“…While the APT is a development of the average variance model of the Capital Asset Pricing Model (CAPM) introduced by Treynor, 1961;Sharpe, 1964;Lintner, 1965, which includes the influence of macroeconomic variables to capture systematic risk in predicting stock prices (Yusof and Majid, 2007). In summary, if the market is efficient, then any changes in macroeconomic variables will directly or indirectly affect the expected cash flows of companies and their funding and investment decisions (Abbas and Wang, 2020). Where the relationship of variables in equation ( 1) can be explained as follows: of the regression, ε t is error term, variable SRI is the return from the SRI KEHATI index, PR is the Indonesian policy interest rate (percent), lnWUI is the natural log of the global uncertainty index (weighted average of GDP in dollars), lnECO 2 is the natural log of emissions Indonesia's territorial carbon in million tons of carbon per year (MtC), lnDF is the natural log of Indonesia's deforestation in thousand hectares/ year (ha/year).…”