[ABSTRAK
Berbagai studi empiris menemukan hubungan positif, netral atau bahkan negatifantara risiko idiosyncratic dan imbal hasil. Nartea, et.al. (2011) menemukanhubungan positif antara keduanya pada Pasar Modal Indonesia, dan strategiperdagangan berdasarkan volatilitas idiosyncratic dapat menghasilkan profit.Penelitian ini menguji topik yang sama dengan pendekatan non parametrik (Goyaldan Clara, 2003). Hasil penelitian menyimpulkan bahwa risiko pasar dapatmemprediksi imbal hasil saham secara negatif dan konsisten terhadap model,periode penelitian dan krisis ekonomi. Sementara, risiko idiosyncratic secarakonsisten tidak dapat memprediksi imbal hasil saham dan kemungkinan hanyarelevan dalam memprediksi imbal hasil saham berkapitalisasi kecil.

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ABSTRACT
Empirical studies found positive relationship between idiosyncratic risk andreturn, while others found either no relationship or even negative. Nartea, et.al.(2011) showed positive relationship between them in Indonesian Stock Market,and trading strategy based on idiosyncratic volatility could get profit at someextent. I examine the topic with non parametric approach, which is indirectdecomposition method (Goyal and Clara, 2003). I find that market risk predictsstocks? excess return negatively and robust to model, period and economic crisis.More importantly, idiosyncratic risk consistently does not predict stocks? excessreturn, however it could be relevant on predicting small stocks? excess return.;Empirical studies found positive relationship between idiosyncratic risk andreturn, while others found either no relationship or even negative. Nartea, et.al.(2011) showed positive relationship between them in Indonesian Stock Market,and trading strategy based on idiosyncratic volatility could get profit at someextent. I examine the topic with non parametric approach, which is indirectdecomposition method (Goyal and Clara, 2003). I find that market risk predictsstocks? excess return negatively and robust to model, period and economic crisis.More importantly, idiosyncratic risk consistently does not predict stocks? excessreturn, however it could be relevant on predicting small stocks? excess return., Empirical studies found positive relationship between idiosyncratic risk andreturn, while others found either no relationship or even negative. Nartea, et.al.(2011) showed positive relationship between them in Indonesian Stock Market,and trading strategy based on idiosyncratic volatility could get profit at someextent. I examine the topic with non parametric approach, which is indirectdecomposition method (Goyal and Clara, 2003). I find that market risk predictsstocks? excess return negatively and robust to model, period and economic crisis.More importantly, idiosyncratic risk consistently does not predict stocks? excessreturn, however it could be relevant on predicting small stocks? excess return.]