Empirical study on expected stock return of property and real estate companies using capital asset pricing model in Indonesia stock exchange

This research particularly observes the stock prices progression of property and real estate sector during the span of March 2013 until March 2016, compares theexpected return using Capital Asset Pricing Modelwith the actual stock return, and examines the relation between risk and return. T-test and correlation test are used to analyze the data. The research finds that mispricing does exist and underpriced dominate this sector which means that actual stock return is higher thanexpectedreturn based on the model. It happened due to the nature of property and real estate businesses that relies on trust upon high and promising return. We also find that the correlation between risk and return is negative significant.