EVALUASI PORTOFOLIO ESG DENGAN CAPM LIMA FAKTOR : STUDI KASUS DI INDONESIA
Abstract
ESG investing is an umbrella term that covers any investment strategy that emphasizes the corporate governance structure, environmental and social impacts of the company's products or practices. ESG assessments and reporting have the potential to unlock vast amounts of information about a company's long-term management and resilience, and can represent an important market-based mechanism to help investors align portfolios. This study aims to examine and analyze the performance of the ESG portfolio in Indonesia. The main contribution is to provide empirical evidence about portfolio selection based on ESG scores and associated with investment risk factors based on the CAPM five-factor model from Fama & French (2015) in Indonesia. The sample used is all registered financial or non-financial industries in Indonesia that have an ESG score for the 2018-2022 observation period. The research results show that the pre-covid period 2018-2019 and the 2020-2021 covid period portfolio investments with high ESG scores did not outperform portfolios with low ESG scores, but during the post-covid period in 2022 even portfolio investments with high ESG scores had abnormal returns, when evaluated using the CAPM five-factor and one-factor models.
References
Agarwal, R., & Mangla, J. (2014). Testing Practical Application Of Capm: A Study Of Stocks Of Automobile Sector Using CNX Auto Index In NSE. International Journal of Advanced Research in Management and Social Sciences, 3(1), 42–55.
Alrabadi, D. W. H., & Alrabadi, H. W. H. (2018). The Fama and French Five Factor Model: Evidence from an Emerging Market. Arab Journal of Administration, 38(3), 295–304.
Amon, J., Rammerstorfer, M., & Weinmayer, K. (2021). Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors. Sustainability, 13(9388), 1–22.
Auer, B. R., & Schuhmacher, F. (2016). Do socially (Ir)responsible Investments Pay? New Evidence From International ESG Data. Quarterly Review of Economics and Finance, 59(1), 51–62.
Chen, J. M. (2021). The Capital Asset Pricing Model. Encyclopedia, 1, 915–933.
Climent, R. B., Garrigues, I. F. F., Paraskevopoulos, I., & Santos, A. (2021). Esg disclosure and portfolio performance. Risks, 9(172), 1–14.
Dai, Y. (2021). Can ESG Investing Beat the Market and Improve Portfolio Diversification? Evidence from China. Chinese Economy, 54(4), 272–285.
De Masi, S., Słomka-Gołębiowska, A., Becagli, C., & Paci, A. (2021). Toward Sustainable Corporate Behavior: The Effect of the Critical Mass of Female Directors on Environmental, Social, and Governance Disclosure. Business Strategy and the Environment, 30(4), 1865–1878.
Fama, E. F., & French K. R. (1995). Size and Book-to-Market Factors in Earnings and Returns. The Journal Of Finance. L. 1.
Fama, E. F., & French, K. R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116(1), 1–22.
Halid, S., Rahman, R. A., Mahmud, R., Mansor, N., & Wahab, R. A. (2023). A Literature Review on ESG Score and Its Impact on Firm Performance. International Journal of Academic Research in Accounting, Finance and Management Sciences, 13(1), 272–282.
Hastalona, D., & Sadalia, I. (2021). Literature Review ESG and Sustainability Finance. Budapest International Research and Critics Institute (BIRCI- Journal):Humanities and Social Sciences,4(3),35483557.https://www.bircu- journal.com/index.php/birci/article/view/2122
Inderst, G., & Stewart, F. (2018). Incorporating Environmental, Social And Governance (ESG) Factors Into Fixed Income Investment. Washington: World Bank Group publication. https://doi.org/10.1596/29693
Jayeola, D., Ismail, Z., & Sufahani, S. F. (2017). Effects Of Diversification Of Assets In Optimizing Risk Of Portfolio. Malaysian Journal of Fundamental and Applied Sciences, 13(4), 584–587.
Jha, L. D. N., Mishra, R. S., & Bhome, S. . (2016). Investment Analysis And Portfolio Management. Mumbai: Himalaya Publishing House.
Konovalova, M. Y., Kuzmina, O. Y., Mikhaylov, A. M., Levchenko, L. V., & Salomatina, S. Y. (2019). The Management of Investment Portfolios. TEM Journal, 8(3), 928–937.
Lubis, M. F. F., & Rokhim, R. (2021). The Effect of Environmental, Social, and Governance (ESG) Disclosure and Competitive Advantage on Companies Performance as An Implementation of Sustainable Economic Growth in Indonesia for Period of 2015-2019. IOP Conference Series: Earth and Environmental Science, 940(1), 1–6.
Mandiri Institute. (2022). Industry For Tomorrow: Towards ESG Implementation In Indonesia. Jakarta: Mandiri Institute.
Mezali, H. (2013). Methods for Solving Problems in Financial Portfolio Construction , Index Tracking and Enhanced Indexation. Brunel University, London.
Milan, P. L. A. B., & Eid, W. (2017). Investment Portfolios in an Emerging Economy: What Drives Portfolio’s Diversification? EMAJ: Emerging Markets Journal, 7(1), 1–10.
Nsibande, L. M. Q., & Sebastian, A. (2023). Is The Environmental, Social And Corporate Governance Score The Missing Factor In The Fama-French Five- Factor Model? South African Journal of Economic and Management Sciences, 26(1), 1–9.
Ogiugo, H. U., Adesuyi, I. O., & Ogbeide, S. O. (2020). Empirical Test Of Capital Asset Pricing Model On Securities Return Of Listed Firms In Nigeria. Insights into Regional Development, 2(4), 825–836. https://doi.org/10.9770/ird.2020.2.4(8)
Pacho, F. (2014). Capital Asset Pricing Model (CAPM) Testability and its Validity in Stock Market: Evidence from Previous Literatures. Research Journal of Finance and Accounting, 5(21), 192–198. www.iiste.org
Rehan, R., Chhapra, I. U., Mithani, S., & Patoli, A. Q. (2021). Capital Asset Pricing Model and Shariah-Compliant Capital Asset Pricing Model: Evidence from Pakistan Stock Exchange. Journal of Contemporary Issues in Business and Government, 27(1), 2074–2089. https://cibg.org.au/2074
Reilly, F. K., & Brown, K. C. (2012). Investment Analysis & Portfolio Management Tenth Edition. USA: South-Western, Cengage Learning.
Rutkauskas, A. V., & Stasytytė, V. (2022). Integrated Intellectual Investment Portfolio as an Efficient Instrument to Manage Personal Financial Investment. Journal of Risk and Financial Management, 15(1), 1–22.
Schanzenbach, M. M., & Sitkoff, R. . (2020). ESG Investing: Theory, Evidence, and Fiduciary Principles. Journal of Financial Planning.
Sukono, Hidayat, Y., Bon, A. T. B., & Supian, S. (2017). Modelling Of Capital Asset Pricing By Considering The Lagged Effects. IOP Conf. Series: Materials Science and Engineering, 166, 1–7.
Sutedja, M. D. S., & Wijaya, L. I. (2022). Does Including Momentum Factor Into Fama-French Five-Factor Model Predict Better Return In Indonesia? Syntax Literate: Jurnal Ilmiah Indonesia, 7(2), 852–860.
Tandelilin,E.2010. Portofolio dan Investasi (Teori dan Aplikasi). Edisi Pertama.
Universitas Gadjah Mada.
Thahira, A. M., & Mita, A. F. (2021). ESG Disclosure and Firm Value: Family versus Nonfamily Firms. Advances in Social Science, Education and Humanities Research, 558(1), 653–657.
Wang, Z., Liao, K., & Zhang, Y. (2022). Does ESG Screening Enhance or Destroy Stock Portfolio Value? Evidence from China. Emerging Markets Finance and Trade, 58(10), 2927–2941.
Widianingsih, Y. P. N. (2019). Analysis Of Capital Asset Pricing Model According To Shariah Principle: Indonesian Evidence. International Journal of Economics, Business and Accounting Research (IJEBAR), 3(03), 171–184.
Wijaya, L. I., Irawan, R. K., & Mahadwartha, P. A. (2018). Test of Fama a French Five Factor-Model on Indonesian Stock Market. Advances in Social Science, Education and Humanities Research (ASSEHR), 186, 48–50.
Winegarden, W. (2019). Environmental, Social, AND Governance (ESG) Investing: An Evaluation of the Evidence. In Pacific Research Institute. Pacific Research Institute.
Xia, J. (2022). A Systematic Review: How Does Organisational Learning Enable ESG Performance (from 2001 to 2021)? Sustainability, 14, 1–22.
Xiao, Y. (2021). Review of the Portfolio Theory Application. Advances in Economics, Business and Management Research, 203, 3042–3046.
Yang, L. (2021). Research on Investment Portfolio Mechanism in the Context of Covid-19. Advances in Economics, Business and Management Research, 203(1), 1302–1305.
Zeray, B. (2020). Investment Analysis and Portfolio Management. Ethiopia: Mekelle.
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.
Copyright (c) 2023 Management and Sustainable Development Journal
This work is licensed under a Creative Commons Attribution 4.0 International License.
Copyright @2021. This is an open-access article distributed under the terms of the Creative Commons Attribution 4.0 International License which permits unrestricted use, distribution, and reproduction in any medium. Copyrights of all materials published in MSDJ are freely available without charge to users or / institutions. Users are allowed to read, download, copy, distribute, search, or link to full-text articles in this journal without asking by giving appropriate credit, provide a link to the license, and indicate if changes were made. All of the remixes, transform, or build upon the material must distribute the contributions under the same license as the original.
