ABSTRAK
Penelitian ini bertujuan untuk menganalisis pengaruh faktor pasar (market), ukuran(size), dan nilai (value) pada Fama and French Three Factor Model terhadap excessreturn portofolio menggunakan metode value weughted dan equally weightedterhadap saham perbankan di Negara ASEAN ? 4. Faktor ini juga menguji faktorpasar (market) dan faktor term structured pada Intertemporal Capital Asset PricingModel (ICAPM) pada saham perbankan ASEAN - 4. Hasil penelitian menunjukkanbahwa hanya faktor pasar (market) yang secara signifikan mempengaruhi excessreturn portofolio saham perbankan pada Fama and French Three Factor Modelsecara value weighted dan equally weighted. Faktor term structured padaIntertemporal Capital Asset Pricing Model menunjukkan hasil yang signifikan hanyajika diujikan pada excess return portofolio saham perbankan menggunakan metodeequally weighted.

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ABSTRACT
This research aims to determine the effect of market, size, and value on Fama andFrench Three Factor Model toward portofolio excess return using value weighted andequally weighted method on ASEAN ? 4 banking stock. This research also determinethe effect of market factor and term structured factor on Intertemporal Capital AssetPricing Model on ASEAN ? 4 banking stock. The result shows only market factorwhich has significant effect towards banking stock portofolio excess return on Famaand French Three FactorModel, using both value weighted dan equally weighted. Theterm structured factor on Intertemporal Capital Asset Pricing Model has significanteffect towards banking stock portofolio excess return using equally weighted method.