The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening Variable

Jurnal Ilmu Keuangan dan Perbankan Pub Date : 2023-07-03 DOI:10.34010/jika.v12i2.10045

Yasir Maulana, N. Nugraha, D. Disman, Maya Prananda Sari

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Abstract

This study aims to determine the effect of company fundamentals proxied by Return on Investment (ROI), Price to Earning Ratio (PER), Price to Book Value (PBV), and Operating Profit Margin (OPM) on stock returns with ESG scores as intervening variables. The analysis technique uses the Structural Equation Model (SEM) with companies listed on the Indonesian Stock Exchange's ESG Index as research objects in 2018-2022. The results showed that the ESG score had a positive effect on stock returns. The return on investment (ROI) variable has a positive effect on the ESG score while the other three variables hurt the ESG score. This research has implications for the decision of potential investors in considering the company's fundamental factors and the ESG score in compiling an investment portfolio to achieve the desired stock return. Keywords: Return On Investment; Price to Earning Ratio; Price to Book Value; Operating Profit Margin; Stock Returns Abstrak Penelitian ini bertujuan untuk mengetahui pengaruh fundamental perusahaan yang diproksikan dengan Return on Investment (ROI), Price to Earning Ratio (PER), Price to Book Value (PBV), dan Operating Profit Margin (OPM) terhadap return saham dengan skor ESG sebagai variabel intervening. Teknik analisis menggunakan Structural Equation Model (SEM) dengan perusahaan-perusahaan yang terdaftar di Indeks ESG Bursa Efek Indonesia sebagai objek penelitian pada tahun 2018-2022. Hasil penelitian menunjukkan bahwa skor ESG berpengaruh positif terhadap return saham. Variabel Return of invesment (ROI) dan berpengaruh positif terhadap skor ESG sedangkan tiga variabel lain berpengaruh negatif terhadap skor ESG. Penelitian ini berimplikasi pada keputusan calon investor dalam mempertimbangkan faktor fundamental perusahaan dan skor ESG dalam menyusun portofolio investasi guna mencapai return saham yang diinginkan. Kata Kunci: Pengembalian Investasi; Rasio Harga terhadap Penghasilan; Harga terhadap Nilai Buku; Margin Laba Usaha; Pengembalian Saham

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金融基本面对股票收益的影响——以可持续性为干预变量

本研究旨在以ESG分数为中介变量，确定以投资回报率(ROI)、市盈率(PER)、市净率(PBV)和营业利润率(OPM)为代表的公司基本面对股票收益的影响。分析技术采用结构方程模型(SEM)，以2018-2022年印尼证券交易所ESG指数上市公司为研究对象。结果显示，ESG评分对股票收益有正向影响。投资回报率(ROI)变量对ESG得分有正向影响，而其他三个变量对ESG得分有负面影响。本研究对潜在投资者在编制投资组合时考虑公司基本面因素和ESG得分以实现预期股票收益的决策具有启示意义。关键词:投资回报率;市盈率;市净率;营业利润率;[摘要]股票收益[摘要]投资回报率(ROI)、市盈率(PER)、市净率(PBV)、营业利润率(OPM)、投资回报(ROI)、ESG收益(OPM)等变量的干预。技术分析孟古纳坎结构方程模型(SEM)邓根- perushaan - perushaan yang terd数据指数ESG Bursa Efek印尼sebagai对象penelitian pada, 2018-2022。Hasil penelitian menunjukkan bahwa skor ESG berpengaruh积极回归saham。可变投资回报率(ROI)与ESG相比为正，与ESG相比为负，与ESG相比为负。Penelitian ini berimpliliki pada keputusan calon投资者，dalam成员，泰国，基本面因素，泰国，ESG, dalam成员，投资组合投资者，泰国，泰国，泰国，泰国，泰国，泰国，泰国，泰国，泰国。Kata Kunci: Pengembalian Investasi;Rasio Harga terhadap Penghasilan;Harga terhadap Nilai Buku;Margin Laba Usaha;Pengembalian Saham

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Jurnal Ilmu Keuangan dan Perbankan

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8 weeks