Sri Hasnawati*, Mahatma Kufepaksi and Hidayat Wiweko
The purpose of the study is to test how far the risk, size, and firm value variables of the Fama and French three factor model could explain the excess return of small and large stock portfolios in the Indonesian Capital Market (ICM). The study was conducted during 2016-2019 on the official 45 liquid shares namely LQ45. In this study, six portfolios were formed, which were produced from small and large portfolio groups. Each portfolio consists of small high, medium, low and large portfolio consists of large, medium and low. The results showed that market risk for all small and large portfolios have a positive and significant effect. In contrast to company size, size has a significant effect on small, medium, low and large high portfolios. While large low and medium portfolios are not significant. Testing the effect of company value on small and large portfolio excess returns is significant except for the small low portfolio. In general, the three-factor research model is a pretty good model to explain portfolio excess returns in Indonesia.
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