The Effect of an Increase in ESG Risk Value on Share Prices

Public companies listed on the Indonesia Stock Exchange (IDX) are assessed by an independent party, namely Morningstar Sustainalytics (MS). The assessment submitted to the public is related to the ESG risk score of public companies on the IDX. This study aims to see whether the ESG risk value information also affects investors' assessments of the company, which is proxied by the company's share price. This study was conducted to see if there was a significant difference in average share prices 3 days before and 3 days after information about the increase in ESG risk values provided by the IDX. The study was conducted using the paired sample t-test statistical method on samples both of all companies sample and companies per risk group (low, medium, high, and severe) sample. The results of the study on the overall sample showed no significant difference in stock market prices before and after the information on the increase in ESG risk value. The results of this study are expected to show investor attention regarding the information of ESG, which will provide suggestion for the IDX to support with a more superior information.