Pengaruh ESG Score dan Market Return Terhadap Performa dari Saham yang Tergolong Dalam IDX-SRI KEHATI Dengan Menggunakan Model Jensen Alpha, Treynor Ratio dan Fama-French 5 Faktor

Sedek, Henokh Melki (2025) Pengaruh ESG Score dan Market Return Terhadap Performa dari Saham yang Tergolong Dalam IDX-SRI KEHATI Dengan Menggunakan Model Jensen Alpha, Treynor Ratio dan Fama-French 5 Faktor. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Penelitian ini mengkaji pengaruh ESG Score dan Market Return terhadap kinerja saham dalam indeks IDX-SRI KEHATI menggunakan Jensen’s Alpha, Treynor Ratio, dan Fama-French 5 Factor Model. Data penelitian mencakup periode 2015-2023. Hasil penelitian menunjukkan bahwa ESG Score tidak berpengaruh signifikan terhadap kinerja saham pada ketiga model. Market Return berpengaruh signifikan terhadap kinerja saham pada Jensen’s Alpha dan Fama-French 5 Factor, tetapi tidak pada Treynor Ratio. Temuan ini menunjukkan bahwa kondisi pasar lebih memengaruhi kinerja saham ESG dibandingkan faktor keberlanjutan atau ESG. Penelitian ini memberikan wawasan bagi investor dan manajer investasi untuk tetap mempertimbangkan aspek ESG dalam strategi investasi jangka panjang. Kata Kunci ESG Score, Market Return, IDX-SRI KEHATI, Jensen’s Alpha, Treynor Ratio, Fama-French 5 Factor Model / This study examines the impact of ESG Score and Market Return on stock performance within the IDX-SRI KEHATI index using Jensen’s Alpha, Treynor Ratio, and the Fama-French 5 Factor Model. The research data covers the period from 2015 to 2023. The findings indicate that the ESG Score does not have a significant impact on stock performance across all three models. However, Market Return significantly influences stock performance in Jensen’s Alpha and the Fama-French 5 Factor Model, but not in the Treynor Ratio. These findings suggest that market conditions have a greater influence on ESG stock performance compared to sustainability or ESG factors. This study provides insights for investors and investment managers to continue considering ESG aspects in long-term investment strategies. Keywords : ESG Score, Market Return, IDX-SRI KEHATI, Jensen’s Alpha, Treynor Ratio, Fama-French 5 Factor Model

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