Solution 1:

After setting actionBar.setHomeButtonEnabled(true);

Add the following code:

@Override
public boolean onOptionsItemSelected(MenuItem item) {
    switch (item.getItemId()) {
        case android.R.id.home:
            // app icon in action bar clicked; goto parent activity.
            this.finish();
            return true;
        default:
            return super.onOptionsItemSelected(item);
    }
}

Solution 2:

Add

actionBar.setHomeButtonEnabled(true);

and then add the following

@Override
public boolean onOptionsItemSelected(MenuItem menuItem)
{       
    switch (menuItem.getItemId()) {
        case android.R.id.home:
            onBackPressed();
            return true;
        default:
            return super.onOptionsItemSelected(menuItem);
    }
}

As suggested by naXa I've added a check on the itemId, to have it work correctly in case there are multiple buttons on the action bar.

Solution 3:

this one worked for me:

@Override
protected void onCreate(Bundle savedInstanceState) {
    super.onCreate(savedInstanceState);
    setContentView(R.layout.activity_your_activity);
    getSupportActionBar().setDisplayHomeAsUpEnabled(true);
    // ... other stuff
}

@Override
public boolean onSupportNavigateUp(){
    finish();
    return true;
}

The method onSupportNavigateUp() is called when you use the back button in the SupportActionBar.

Solution 4:

After setting

 actionBar.setHomeButtonEnabled(true);

You have to configure the parent activity in your AndroidManifest.xml

<activity
    android:name="com.example.MainActivity"
    android:label="@string/app_name"
    android:theme="@style/Theme.AppCompat" />
<activity
    android:name="com.example.SecondActivity"
    android:theme="@style/Theme.AppCompat" >
    <meta-data
        android:name="android.support.PARENT_ACTIVITY"
        android:value="com.example.MainActivity" />
</activity>

Look here for more information http://developer.android.com/training/implementing-navigation/ancestral.html