PENGARUH THREE FACTORS MODEL FAMA AND FRENCH TERHADAP RETURNS SAHAM (Studi Empiri pada Indeks LQ45 yang Terdaftar di Bursa Efek Indonesia)

Abstract

The purpose of this research is to empirically examine the effects of three factors model proxied of beta, firm size, and boo-to-market ratio that introduced by Fama and French on stock return. This research using 24 companies that enter group of LQ45 row during the period of 2010-2013 and listing in Indonesian Stock Exchange. The result of this research shown that beta  have no effects on stock return. Firm size proxied by market capitalization have no effects on stock return. Book-to-market ratio also have no effects on stock return. So, it can be concluded that simultanously and partially three factors model Fama and French have no effects on stock return.

Keywords : Stock Return, Beta,  Firm Size, and Book to Market Ratio