The Nexus of ESG Score and Stock Return: Evidence from The LQ45 Index

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The relationship between esg score and stock return shows that higher values may lead to better financial performance.
Data was analyzed from the lq45 index, focusing on 45 blue chip firms in Indonesia to understand esg implications.
A quantitative methodology was employed, utilizing tests for cross-sectional dependency, serial correlation, and heteroscedasticity.
These findings underscore the importance of esg considerations for investors, pointing to potential financial advantages in sustainable investment.

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Quantitative analysis reveals a link between ESG score and stock return in blue chip firms, suggesting financial benefits for investors.

Prayogo et al. (2024) studied this question.

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