman, Trimulyati, Private Interview by Aryo Fajar Syaifulloh, Bandung: Juni 6 th, 2007 Fabozzi, Frank J. & Modigliani, Franco, 2003, Capital Markets Institutions and Instruments 3 rd Edition, New Jersey: Prentice Hall Jakarta Stock Exchange, 2007, Levine, David M., Krehbiel, Timothy C., Berenson, Mark L., 2004, Business Statistics a First Course 3 rd Edition, India: Pearson Education Inc. Ross, Stephen A., Westerfield, Randolph W., Jordan, Bradford D., 2003, Fundamentals of Corporate Finance 6 th Edition, New York: The McGraw-Hill Company Sekolah Tinggi Teknologi Telkom, Panduan Praktikum Analisis Data Statistik, unpublished document Walpole, Ronald E., 1995, Pengantar Statistika Edisi ke-3, Jakarta, INA: PT Gramedia Pustaka Utama

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3 Appendix A Critical Values of F (Source: Levine, 2004)

4 Appendix B Member of Index periode feb 04 - jul 04 in/out periode agus 04 - jan 05 in/out No. Code Name Code Name 1 AALI Astra Agro AALI Astra Agro 2 ANTM Aneka Tambang ANTM Aneka Tambang 3 ASGR Astra Graphia Tbk out ASII Astra 4 ASII Astra AUTO Astra Otoparts out 5 AUTO Astra Otoparts BBCA Bank Central Asia 6 BBCA Bank Central Asia BDMN Bank Danamon Tbk in 7 BBNI Bank Negara out BLTA Berlian Laju out 8 BLTA Berlian Laju BNBR Bakrie & Brothers 9 BNBR Bakrie & Brothers BNGA Bank Niaga Tbk in 10 BRPT Barito Pacific BNII Bank International Ind. in 11 BUMI Bumi Resources BRPT Barito Pacific 12 DNKS Dankos BUMI Bumi Resources 13 EPMT Enseval Putra CTRS Ciputra Surya Tbk in 14 GGRM Gudang Garam Tbk DNKS Dankos out 15 GJTL Gajah Tunggal Tbk EPMT Enseval Putra 16 HMSP H M Sampoerna Tbk GGRM Gudang Garam Tbk 17 IDSR Indosiar Visual GJTL Gajah Tunggal Tbk 18 INAF Indofarma Tbk out HMSP H M Sampoerna Tbk 19 INCO International Nickel IDSR Indosiar Visual out 20 INDF Indofood Sukses INCO International Nickel 21 INKP Indah Kiat Pulp & INDF Indofood Sukses 22 INTP Indocement INKP Indah Kiat Pulp & 23 ISAT Indosat Tbk INTP Indocement 24 JIHD Jakarta Int l ISAT Indosat Tbk 25 KAEF Kimia Farma Tbk out JIHD Jakarta Int l 26 KLBF Kalbe Farma Tbk KIJA Kawasan Industri in 27 LMAS Limas Stokhomindo KLBF Kalbe Farma Tbk 28 MEDC Medco Energi out LMAS Limas Stokhomindo out 29 MPPA Matahari Putra LPBN Bank Lippo Tbk in/out 30 NISP Bank NISP Tbk MPPA Matahari Putra out 31 PNBN Bank Pan NISP Bank NISP Tbk out 32 PNIN Panin Insurance PNBN Bank Pan 33 PTBA Tambang Batubara PNIN Panin Insurance out 34 RALS Ramayana Lestari PTBA Tambang Batubara 35 RMBA Bentoel RALS Ramayana Lestari 36 SMCB Semen Cibinong RMBA Bentoel 37 SMGR Semen Gresik SMCB Semen Cibinong 38 SMRA Summarecon Agung SMGR Semen Gresik out 39 TINS Timah Tbk SMRA Summarecon Agung out 40 TKIM Pabrik Kertas TINS Timah Tbk 41 TLKM Telekomunikasi TKIM Pabrik Kertas

5 Appendix B (Contd.) Member of Index periode feb 04 - jul 04 in/out periode agus 04 - jan 05 in/out No. Code Name Code Name 42 TRST Trias Sentosa Tbk out TLKM Telekomunikasi 43 TSPC Tempo Scan TSPC Tempo Scan out 44 UNTR United Tractors UNTR United Tractors 45 UNVR Unilever UNVR Unilever periode feb 05 - jul 05 in/out periode agus 05 - jan 06 in/out No. Code Name Code Name 1 AALI Astra Agro AALI Astra Agro 2 ADHI Adhi Karya in ADHI Adhi Karya 3 ANTM Aneka Tambang ADMG GT Petrochem in 4 ASII Astra ANTM Aneka Tambang 5 BBCA Bank Central Asia ASII Astra 6 BBRI Bank Rakyat in BBCA Bank Central Asia 7 BDMN Bank Danamon Tbk BBRI Bank Rakyat 8 BFIN BFI Finance in/out BDMN Bank Danamon Tbk 9 BMRI Bank Mandiri in BLTA Berlian Laju in 10 BNBR Bakrie & Brothers BMRI Bank Mandiri 11 BNGA Bank Niaga Tbk BNBR Bakrie & Brothers 12 BNII Bank BNGA Bank Niaga Tbk 13 BRPT Barito Pacific BNII Bank 14 BUMI Bumi Resources BNLI Bank Permata Tbk in 15 CTRS Ciputra Surya Tbk out BRPT Barito Pacific out 16 ELTY Bakrieland in/out BUMI Bumi Resources 17 ENRG Energi Mega in CMNP Citra Marga in 18 EPMT Enseval Putra out ENRG Energi Mega 19 GGRM Gudang Garam Tbk GGRM Gudang Garam Tbk 20 GJTL Gajah Tunggal Tbk GJTL Gajah Tunggal Tbk 21 HMSP H M Sampoerna Tbk out INCO International 22 INCO International INDF Indofood Sukses 23 INDF Indofood Sukses INKP Indah Kiat Pulp & 24 INKP Indah Kiat Pulp & INTP Indocement 25 INTP Indocement ISAT Indosat Tbk 26 ISAT Indosat Tbk JIHD Jakarta Int l 27 JIHD Jakarta Int l KIJA Kawasan Industri 28 KIJA Kawasan Industri KLBF Kalbe Farma Tbk 29 KLBF Kalbe Farma Tbk LPBN Bank Lippo Tbk in 30 LSIP PP London in LSIP PP London 31 MEDC Medco Energi in MEDC Medco Energi 32 PGAS Perusahaan Gas in PGAS Perusahaan Gas

6 Appendix B (Contd.) Member of Index periode feb 05 - jul 05 in/out periode agus 05 - jan 06 in/out No. Code Name Code Name 33 PLAS Palm Asia Corpora in PLAS Palm Asia Corpora 34 PNBN Bank Pan PNBN Bank Pan 35 PTBA Tambang Batubara PNLF Panin Life Tbk in 36 RALS Ramayana Lestari PTBA Tambang Batubara 37 RMBA Bentoel out RALS Ramayana Lestari out 38 SMCB Semen Cibinong SMCB Semen Cibinong 39 TINS Timah Tbk SMRA Summarecon Agung in 40 TKIM Pabrik Kertas TINS Timah Tbk 41 TLKM Telekomunikasi TKIM Pabrik Kertas 42 TRIM Trimegah in/out TLKM Telekomunikasi 43 UNSP Bakrie Sumatra in UNSP Bakrie Sumatra 44 UNTR United Tractors UNTR United Tractors 45 UNVR Unilever UNVR Unilever period feb 06 - jul 06 in/out period agus 06 - jan 07 in/out No. Code Name Code Name 1 AALI Astra Agro AALI Astra Agro 2 ADHI Adhi Karya ADHI Adhi Karya 3 ADMG Polychem ADMG Polychem 4 ANTM Aneka Tambang ANTM Aneka Tambang 5 ASII Astra APOL Arpeni Pratama in 6 BBCA Bank Central Asia ASII Astra 7 BBRI Bank Rakyat BBCA Bank Central Asia 8 BDMN Bank Danamon Tbk BBRI Bank Rakyat 9 BLTA Berlian Laju BDMN Bank Danamon Tbk 10 BMRI Bank Mandiri BLTA Berlian Laju 11 BNBR Bakrie & Brothers BMRI Bank Mandiri 12 BNGA Bank Niaga Tbk BNBR Bakrie & Brothers 13 BNII Bank BNGA Bank Niaga Tbk 14 BNLI Bank Permata Tbk out BNII Bank 15 BUMI Bumi Resources BRPT Barito Pacific in 16 CMNP Citra Marga BTEL Bakrie Telecom in 17 CTRS Ciputra Surya Tbk in BUMI Bumi Resources 18 ENRG Energi Mega CMNP Citra Marga 19 GGRM Gudang Garam Tbk CTRS Ciputra Surya Tbk 20 GJTL Gajah Tunggal Tbk ENRG Energi Mega 21 INCO International GGRM Gudang Garam Tbk 22 INDF Indofood Sukses GJTL Gajah Tunggal Tbk 23 INKP Indah Kiat Pulp & INCO International

7 Appendix B (Contd.) Member of Index period feb 06 - jul 06 in/out period agus 06 - jan 07 in/out No. Code Name Code Name 24 INTP Indocement INDF Indofood Sukses 25 ISAT Indosat Tbk INKP Indah Kiat Pulp & 26 JIHD Jakarta Int l out INTP Indocement 27 KIJA Kawasan Industri ISAT Indosat Tbk 28 KLBF Kalbe Farma Tbk KIJA Kawasan Industri 29 LPBN Bank Lippo Tbk out KLBF Kalbe Farma Tbk 30 LSIP PP London LPKR Lippo Karawaci in 31 MEDC Medco Energi LSIP PP London 32 MLPL Multipolar Tbk in/out MEDC Medco Energi 33 PGAS Perusahaan Gas MPPA Matahari Putra in 34 PLAS Palm Asia Corpora out PGAS Perusahaan Gas 35 PNBN Bank Pan PNBN Bank Pan 36 PNLF Panin Life Tbk PNLF Panin Life Tbk 37 PTBA Tambang Batubara PTBA Tambang Batubara 38 SMCB Holcim Indonesia RALS Ramayana Lestari in 39 SMRA Summarecon Agung SMCB Holcim Indonesia 40 TINS Timah Tbk out SMRA Summarecon Agung 41 TKIM Pabrik Kertas TKIM Pabrik Kertas 42 TLKM Telekomunikasi TLKM Telekomunikasi 43 UNSP Bakrie Sumatra UNSP Bakrie Sumatra 44 UNTR United Tractors UNTR United Tractors 45 UNVR Unilever UNVR Unilever

8 Appendix C SBI Rate Appendix C SBI Rate Date Monthly Average Interest Rate Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Date Monthly Average Interest Rate Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

9 Property and Real Estate Sector Year Month Property and Real Estate (monthly) Appendix D Summary of Beta Calculation and Expected Return using and SBI rate jan feb mar apr mei jun jul agust sept okt nov des jan feb mar apr mei

10 Property and Real Estate Sector Year Month Property and Real Estate (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jun jul agust sept okt nov des jan feb mar apr mei jun jul agust sept okt

11 Property and Real Estate Sector Year Month Property and Real Estate (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate nov des jan feb mar apr mei jun jul agust sept okt nov des

12 Finance Sector Year Month Finance (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jan feb mar apr mei jun jul agust sept okt nov des jan feb mar apr mei

13 Finance Sector Year Month Finance (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jun jul agust sept okt nov des jan feb mar apr mei jun jul agust sept okt

14 Finance Sector Year Month Finance (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate nov des jan feb mar apr mei jun jul agust sept okt nov des

15 Miscellaneous Sector Year Month Miscellaneous (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jan feb mar apr mei jun jul agust sept okt nov des jan feb mar apr mei

16 Miscellaneous Sector Year Month Miscellaneous (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jun jul agust sept okt nov des jan feb mar apr mei jun jul agust sept okt

17 Miscellaneous Sector Year Month Miscellaneous (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate nov des jan feb mar apr mei jun jul agust sept okt nov des

18 Property and Real Estate Sector Appendix E F-Test, Variance Calculation d d Variance d Variance d

19 Property and Real Estate Sector Appendix E (Contd.) F-Test, Variance Calculation d d Variance d Variance d F Finance Sector d d Variance d Variance d

20 Appendix E (Contd.) F-Test, Variance Calculation Finance Sector d d Variance d Variance d F

21 Appendix E (Contd.) F-Test, Variance Calculation Mining Sector d d Variance d Variance d

22 Appendix E (Contd.) F-Test, Variance Calculation Mining Sector d d Variance d Variance d F Miscellaneous Sector d d Variance d Variance d

23 Appendix E (Contd.) F-Test, Variance Calculation Miscellaneous Sector d d Variance d Variance d F

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