The oxidising capability of a substance depends upon three factors: bond dissociation enthalpy, electron gain enthalpy and hydration energy.
Although electron gain enthalpy of fluorine is less negative as compared to chlorine, fluorine is a stronger oxidizing agent than chlorine, because of
i) Low enthalpy of dissociation of F-F bond . Due to its small size Fluorine's hydration energy is very high hence better the oxidizing power.
ii) high hydration enthalpy of F. Fluorine has a greater electron-electron repulsion among the lone pairs in the small sized F2 molecule where they are much closer to each other than in case of Cl2, hence the enthalpy of dissociation of F2 is lower than Cl2 which makes it better oxidizing agent.