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All Journal Management and Sustainable Development Journal
Hendy Winanta
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Environmental Science Social Sciences

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EVALUASI PORTOFOLIO ESG DENGAN CAPM LIMA FAKTOR : STUDI KASUS DI INDONESIA Hendy Winanta; Erni Ekawati
Management and Sustainable Development Journal Vol. 5 No. 2 (2023): Management and Sustainable Development Journal
Publisher : Department of Management - Institut Shanti Bhuana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46229/msdj.v5i2.789

Abstract

ESG investing is an umbrella term that covers any investment strategy that emphasizes the corporate governance structure, environmental and social impacts of the company's products or practices. ESG assessments and reporting have the potential to unlock vast amounts of information about a company's long-term management and resilience, and can represent an important market-based mechanism to help investors align portfolios. This study aims to examine and analyze the performance of the ESG portfolio in Indonesia. The main contribution is to provide empirical evidence about portfolio selection based on ESG scores and associated with investment risk factors based on the CAPM five-factor model from Fama & French (2015) in Indonesia. The sample used is all registered financial or non-financial industries in Indonesia that have an ESG score for the 2018-2022 observation period. The research results show that the pre-covid period 2018-2019 and the 2020-2021 covid period portfolio investments with high ESG scores did not outperform portfolios with low ESG scores, but during the post-covid period in 2022 even portfolio investments with high ESG scores had abnormal returns, when evaluated using the CAPM five-factor and one-factor models.
Co-Authors Erni Ekawati