Indonesian government held a tax amnesty policy to increase state revenue and attract taxpayer’s funds overseas (repatriation). Perception banks are appointed by the goverment to accommodate and manage the repatriation funds. Incoming funds can be considered as capital by the bank, which can increase its return and risk in stock market. The govenrment claimed that repatriation funds had increased share’s return of Indonesian stock market. One of the methods measure the rate of perception banks’s return and risk on the event above is the Three Fama-French Factor Model. This study aims to analyze the occurrence of changes in return (abnormal return) on the events around the tax amnesty. In addition, this study also analyzed the effect of bank-size and book-to-market equity of banks in abnormal return. The samples of this research are 10 banks with the highest market capitalization designated as perception bank. The observation period starts from the endorsement of the tax amnesty until period 1 of tax amnesty ended. This study was using panel data regression with pooled least square model. The result was found, abnormal return of the perception banks’ stock has occurs in event 1 testing. But event 1 happened pccurs simultaneously with profit taking action before Eid day, indicates that event 1 doesn’t cause abnormal return. Other event testing never happen in abnormal return. It means, Indonesian tax amnesty hadn’t increase the perception banks return. Banks-size and book-to-market equity of banks affect the abnormal return that occurs. Both factors become a consideration to the investors before making an investment.
Keywords: Bank’s Return, Tax Amnesty