ANALISIS KETERKAITAN ESG SCORE, NILAI PERUSAHAAN DAN DIVIDEND PAYOUT RATIO TERHADAP RETURN SAHAM DENGAN PENDEKATAN FIRST-DIFFERENCE GENERALIZED METHOD OF MOMENTS STUDI KASUS IDXESGL

Abstract

This study analyzes the relationship between ESG Score, firm value, and dividend payout ratio to stock returns in companies listed in the IDX ESG Leaders index during the 2021-2024 period. By using the First-Difference Generalized Method of Moments (FD-GMM) approach, this study aims to overcome endogeneity problems and identify the short-term and long-term effects of independent variables on stock returns. The results show that ESG Score and firm value have a significant effect on stock returns, while dividend payout ratio does not have a significant impact in the model used. ESG Score contributes positively in the short term, reflecting investors' preference for companies with good sustainability practices. Meanwhile, firm value shows a strong positive relationship with stock returns, indicating that firms with higher valuations tend to have better market performance. The implications of this study can be used by investors, issuers, and regulators in developing a more optimal sustainable investment strategy in the Indonesian capital market.