[01] Zainul Kisman, Department of Finance, School of Business and Manaagement, Universitas Trilogi (STEKPI), Jakarta, Indonesia. [02] Shintabelle Restiyanita M., Graduate School of Business and Management, Universitas Trilogi (STEKPI), Jakarta, Indonesia.

Financial experts have developed two approaches to measure the required return of stock, those are the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing. Theory (APT). CAPM explains that stock return is the sum of the risk free rate plus beta times the excess return. While APT explain that return can be predicted by using a number of macro factors (such as GDP, inflation, and others).The purpose of this study was to determine whether there is an effect of the market excess return on LQ45 companies stock returns (using CAPM) and also whether there is an effect of the variable / factor Arbitrage Pricing Model(APT) as Gross Domestic Product and Interest rate on stock returns in period 2008-2010. By using multiple regression, the results show that CAPM and APT, with the t-test and F-test results are very significant. Based on coefficient of determination, APT is better than CAPM in predicting stock returns. The limitation of the model which is used in this study is depend on the capital market wheter efficient or not. This study differs from other studies due to be implemented in emerging capital markets and decisively APT better to determine the return.

Return, CAPM, APT, Validity, Predicting

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