This study aims to see which groups of stocks are included in the efficient stock group using the Capital Asset Pricing Model (CAPM) and the Accumulation and Distribution Line method. The population in this study was 697 shares of companies listed on the Indonesian stock exchange during the period 2016 to 2019. The sampling method used was purposive sampling so that 109 observational data that met the criteria were obtained. To assess the efficiency of shares is done by comparing the stock actual return (Ri) with the expected return of stock E (Ri). Efficient stocks have a value of Ri greater than E (Ri) or [Ri> E (Ri)], while inefficient stocks are stocks that have a value of Ri less than E (Ri) or [Ri E(Ri)], sedangkan saham tidak efiesien adalah saham yang memiliki nilai Ri lebih kecil daripada E(Ri) atau [Ri< E(Ri)]. Penelitian ini menemukan bahwa terdapat 54 saham perusahaan yang termasuk dalam kategori saham efisien dan 55 saham termasuk kategori tidak efisien.
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