Perkembangan investasi berkelanjutan di Indonesia semakin mendapat perhatian, salah satunya tercermin melalui Indeks ESG Leaders (IDXESGL) yang diluncurkan pada Desember 2020. Namun, kinerja indeks ini mengalami fluktuasi cukup tajam, yaitu mencatat return –1% pada 2021, turun ke –3% di 2022, sebelum akhirnya pulih dengan positif 5% di 2023. Penelitian ini bertujuan untuk mengetahui pengaruh variabel market risk premium, firm size dan book-to-market ratio terhadap excess return saham pada perusahaan yang terdaftar dalam Indeks ESG Leaders. Metode yang digunakan adalah kuantitatif dengan pengambilan sampel dilakukan secara purposive sampling dari populasi sebanyak 30 didapat 29 perusahaan yang menjadi sampel pada penelitian ini. Data diperoleh dari laporan keuangan dan platform data sekunder lainnya yang dipublikasikan selama periode 2021-2023. Kemudian dianalisis menggunakan regresi data panel setelah seluruh uji asumsi klasik terpenuhi. Hasil penelitian menunjukkan bahwa market risk premium berpengaruh signifikan terhadap excess return dengan nilai probabilitas 0,0390 < 0,05, serta book-to-market ratio juga berpengaruh signifikan dengan nilai probabilitas 0,0237 < 0,05. Sementara itu, firm size tidak berpengaruh dengan nilai probabilitas 0,0895 > 0,05. Hasil R-squared menunjukan seluruh variabel dapat menjelaskan variabel independen sebesar 43% sisanya dipengaruhi oleh variabel lain di luar penelitian.
Kata Kunci: Fama-French Three Factor Model, Excess Return, Market risk premium, Firm Size, Book-to-Market Ratio

The development of sustainable investment in Indonesia is gaining increasing attention, as reflected in the ESG Leaders Index (IDXESGL) launched in December 2020. However, the performance of this index has fluctuated quite sharply, recording a return of -1% in 2021, falling to -3% in 2022, before finally recovering with a positive 5% in 2023. This study aims to determine the effect of market risk premium, firm size, and book-to-market ratio variables on the excess return of shares in companies listed on the ESG Leaders Index. The method used is quantitative with purposive sampling from a population of 30, resulting in 29 companies as samples in this study. The data were obtained from financial reports and other secondary data platforms published during the 2021-2023 period. Then, it was analyzed using panel data regression after all classical assumption tests were met. The results show that market risk premium has a significant effect on excess return with a probability value of 0.0390 < 0.05, and the book-to-market ratio also has a significant effect with a probability value of 0.0237 < 0.05. Meanwhile, firm size has no effect with a probability value of 0.0895 > 0.05. The R-squared results show that all variables can explain 43% of the independent variable, with the remainder being influenced by other variables outside the scope of this study.
Keywords: Fama-French Three Factor Model, Excess Return, Market Risk Premium, Firm Size, Book-to-Market Ratio