<![CDATA[Evidence on how investors price ESG risk ratings in emerging markets remains mixed. This study examines whether ESG risk scores are associated with market valuation, proxied by the price-to-earnings ratio (PER), and whether environmental reputation, proxied by PROPER ratings, moderates that association. ESG risk is measured using the Sustainalytics-based score published by the Indonesia Stock Exchange, where a higher score indicates greater unmanaged risk. The data cover 14 IDX ESG Leaders firms over 2021–2024. Random-effects models, selected through the Chow, Hausman, and Lagrange multiplier tests, were estimated with Moderated Regression Analysis and firm-clustered standard errors. In the original sample of 54 firm-years, the ESG risk score appeared positively associated with PER (β = 0.383; p = 0.041). Data validation, however, showed that this result depended on two pre-listing firm-years coded as zero for both PER and the ESG score. In the corrected sample of 45 firm-years, the association is close to zero (β = 0.054; p = 0.822), and the interaction between ESG risk scores and PROPER ratings is also insignificant (β = −0.153; p = 0.655). These null results hold with year, sector, size, and profitability controls, fixed effects, a log-transformed PER, leave-one-firm-out estimation, and the price-to-book ratio as an alternative valuation measure. Within this sustainability-screened index, rated ESG risk and environmental reputation show no robust association with valuation. The study also shows how coding unavailable data as zero can produce spurious ESG valuation findings.]]>
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