[ABSTRAK
Penelitian ini bertujuan untuk mengetahui keberadaan volatility effect di BursaEfek Indonesia tahun 2011-2013. Metode yang digunakan dalam penelitian inimengacu pada penelitian Ang, Hodrick, Zing, dan Zhang (2006) denganmembandingkan return dan alpha (CAPM dan model tiga faktor Fama-French)antara portofolio high volatility dengan low volatility. Hasil penelitianmenunjukkan bahwa tidak terdapat volatility effect di Bursa Efek Indonesia.Walaupun demikian, penelitian ini menemukan adanya return premium pada lowvolatility stock. Adanya return premium pada low volatility stock tersebut terjadisebagai akibat dari premium atas kinerja perusahaan dan limit to arbitrage.

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ABSTRACT
The objective of this study is to show the volatility effect in Indonesia StockExchange for the period 2011-2013. This study is using the method from Ang,Hodrick, Zing, and Zhang (2006) by comparing return and alpha (CAPM andFama-French three factors model) between high and low volatility portfolio. Theresults do not find volatility effect in Indonesia Stock Exchange. Nevertheless,this study shows that low volatility stock has a return premium. The returnpremium on low volatility stock is the result of premium on firm?s performanceand limit to arbitrage.;The objective of this study is to show the volatility effect in Indonesia StockExchange for the period 2011-2013. This study is using the method from Ang,Hodrick, Zing, and Zhang (2006) by comparing return and alpha (CAPM andFama-French three factors model) between high and low volatility portfolio. Theresults do not find volatility effect in Indonesia Stock Exchange. Nevertheless,this study shows that low volatility stock has a return premium. The returnpremium on low volatility stock is the result of premium on firm?s performanceand limit to arbitrage., The objective of this study is to show the volatility effect in Indonesia StockExchange for the period 2011-2013. This study is using the method from Ang,Hodrick, Zing, and Zhang (2006) by comparing return and alpha (CAPM andFama-French three factors model) between high and low volatility portfolio. Theresults do not find volatility effect in Indonesia Stock Exchange. Nevertheless,this study shows that low volatility stock has a return premium. The returnpremium on low volatility stock is the result of premium on firm?s performanceand limit to arbitrage.]