This research aims to classify efficient shares and inefficient shares using CAPM method so investors are able to make a precise investment decision. CAPM method is used to assess the relation between risk and expected return of investment. The type of research is descriptive research with quantitative approach. The research population consists of 30 companies which had been listed on IDX30 in 2012-2015 and 15 companies among them are the research sample. The result showed that the majority of shares results a positive return for the research period and there are only 3 shares result a negative return. A stock with the lowest beta has the lowest expected return as well and a stock with the highest beta has the highest expected return too. That is proving that there is a positive and linear relationship between systematic risk and expected return. Besides, there are 9 efficient shares and 6 inefficient shares based on CAPM method. Efficient shares are undervalued shares (cheap) that have bigger individual return than its expected return [Ri>E(Ri)], while inefficient shares are shares with smaller individual return than its expected return [Ri<E(Ri)] and classified as overvalued shares (expensive).