PENGARUH MARKET FACTOR, SMALL MINUS BIG, HIGH MINUS LOW DAN MARKET VOLATILITY TERHADAP RETURN INVESTASI SAHAM (Studi Pada Perusahaan Manufaktur Sektor Industri Makanan dan Minuman Yang Terdaftar Di Bursa Efek Indonesia)

The purpose of this study is to better understand what influences stock returns, particularly in the Indonesian capital market. This study focuses on how factors such as Market Factor, Small Minus Big (SMB), High Minus Low (HML), and Market Volatility influence stock returns in food and beverage manufacturing companies listed on the Indonesia Stock Exchange. Using a quantitative approach and multiple linear regression on secondary data, this study analyzed 47 companies during the 2023–2024 period. The study found that all four factors significantly impact stock returns. Interestingly, Market Factor has a negative
impact, while SMB, HML, and Market Volatility positively influence returns. These results align with the Fama-French theory, which highlights that company size, market value to book value, and market volatility are key players in shaping stock returns. For investors, this means that paying attention to these factors can help develop smarter investment strategies that balance potential returns with risk management.