Abstract: Research aims to examine the influence of Fama and Frenchs Three Factors Model and CAPM on stock return Indonesia. Sample includes 43 companies listed in LQ-45 from August 2013 to January 2014. The company groups from main sector, manufacture sector and service sector are also examined for additional data. The observation period is from January 2010 to December 2013. Research method is multiple linear regression. Result of research indicates that all samples which are LQ-45 companies, main sector group, manufacture sector group and service sector group can accept CAPM in predicting stock return. Based on Fama and Frenchs Three Factors Model, only service sector group is acceptable to explain the change in stock return. LQ-45 companies and main sector group have insignificant factor of book to market equity. In manufacture sector group, factor of firm size is not significant but factor of the significant negative influence.
Teddy Chandra and HMS Idrus, 2015. Testing Fama and French Three Factors Model Within the Context of Indonesia Stock Exchange. The Social Sciences, 10: 499-509.