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All Journal Jurnal Ilmu Manajemen JURNAL ECONOMIA Optimum : Jurnal Ekonomi dan Pembangunan DIJB (Diponegoro International Journal of Business) BUDGETING : Journal of Business, Management and Accounting Jurnal Ilmu Manajemen Rahmatan Lil’alamin Journal of Community Services (RLA) Eduvest - Journal of Universal Studies Darma Sabha Cendekia
Naning Margasari
Universitas Negeri Yogyakarta
Aerospace Engineering Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Health Professions Neuroscience Social Sciences Other

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The Effect Of Environmental, Social, And Governance Score On Stock Returns: The Moderating Role Of Company Size On The Indonesiann Stock Exchange Rhamdani, Muh. Faiz; Margasari, Naning
Eduvest - Journal of Universal Studies Vol. 5 No. 12 (2025): Eduvest - Journal of Universal Studies
Publisher : Green Publisher Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59188/eduvest.v5i12.52555

Abstract

This study aims to analyze the effect of the Environmental, Social, and Governance (ESG) dimensions on stock returns and test the moderating role of company size in companies listed on the LQ45 Index of the Indonesian Stock Exchange. This study uses a quantitative approach with purposive sampling and obtains 17 companies as samples for the 2019–2024 period. The data are analyzed using panel data regression and moderation regression to test the relationships between variables. The results show that the environmental score has a negative and significant effect on stock returns, the social score has a positive and significant effect on stock returns, while the governance score has no significant effect on stock returns. In addition, company size does not strengthen the relationships between the three ESG dimensions and stock returns. These findings provide practical implications for investors in portfolio selection by emphasizing social performance over environmental costs, for managers in optimizing ESG resource allocation toward high-impact social initiatives, and for policymakers in developing regulations that better align environmental investments with market incentives to enhance the effectiveness of sustainability practices in driving stock performance.
Co-Authors Andhini, Mega Murti Bandara, R. A. Seetha Bintang Lazuardi Benteng Buana Muslim Hafizh Fitrianna Laili, Nindya Nuriswati Muniya Alteza Musaroh, Musaroh Nurwahida, Rachma Putri Pratama, Mahendra Ryansa Gallen Gagah Rhamdani, Muh. Faiz Sholikhah, Zahrotush