PENGUJIAN FAMA AND FRENCH THREE FACTOR MODEL TERHADAP RETURN PADA SAHAM LQ-45 BURSA EFEK INDONESIA TAHUN 2009-2011

Abstract

Capital market is a medium for mobilization of fund from society to productive sector. In investing, investors calculate the required return in order to maximize the actual return. Therefore a model to estimate required return of an investment is necessary. The goal of this research is to examine the effect of beta, company size, and book to market ratio, or also called Fama French Three Factors Model, to stock return in Indonesian Stock Market LQ-45 from 2009 to 2010. Result of multiple regression shows that only beta has significant effect on stock return, while SMB and HML variables have no significant effect. Thus Fama French Three Factors Model cannot be used to estimate stock return in Indonesia, while beta in CAPM can be used.