Tujuan penelitian – To examine effect of firm size and market to book ratio on portfolio return.Desain/Metodologi/Pendekatan – Research sample consists of manufacture firm stock listed in Indonesian Stock Exchange 2011-2013. Portfolio return measured by excess return of average 5 highest return and 5 lowest return. Portfolio firm size measured by differences of average return of 5 biggest firm size with 5 smallest firm size. Portfolio book to market ratio measured by differences of average return of 5 highest book to market ratio with 5 lowest book to market ratioTemuan – Based on regression analysis, firm size and book to market ratio have negative effect on portfolio return. The result confirms existence of three factor model in return determination. Investor captures the size effect and financial distress indication of book to market ratio in return estimation and stock investment decision making.Keterbatasan penelitian – This research only used manufacture firm as sample, so the result could not be generalized to all firm population at Indonesia Stock Exchange. This research also did not separate between active stock and inactive stock which were traded monthly, so it probably there was bias return calculation because of the inactive stock.Originality/value – the high of book to market ratio showed that the firm had bad performance and tend to financial distress or poor prospect.

This research is aimed to examine moderating role of firms' rank in ASEAN corporate governance scorecard on effect of foreign ownership on firm value in ASEAN. Research sample consists of 491 manufacture firms listed in stock market of Thailand, Singapore, Philippines, Indonesia, and Malaysia from 2012-2013. With regression analysis, this research finds that big 50 of highest ASEAN corporate governance scorecard rank moderates effect of foreign ownership on firm value in ASEAN. High ASEAN corporate governance scorecard; as improvement of rights of shareholders, equitable treatment of shareholders, role of stakeholders, disclosure and transparency, responsibilities of the board; supports foreign shareholder role in firm value increasing. Management could make firm policy about optimal foreign ownership structure as well as optimal corporate governance, so management could maximizes shareholders wealth by firm value increasing. Investors, who have interest send their investment abroad especially in ASEAN, have to see condition of corporate governance, so investors' wealth could be maximized.Keywords: ASEAN corporate governance scorecard, foreign ownership, firm value. Thailand, Singapore, Philippines, Indonesia, and Malaysia tahun 2012-2013 Abstrak Penelitian ini bertujuan untuk menguji peringkat perusahaan berdasarkan ASEAN corporate governance scorecard, sebagai variabel pemoderasi, atas pengaruh kepemilikan asing terhadap nilai perusahaan di ASEAN. Sample penelitian terdiri dari 491 perusahaan manufaktur yang terdaftar di pasar modal