Title
The Impact of ESG, Analyst Coverage and InstitutionalInvestor on Stock Return of Indonesian Listed Firms
Category
Case Study & Document
Description
This study presents a comprehensive empirical study examining the impact of Environmental, Social, and Governance (ESG) performance, institutional ownership, and analyst coverage on stock returns of firms listed on the Indonesia Stock Exchange (IDX) from 2015 to 2022. Using panel data regression methods, including fixed effects, random effects, and generalised least squares, the study analyses 464 firm-year observations while controlling for firm size and leverage. The findings reveal that ESG performance consistently shows a positive, statistically significant relationship with stock returns, highlighting increasing investor recognition of sustainability practices as a value driver in emerging markets. Institutional ownership shows a marginal but context-dependent influence, becoming more significant under certain model specifications. At the same time, analyst buy recommendations exhibit a surprising negative relationship with stock returns, suggesting potential short-term overvaluation or market inefficiencies. The study also contextualises the growing importance of ESG in Indonesia, supported by developments such as the SRI-KEHATI Index and rising capital market participation during the COVID-19 period. Despite its contributions, the research acknowledges limitations in using annual data and unadjusted returns and recommends that future studies incorporate higher-frequency data and risk-adjusted measures. Overall, the poster offers valuable insights for investors, academics, and policymakers regarding the role of ESG integration, institutional investor behaviour, and analyst signals in shaping investment outcomes in emerging markets.
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