Does Corporate Social Responsibility Determine the Stock Return of Indonesian Listed Firms?

As CSR becomes a company’s obligation in Indonesia, question arises whether or not CSR will impact the return of listed companies. This research focus on testing CSR as a risk factor to help explain the stock return of listed companies in Indonesia by using KOMPAS100 companies. The methodology used in this research is Multi Linear Regression by regressing excess return (Ri-Rf) with 3 portfolio returns which are CSR Expense portfolio, Sri-Kehati Portfolio Return, and CSA Portfolio return. CSR Expense portfolio is formed by grouping the top 10% highest and 10% lowest CSR expense from the KOMPAS 100, the return of the portfolio is calculated by extracting HighCSR return from LowCSR as the researcher expects from previous studies that High CSR leads to lower return. The result of the regression indicates that CSR expense cannot explain the stock return significantly. However, the result is significant when using sustainability portfolio such as Sri-Kehati and CSA. This leads to conclusion that CSR is a significant risk factor that can be used to explain stock return, but in valuing the CSR of a company, CSR expense cannot be used as a single measurement, it has to include other aspect aside from expense alone.