PENGARUH FIVE FACTORS MODEL FAMA AND FRENCH TERHADAP EXPECTED RETURN SAHAM YANG TERDAFTAR DI ISSI PADA TAHUN 2012-2016

This study aims to examine the effect of Five Factors Model Fama and French on stock returns on companies listed in the Indonesia Sharia Stock Index (ISSI) for the period 2012-2016. In the Five Factor Model uses five variables namely risk premium, company size, book-to-market ratio, profitability and investment. Based on 171 companies observed, using Ordinary Least Square (OLS) with monthly data frequency to test the relevance of the Five Factors Model to the expected stock return of the company. From the results of the study, obtained variables that have a positive effect on expected stock returns, namely the risk premium, company size, book-to-market ratio and investment. While the profitability variable does not affect the expected stock return