Capital market is one of indicators which may give measurement on economic growth of acountry, including Indonesia. In the country, main reference for any investment decisionswhich related with Islamic capital market instruments is based on Shariah Securities List(SSL) issued by Bapepam-LK. Investors who put funds in the Indonesian Shariah Stocks canmake investment decisions by monitoring the performance of these stocks. This can be donethrough using return measurement methods such as Capital Asset Pricing Model (CAPM)proposed by Sharpe (1964). However, Fama and French (1992) argue that size, EPR, debt-toequityand book-to-market ratio have explanatory power to stock returns. Further, Fama andFrench (1993) find that the most significant variables among those mentioned above inexplaining the stock returns are size, book-to-market ratio, and market beta. This study findsthat the market beta alone is not sufficient to describe the variation in average equity returnsfor Indonesian Shariah Stocks over the period of 14 September to 25 September 2009.Additionally, this study also finds that even though size and value premia exists in theIndonesian Shariah Stocks; the market factor is still most important factor among the Fama &French Three Factors Model.