Abstract: This study aims to examine the effect of Fama and French three factor model and the CAPM to stock return in Indonesia. The sample used in this study is a company registered in LQ-45 period August 2013 to January 2014. The number of samples used, there are 43 companies. Besides, it also deepened by examining the major sector groups, groups of the manufacturing sector and the service sector groups. Period used is January 2010 to December 2013. The research model is linear regression. The results obtained from this study indicate all good sample LQ-45, the main sector groups, group manufacturing sector and the service sector groups could receive CAPM Model in predicting stock return. As for Fama and French three factor models, only the services sector that could accept to explain the changes that occur in the stock return. While, the LQ-45 and the main sector groups, book to market equity factors showed no significant results. While the group’s manufacturing sector, firm size factor showed no significant results while the book to market equity factors indicate the direction of a significant negative effect.