The Delayed Effect oof Esg Risk Score on IDX ESG Leaders Stock Prices
DOI:
https://doi.org/10.55587/jseb.v1i1.445Keywords:
ESG Risk Score, Lagged Effect, Stock Price, Panel Data, IDX ESG Leaders;Abstract
Purpose: This study examines whether ESG Risk Score has a delayed relationship with stock prices of IDX ESG Leaders companies.
Method: The secondary panel contains 22 companies from 2020–2024. After creating a one-year lag, the effective sample consists of 88 observations. The model uses log closing price, firm size, firm and year fixed effects, and firm-clustered standard errors.
Finding: The previous year’s ESG Risk Score has a negative coefficient (β = −0.0237), but it is not significant (p = 0.250; 95% CI = −0.0641 to 0.0167). Contemporaneous, return, and bootstrap tests provide the same conclusion. Lower ESG risk is directionally related to higher valuation, but the evidence is insufficient in this short panel.
Novelty: The study changes the design from a same-year ESG–price relationship to ESG(t−1) → price(t), allowing a direct test of delayed ESG information processing in the Indonesian market. This design provides clearer temporal ordering. for interpreting the findings
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