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All Journal AKSIOMA Al-Jabar : Jurnal Pendidikan Matematika Syntax Literate: Jurnal Ilmiah Indonesia SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS JTAM (Jurnal Teori dan Aplikasi Matematika) Owner : Riset dan Jurnal Akuntansi JURNAL MANAJEMEN BISNIS Jurnal Ilmiah Mandala Education (JIME) MES: Journal of Mathematics Education and Science Cendekia: Jurnal Pendidikan dan Pembelajaran Primatika : Jurnal Pendidikan Matematika Dinasti International Journal of Economics, Finance & Accounting (DIJEFA) Proceedings Series on Social Sciences & Humanities Jurnal Locus Penelitian dan Pengabdian Jurnal Manajemen Stratejik dan Simulasi Bisnis Edukasia: Jurnal Pendidikan dan Pembelajaran Indonesian Capital Market Review Circle: Jurnal Pendidikan Matematika Jurnal Manajemen dan Usahawan Indonesia Jurnal Pengabdian Masyarakat Polynom: Journal in Mathematics Education Sultan Adam : Jurnal Hukum dan Sosial
maria ulpah
STAIN Purwokerto.
Aerospace Engineering Arts Humanities Automotive Engineering Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Social Sciences Other

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Can ESG Reduce Credit Risk? An Empirical Investigation Across ASEAN-5 Markets Zaini, Arrafif Pratama; Ulpah, Maria
The Indonesian Capital Market Review Vol. 17, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

Based on stakeholder theory and signaling theory, companies with strong ESG performance send signals to various stakeholders, thus building trust and influencing better credit risk evaluation. This study empirically examines the effect of Environmental, Social, and Governance (ESG) performance on the credit risk of non-financial public companies in ASEAN-5 countries (Indonesia, Malaysia, Philippines, Singapore, and Thailand) over the period 2019-2023. Corporate credit risk is measured using 2 main approaches: the accounting-based and market-based models. Merton's KMV model calculates the probability of default (PD) using a market-based approach. In contrast, the Altman Z-Score predicts bankruptcy risk based on financial ratios in the accounting-based approach, providing a solid framework for evaluating credit risk. These findings suggest that environmental sustainability and good governance are the main factors that drive the reduction of credit risk in ASEAN-5. It has different implications from previous research on social initiatives that do not reflect credit risk.
Active versus Passive Equity Fund Performance in Indonesia: Evidence from Risk-Adjusted Measures and Manager Fees (2018–2025) Sitorus, Erika Marthalina; Ulpah, Maria
Owner : Riset dan Jurnal Akuntansi Vol. 10 No. 1 (2026): Article Research January 2026
Publisher : Politeknik Ganesha Medan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33395/owner.v10i1.3015

Abstract

This study examines whether actively managed Indonesian equity mutual funds deliver superior net-of-fee, risk-adjusted performance compared to the Jakarta Composite Index (JCI) as a proxy for passive investment. Using a quantitative approach, the analysis covers 119 conventional Indonesian equity mutual funds over the period 2018–2025, encompassing pre-COVID, COVID, and post-COVID market regimes. Risk-adjusted performance is evaluated using the CAPM-based Single Index Model and a matrix of Sharpe ratio, Treynor ratio, and Jensen’s alpha, with non-parametric statistical tests applied to assess performance differentials. The results indicate that, after fees, active equity mutual funds underperform the JCI benchmark across most performance measures, with median Sharpe ratios and Jensen’s alphas not statistically different from or lower than the benchmark. Evidence of partial market efficiency and widespread closet indexing is observed, while any behavioural mispricing appears insufficient to generate persistent alpha capable of offsetting higher management and expense fees. These findings suggest that active management does not provide significant added value in the Indonesian equity market over the long term. Investors may benefit more from passive investment strategies, while regulators are encouraged to enhance fee transparency and performance disclosure to support informed investment decisions.
Co-Authors Adawiyah, Wardatul Apriyanti Apriyanti Azar, Biko Kharunia Bunga Aulia Juhedi Cecep Anwar Hadi Firdos Santosa Djati P.S, Syailendra Sabdo Harlianto, Aldi Hidayah, Hawa Hussain, Abrar Ifada Novikasari Indarsih, Lilis Indradewa, Rhian Insani, Arfita Ade Nur Irawati, Tjandra Ladala, Evan Wahyudy Marbun , Daniel Ranbon Bungaran Marsya, Marsya muflihah muflihah Muhammad Hanafi Muhammad Irfan Syaebani Muhammad, Lovasta Trianza Mukti Amini Novaliyosi Novaliyosi permana, Anggrian Pitaloka, Dian Rezky Catur Qotrun Nada, Yusrina Ramadani, Nabila Ramadhani, Sekar Savira Rusmaliati, Rusmaliati Sembiring, Maximus Gorky Setiani, Riris Eka Sidauruk, Judius Syahpala Siti Aisyah Sitorus, Erika Marthalina Sugiarto, Slamet Suhardjo, Harryanto Uli Hidayati, Uli Ulpah, Kamaria Uswatun Hasanah Vonsela, Daniel Wijaya, Carla A. Yahni, Dwi Fitri Yulianto, Bramantyo M. Zaenurrohman, Zaenurrohman Zaini, Arrafif Pratama