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"[ABSTRAKTujuan dari penelitian ini adalah untuk mengetahui dari kedua model pendugaan return yaitu: Model Indeks Tunggal, dan Model Tiga Faktor Fama-French, manakah yang paling valid untuk menduga return portofolio industri di Bursa Efek Indonesia (BEI). Penelitian ini dilakukan dengan menggunakan data return bulanan mulai Januari 2010 sampai dengan Desember 2010.Enam portofolio dibentuk dengan menggunakan model Fama-French sebagai dasar. Keenam portofolio tersebut adalah portofolio S/L, S/M, S/H, B/L, B/M, B/H. Excess return Portofolio yang terbentuk menjadi variabel dependen dalam penelitian, sedangkan variabel independen dalam penelitian ini sesuai dengan model indeks tunggal dan model Fama French, yaitu market risk, size factor (SMB), dan value factor (HML).Hasil penelitian menunjukan bahwa model indeks tunggal signifikan pada hampir seluruh portfolio, namun tidak signifikan pada portofolio S/H. Sedangkan model tiga faktor Fama-French tidak signifikan pada portofolio B/M, dan B/H. Penambahan dua faktor Fama-French meningkatkan kekuatan dalam menjelaskan return.ABSTRACTThe aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010.Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML).The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns.;The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010.Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML).The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns.;The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010.Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML).The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns.;The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010.Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML).The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns., The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010.Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML).The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns.]"

"Penelitian ini bertujuan untuk menguji return saham, dengan menggunakan Fama French Three Factor Model yang ditambahkan dengan variabel pertumbuhan total aset. Penelitian ini menggunakan regresi linier berganda pada 48 sampel saham di Bursa Efek Indonesia. Diperoleh bahwa penambahan variabel pertumbuhan total aset pada Fama French Three Factor Model membuat model memiliki kekuatan lebih baik dalam menjabarkan return saham, serta membuat seluruh variabel independen lainnya berpengaruh signifikan terhadap return saham.

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This study aims to test stock returns by using Fama French Three Factor Model Augmented Asset Growth. This study is using multiple linear regressions on 48 samples of stocks in Indonesia Stock Exchange. From the results, we can conclude that Fama French Three Factor Model Augmented Asset Growth has more power to explain stock returns compared to Fama French Three Factor Model. Moreover, asset growth?s contribution to Fama French Three Factor Model causes all independent variables significantly affects the stock returns."