Proven Again: Corporate Social Responsibility As One Of Influential Factors Towards Stock Return

Abstract

This research examined the influence of CSR (Corporate Social Responsibility implementation towards stock return in the companies that are listed in Kompas-100 index, compared tothe companies that are listed in Sri Kehati index. The aim of this research was to examine the extent the implementation of CSR along with the influence of market aspect, financial aspect and macroeconomic aspect on the stock return. Financial aspect consists of Return On Assets (ROA) and Size (Total Asset), Market aspect consists of Market to book ratio (Price to Book Value/PBV) and Beta Stocks, while the Macro Economic aspectconsist of  the level of economic growth, and inflation rate. The research was conducted on financial and non-financial companies, which has been consistently included in the Kompas-100 Index in Indonesia Stock Exchange in four-year (2010-2013) range of time. The estimation model being used was regression analysis with panel data regression. The estimation results indicated that company’s stock return is influenced by five factors, which are CSR, ROA, M/B, ratio, inflation rate, and economic growth. Overall, this research has proven the Agency Theory in another form, which states that manager is not only responsible towards shareholder but also responsible towards all stakeholders. Similarly, the results are in favor of Signaling Theory, which argues that CSR is a form of positive signal to investors. Stocks return of the companies registered in Sri Kehati index had higher stock returns than those are not listed anymore in Sri Kehati index

Keywords: CSR, stock return, financial aspect, market aspect, macroeconomic aspect