Best ESG vs Poor ESG: Kinerja Portofolio Optimal Berbasis ESG di Indonesia
DOI:
https://doi.org/10.69533/7z9dp894Keywords:
ESG, Kinerja Portofolio, Socially Responsible InvestingAbstract
Penelitian ini bertujuan untuk menginvestigasi dampak pembentukan portofolio Socially Responsible Investing (SRI) berbasis skor ESG terhadap kinerja portofolio saham di Indonesia. Penelitian ini membandingkan kinerja portofolio yang dibentuk dari saham dengan kategori Best ESG dan Poor ESG menggunakan metode Single Index Model. Sampel penelitian terdiri dari 71 perusahaan non-keuangan yang terdaftar di Bursa Efek Indonesia dan memiliki skor ESG berdasarkan database Thomson Reuters. Hasil penelitian menunjukkan bahwa portofolio Best ESG memiliki return ekspektasian yang lebih rendah dan risiko yang lebih tinggi dibandingkan portofolio Poor ESG. Penilaian berbasis risk-adjusted return menggunakan RVAR, RVOL, RMAR, dan Jensen’s Alpha mengindikasikan bahwa portofolio Poor ESG menunjukkan kinerja yang relatif lebih unggul, meskipun secara keseluruhan kedua portofolio belum mampu mengungguli kinerja pasar sebagai benchmark. Temuan ini menunjukkan bahwa praktik ESG belum secara konsisten diterjemahkan menjadi keunggulan finansial dalam jangka pendek di pasar modal Indonesia, yang dapat dipengaruhi oleh sentimen pasar dan bias preferensi investor. Penelitian ini berkontribusi dalam memperkaya literatur terkait performa portofolio SRI di pasar berkembang serta memberikan implikasi praktis bagi investor dan manajer investasi dalam mengevaluasi relevansi ESG sebagai dasar pembentukan portofolio optimal. Temuan ini memberikan wawasan bagi manajer investasi untuk mempertimbangkan risiko sistematis dan mispricing ESG dalam proses pengambilan keputusan investasi.
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