Stock Return Movement in Indonesia Mining Companies

Abstract

This research empirically analyzes and examines the influence of environmental performance and environmental disclosure on stock return. The environmental performance variable was measured based on PROP-ER (government ranks), and the environmental disclosure was assessed using index. The stock return variable was reflected by cumulative abnormal return. The samples used in this research were 41 companies with the observing year of 2015-2017; thus, the total samples were 123. The data was analyzed using Statistical Package for Social Science with multiple linear regression analysis methods. The results showed that the environmental performance variable had a positive impact on stock return. The environmental disclosure variable had a positive impact on the stock return, which means the higher environmental disclosure items by the company, the higher investor's positive responds reflected through the stock return.

The Impact of Environmental Sustainability Disclosure on Stock Return of Saudi Listed Firms: The Moderating Role of Financial Constraints

“…The financial consequences of environmental sustainability disclosure on stock return behavior have not been sufficiently addressed in previous literature. Moreover, the results of a number of earlier studies (e.g., Brammer et al 2006;Halbritter and Dorfleitner 2015;Tasnia et al 2020;Indriastuti and Najihah 2020) are inconclusive and equivocal as well as did not provide clear conclusion whether the stock return is valued or devalued by environmental disclosure. Thus, our study fills these gaps in previous literature by providing new evidence concerning whether environmental sustainability disclosure is valued or overlooked in financial markets.…”

“…Recently, the literature on ESG factors have concentrated on a more identified perception like the association between ESG and stock price (La Torre et al 2020). Indriastuti and Najihah (2020) report that the stock return is positively related with the environmental performance indicating that investors react more positively to these firms with higher environmental disclosure. In the same vein, Eccles et al (2014) find that firms with better ESG have annual abnormal returns of up to 4.8%.…”

“…Stakeholders have the right to get information about environmental activities to help their decision making. Indriastuti and Najihah (2020) show that firms seek to enhance their image to get the legitimacy and acceptance of stakeholders resulting in increasing the investing in firm, and thus increasing the stock return. Therefore, we assume higher stock return for firms with improved environmental performance and initiatives.…”

“…Recently, as investors and policymakers are more interested in socially responsible investments, the significance of environmental, social, and corporate governance (ESG) elements in taking investment decisions has improved (La Torre et al 2020). Along the same line, Indriastuti and Najihah (2020) point out that the outstanding performance of firms regarding environmental practices become the key concern for the investors.…”