Sri Hasnawati
The main objective of this research is descriptive analysis of stock return associated with firm size. The size of listed firms is classified into two main categories; small and large. The statistical results show that the size of firms have positive correlation with return, although the correlation level is relatively weak. This research was conducted during the period of year 2001 to 2014. From this research, it finds that large size firms yielded higher return than smaller ones, and also yielded higher risk. During the crisis period, both small & large firms yielded positive return, but large firms yielded higher return than smaller ones. During the pre-crisis and post-crisis period, both firms yielded positive return. This result is consistent with the findings during the in-crisis period where large firms yielded higher return than smaller firms. The implication of this research is investment portfolio in large firms is more profitable than smaller firms in any economic-cycle environment.