Renny Nur’ainy, Budi Erianda, Bagus Nurcahyo, dan Rowland Pasaribu SIMPOSIUM NASIONAL AKUNTANSI XVI Manado, 25-28 September 2013 4857 SESI V/3 Studi Empiris Pembentukan Portofolio Saham Multifaktor di Bursa Efek Indonesia RENNY NURAINY * BUDI ERIANDA BAGUS NURCAHYO ROWLAND PASARIBU Universitas Gunadarma Abstract: Ability to estimate an individual security returns is very important and needed by investors. Therefore the presence of Capital Asset Pricing Model (CAPM) which can be used to estimate the return of a security is considered very important in the field of finance. However, Fama and French showed that the CAPM is not accurate and they proposed a three-factor model as a better asset pricing model. This study aims to provide an overview of the establishment of a stock portfolio with a multifactor approach to Fama and French Three Factor to predict expected stock returns in Indonesia Stock Exchange. The population is a company listed on the Stock Exchange in 2007-2011. This study uses stock price during the observation period, and the stock return, risk free rate, high minus big (HMB), small minus low (SML) and market risk as variables. Multiple linear regression with the t test and F test statistics are used to demonstrate the influence and significance level of each variable. The results showed that the model of Fama and French is more superior than CAPM. Market risk factor is the dominant factor to quantify the risk when compared with HML and SMB. With the addition of SMB factors can increase the coefficient of determination in each portfolio is formed. Keywords: Fama and French Three Factor, Capital Asset Pricing Model, Market Capitalization, Book-to-Market Ratio, Expected Return, Market Risk. * Corresponding author: renny@staff.gunadarma.ac.id