This empirical test aims to estimate the beta parameters of the risk premium and other risk factors and compare the performance of the single-index model, Fama and Frech three and five-factor models. The sample used as the study object is companies in the property and real estate subsector with data collected from datastream Thomson Reuters from January 2014 to December 2018. The results are consistent with the previous studies that asset pricing using the Fama and French five-factor model can better explain stock returns than the other two models. The property and real estate subsector seems to provide a positive and statistically significant abnormal return, indicating that asset pricing with the three models is irrelevant to Indonesia. These results suggest that the stock market in Indonesia is still inefficient.

This research was aimed to identify the effects of tangibility of assets and non-debt tax shield toward capital structure with profitability as intervening variable of manufacturing companies registered at Indonesian Stock Exchange. The samples of this study were 42 companies in manufacturing sector in the period 2012-2016. Samples were chosen by using simple random sampling method. The data was analyzed by using path analysis with the help of SPSS 23. The results of the research explained; tangibility of assets positively and significantly affected capital structure. Non-debt tax shield and profitability negatively and significantly affected capital structure. Tangibility of assets negatively and significantly affected profitability. Non-debt tax shield did not affect profitability. Profitability mediated tangibility of assets towards capital structure. Profitability was unable to mediate non-debt tax shield towards capital structure. KEY WORDS Tangibility of assets, non-debt tax shield, profitability, capital structure.