This study aims to examine and analyze the effect of market, size, value and sharia factor on the stock return in Indonesia. Research data is monthly data for 5 years observation period from 2009 until 2013. The population in this research is all listed stock in Indonesia Stock Exchange on observation period. The sampling method used was purposive sampling. The method of analysis used multiple regresion. The results showed that market factor, firm size, BE/ME ratio and sharia factor was significantly affect stock return. Market factor was significantly positive affect stock return. Firm size was significantly positive affect stock return on small firm size and negative affect on big firm size. BE/ME ratio was significantly positive affect stock return on high BE/ME ratio and negative affect on low BE/ME ratio. Sharia factor was significantly positive affect sharia stock return and negative affect on non sharia stock return. In general, the market factor is the factor that most strongly affect stock return than any other factor.Keywords: Market premium, firm size, BE/ME ratio, sharia stock, stock return.Abstrak: Penelitian ini bertujuan untuk menguji dan menganalisis pengaruh market premium, firm size, book-to-market equity, dan sharia factor terhadap return saham di Indonesia. Data penelitian ini merupakan data bulanan selama periode 2009 sampai dengan 2013. Populasi dalam penelitian ini adalah seluruh saham yang tercatat di Bursa Efek Indonesia periode 2009-2013 dengan metode sampling menggunakan purposive sampling. Metode analisis mengggunakan regresi linier berganda. Hasil penelitian menunjukkan bahwa market factor, ukuran perusahaan, BE/ME equity ratio dan sharia factor secara simultan berpengaruh signifikan terhadap return saham. Market factor secara parsial berpengaruh positif signifikan terhadap return saham. Ukuran perusahaan secara parsial berpengaruh posistif signifikan return portofolio saham yang terdiri dari perusahaan dengan ukuran kecil dan berpengaruh negatif signifikan pada perusahaan besar. BE/ME equity ratio secara parsial berpengaruh positif signifikan return portofolio saham yang terdiri dari perusahaan dengan BE/ME tinggi dan berpengaruh negatif signifikan pada perusahaan dengan BE/ME rendah. Sharia factor secara parsial berpengaruh positif signifikan terhadap return portofolio saham yang terdiri dari perusahaan syariah dan berpengaruh negatif signifikan pada perusahaan non syariah. Secara umum, market factor merupakan faktor yang paling kuat mempengaruhi return saham dibandingkan dengan faktor yang lain.Kata kunci: market factor, ukuran perusahaan, book-to-marketequityratio, saham syariah, return saham.
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