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

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 Equ...

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Main Authors: Yasir Maulana*, Nugraha Nugraha, Disman Disman, Maya Sari
Format: Article
Language:English
Published: Program Studi Keuangan dan Perbankan, Fakultas Ekonomi dan Bisnis, Universitas Komputer Indonesia 2023-07-01
Series:Jurnal Ilmu Keuangan dan Perbankan
Online Access:https://ojs.unikom.ac.id/index.php/jika/article/view/10045
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author Yasir Maulana*
Nugraha Nugraha
Disman Disman
Maya Sari
author_facet Yasir Maulana*
Nugraha Nugraha
Disman Disman
Maya Sari
author_sort Yasir Maulana*
collection DOAJ
description 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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spelling doaj.art-f38829040a6949c2900549b26ecce4802023-07-03T13:16:29ZengProgram Studi Keuangan dan Perbankan, Fakultas Ekonomi dan Bisnis, Universitas Komputer IndonesiaJurnal Ilmu Keuangan dan Perbankan2089-28452655-92342023-07-0112210.34010/jika.v12i2.10045The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening VariableYasir Maulana*0Nugraha Nugraha1Disman Disman2Maya Sari3Universitas KuninganUniversitas Pendidikan IndonesiaUniversitas Pendidikan IndonesiaUniversitas Pendidikan Indonesia 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 https://ojs.unikom.ac.id/index.php/jika/article/view/10045
spellingShingle Yasir Maulana*
Nugraha Nugraha
Disman Disman
Maya Sari
The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening Variable
Jurnal Ilmu Keuangan dan Perbankan
title The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening Variable
title_full The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening Variable
title_fullStr The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening Variable
title_full_unstemmed The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening Variable
title_short The Effect of Financial Fundamentals on Stock Returns with Sustainability as a Intervening Variable
title_sort effect of financial fundamentals on stock returns with sustainability as a intervening variable
url https://ojs.unikom.ac.id/index.php/jika/article/view/10045
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