Pengaruh Environmental, Social, and Governance (ESG) terhadap Imbal Hasil Saham di Indonesia

Angeline, Clarisa (2023) Pengaruh Environmental, Social, and Governance (ESG) terhadap Imbal Hasil Saham di Indonesia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Environmental, social and governance merupakan sebuah parameter bagi sebuah perusahaan yang mengincar sustainable growth dan return. Hal ini membuat ESG berpotensi menjadi sebuah faktor yang dapat digunakan dalam asset pricing, yang dapat digunakan sebagai pertimbangan dalam memilih sebuah investasi. Tujuan dari penelitian ini adalah untuk mengetahui pengaruh dari ESG terhadap return saham di Indonesia dan juga mengetahui model yang lebih sesuai dengan kondisi pasar saham di Indonesia. Data yang digunakan pada penelitian ini adalah data harga penutupan saham bulanan sebanyak 506 perusahaan yang terdaftar pada Bursa Efek Indonesia, tahun 2011 hingga 2018. Data yang diperoleh akan diolah dengan menggunakan Fama French Three Factor Model, Fama French Five Factor Model serta Fama Macbeth 2nd Step Regression. Hasil dari penelitian ini adalah belum cukup bukti untuk mengatakan ESG berpengaruh terhadap return saham di Indonesia. Sehingga disimpulkan bahwa ESG tidak berpengaruh terhadap imbah hasil saham di Indonesia. / Environmental, social and governance is a parameter of a company that aims for sustainability growth and return. This makes ESG potentially a factor that can be used in asset pricing, which is probable and can be used as a consideration when choosing an investment. The purpose of this study is to determine the effect of ESG on the return of stocks in Indonesia and also to find out which model is more in line with stock market conditions in Indonesia. The data used in this study are monthly closing price data for 506 companies listed on the Indonesia Stock Exchange, from 2011 to 2018. The data obtained will be processed using the Fama French Three Factor Model, Fama French Five Factor Model and Fama Macbeth 2nd Step Regression. The results of this study show that the evidences that were obtained were unable to conclude that ESG has an effect on stock return in Indonesia. Thus, ESG has no effect on stock returns in Indonesia.

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