Analisis Pengaruh Environmental Social Governance Score, Financial Performance dan Harga Saham Terhadap Return Saham dengan Firm Size sebagai Variabel Moderasi pada Perusahaan yang Tergabung di Indeks Environmental Social Governance Leaders

Abstract

This study aims to determine the effect of Environmental Social Governance (ESG) Score, Financial Performance, and Stock Price on Stock Return with Firm Size as a moderating variable in companies listed on the Environmental Social Governance Leaders Index for 2020-2024. This study is an associative study, and the type of data used is secondary data obtained from financial reports and annual reports published on the Indonesia Stock Exchange website (www.idx.co.id), Sustainalytics (https://www.sustainalytics.com), and the official websites of the relevant companies. The population of this study is all companies included in the 2020-2024 Environmental Social Governance Leaders Index. The population consists of 51 companies. Based on the predetermined criteria, the number of companies that meet the sample criteria is 17 companies. The data analysis technique used is a panel data multiple linear regression analysis technique with a Fixed Effect Model approach. The results of the study indicate that ESG scores have a negative and insignificant effect on stock returns. Meanwhile, financial performance and stock prices have a positive and significant effect on stock returns. Firm size has a positive but insignificant effect on stock returns. The firm size variable is unable to moderate the relationship between ESG scores, financial performance, and stock prices on stock returns in companies included in the 2020-2024 ESG Leaders Index.