The Effect of ESG Score, Dividend Policy, and Profitability on Cumulative Abnormal Return
ESGスコア、配当政策、収益性が累積異常収益率に与える影響 (AI 翻訳)
Reza Saputra, Ranila Suciati Suciati
🤖 gxceed AI 要約
日本語
本研究は、インドネシア証券取引所のSRI-KEHATI指数構成企業を対象に、ESGスコア、配当政策、収益性が累積異常収益率（CAR）に与える影響を分析した。2019年から2024年のデータを用いたパネルデータ回帰の結果、環境スコアとガバナンススコアはCARに正の影響を与える一方、社会スコアと配当性向は負の影響を示した。また、イベントスタディにより、指数公表期間中に異常収益が確認され、市場がサステナビリティ情報を価値あるシグナルと認識していることが示唆された。
English
This study examines the effects of ESG scores, dividend policy, and profitability on Cumulative Abnormal Return (CAR) for companies in the SRI-KEHATI Index on the Indonesia Stock Exchange from 2019 to 2024. Using panel data regression, the paper finds that environmental and governance scores positively impact CAR, while social scores and dividend payout ratio negatively impact it. Additionally, an event study reveals abnormal returns around the announcement of the index composition, confirming that the market perceives sustainability information as valuable signals.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
本論文はインドネシア市場を対象としているが、日本の機関投資家が新興国でのESG統合を検討する際の参考になる。また、日本企業がインドネシアで事業展開する場合、現地のESG評価が株価に与える影響を理解する助けとなる。SSBJや有報との直接的な関連は薄いが、ESG情報の市場価値を示す点で示唆に富む。
In the global GX context
This paper contributes to the global literature on ESG and stock returns by providing evidence from an emerging market (Indonesia). It demonstrates that ESG scores influence cumulative abnormal returns, supporting the materiality of ESG factors in investment decisions. The findings are relevant for global investors and firms considering ESG integration in Southeast Asian markets, and they complement the broader discussion on the financial impact of sustainability disclosure under frameworks like ISSB and SEC climate rules.
👥 読者別の含意
🔬研究者:Provides empirical evidence on ESG premium in an emerging market context, useful for comparative studies.
🏢実務担当者:Highlights that strong environmental and governance scores can lead to positive market reactions, suggesting focus areas for ESG improvement.
📄 Abstract（原文）
This study aims to analyze the effect of ESG score, dividend policy, and profitability on Cumulative Abnormal Return (CAR) in companies included in the SRI-KEHATI Index on the Indonesia Stock Exchange for the 2020–2024 period. The research population consists of all issuers in the SRI-KEHATI Index, with a final sample of 94 observations from 30 companies that consistently have ESG score in Refinitiv. Data were obtained through documentation of annual reports and financial statements downloaded from the official websites of the Indonesia Stock Exchange and the respective issuers, supporting financial data from EMIS, and ESG score data from the Refinitiv database, which were then quantitatively analyzed using panel data regression and event study with the assistance of Microsoft Excel 2019 and E-Views 12. The results show that the Environmental Score and Governance Score have a positive and significant effect on CAR, while the Social Score and Dividend Payout Ratio have a negative and significant effect. Profitability measured by ROA does not have a significant effect on CAR, whereas ROE has a positive and significant effect. In addition, the event study results indicate the presence of abnormal returns around the announcement period of the SRI-KEHATI Index composition, which is conducted twice a year, confirming that the market perceives information related to this sustainability index as valuable signals in investment decision-making.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.36766/4148qw30first seen 2026-07-18 06:42:03
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