The Effect of ESG, Earnings Per Share, and Dividend Payout Ratio on Stock Returns of the ESG Quality 45 Kehati Index, Moderated by Stock Liquidity

Hilman Hadianto; Hakiman Hakiman

doi:10.55927/ijbae.v5i1.581

Authors

Hilman Hadianto Universitas Mercu Buana
Hakiman Hakiman Universitas Mercu Buana

DOI:

https://doi.org/10.55927/ijbae.v5i1.581

Keywords:

ESG, Earnings Per Share, Dividend Payout Ratio, Stock Liquidity, Stock Returns.

Abstract

This study aims to examine the influence of ESG, Earnings Per Share, and Dividend Payout Ratio, moderated by Stock Liquidity, on Stock Returns. The population of this research consists of the ESG Quality 45 Kehati Index companies listed on the Indonesia Stock Exchange (IDX) from 2021 to 2024. The sampling technique used in this research is purposive sampling. The sample consists of 22 companies. The data analysis methods used are panel data regression analysis and moderation regression analysis (MRA). The results show that ESG, both in aggregate and as individual pillars, and the Dividend Payout Ratio have a significant influence on stock returns. In contrast, Earnings Per Share does not have a significant influence on Stock Returns. The results also indicate that stock liquidity strengthens the influence of ESG, both in aggregate and as individual pillars, on Stock Returns. Therefore, the impact of ESG on stock returns tends to be stronger for more liquid stocks.

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