| Summary: | We know that in this fluctuate market, those investors must have analysis about
the possibility of stock's price. One of those analysis can be done by knowing
earning which is reported in annual financial report. This research aim to prove
there is a connection between earning betas and stock return at company which
belongs to Indonesia stock market. In thisresearch, we use a sample companies
from Kompas100 index since August 2012 toJanuary 2013. From those samples,
we can acquire annually index return, stock's price and earning per share for
each company at four years period. The resultof this research shows that there is
a connection between earning betas and stock return from those companies.
Whereas result from the T test shows that bullish earning betas means a negative
connection between those two, and bearish earning betas means a positive
connection between those two. Those condition indicates that the investors had to
have premiums when they burden a bigger risk
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