Abstract
This study, using more than 10 years of monthly time-series data and controlling for the non-crisis as well as crisis period, investigates the existence of Fama-French three factors and liquidity to the excess return of stock portfolio in Indonesia. The results show that market beta is consistently positive and significant in each portfolios, when sorted by size-illiquidity and book-to-market (BM)-illiquidity. SMB could explain ILLIQ and vice versa, and in general the hypothesis in this research are accepted, also there are consistency in SMB when sorted by size-illiquidity and also BM-illiquidity which are two out of six are not significant. Subprime mortgage crisis statistically has no effect in all portfolios. The results supported Fama and French (1992, 1993) and the results of Lam and Tam (2011).
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