[ABSTRAK
Tujuan dari penelitian yang dilakukan dalam karya akhir ini adalah untuk mengujipengaruh variabel agregat ICC (Implied Cost of Capital) tehadap pergerakan agregatreturn yang berupa market return dan portfolio return. Nilai dari agregat ICC dihitungsesuai dengan metode yang diajukan oleh Li, Ng, dan Swaminatan (2013) dimanaICC untuk tiap perusahaan akan dibobot berdasarkan kapitalisasi pasarnya.Pengujian hipotesis dalam penelitian ini dilakukan dengan menggunakan modelregresi dari 120 observasi pada nilai agregat ICC bulanan selama sepuluh tahundari periode Januari 2003 sampai Desember 2012. Hasil dari penelitian inimembuktikan bawah agregat ICC berpengaruh secara positif dan signifikanterhadap pergerakan agregat return, bahkan setelah dikontrol dengan beberapavariabel valuation ratio seperti agregat dividend yield, agregat market to bookratio, dan agregat price to earning ratio;

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ABSTRACT
The objective of this research is to analyze the influence of aggregate implied cost ofcapital toward the movement of aggregate return which are market return and portfolioreturn. The construction of aggregate ICC is based on the method of Li, Ng, andSwaminatan (2013) which the ICC of each firm are weighted by its marketcapitatlization. Hypotesis testing is conducted using regression models with 120observations of ten-year period of montly aggregate ICC from January 2003 toDecember 2012. The empirical result from this research shows that the aggregateICC has a significant positive influence toward aggregate return, even after beingcontrolled by several aggregate valuation ratio such as aggregate dividend yield,aggregate market to book ratio, and aggregate price to earning ratio.;The objective of this research is to analyze the influence of aggregate implied cost ofcapital toward the movement of aggregate return which are market return and portfolioreturn. The construction of aggregate ICC is based on the method of Li, Ng, andSwaminatan (2013) which the ICC of each firm are weighted by its marketcapitatlization. Hypotesis testing is conducted using regression models with 120observations of ten-year period of montly aggregate ICC from January 2003 toDecember 2012. The empirical result from this research shows that the aggregateICC has a significant positive influence toward aggregate return, even after beingcontrolled by several aggregate valuation ratio such as aggregate dividend yield,aggregate market to book ratio, and aggregate price to earning ratio., The objective of this research is to analyze the influence of aggregate implied cost ofcapital toward the movement of aggregate return which are market return and portfolioreturn. The construction of aggregate ICC is based on the method of Li, Ng, andSwaminatan (2013) which the ICC of each firm are weighted by its marketcapitatlization. Hypotesis testing is conducted using regression models with 120observations of ten-year period of montly aggregate ICC from January 2003 toDecember 2012. The empirical result from this research shows that the aggregateICC has a significant positive influence toward aggregate return, even after beingcontrolled by several aggregate valuation ratio such as aggregate dividend yield,aggregate market to book ratio, and aggregate price to earning ratio.]