Nowadays share has been an interesting instrument of investasi. Investment in share basically is on the chance to obtain the advantage or a large amount rate of return of investment.
Beta represent yardstick risk market of share measuring how far rate of return change caused by stocks market change , and growth premium of market represent one of factor influencing return of share and required to be made upon which consideration before doing investment.
The aim of this research is to analyze the influence beta of share(X1), were measred using a variant (X2), Risk Premium(X3) as mesured by the difference between yields on stocks with risk-free asset,the rate of return on stocks as measured by the average yield. Research conducted during period Febuary 2012-July 2012 using a sample of 45 stocks in the portofolio LQ45.
Based on the results of the study concluded that beta has a significant relationship with the level of devidens, and the risk premium significant on the expected return. Which mean that the rate of return is affected by beta and is influenced also by the risk premium.
Keywords : Beta, risk,risk premium,expected return, CAPM