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Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterm investments to be able to provide added value and the risk for fixed income. This study focused on the difference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. This study was based on the assumption that: there were differences in sectoral stock return volatility, volatility of market risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns; there were differences in the results of testing the validity, robustness unconditional CAPM and APTM multifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetric effect. The method of analysis used nested models with panel data. Data were analyzed by using secondary data from 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returns across sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactor that showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM was valid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of 2008 within the period 2005-2012.

KOMPARASI CAPITAL ASSET PRICING MODEL VERSUS ARBITRAGE PRICING THEORY MODEL ATAS VOLATILITAS RETURN SAHAM