Reaksi Pasar terhadap Kinerja Keuangan dan Keberlanjutan: Pengaruh Profitabilitas dan ESG Disclosure terhadap Return Saham di BEI (2022–2023))

Alvania Putri Medyati; Harti Budi Yanti

doi:10.55606/jumia.v4i3.4405

Authors

Alvania Putri Medyati Universitas Trisakti
Harti Budi Yanti Universitas Trisakti

DOI:

https://doi.org/10.55606/jumia.v4i3.4405

Keywords:

Earnings Per Share, ESG Disclosure, Financial Performance, Return on Assets, Share Returns

Abstract

This study aims to empirically examine the effect of profitability, proxied by Earning Per Share (EPS) and Return on Assets (ROA), along with Environmental, Social, and Governance (ESG) disclosure on stock returns. Grounded in Signaling Theory and Stakeholder Theory, this quantitative research focuses on public companies listed on the Indonesia Stock Exchange (IDX) during the post-pandemic period from 2022 to 2023. The sampling technique utilized a purposive sampling method with strict criteria, including the availability of annual reports, officially published ESG disclosure scores on the Bloomberg portal, and historical stock price data from Yahoo Finance. Based on this selection process, a total of 126 observational data points were obtained from 63 sample companies over the two-year observation period. Data analysis was conducted by applying a multiple linear regression method, having previously fulfilled the classical assumption tests for econometric feasibility. The results of the partial statistical testing indicate that profitability measured by EPS has a positive and significant effect on stock returns, signifying that domestic investors remain highly responsive to fundamental earnings per share as a primary signal in investment decisions. Conversely, profitability measured by internal asset efficiency (ROA) and non-financial transparency initiatives through ESG disclosure were proven to have no significant effect on the fluctuation of corporate stock returns. These findings highlight a trend in the Indonesian capital market where market participants are oriented towards short-term financial gains and have not fully considered ESG sustainability commitments as major determinants of stock valuation.

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