Size Anomaly, Beta, Return, Momentum in the Indonesia Stock Exchange
This study aims to examine the anomaly size effect in Indonesian capital market. The study was conducted during the period 2010-2018 which had 2,605 observations data. The research model used OLS regression panel data to test the hypotheses. The results support the hypothesis that size, beta, and MTBA affect firm returns. In addition, it was found that small firms produced higher returns compared to big firms. However, the risk of small firms was lower than big firms. The low beta of a small firm shown that the effect of market fluctuations on the fluctuations of stock prices of small firms was low. In addition, it was found that the market to book value of small firms was lower than that of big firms. The low market to book value of small firms indicated that the market valued low small firms but still had a high profit opportunity.