Analysis of the Influence of Environment, Social & Governance (ESG), Debt to Asset (DAR), and Return on Asset (ROA) on Stock Returns in Mining Companies Listed on the Indonesia Stock Exchange for the 2020-2024 Period

Abstract

Stock returns in energy and mining companies fluctuate and are influenced by corporate sustainability and financial performance. This study aims to examine the effects of Environmental, Social, and Governance (ESG) Score, Return on Assets (ROA), and Debt to Asset Ratio (DAR) on stock returns of energy and mining companies listed on the Indonesia Stock Exchange during 2020–2024. A quantitative approach was employed using secondary data from financial and sustainability reports. The population consisted of 43 companies, with 7 companies selected through purposive sampling. Data were collected through documentation and analyzed using panel data regression with the Common Effect Model (CEM), supported by model selection and classical assumption tests. The results show that ESG has a negative and insignificant effect on stock returns, ROA has a positive and significant effect, and DAR has a positive but insignificant effect. Simultaneously, ESG, ROA, and DAR do not significantly affect stock returns at the 5% level. The conclusion indicates that profitability is more relevant to stock returns than ESG and capital structure within the research model.