The Effect of ESG Score on Stock Return: Do Financial Performance and Market Performance Moderate?
Abstract
This study is intended to examine the effect of ESG Score on Stock Return with Financial and Market Performance as moderating variables. The research method is associative quantitative, with the object of research on companies listed in ESG Sector Leaders IDX KEHATI Index from 2019 to 2023. Based on purposive sampling technique, there were 18 companies with the number of observations narrowed because there were a number of outlier data, resulting in 44 observations. Panel data were analyzed with Moderated Regression Analysis (MRA) using the Eviews 12 program. The results of empirical testing show that ESG scores have a significant and positive effect on stock returns. And financial performance proxied through ROA strengthens the correlation of ESG scores and stock returns, while the ROE proxy is unable to moderate the relationship between the two variables. On the other hand, market performance (TQ) weakens the correlation between ESG scores and stock returns. Thus, ESG scores can be an indicator of sustainable investment considerations with high potential returns.
Keywords: ESG Score; Stock Return; Sustainability; Return on Assets; Tobin’s Q
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References
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Chung, R., Bayne, L., & Birt, J. (2024). Stakeholder responses to mandating environmental, social and governance reporting in Hong Kong. China Journal of Accounting Research, 17(2), 1–30. https://doi.org/https://doi.org/10.1016/j.cjar.2024.100353
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Engelhardt, N., Ekkenga, J., & Posch, P. (2021). ESG Ratings and Stock Performance during the COVID-19 Crisis. Sustainability, 13(3), 1–15. https://doi.org/https://doi.org/10.3390/su13137133
Fajriah, Y., & Jumady, E. (2022). Good corporate governance and corporate social responsibility on company value with financial performance. Jurnal Akuntansi, 26(2), 324–341. https://doi.org/https://doi.org/10.24912/ja.v26i2.944
Hapsoro, D., Wicaksono, C. A., & Primaretka, T. A. (2020). Does CSRD moderate the effect of financial performance on stock return? Evidence of Indonesian mining companies. Jurnal Akuntansi Dan Auditing Indonesia, 24(1), 1–10. https://doi.org/https://doi.org/10.20885/jaai.vol24.iss1.art1
Hartikasari, A. I., Wahyuni, S., Rahmawati, I. Y., & Utami, R. F. (2024). The link effect of ESG score, stock price volatility, and tax payment: Doing well while doing good. Maksimum: Media Akuntansi Universitas Muhammadiyah Semarang, 14(2), 231–242. https://doi.org/https://doi.org/10.26714/mki.14.2.2024.231-242
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Igbinovia, I. M., & Agbadua, B. O. (2023). Environmental, social, and governance (ESG) reporting and firm value in Nigeria manufacturing firms: The moderating role of firm advantage. JDAB: Jurnal Dinamika Akuntansi Dan Bisnis, 10(2), 149–162. https://doi.org/https://doi.org/10.24815/jdab.v10i2.30491
Inawati, W. A., & Rahmawati, R. (2023). Dampak environmental, social, dan governance (ESG) terhadap kinerja keuangan. Jurnal Akademi Akuntansi, 6(2), 225–241. https://doi.org/10.22219/jaa.v6i2.26674
Janah, M., & Handayani, S. (2020). Environmental information disclosure terhadap financial performance dengan nilai perusahaan sebagai pemoderasi: Pendekatan gaya pengungkapan. Jurnal Bisnis Dan Akuntansi, 22(2), 239–256. https://doi.org/https://doi.org/10.34208/jba.v22i2.714
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Kilic, Y., Destek, M. A., Cevik, E. I., Bugan, M. F., Korkmaz, O., & Dibooglu, S. (2022). Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis. Borsa Istanbul Review, 22-S2, S141–S156. https://doi.org/10.1016/j.bir.2022.11.015
Liu, L., Nemoto, N., & Lu, C. (2023). The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan. Economic Analysis and Policy, 79, 702–712. https://doi.org/https://doi.org/10.1016/j.eap.2023.06.038
LSEG Data & Analytics. (2023). Environmental, social and governance scores from LSEG. London.
Melinda, A., & Wardhani, R. (2020). The effect of environmental, social, governance, and controversies on firms’ value: Evidence from Asia. In W. A. Barnett & B. S. Sergi (Eds.), Advanced Issues in the Economics of Emerging Markets (Vol. 27, pp. 147–173). Emerald Publishing Limited. https://doi.org/10.1108/S1571-038620200000027011
Mohammad, W. M. W., & Wasiuzzaman, S. (2021). Environmental, social and governance (ESG) disclosure, competitive advantage and performance of firms in Malaysia. Cleaner Environmental Systems, 2, 1–11. https://doi.org/10.1016/j.cesys.2021.100015
Nareswari, N., Tarczynska-Luniewska, M., & Al Hashfi, R. U. (2023). Analysis of environmental, social, and governance performance in Indonesia: Role of ESG on corporate performance. Procedia Computer Science, 225, 1748–1756. https://doi.org/10.1016/j.procs.2023.10.164
Novia, N., Adrianto, F., & Geraldine, I. (2024). The influence of environmental, social, and governance performance disclosure on stock performance. JWS: Journal of World Science, 3(1), 69–78. https://doi.org/10.58344/jws.v3i1.529
Nurfadila, N., & Sukmayanti, S. (2020). Does CSRD and GCG moderate the effect of financial performance on stock return? ATESTASI: Jurnal Ilmiah Akuntansi, 3(2), 132–140. https://doi.org/https://doi.org/10.57178/atestasi.v3i2.262
OJK. (2017). Peraturan Otoritas Jasa Keuangan Nomor 51/POJK.03/2017 Tentang Penerapan Keuangan Berkelanjutan Bagi Lembaga Jasa Keuangan, Emiten, dan Perusahaan Publik. Indonesia.
Prabawati, P. I., & Rahmawati, I. P. (2022). The effects of environmental, social, and governance (ESG) scores on firm values in ASEAN member countries. Jurnal Akuntansi Dan Auditing Indonesia, 26(2), 119–129. https://doi.org/https://doi.org/10.20885/jaai.vol26.iss2.art2
Pramesti, W. C., Sudarma, M., & Ghofar, A. (2024). Environmental, social, and governance (ESG) disclosure, intellectual capital and firm value: The moderating role of financial performance. Jurnal Reviu Akuntansi Dan Keuangan, 14(1), 103–121. https://doi.org/10.22219/jrak.v14i1.32849
Prayogo, E., Handayani, R., & Meitiawati, T. (2023). ESG disclosure dan retention ratio terhadap nilai perusahaan dengan ukuran perusahaan sebagai pemoderasi. Reviu Akuntansi Dan Bisnis Indonesia, 7(2), 368–379. https://doi.org/10.18196/rabin.v7i2.18212
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Putri, C. H., Lestari, T., & Ritawaty, N. (2022). Pengaruh return on assets, equity dan earning per share terhadap harga saham sektor perbankan di Bursa Efek Indonesia. Owner: Riset & Jurnal Akuntansi, 6(2), 2230–2240. https://doi.org/https://doi.org/10.33395/owner.v6i2.862
Rahelliamelinda, L., & Handoko, J. (2024). Profitabilitas sebagai moderating pengaruh kinerja ESG, green innovation, eco-efficiency terhadap nilai perusahaan. Jurnal Informasi, Perpajakan, Akuntansi, Dan Keuangan Publik, 19(1), 145–170. https://doi.org/https://doi.org/10.25105/jipak.v19i1.19191
Sany, S., Novica, C., & Valentina, C. (2024). Do Board Multiple Directorships and ESG Score Drive Firm Value? Study of Non-Financial Companies in Thailand. Jurnal Akuntansi Dan Keuangan, 26(1), 67–76. https://doi.org/https://doi.org/10.9744/jak.26.1.67-76
Sarvasti, L. D., & Widoretno, A. A. (2024). Do green accounting and carbon emission disclosure affect stock return? AKURASI: Jurnal Studi Akuntansi Dan Keuangan, 7(1), 155–172. https://doi.org/https://doi.org/10.29303/akurasi.v7i1.513
Setiani, E. P., Dewanti, P. W., & Cortez, E. (2024). ESG scores, financial performance, and carbon emissions: Evidence from Southeast Asian companies. Jurnal Nominal: Barometer Riset Akuntansi Dan Manajemen, 13(2), 227–238. https://doi.org/http://dx.doi.org/10.21831/nominal.v13i2.76302
Simorangkir, R. T. M. C. (2019). Pengaruh kinerja keuangan terhadap return saham perusahaan pertambangan. Jurnal Bisnis Dan Akuntansi, 21(2), 155–164. https://doi.org/https://doi.org/10.34208/jba.v21i2.616
Sumarno, D. C., Andayani, W., & Prihatiningtyas, Y. W. (2023). The effect of environmental, social, and governance (ESG) assessment on firm value with profitability as a mediating variable. Asia Pacific Management and Business Application, 12(1), 55–64. https://doi.org/10.21776/ub.apmba.2023.012.01.4
Sun, Z., Du, Q., Du, A. M., Li, Z., & Yang, T. (2024). The information environment and ecological environment perspectives: Capital market openness and firm ESG rating divergence. Research in International Business and Finance, 71, 1–14. https://doi.org/https://doi.org/10.1016/j.ribaf.2024.102475
Suryo, A., & Yasa, G. W. (2021). Kinerja keuangan dan return saham perusahaan Blue Chip di Bursa Efek Indonesia. E-Jurnal Akuntansi, 13(12), 3288–3300. https://doi.org/https://doi.org/10.24843/EJA.2021.v31.i12.p19
Torre, M. La, Mango, F., Cafaro, A., & Leo, S. (2020). Does the ESG index affect stock return? Evidence from the Eurostoxx50. Sustainability, 12(16), 1–12. https://doi.org/https://doi.org/10.3390/su12166387
Trisnowati, Y., Achsani, N. A., Sembel, R., & Andati, T. (2022). The effect of ESG score, financial performance, and macroeconomics on stock returns during the pandemic era in Indonesia. International Journal of Energy Economics and Policy, 12(4), 166–172. https://doi.org/https://doi.org/10.32479/ijeep.13212
Velte, P. (2020). Does CEO power moderate the link between ESG performance and financial performance? A focus on the German two-tier system. Management Research Review, 43(5), 497–520. https://doi.org/https://doi.org/10.1108/MRR-04-2019-0182
Wang, S., Chen, F., & Yang, X. (2024). Environmental, social and governance performance: Can and how it improve internationalization of Chinese A-share listed enterprises. Heliyon, 10(13), 1–18. https://doi.org/https://doi.org/10.1016/j.heliyon.2024.e33492
Wardhani, R. S., Awaluddin, M., & Reniati, R. (2019). Financial performance and corporate social responsibility on return of shares. Jurnal Akuntansi, 23(3), 409–432. https://doi.org/https://doi.org/10.24912/ja.v23i3.611
Xaviera, A., & Rahman, A. (2023). Pengaruh kinerja ESG terhadap nilai perusahaan dengan siklus hidup perusahaan sebagai moderasi: Bukti dari Indonesia. Jurnal Akuntansi Bisnis, 16(2), 226–247. https://doi.org/http://dx.doi.org/10.30813/jab.v16i2.4382
Yin, X. N., Li, J. P., & Su, C. W. (2023). How does ESG performance affect stock returns? Empirical evidence from listed companies in China. Heliyon, 9(5), 1–12. https://doi.org/10.1016/j.heliyon.2023.e16320
Zhang, X., Zhao, X., & He, Y. (2022). Does it pay to be responsible? The performance of ESG investing in China. Emerging Markets Finance and Trade, 58(11), 3048–3075. https://doi.org/10.1080/1540496x.2022.2026768
Ardiyansyah, R., & Paramita, R. A. S. (2020). Pengaruh makroekonomi dan mikroekonomi terhadap return saham dengan intervening kurs pada sektor finance di BEI periode 2014-2018. JIM: Jurnal Ilmu Manajemen, 8(3), 995–1010. https://doi.org/https://doi.org/10.26740/jim.v8n3.p995-1010
Aydoğmuş, M., Gülay, G., & Ergun, K. (2022). Impact of ESG performance on firm value and profitability. Borsa Istanbul Review, 22-S2, S119–S127. https://doi.org/10.1016/j.bir.2022.11.006
Bouslah, K., Kryzanowski, L., & Zali, B. M. (2018). Social performance and firm risk: Impact of the financial crisis. Journal of Business Ethics, 149, 643–669. https://doi.org/10.1007/s10551-016-3017-x
Buallay, A. (2019). Is sustainability reporting (ESG) associated with performance? Evidence from the European banking sector. Management of Environmental Quality: An International Journal, 30(1), 98–115. https://doi.org/10.1108/MEQ-12-2017-0149
Chung, R., Bayne, L., & Birt, J. (2024). Stakeholder responses to mandating environmental, social and governance reporting in Hong Kong. China Journal of Accounting Research, 17(2), 1–30. https://doi.org/https://doi.org/10.1016/j.cjar.2024.100353
Dwimayanti, N. M. D., Sukartha, P. D. Y., Putri, I. G. A. M. A. D., & Sisdyani, E. A. (2023). Beyond profit: How ESG performance influences company value across industries? JEMA: Jurnal Ilmiah Bidang Akuntansi Dan Manajemen, 20(1), 43–65. https://doi.org/10.31106/jema.v20i1.20574
Engelhardt, N., Ekkenga, J., & Posch, P. (2021). ESG Ratings and Stock Performance during the COVID-19 Crisis. Sustainability, 13(3), 1–15. https://doi.org/https://doi.org/10.3390/su13137133
Fajriah, Y., & Jumady, E. (2022). Good corporate governance and corporate social responsibility on company value with financial performance. Jurnal Akuntansi, 26(2), 324–341. https://doi.org/https://doi.org/10.24912/ja.v26i2.944
Hapsoro, D., Wicaksono, C. A., & Primaretka, T. A. (2020). Does CSRD moderate the effect of financial performance on stock return? Evidence of Indonesian mining companies. Jurnal Akuntansi Dan Auditing Indonesia, 24(1), 1–10. https://doi.org/https://doi.org/10.20885/jaai.vol24.iss1.art1
Hartikasari, A. I., Wahyuni, S., Rahmawati, I. Y., & Utami, R. F. (2024). The link effect of ESG score, stock price volatility, and tax payment: Doing well while doing good. Maksimum: Media Akuntansi Universitas Muhammadiyah Semarang, 14(2), 231–242. https://doi.org/https://doi.org/10.26714/mki.14.2.2024.231-242
Hasan, K. (2024). Kualitas udara Indonesia: Memburuk pada tahun 2023 tanpa intervensi efektif dan terpicu El Nino. Bagaimana pada tahun 2024?. Centre for Research on Energy and Clean Air (CREA).
Igbinovia, I. M., & Agbadua, B. O. (2023). Environmental, social, and governance (ESG) reporting and firm value in Nigeria manufacturing firms: The moderating role of firm advantage. JDAB: Jurnal Dinamika Akuntansi Dan Bisnis, 10(2), 149–162. https://doi.org/https://doi.org/10.24815/jdab.v10i2.30491
Inawati, W. A., & Rahmawati, R. (2023). Dampak environmental, social, dan governance (ESG) terhadap kinerja keuangan. Jurnal Akademi Akuntansi, 6(2), 225–241. https://doi.org/10.22219/jaa.v6i2.26674
Janah, M., & Handayani, S. (2020). Environmental information disclosure terhadap financial performance dengan nilai perusahaan sebagai pemoderasi: Pendekatan gaya pengungkapan. Jurnal Bisnis Dan Akuntansi, 22(2), 239–256. https://doi.org/https://doi.org/10.34208/jba.v22i2.714
Kasmir, K. (2019). Pengantar Manajemen Keuangan (2nd ed.). Prenadamedia Group.
Kilic, Y., Destek, M. A., Cevik, E. I., Bugan, M. F., Korkmaz, O., & Dibooglu, S. (2022). Return and risk spillovers between the ESG global index and stock markets: Evidence from time and frequency analysis. Borsa Istanbul Review, 22-S2, S141–S156. https://doi.org/10.1016/j.bir.2022.11.015
Liu, L., Nemoto, N., & Lu, C. (2023). The Effect of ESG performance on the stock market during the COVID-19 Pandemic — Evidence from Japan. Economic Analysis and Policy, 79, 702–712. https://doi.org/https://doi.org/10.1016/j.eap.2023.06.038
LSEG Data & Analytics. (2023). Environmental, social and governance scores from LSEG. London.
Melinda, A., & Wardhani, R. (2020). The effect of environmental, social, governance, and controversies on firms’ value: Evidence from Asia. In W. A. Barnett & B. S. Sergi (Eds.), Advanced Issues in the Economics of Emerging Markets (Vol. 27, pp. 147–173). Emerald Publishing Limited. https://doi.org/10.1108/S1571-038620200000027011
Mohammad, W. M. W., & Wasiuzzaman, S. (2021). Environmental, social and governance (ESG) disclosure, competitive advantage and performance of firms in Malaysia. Cleaner Environmental Systems, 2, 1–11. https://doi.org/10.1016/j.cesys.2021.100015
Nareswari, N., Tarczynska-Luniewska, M., & Al Hashfi, R. U. (2023). Analysis of environmental, social, and governance performance in Indonesia: Role of ESG on corporate performance. Procedia Computer Science, 225, 1748–1756. https://doi.org/10.1016/j.procs.2023.10.164
Novia, N., Adrianto, F., & Geraldine, I. (2024). The influence of environmental, social, and governance performance disclosure on stock performance. JWS: Journal of World Science, 3(1), 69–78. https://doi.org/10.58344/jws.v3i1.529
Nurfadila, N., & Sukmayanti, S. (2020). Does CSRD and GCG moderate the effect of financial performance on stock return? ATESTASI: Jurnal Ilmiah Akuntansi, 3(2), 132–140. https://doi.org/https://doi.org/10.57178/atestasi.v3i2.262
OJK. (2017). Peraturan Otoritas Jasa Keuangan Nomor 51/POJK.03/2017 Tentang Penerapan Keuangan Berkelanjutan Bagi Lembaga Jasa Keuangan, Emiten, dan Perusahaan Publik. Indonesia.
Prabawati, P. I., & Rahmawati, I. P. (2022). The effects of environmental, social, and governance (ESG) scores on firm values in ASEAN member countries. Jurnal Akuntansi Dan Auditing Indonesia, 26(2), 119–129. https://doi.org/https://doi.org/10.20885/jaai.vol26.iss2.art2
Pramesti, W. C., Sudarma, M., & Ghofar, A. (2024). Environmental, social, and governance (ESG) disclosure, intellectual capital and firm value: The moderating role of financial performance. Jurnal Reviu Akuntansi Dan Keuangan, 14(1), 103–121. https://doi.org/10.22219/jrak.v14i1.32849
Prayogo, E., Handayani, R., & Meitiawati, T. (2023). ESG disclosure dan retention ratio terhadap nilai perusahaan dengan ukuran perusahaan sebagai pemoderasi. Reviu Akuntansi Dan Bisnis Indonesia, 7(2), 368–379. https://doi.org/10.18196/rabin.v7i2.18212
Presiden RI. (2012). Peraturan Pemerintah Republik Indonesia Nomor 47 Tahun 2012 Tentang Tanggung Jawab Sosial dan Lingkungan Perseroan Terbatas. Indonesia.
Putri, C. H., Lestari, T., & Ritawaty, N. (2022). Pengaruh return on assets, equity dan earning per share terhadap harga saham sektor perbankan di Bursa Efek Indonesia. Owner: Riset & Jurnal Akuntansi, 6(2), 2230–2240. https://doi.org/https://doi.org/10.33395/owner.v6i2.862
Rahelliamelinda, L., & Handoko, J. (2024). Profitabilitas sebagai moderating pengaruh kinerja ESG, green innovation, eco-efficiency terhadap nilai perusahaan. Jurnal Informasi, Perpajakan, Akuntansi, Dan Keuangan Publik, 19(1), 145–170. https://doi.org/https://doi.org/10.25105/jipak.v19i1.19191
Sany, S., Novica, C., & Valentina, C. (2024). Do Board Multiple Directorships and ESG Score Drive Firm Value? Study of Non-Financial Companies in Thailand. Jurnal Akuntansi Dan Keuangan, 26(1), 67–76. https://doi.org/https://doi.org/10.9744/jak.26.1.67-76
Sarvasti, L. D., & Widoretno, A. A. (2024). Do green accounting and carbon emission disclosure affect stock return? AKURASI: Jurnal Studi Akuntansi Dan Keuangan, 7(1), 155–172. https://doi.org/https://doi.org/10.29303/akurasi.v7i1.513
Setiani, E. P., Dewanti, P. W., & Cortez, E. (2024). ESG scores, financial performance, and carbon emissions: Evidence from Southeast Asian companies. Jurnal Nominal: Barometer Riset Akuntansi Dan Manajemen, 13(2), 227–238. https://doi.org/http://dx.doi.org/10.21831/nominal.v13i2.76302
Simorangkir, R. T. M. C. (2019). Pengaruh kinerja keuangan terhadap return saham perusahaan pertambangan. Jurnal Bisnis Dan Akuntansi, 21(2), 155–164. https://doi.org/https://doi.org/10.34208/jba.v21i2.616
Sumarno, D. C., Andayani, W., & Prihatiningtyas, Y. W. (2023). The effect of environmental, social, and governance (ESG) assessment on firm value with profitability as a mediating variable. Asia Pacific Management and Business Application, 12(1), 55–64. https://doi.org/10.21776/ub.apmba.2023.012.01.4
Sun, Z., Du, Q., Du, A. M., Li, Z., & Yang, T. (2024). The information environment and ecological environment perspectives: Capital market openness and firm ESG rating divergence. Research in International Business and Finance, 71, 1–14. https://doi.org/https://doi.org/10.1016/j.ribaf.2024.102475
Suryo, A., & Yasa, G. W. (2021). Kinerja keuangan dan return saham perusahaan Blue Chip di Bursa Efek Indonesia. E-Jurnal Akuntansi, 13(12), 3288–3300. https://doi.org/https://doi.org/10.24843/EJA.2021.v31.i12.p19
Torre, M. La, Mango, F., Cafaro, A., & Leo, S. (2020). Does the ESG index affect stock return? Evidence from the Eurostoxx50. Sustainability, 12(16), 1–12. https://doi.org/https://doi.org/10.3390/su12166387
Trisnowati, Y., Achsani, N. A., Sembel, R., & Andati, T. (2022). The effect of ESG score, financial performance, and macroeconomics on stock returns during the pandemic era in Indonesia. International Journal of Energy Economics and Policy, 12(4), 166–172. https://doi.org/https://doi.org/10.32479/ijeep.13212
Velte, P. (2020). Does CEO power moderate the link between ESG performance and financial performance? A focus on the German two-tier system. Management Research Review, 43(5), 497–520. https://doi.org/https://doi.org/10.1108/MRR-04-2019-0182
Wang, S., Chen, F., & Yang, X. (2024). Environmental, social and governance performance: Can and how it improve internationalization of Chinese A-share listed enterprises. Heliyon, 10(13), 1–18. https://doi.org/https://doi.org/10.1016/j.heliyon.2024.e33492
Wardhani, R. S., Awaluddin, M., & Reniati, R. (2019). Financial performance and corporate social responsibility on return of shares. Jurnal Akuntansi, 23(3), 409–432. https://doi.org/https://doi.org/10.24912/ja.v23i3.611
Xaviera, A., & Rahman, A. (2023). Pengaruh kinerja ESG terhadap nilai perusahaan dengan siklus hidup perusahaan sebagai moderasi: Bukti dari Indonesia. Jurnal Akuntansi Bisnis, 16(2), 226–247. https://doi.org/http://dx.doi.org/10.30813/jab.v16i2.4382
Yin, X. N., Li, J. P., & Su, C. W. (2023). How does ESG performance affect stock returns? Empirical evidence from listed companies in China. Heliyon, 9(5), 1–12. https://doi.org/10.1016/j.heliyon.2023.e16320
Zhang, X., Zhao, X., & He, Y. (2022). Does it pay to be responsible? The performance of ESG investing in China. Emerging Markets Finance and Trade, 58(11), 3048–3075. https://doi.org/10.1080/1540496x.2022.2026768
Published
2025-06-30
How to Cite
NURNANINGSIH, Dwi; HANDAJANI, Lilik.
The Effect of ESG Score on Stock Return: Do Financial Performance and Market Performance Moderate?.
E-Jurnal Akuntansi, [S.l.], v. 35, n. 6, june 2025.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/127255>. Date accessed: 14 oct. 2025.
doi: https://doi.org/10.24843/EJA.2025.v35.i06.p04.
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