ANALISIS PENGARUH KINERJA ENVIRONMENTAL, SOCIAL, DAN GOVERNANCE (ESG) TERHADAP ABNORMAL RETURN (Studi pada Perusahaan Indonesia dan Malaysia yang mengungkapkan ESG score dan terdaftar pada Bursa Efek Indonesia dan Bursa Malaysia Tahun 2010-2015)
Abstract: The purpose of this
study is to analyze the influence of environmental performance, social
performance, and corporate governance to abnormal return as measured by
environmental, social, and governance (ESG) disclosure score.
The populations of this study are companies in Indonesia and Malaysia
listed on the Indonesia Stock Exchange and Kuala Lumpur Stock Exchange (KLSE)
that revealed the Environmental, social, and governance (ESG) disclosure score
in the year 2010-2015. This study used secondary data with total sampel is 192
data as determined by purposive sampling method. Test analysis using data panel
eviews with fixed effect model that has been tested by Chow test (F test) and
Hausman test.
The result of this study show that environmental performance did not has
significant but positive influence to the abnormal return. Social performance
and corporate governance have significantly and positively influence to the
abnormal return. These results correspond with the legitimacy and stakeholders
theory.
Keywords: environmental
performance, social performance, corporate governance, abnormal return, fixed
effect model
Penulis: Saddek Syafrullah,
Harjum Muharam
Kode Jurnal: jpmanajemendd170842
