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Khairunnisa Khairunnisa
Universitas Telkom, Bandung, Indonesia
Economics, Econometrics & Finance

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The Influence of Environmental, Social, and Governance (ESG) Scores on Stock Returns Using Firm Size as a Control Variable: A Case Study of LQ45-Indexed Companies Listed on the Indonesia Stock Exchange (2019–2023) Nabilah Putri Nasrina; Khairunnisa Khairunnisa
Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE) Vol 8 No 3 (2025): Sharia Economics
Publisher : Universitas KH. Abdul Chalim Mojokerto

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31538/iijse.v8i3.7943

Abstract

This study investigates the influence of Environmental, Social, and Governance (ESG) scores on stock returns, incorporating firm size as a control variable. The research focuses on companies listed in the LQ45 index on the Indonesia Stock Exchange (IDX) during the period from 2019 to 2023. A total of 18 companies were selected through purposive sampling, yielding 90 panel data observations. This study employs a quantitative approach with an explanatory research design. Descriptive statistics and panel data regression analyses were conducted using the EViews application to assess both the individual (partial) and joint (simultaneous) effects of ESG dimensions on stock returns. The findings reveal that the Environmental and Governance scores significantly and positively affect stock returns, indicating that companies with higher environmental responsibility and stronger governance mechanisms tend to deliver better stock performance. In contrast, the Social score does not exhibit a statistically significant effect on stock returns, suggesting that social initiatives are yet to be perceived as a major investment consideration in the Indonesian capital market. The control variable, firm size, was included to account for the effect of company scale on stock performance. Overall, the results support the signaling theory, which posits that ESG disclosures serve as credible signals to investors.
The Effect of Profitability and Institutional Ownership on Firm Value with Firm Size as a Moderating Variable Annisa Firmansyah; Khairunnisa Khairunnisa
Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE) Vol 9 No 2 (2026): Sharia Economics
Publisher : Universitas KH. Abdul Chalim Mojokerto

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31538/iijse.v9i2.10360

Abstract

Firm value reflects market perceptions of a company’s performance and future prospects, which are commonly associated with stock prices. This study aims to analyze the effects of profitability and institutional ownership on firm value, with firm size serving as a moderating variable. The research is motivated by the declining trend in the average Tobin’s Q ratio of food and beverage companies listed on the Indonesia Stock Exchange during the 2020-2024 period, indicating weakening market valuation within the subsector. This study employs a quantitative approach using Moderated Regression Analysis (MRA). The sample consists of 31 food and beverage companies selected through purposive sampling, resulting in 155 firm-year observations. The results show that profitability has a positive and significant effect on firm value, while institutional ownership does not have a significant effect. Furthermore, firm size strengthens the effect of profitability on firm value but does not moderate the relationship between institutional ownership and firm value. This study contributes to the development of signaling theory by examining the moderating role of firm size in the post-pandemic period and provides practical implications for investors and companies in evaluating firm value.
Co-Authors Annisa Firmansyah Nabilah Putri Nasrina