Analysis of the Effect of Government Policy to the Return of Shares in Industry of Cigarettes

The tobacco industry is one of the main industry at Indonesia Stock Exchange which has high rate of return and risk. Rate of return can be measured by asset valuation methods. One of the asset valuation methods is The Three Factor Model Fama-French. The study was carried out to analyze Three Factor Model Fama-Frenchs variables developed from CAPM Model by Fama-French, and to understand/comprehend the effect of market, size and book to market ratio of stock return in tobacco industries at Indonesia Stock Exchange. Sample of this study are four firms from tobacco industries ranging from the period of December 2012 to January 2017. This study used two models and analyzed by panel data regression with fixed effect model. Result was found that market, SMB, HML, and dummy of Three Factor Model Fama-French in tobacco industries at Indonesia Stock Exchange very fluctuative during the period of December 2012 to January 2017. Both model indicated that market and size variables have the significant effect to the excess return of four firms.