Musytari : Jurnal Manajemen, Akuntansi, dan Ekonomi

Vol. 25 No. 8 (2026): Musytari: Neraca Manajemen, Akuntansi, dan Ekonomi, ISSN 3025-9495
Articles

PENGEMBANGAN CAPITAL ASSET PRICING MODEL DENGAN FAKTOR ESG RISK RATING : BUKTI EMPIRIS PADA IDX ESG LEADERS 2022–2025

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  • Marni Sagita,
  • Agus Solikhin
Marni Sagita
Universitas Jambi
Agus Solikhin
Universitas Jambi
DOI: https://doi.org/10.2238/0rf0s598

Published 2026-07-14

Keywords

  • ESG Risk Rating,
  • CAPM,
  • Market Risk Premium,
  • Excess Return,
  • IDX ESG Leader,
  • Pasar Berkembang
    • ...More
    Less

How to Cite

PENGEMBANGAN CAPITAL ASSET PRICING MODEL DENGAN FAKTOR ESG RISK RATING : BUKTI EMPIRIS PADA IDX ESG LEADERS 2022–2025. (2026). Musytari : Jurnal Manajemen, Akuntansi, Dan Ekonomi, 25(8). https://doi.org/10.2238/0rf0s598

Abstract

Penelitian ini bertujuan menguji apakah ESG Risk Rating dari Sustainalytics merupakan faktor risiko sistematis yang diperhitungkan pasar modal Indonesia dalam penetapan harga saham, menggunakan kerangka perbandingan dua model asset pricing. Pendekatan kuantitatif kausalitas komparatif diterapkan pada 18 emiten yang konsisten mempertahankan predikat IDX ESG Leader selama 2022–2025, menghasilkan 864 observasi panel. Dua model dibandingkan: Model A sebagai CAPM Baseline dan Model B sebagai Augmented ESG-CAPM. Estimasi menggunakan Pooled OLS dengan HC3 Robust Standard Error. Hasil menunjukkan Market Risk Premium berpengaruh positif dan signifikan terhadap excess return (β₁=0,8604; p=0,000), mengkonfirmasi validitas CAPM. ESG Risk Rating tidak berpengaruh signifikan pada periode penuh (β₂=0,000869; p=0,115) dan Model B tidak terbukti lebih baik dari Model A (F-incremental p=0,142). Namun analisis sub-periode tahunan menemukan ESG signifikan hanya pada 2022 (β₂=0,003713; p=0,0001), tepat saat kenaikan BI Rate paling agresif. Temuan ini mengindikasikan mekanisme penetapan harga ESG di BEI bersifat kondisional terhadap rezim moneter.
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