INTRODUCTION
The investor made an investment to divert the funds he
currently has. By making investments, investors certainly have hopes of getting
profits in the future. Investment decisions and investment behavior can be
investigated from two perspectives: experimentally and conceptually. The
empirical and theoretical approaches to investment behavior have few
similarities (Virlics, 2013). There are various
kinds of purposes for investors to buy shares, the purpose of investors to
obtain profits from the ups and downs (fluctuations) of stock prices by buying
the shares when they fall and selling them when the stock price rises, and
there are also those who aim to obtain a share of profits on the number of
shares they own, or it can be called dividends that will later be paid by an
entity in each year. Investors who will invest their shares will later see
several things before buying shares, some of them are in the form of a rate of return on investment (return) where in getting it
investors are important to know information from the company so that later
investors decide when to sell, buy or hold a security, the next thing investors
will consider before investing their shares is the distribution of their share
profit (dividends).
Basically, investment can be in the form of several types
that can be invested in forms such as investment in projects, bonds,
investments in the form of foreign exchange trading or stock investments. The
reaction of investors is the response of the investor himself to the
information provided by the company and can be both positive and negative (Maristi, 2013). A company's
success can be reflected through the share price issued by the company, the
increase in stock price that occurs in the company makes investors have an
assessment that the company can manage its business well. One of the good news
that the company hopes is that when investors have confidence in the company,
because with this condition, it will make many people believe in the future of
the company, the investor's desire to invest in it will increase. Abnormal Returns that occur can describe changes in
stock prices in the form of capital market efficiency. Abnormal Return which is
an advantage of the return that actually occurs against the normal return,
which is a change in the rate of return that investors expect (Ayuni, 2016). The difference in
positive returns occurs if the return in can be greater than the expected
return or the return calculated as the estimate. Meanwhile, a negative return
occurs if the return obtained is smaller than the expected return or the return
is calculated as an estimate. According to Yulia (2013)
Abnormal Returns can occur due to certain events, for example the beginning of
the month, the beginning of the year, national holidays, stock splits, unstable
political atmospheres, initial public offerings, extraordinary events and
others.�
The reaction of a capital market that is observed using a
sequence of events sometime in the future, which contains an announcement of
profits, it can be concluded that this information is the cause of the reaction
of investors (Maristi, 2013). The information
obtained by the management in the form of non-financial information and
financial information will be a signal about the company's financial
performance in the future (Dewantara, 2018). When company
information is disclosed, investors will have a positive or negative reaction (Maristi, 2013). If investors'
confidence in investment changes, which can be seen from the correlation
between return events, then the information will be useful. Investor reaction
will result in changes in stock prices and also stock trading volumes (Prabandari & Ketut, 2014). Investor is
defined as an individual or business group who invests in an entity with the
aim of obtaining profits through company profits due to fluctuations in stock
prices which later aims to get the return paid by an entity (Prabandari & Ketut, 2014). �
With the information, the fundamental needs of investors
in investing become a complete, accurate, relevant and timely dose that allows
investors to make rational decisions so that the results obtained are as
estimated. There is some information that affects the reaction of investors in
making decisions, some of which is information about the distribution of the
company's dividend, information in the disclosure of the company's relationship
with its environment and also the company's participation in preserving its
environment. Information regarding the dividend policy submitted by the company
is important for investors to know the future prospects of the shares invested
in the company. The increase in dividends shared is an investor's view that the
company is experiencing a promising performance improvement for the company to
continue (going concern). Ayuni (2016)
stated that when asymmetric information occurs managers will use a dividend
policy strategy. This condition is based on the allegation that the
announcement of the cash dividend contains information that can encourage
investors' reactions to changes in stock prices. The dividend policy is used
later to consider whether all profits will be divided into shareholders or held
for investment spending in the future.
The rapid development of the business today makes
investors more observant in investing their shares. Investors view early
investing by looking at how good the company's image is. Information that is
currently one of the important considerations for potential investors is
information that contains social and environmental. Prabandari and Ketut
(2014) stated that the company's management must have a vision
in preserving the environment, which should have been the entity's
responsibility to society and the environment for its operational performance. �Environmental Performance is an important
source of information so that companies can achieve an efficient level of
production, have good productivity in accordance with established safety
standards, cost efficiency caused by environmental damage and the opportunity
to obtain new markets (Prabandari & Ketut, 2014).
Environmental Performance Measurement in
Indonesia uses the PROPER Assessment Program held by the Ministry of
Environment in building corporate responsibility or obligations to the
company's environment. The ranking set by the Ministry of Environment will
later be in the form of a color order, the value for the gold color will be
given a score of 5, for the green color the score is 4, then the score is 3 for
blue, the red color score is 2 and 1 will be given for black. Companies with a
black rating will be sanctioned in accordance with the regulations set,
companies that get black means that the company does not think about the impact
of environmental damage that has been made as a result of its operations and endangering
the surrounding environment (Prabandari & Ketut, 2014; Hastuti, 2022).
The
main gap usualy start when management are in a dilemma about whether to pay of
their investor earnings as dividends or to retain them for future investments.
This has come about as a result of the need for management to satisfy the
various needs of investor reactions. For instance, investor� or shareholders who need money now for
profitable investment opportunities would like to receive high dividends now.
On the other hand, shareholders who would like to invest in the future will
prefer dividends to be retained by the company and be reinvested.� This makes capital gains on paying shares low
for social-environmental and financial performance, thus, some
shareholders prefer low dividends to high dividends in order to take the
benefits accruing on capital gains. From the other side, Management are always
dealing with competing interests of various shareholders, the kind of dividend
policy they adopt by them may have either positive or negative effects on the
company value. They are therefore unable to forecast with
certainty to what extent the policy will affect their future values
of their firms.� The questions therefore
to be asked are: Should the firm pay out money to its shareholders, or should
the firm take that money and invest it for its shareholders? If a firm decides
to pay a dividend, of what percentage of its earnings? Given the above, will
this affect the share price of the firm? Would the company lose some
shareholders if they adopt a particular dividend policy?
In this study, modifications were made that were
different from previous studies regarding the relationship between dividend
policy variables and environmental performance to investor reactions. Research
goals need to be set in advance so as not to lose direction, so that research
success can be achieved in accordance with the expectations of researchers.
Based on the formulation of the problem above, the objectives of this study are
testing and obtaining empirical evidence on the effect of those factors with investor reaction
on manufacturing companies listed on the Indonesia Stock Exchange period
2017-2021. Thus, researchers are interested in conducting research with the
issue of The Influence of Dividend Policy, Return on Assets and Environmental
Performance on Investor Reactions.
Stakeholder Theory
Stakeholder Theory is a theory that states that an entity
is not just a company that operates for the benefit of its own entity, but an entity
must be able to balance between its interests and the prosperity of its
stakeholders.� Investors who are part of
one of the stakeholders also need to pay attention to their wishes, by knowing
these things, managers will easily formulate what strategies the company will
do. A strategy that not only meets the needs of investors and other
stakeholders but also a strategy that can later also help entities achieve the
ultimate goal. Managers can find stakeholder theory relationships that can
increase company value due to company activities and can minimize losses for
stakeholders. The increase in the value of the company will also result in an
increase in the company's image which will become a benchmark and investor's
interest in the company they will invest in. Based on stakeholder theory,
management is expected to be able to do what stakeholders consider important
and report it back to stakeholders. In this case, management is also expected
to be able to report what the company has done, such as the disclosure of
corporate social responsibility which is an added value for investors in their
confidence in investing in a company. Stakeholders have the right to know the
disclosure of the dividend policy that the company issues to be an investor's
prediction in the future whether the investor will buy, sell or retain his
shares. The company's attention in indicators that allude to the sustainability
of its environment can also make investors confident that the company will
continue, in this case the application of the stakeholder theory is enforced (Astuti & Nugrahanti, 2015; Prabandari & Ketut, 2014; Yudha &
Nasir, 2012).
Signaling Theory is a theory that explains the
information signals needed by investors to consider and determine whether
investors will invest their shares in the company in question.� This theory explains that the information
signal about the dividend paid by an entity is proof that the company gives
signals to investors about the company's future prospects financially. The
increase in dividends will provide information for investors in the form of
signals that the company is experiencing an increase in performance, while a
decrease in dividends will signal that the company will experience a decrease
in the company's future profit (loss).�
Signal Theory emphasizes the importance of information issued by the
company as information before decisions are made by outside the company. The
importance of information for investors as an illustration of whether the
company can have continuity in the future, how it will affect the market. The
manager has the obligation to disclose signals of the condition of his company
as a form of responsibility for the management of the company. In order to
maximize their profits, the scarf can be in the form of promotions or
information in the form of a statement that the company has better prospects
than other companies.� In addition,
signal theory also provides a view that positive information from the company
will make good feedback from investors in making their investment decisions. If
the company can provide information about environmental performance, it is
considered that the company will not only pay attention to the financial
prospects or profits of its company's activities, but non-financial matters are
also considered as the company's balance in maintaining good relations between
the company, stakeholders and the surrounding environment
(Astuti & Nugrahanti, 2015; Ayuni, 2016).
Investor reaction is an investor's action that occurs due
to stock returns. Investor reaction is a response from investors to the
information provided by the company which is in the form of positive or
negative things (Astuti & Nugrahanti, 2015). Investors are
individuals, groups, or legal entities that invest in a particular business
unit. The existence of stock returns can also be interpreted as the profit
obtained from the ownership of investment shares made by investors consisting
of dividends and capital gains (losses).�
Shares that are proof of taking part or participation in a Limited
Liability Company (PT).� Investors invest
their shares with the aim of getting a rate of return according to the initial
prediction. There are two types of shares including preferred shares and
ordinary shares. Preferred stock is a stock that contains securities with the
characteristics of ordinary shares and bonds. There are several projections
that can be used in researching reactions from investors, including through
abnormal returns. Abnormal return (abnormal return) is the difference between
the actual rate of return that occurs and the expected return (Astuti & Nugrahanti, 2015; Ayuni,
2016).
Dividend policy is a decision on whether the profit
earned by the company at the end of the year will be divided into shareholders
in the form of dividends or will be held to increase capital for investment
financing in the future (Ayuni, 2016). This makes the
company's funding decision unable to move far from the dividend policy issued
by the company to attract investors.
Companies that are able to distribute dividends are
companies that have a high level of profit achievement and have a continuous
future. Nowadays, there are many companies that claim to have prospective
futures but are in the zone of financial difficulties to pay dividends.
According to Ayuni (2016)
there are several factors that affect dividend policy, namely, restrictions on
dividend payments, investment opportunities, the influence of dividend policy
on the cost of own capital and alternative sources of capital. There are
theories related to dividend policy. In this regard, Modigliani and Miller (MM)
argue that the value of the company is determined through the company's ability
to make a profit from the risks of its business, in which case the company will
depend on the profit generated through its assets, not retained earnings or
profits to be divided into dividends. In understanding the theory that MM describes,
MM shows that dividend policy is something that is relevant for every
shareholder to make their own dividend policy. �There are 4 dividend distribution procedures
that must be carried out with the criteria of having an important date, namely:
1. Announcement Date
The emergence of management's obligation to pay dividends
to shareholders is on the date on which dividends are announced by the board of
directors.
2. Date of Record
Shareholder dividend receipts are required to be
registered as owners or shareholders. Where the announcement date is usually
accompanied by the listing date and is recorded about two or three weeks after
the dividend is announced.
3. Ex-Dividend Date
This date is the date on which the investor is entitled
to receive or not receive dividends. This date plays an important role for
investors of companies whose shares are traded on the stock market. In general,
this date is set at 3 working days. For investors who sell their shares before
the ex-dividend date and buy after the ex-dividend date, the investor is not
entitled to a share.
4. Payment Date
The payment date is the
announcement date that is always followed by the distribution of dividends.
These dates are generally two or three weeks after the recording date.
In addition, there is a theory of tax differences
proposed by Litzenberger and Ramaswamy, namely, investors prefer capital gains
over dividends because although there is a tax between capital gains and
dividends, capital gains can delay tax payments (Astuti & Nugrahanti, 2015; Ayuni,
2016; Hastuti, 2022).
Financial Performance
Financial
Performance (FP) is a form of profitability ratio that measures a company's
ability to invest all funds in its assets that are used for the company's
operations to generate profits.� The
increase in Financial Performance indicates the company's performance in
managing its assets into effectively managed company profits, this ability will
later attract investors, the better the company's ability to manage its assets,
the more it will react investors to believe in investing in the company.� The purpose and benefits of this ratio are
not only for the business owner or management, but also for parties outside the
company, especially investors who have an interest in the company. The higher
the Financial Performance, the profit that will be distributed to investors
will also be higher, this is because FP which is a rate of return resulting
from the management of assets owned by the company, assets obtained from the
company or assets obtained from investors (Astuti
& Nugrahanti, 2015; Ayuni, 2016; Diaz, 2014; Hastuti, 2022).
Environmental Performance
Environmental Performance is a management effort in
harmonizing the company's environment by building a good image in the eyes of
stakeholders.� Environmental quality can
be defined as the achievement of sustainable development in maintaining a
favorable relationship with the community and arranging the efficiency and
effectiveness of environmental conservation activities.� The allocation of economic resources to the
company's role in protecting the environment provides good news for investors
and potential investors.� Measuring the
quality of environmental performance in Indonesia using the Company Performance
Rating Assessment Program in Environmental Management (PROPER). The rating is
determined by the Ministry of Environment with color represented as an
indicator of its rating assessment. The highest value is 5 for gold, 4 for
green, 3 for blue, 2 for red and 1 for black. Companies that achieve a Black
rating will later be given legal sanctions in accordance with applicable
regulations. This is intended so that companies that do not think about the
long impacts arising from their operating activities will bear the impact that
will occur on the survival of their company. The purpose of implementing the
Environmental Rules for companies that Go Public is to assess the costs sacrificed
for environmental conservation activities whether they are effective or not and
be able to become a communication chain for the community and company
management (Astuti & Nugrahanti, 2015; Ayuni, 2016; Hastuti, 2022; Naukoko, 2014; Prabandari &
Ketut, 2014).
Firm Size
The size of the company is a scale where the size of the
company can be classified according to various ways, namely by the size of
income, total assets, and total capital (Astuti & Nugrahanti, 2015). Larger companies
are usually in demand by analyst brokers, because they publish financial
statement information clearly and usually the state and also the performance
position is more stable. In addition, larger companies usually have growth that
is more clearly visible significant changes than small companies, so the level
of return that the company promises to investors is more attractive. Therefore,
investors will be more interested in large companies in accordance with the
prediction of high expectations of profits on their rate of return (Astuti & Nugrahanti, 2015; Ayuni, 2016; Naukoko, 2014; Prabandari
& Ketut, 2014).
Leverage is a ratio that describes the relationship of a
company's debt to capital, this ratio shows how far the company is financed by
debt or other parties to the capabilities of the company described with capital
(Kurniasih et al., 2013). The existence of
leverage illustrates that all company assets will become a burden on the
company in the future which will later affect the rate of return on shares. The
high debt structure of the company will make the assumption that its investment
is considered to have risks (Army, 2013).
In the leverage ratio used is the debt-to-equity ratio or
DER which is the ratio of the ratio of the company's total debt to
shareholders' capital. The increase in DER indicates an increasing use of total
debt compared to the company's own total capital. As a result, investors tend
to like companies that have a low DER. The profits obtained by the company will
be smaller if the use of large company debts, this is because the company has
to pay interest expenses from company debts (Astuti & Nugrahanti, 2015; Ayuni, 2016; Hastuti, 2022; Naukoko, 2014; Prabandari & Ketut, 2014).
PBV is an indicator used to assess the performance of an
entity. Price to Book Value (PBV) is a calculation or comparison between market
value and book value in a security (stock), so with this ratio investors can
find out directly how many times the market value of a stock is valued from its
book value (Ramadhani, 2016). In this ratio the
investor can find out the capacity per share of the value of the shares. There
is a picture of the movement of a stock in this ratio which indirectly affects
the stock price (Astuti & Nugrahanti, 2015; Ayuni, 2016; Diaz, 2014)
Based on the description of the research theory, it can
be concluded that the variables related to this research produce a conceptual
framework (See Figure 1).
Figure 1. Research Conceptual Design
METHOD
The object of research
used is a manufacturing company listed on the Indonesia Stock Exchange in
2017-2021. The data used in this study is secondary data obtained from proper
results reports and annual financial statements listed on the Indonesia Stock
Exchange with the period 2017 to 2021.�
The research design is a record that explains all procedures from the
purpose of the study to the analysis of data. The creation of a research design
is intended so that researchers can run research smoothly. This study uses a
quantitative hypothesis testing method��
to determine the effect of dividend policy and environmental performance
on investor reactions.
The population in the
study is all publicly listed companies that have been listed on the Indonesia
Stock Exchange. The sample selection method uses the purposive sampling method,
which is the selection of samples based on goals with special considerations.
The criteria in sampling are:
1. Companies that have consistency are classified as
manufacturing sectors consecutively during the period 2017-2021
2. Companies listed on the Indonesia Stock Exchange
successively during the period 2017-2021
3. Companies that publish annual financial statements on the
company's website or IDX website during the period 2017-2021 which are stated
in rupiah
4. Companies participating in the PROPER program during the
period 2017-2021
5. Companies that experienced profit during the observation
period
6. Companies whose shares are still actively traded during the
observation period
7. Companies that disclose data related to research
variables and are fully available
8. Companies that are not delisted during the observation
period.
C.
Types and Data Sources
The type of data used in
this study is secondary data, namely companies that issue reports in the period
2017 to 2021. The data is obtained from the IDX website. Data collection in this
study is through literature studies and documentation studies. Literature
studies are the collection of data from several literatures that relate to the
problem under study. Literature studies include the collection of journals and
scientific articles. Documentation studies are secondary data collection
related to research. Documentation on this study includes the collection of
reports related to the problem under study.
The companies selected ranged from old to newly
established ones, and some companies were de-listed during the study period of Indonesia Stock
Exchange. Therefore the number of observation for each company
is different. In order to gain the maximum possible observations, pooled panel
crossed-section regression data are used. Panel data involve the pooling of
observations on a cross-section of units over several time periods and
facilitate identification of effects that are simply not detectable in pure
cross-sections or pure time-series studies. The panel regression equation
differs from a regular time-series or cross section regression by the double
subscript attached to each variable. The general form of the panel data model
can be specified more compactly as: Yit = a
+b Xit +eit and �eit , the
subscript i representing the cross-sectional dimension and t denoting
the time-series dimension. The left-hand variable Yit, represents
the dependent variable in the model, which is the firm�s value. Xit contains
the set of independent variables in the estimation model, a is
taken to be constant over time t and specific to the individual cross-sectional
unit i. If a
is taken to be the same across units, Ordinary Least Squares (OLS) provides a
consistent and efficient estimate of a and b .
The model takes the following form:
IR
= a
+b1EP� + b2DP
+ b3FP + b4DER + b5FS� + b6PBV
Where as
IR = Investor
Reactions
DP= Dividend Policy
FP= Financial
Performance
DER= Debt to Equity
Rasio
FS= Firm Size
PBV= Price to Book
Value
There are three types of
approaches taken in choosing a panel data regression estimation model, namely
the Common Effect, Fixed Effect and Random Effect. In the Chow Test in
establishing the model to be used between the Common Effect or the Fixed
Effect. If it is proven that the probability value of the chi-square cross
section > 0.05, then this study use the Common Effect Model. However, if the
chi-square cross section < 0.05 then the study use the Fixed Effect Model
and continue the Haussman Test. Furthermore, in the Haussman Test in determining the model to be used between Fixed Effect or Random Effect.
If it is proven that the probability value of the chi-square cross section
≥ 0.05, then this study will use the Random Effect. However, if the
chi-square cross section ≤ 0.05 then the study will use the Fixed Effect
Model (Murguia & Lence, 2015; Winarno, 2015).
RESULTS AND DISCUSSION
A.
The Chow
Test Analysis
The Chow test was carried out on the results of the
regression of the equation with the fixed effect. The results of the Chow Test
are presented in table 1.
Table 1
Chow Test Results
|
Equation
|
|
Effect Test
|
Statistic
|
d.f
|
Prob.
|
|
Cross-section
F
|
23.733
|
(24.117)
|
0.000
|
|
Cross-sectiom
Chi-square
|
265.434
|
24.000
|
0.000
|
Based on table 1, it is known in the Chi-square
cross-section probability equation resulting from the regression of the
equation with a fixed effect model of 0.000. The value is less than a
significant level of 0.050. Thus, the Ha was accepted and continued to conduct
the Haussman Test
B. Test Haussman Test Analysis
The
Haussman test was carried out on the results of the regression of the equation
with the Random effect. The results of the Haussman test are presented in table
2.
Table 2
Haussman Test Results
|
Equation
|
|
Test Summary
|
Chi-sq.
Statistic
|
Chi-sq.d.f
|
Prob.
|
|
Cross-section
F
|
22.479
|
8.000
|
0.004
|
Source:
Processed data, 2022
Based on table 2, it is known in the probability equation
0.004. The value is smaller than the significant value of 0.050, it can be
explaned that this study accept the Ha and use a fixed effect model.
C. Panel Data Regression Analysis
The
results of the regression of panel data in this study with a sample of
manufacturing companies listed on the Indonesia Stock Exchange for the period
2017-2021, as follows:
Table 3
T-Test Results on Multiple Regression Models
|
Variable
|
Coefficient
|
t-Statistic
|
Prob.
|
|
C
|
-0.404980
|
0.030650
|
0.0000
|
|
Environmental
Performance
|
0.293552
|
0.001955
|
0.0053
|
|
Dividend Policy
|
0.126393
|
0.000227
|
0.0000
|
|
Firm Size
|
0.008308
|
0.0000105
|
0.0202
|
|
DER
|
0.050442
|
0.000235
|
0.0324
|
|
Financial Performance
|
2.232894
|
0.000122
|
0.0466
|
|
PBV
|
-0.011004
|
0.000026
|
0.0480
|
|
R-Square
|
0.986441
|
Adjusted R�-Squares
|
0.982732
|
|
F-Statistic
|
265.9889
|
DW-Stat
|
1.7369
|
|
Prob
(F-Statistic)
|
0
|
|
|
|
�Notes:
�Dependent Variable:������� Investor
Reaction (IR)
�Independent Variables:����� Environmental Performance (EP)���������������������������������������
Dividend policy (DP)�����������������
Firm Size (FS)
Debt Equity
Ratio (DER)
Financial Performance (FP)
Price to Book
Value (PBV)
|
Source:
Processed data, 2022
Based on table 3 (AR) partial test results (t test) show
the model or equation of multiple linear regression is as follows:
1) Dividend Policy Impact on Abnormal Returns Discussion����
For
the Dividend Policy variable, it has a positive beta coefficient, which is
0.126 with a significance value of 0.0000 less than 0.05 to the reaction of
investors proxied with Abnormal Return, so that the Dividend Policy has a
positive and significant effect on Abnormal Return.The Dividend Policy Variable
as measured by the Dividend Payout Ratio (DPR) shows that the Dividend Policy
has a positive effect�� on the Abnormal
Return (AR). The results of this study in accordance with research according to
Ayuni
(2016) support
those policies have a significant positive influence on investor reactions.
This is because the number of dividends is a good signal for investors, it
results in investors having positive expectations for the company, so the stock
price will increase. In general, dividend policy has a significant effect on
investor reactions, this result is because the dividend policy information
contained in the company's financial statements is the main thing that
investors pay attention to in making their investment decisions, because not
always the net profit obtained by the company is allocated as dividends, it can
be used to expand its business (Astuti
& Nugrahanti, 2015; Ayuni, 2016;; Maristi, 2013; Naukoko, 2014; Prabandari
& Ketut, 2014).
Meanwhile, research according to Wiyanto (2013) supports that dividend distribution information attracts
investors' responses in investing.� For
investors, the information contained in the Dividend Payout Ratio will be used
as a consideration for making investment decisions, whether investors want to
invest their funds or not on a company in relation to its hopes of obtaining
investment returns (Wiyanto,
2013). In determining the dividend distribution information,
the dividend distribution is small in general because the company uses retained
profits for its company activities, and vice versa if the company choosing to
distribute profits as dividends, then the portion of retained earnings for
internal funding will be small. This will be a benchmark criterion for
investors in making decisions, resulting in investors having positive
expectations for the company, so that the stock price will increase.� The larger the� dividend distributed, it can indicate that
the company's profits� are� large, so that it will increase the stock
price, on the contrary, if the dividend is small, it can indicate that� the company's profits are large, so it will
increase the stock price, on the other hand,�
if the dividend is� small, it will
be investors' expectations of� the� company are deteriorating and impacting labor on the decline in stock� prices (Astuti
& Nugrahanti, 2015; Ayuni, 2016; Maristi, 2013; Wiyanto, 2013).
2) Effect of Financial Performance on Abnormal Returns
Discussion
The Financial Performance (FP)
variable has a positive beta coefficient, which is 2,232 with a significance
value of 0.0324 less than 0.05 to the reaction of investors proxied with
Abnormal Return, so that FP has a positive and significant effect on Abnormal
Return.
The regression results in this
study using a sample of
manufacturing companies for the period 2017-2021 showed that management
ownership had
an insignificant negative effect in moderating the relationship between financial performance
(FP) and company value, in the sense that managerial ownership was not able to moderate the
relationship between financial performance and company value. This research is in line with
research
conducted by Widyaningrum (2017) and Putri et al. (2016), but contrary to research conducted
by Heder and Priyadi (2017) and Hardianti and Asyik (2016). This research shows that with managerial ownership, it will
make FP have an
insignificant negative effect on the value of the company. This is because managerial ownership
can incur costs that will
be borne by principals and agents. These costs will charge the company and
result in reducing profits which makes the FP negative. In addition, it can
be caused by the still dominated ownership of the family in the managerial
ownership of the manufacturing company for the period 2017-2021
3) Effect of Environmental Performance on Abnormal Returns
Discussion
The
Environmental Performance variable has a positive beta coefficient, which is
0.293 with a significance value of 0.0053 less than 0.050 to the
reaction of investors proxied with Abnormal Return, so that Environmental
Performance has a positive and significant effect on Abnormal Return.
Environmental
Performance Variables measured using PROPER ratings held by the Ministry of
Environment show that Environmental Performance has a positive effect�� on Abnormal Returns. This result is in
accordance with Flammer's
(2013)
research that companies that report environmental performance responsibly
experience an increase in stock prices.�
In addition, announcements in developed countries also state that
environmental performance ratings are able to make the market react which is indicated
through changes in stock prices (Murguia
& Lence, 2015). However, it is not in accordance with previous research
according to Wiyanto
(2013) that
the quality of the company's environmental performance does not cause the
appearance of reactions that can cause the appearance of abnormal returns.
Environmental
performance quality has a positive effect on investor reactions. This is
supported by the view that companies that report environmental performance
responsibly experience an increase in stock prices. Good environmental
performance��� has an�� impact on the response from investors to the
company will also be good, investors consider that the information submitted by
the management is in the form of non-information financial and financial
information will be a signal about financial performance in the future (Prabandari
& Ketut, 2014;
Hastuti, 2022).
D. Managerial Implications
Based
on the results of the analysis and discussion above, independent variables of
financial performance (FP) calculated using return on assets (ROA) have a
significant positive effect on the value of the company. These results show
that the company successfully implemented the company's goal of increasing
profits for the benefit of shareholders. One of the investors' assessments in
investing is to look at the profit or profit obtained by the company, the
higher the profit, the more interested the investor will be in investing in the
company. For this reason, the company is expected to continue to manage its
business so that it continues to develop and have good profits in the future,
so that the smooth running of the company's business will be better.
Furthermore,
the independent variable of leverage calculated by the Debt Equity Ratio (DER)
has a significant negative effect on the value of the company. This result
shows that the smaller the DER, the more the value of the company will
increase. Companies are better off not using a lot of debt to manage their
business, because if the use of debt is more dominant for business management
compared to the use of capital, this will cause the company to experience
investment risks that will make investors think twice about investing in the
company.
In
addition, a high DER will affect the high and low profits of the company
because the burden of debt costs must be paid before the profit is distributed
to shareholders. So, it is advisable for companies to manage debt funding so as
not to have investment risks that will later harm the company and shareholders.
Furthermore,
the independent variable of environmental performance (EP) is insignificant to
the value of the company. This result shows that investors already see EP as
one of the determinations in investing that will increase the value of the
company The results of this study are also in line with the theory of
legitimacy which states that the company has a social and environmental
responsibility which will increase the value of the company. So, the company
should pay more attention to social responsibility and the surrounding
environment so that the company has added value that investors will see in investing
which will save the carbon trade and also increase the value of the company.
Financial
Performance variables (FP) have a positive effect on the value of the company.
It is recommended that manufacturing companies that have managerial ownership
be able to lower costs in order to maximize company profits.� Leverage (DER) can be more efficient for
those who manage debt well in the sense that the management does not want to
harm the company and the shareholders by charging the company with debt.
CONCLUSION
Based on the results of research that has been conducted
to determine the effect of Dividend Policy, Financial Performance� and Environmental Performance� on Investor Reaction in 24 companies listed
on the Indonesia Stock Exchange (IDX) and participating in the PROPER program
for 5 years, namely from 2017 to 2021 , then the following conclusions were
obtained: Dividend Policy, Financial Performance, Environmental Performance
included in this research model have a positive effect on Investor Reactions proxied
with Abnormal Returns.
The implications for regulators are that it is expected
that regulators will require companies to be more active in disclosing their
corporate environmental responsibilities effectively and efficiently. In
addition, it is expected to implement regulations that encourage companies to
be able to continue to pay attention to their environmental performance.
The implication for the company is that for companies that
have disclosed their dividend distribution, made disclosures of environmental
responsibilities that have been carried out and have participated in the PROPER
rating program, it is hoped that activities can be further enhanced which will
add to the company's good reputation in the eyes of investors. Meanwhile,
companies that have not conveyed these things can immediately make them,
thereby increasing the confidence of shareholders and investors.
Based on the conclusions and limitations of the authors
that have been described, the authors have several suggestions for further research,
including using variables of different types of companies and using a wider
scope of samples. Such as using samples from all companies listed on the
Indonesia Stock Exchange, not only the manufacturing sector.
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THE EFFECT OF DIVIDEND POLICY, FINANCIAL PERFORMANCE AND ENVIRONMENTAL PERFORMANCE ON INVESTOR REACTIONS
