Examining the effects of ESG performance and inflation on stock return dynamics
Keywords:
Inflation, ESG, Stock return, Firm value, Coal miningAbstract
This study examines the influence of profitability, inflation, and Environmental Social Governance (ESG) performance on stock returns in coal mining companies listed on the Indonesia Stock Exchange during 2020–2024. The study is motivated by inconsistent empirical findings regarding the effects of financial performance, macroeconomic conditions, and sustainability practices on stock return dynamics. A quantitative panel-data approach is employed using multiple regression and Moderated Regression Analysis (MRA). Inflation is proxied by the Consumer Price Index (CPI), ESG performance is measured using Bloomberg ESG Disclosure Scores, profitability is measured by Return on Assets (ROA), and firm value is proxied by Price to Book Value (PBV). The results indicate that inflation negatively affects stock returns, ESG performance positively affects stock returns, while profitability shows no significant effect. Firm value strengthens the relationships between the independent variables and stock return. These findings highlight the growing importance of sustainability performance and market valuation in shaping investor behavior.
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