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This study aims to examine whether the Fama & French Five-Factors Asset Pricing Model can explain the excess return expected by investors. The population was all companies of the LQ 45 index with large and liquid capitalization. The sampling technique used was purposive sampling with a sample of 25 companies. The data analysis technique used was multiple regression analysis. The results showed that, simultaneously, all variables in the Fama & French Five-Factors Asset Pricing Model have a significant effect on excess return with the magnitude of influence of 65.7%. The partial test results also showed that all research variables have a significant effect on excess return. These findings indicated that the Fama & French Five-Factors Asset Pricing Model used in the research period could explain the level of the share excess return expected by investors.

PENGUJIAN FAMA & FRENCH FIVE-FACTORS ASSET PRICING MODEL PADA INDEKS LQ 45 PERIODE 2014-2018