This research is targeted to define the conditions of returns, risk and the categorization of the efficient and inefficient stocks in the realm of property & real estate, firm listed listed on the Indonesia Stock Exchange for the period 2018 2022. Population of this analysis contain 45 property & Companies in the real estate industry listed on the Indonesia Stock Exchange from 2018-2022. The sampling technique used is purposive sampling based on predefined criteria, resulting in a sample of 41 companies. The method employed in this research is a quantitative and associative approach. The data analysis technique involves using the CAPM method, which includes calculating the actual return (Ri), market return (Rm), risk-free rate (Rf), beta value of stocks (β) or risk, expected return [E(Ri)], conducting correlation test, plotting the security market line graph, and categorizing stocks as efficient an inefficient based on comparisons between the actual return (Ri) and expected return [E(Ri)], beta values (β), and comparisons between the risk-free rate (Rf) and expected return [E(Ri)]. Based on the analysis results regarding stock categorization, out of the 41 sample companies, 11 stocks are categorized as efficient because their actual return (Ri) is greater than the predicted return [E(Ri)], while 30 stocks are catergorized as inefficient due to their actual return (Ri) being less than the expected return [E(Ri)]. Furthermore, 20 stocks are efficient as they have a beta value (β) greater than 1, 14 stocks are inefficient with a beta value (β) less than 1, and 7 stocks show an inverse relationship with market conditions due to their negative beta value (β), Additionally 7 stocks are efficient as their expected return [E(Ri)] is greater than the risk-free rate (Rf), where as 34 stocks are inefficient since their expected return [E(Ri)] is less than the risk-free rate (Rf).
Keywords: CAPM, Actual Return, Expected Return, Stock Beta