DISAGGREGATING ESG PERFORMANCE AND SYSTEMATIC RISK: A MULTIDIMENSIONAL PERSPECTIVE FROM INDONESIA

Yoanita Dinda Pasavrilia, Dr. Bowo Setiyono, S.E., M.Com., Ph.D., CFP., CACP

2026 | Skripsi | MANAJEMEN

Penelitian ini mengkaji hubungan antara kinerja ESG dan risiko sistematis pada perusahaan nonkeuangan yang terdaftar di Bursa Efek Indonesia. Dengan menggunakan 370 observasi perusahaan-tahun dari 66 perusahaan selama periode 2016–2024, risiko sistematis diukur menggunakan beta Capital Asset Pricing Model (CAPM) dan Fama-French Three-Factor, sedangkan kinerja ESG diukur menggunakan skor agregat dan skor masing-masing pilar dari LSEG/Refinitiv. Hasil penelitian menunjukkan bahwa kinerja ESG secara agregat berhubungan negatif dengan risiko sistematis, terutama dalam spesifikasi Fama-French. Temuan ini mengindikasikan bahwa kinerja ESG, khususnya pada pilar Sosial, berpotensi membantu mengurangi eksposur perusahaan terhadap risiko pasar di Indonesia.

This study examines the relationship between ESG performance and systematic risk among Indonesian non-financial listed firms. Using 370 firm-year observations from 66 firms during 2016–2024, systematic risk is measured using CAPM and Fama-French Three- Factor betas, while ESG performance is measured using LSEG/Refinitiv aggregate and pillar-level scores. The results show that aggregate ESG performance is negatively associated with systematic risk, especially under the Fama-French specification. These findings suggest that ESG performance, particularly the Social pillar, may help reduce firms’ exposure to market risk in Indonesia.

Kata Kunci : ESG performance, Systematic risk, Market beta, Fama-French Three-Factor Model, Indonesia, Non-financial firms.