By
Arini Dwi Putri 13109064
BACHELOR’S DEGREE in
BUSINESS ADMINISTRATION
FACULTY OF BUSINESS ADMINISTRATION AND HUMANITIES
SWISS GERMAN UNIVERSITY EduTown BSD City
Tangerang 15339 Indonesia
August, 2016
Revision after the Thesis Defense on July 22
nd, 2016
Arini Dwi Putri
STATEMENT BY THE AUTHOR
I hereby declare that this submission is my own work and to the best of my knowledge, it contains no material previously published or written by another person, nor material which to a substantial extent has been accepted for the award of any other degree or diploma at any educational institution, except where due acknowledgement is made in the thesis.
Arini Dwi Putri
____________________________________________
Student Date
Approved by:
Margaretha Lingga SE,MM
____________________________________________
Thesis Advisor Date
Eric Jos Nasution MBA, MA, PhD
____________________________________________
Dean Date
Arini Dwi Putri
THE IMPACT OF ENVIRONMENTAL CSR DISCLOSURE ON FIRM
CHARACTERISTICS AND INVESTOR REACTION IN INDONESIA
By
Arini Dwi Putri
Margaretha Lingga, SE, MM, Advisor
SWISS GERMAN UNIVERSITY
This research aims to analyze the impact of corporate social responsibility disclosure (CSRD) on firm characteristics and investor reaction which examines return on asset (ROA), debt to asset ratio (DAR), total asset (TA), abnormal return (AR) and trading volume activity (TVA) as indicators of five companies that are awarded gold or green ranking in PROPER (Program Penilaian Peringkat Kerja Perusahaan) and listed in Indonesian Stock Exchange (IDX). An environmental disclosure index which consists of 12 items used to analyze this research that is based on Global Reporting Initiative (GRI)’s guidelines. The relationship between CSRD and firm characteristics as well as investor reaction was examined using ordinal least square (OLS) regression analysis.
It is showed that CSRD has a significant impact on investor reaction and ROA but does not have significant impact with DAR and TA. Thus, it cannot be generalized that CSRD has a significant impact on firm characteristics.
Keywords: Corporate Social Responsibility, Disclosure index, PROPER,
Firm Characteristics, Investor reaction
Arini Dwi Putri
© Copyright 2016 By Arini Dwi Putri
All rights reserved
Arini Dwi Putri
DEDICATION
To my dearest Parents, I dedicate this writing for you.
Forgive me to take this so long,
I am not as smart as others but I endeavor to complete this I dare not think how distress and tardy I am
But to see your happiness Always makes me up.
I love you Ma, Pa
Arini Dwi Putri
ACKNOWLEDGEMENTS
I would like to express my best gratitude to Allah SWT for giving me strength to complete this writing. As I believe in Al-Baqara: 255 that “Allah, there is no deity except Him, the Ever Living, the Sustainer of (all) existence. Neither drowsiness overtakes Him nor sleep. To Him belongs whatever is in the heavens and whatever is on the earth. Who is that can intercede with Him except by His permission? ‘He knows what is (presently) before them and what will be after them, and they encompass not a thing of His knowledge except for what He wills. His Throne extends over the heavens and the earth, and their preservation tires him not. And He is the Most High, the Most Great“.
I also would like to express my sincere gratitude to my Advisor Mrs. Margaretha Lingga SE, MM for her patience and immense knowledge during this work. Without her guidance this thesis writing would be impossible made.
A solemnity thanks goes to Swiss German University for all the best lectures that I have ever met and had learned in class with all great facilities which taking us into a great study atmosphere between lectures and students, and for all finest staff who always rendered good supports for us as student. Every moment in SGU was incredible.
Special thanks to all of my classmates BA- Finance Batch 2009 for all the bad and good times that we have been through. And also my friends Rian, Wulan, Rahmi, Nita and Agus who always cheer me up and stay when I was on the lowest point.
Last but not least, thank you very much for all of my family, I am so grateful to have
all of you in my life. Thank you for loving me unconditionally with all of my flaws.
Arini Dwi Putri
TABLE OF CONTENTS
Page
STATEMENT BY THE AUTHOR ... 2
ABSTRACT ... 3
DEDICATION ... 5
ACKNOWLEDGEMENTS ... 6
CHAPTER 1 - INTRODUCTION ... 13
1.1 Background ... 13
1.2 Research Problems ... 15
1.3 Research Objectives ... 16
1.4 Research Questions ... 16
1.5 Significance of Study ... 17
1.6 Scope and Limitation ... 17
1.7 Method of Research ... 18
CHAPTER 2 - LITERATURE REVIEW ... 19
2.1 Framework of Thinking ... 19
2.2 PROPER ... 21
2.3 Corporate Social Responsibility Disclosure... 23
2.4 Firm Characteristics ... 25
2.4.1 Return on Asset (ROA) ... 26
2.4.2 Firm Size ... 26
2.4.3 Debt to Assets Ratio ... 27
2.5 Macroeconomics ... 27
2.5.1 Gross Domestic Product (GDP) ... 29
2.5.2 Interest Rates (IR) ... 31
2.5.3 Employment Rate (ER) ... 32
2.6 Investor Reaction ... 33
2.6.1 Abnormal Return ... 33
Arini Dwi Putri
2.6.2 Trading Volume Activity ... 35
2.7 Previous Studies ... 36
2.8 Research Model... 40
2.9 Research Hypotheses ... 41
CHAPTER 3 - RESEARCH METHOD ... 44
3.1 Research Design ... 44
3.1.1 Research Process ... 44
3.1.2 Type of Study ... 45
3.1.3 Type of Investigation ... 52
3.1.4 Time horizon ... 52
3.2 Data Source and Collection Methods ... 52
3.2.1 Type of Data... 52
3.2.2 Type of Collection ... 53
3.3 Sample and Population ... 54
3.3.1 Population ... 54
3.3.2 Non-Probability Sampling ... 55
3.4 Data Analysis ... 55
3.4.1 Normality Test ... 56
3.4.2 Autocorrelation Test ... 57
3.4.3 Heteroscedasticity ... 58
3.4.4 Multicollinearity ... 59
CHAPTER 4 – RESULT AND DISCUSSION ... 60
4.1 Company Profile ... 60
4.1.1 PT. Indocement Tunggal Perkasa, tbk (INTP) ... 60
4.1.2 PT. Bukit Asam, tbk (PTBA) ... 61
4.1.3 PT. Sinar Mas Agro Resources and Technology or SMART, tbk (SMAR) .... 61
4.1.4 PT. Holcim Indonesia, tbk (SMCB) ... 62
4.1.5 PT. Unilever, tbk ... 63
4.2 Company Characteristics ... 63
4.2.1 Corporate Social Responsibility Disclosure Index (CSRDI) ... 63
4.2.2 Return on Asset (ROA) ... 66
4.2.3 Debt to Asset Ratio (DAR) ... 68
Arini Dwi Putri
4.3 Investor Reaction ... 72
4.3.1 Trading Volume Activity (TVA) ... 72
4.3.2 Abnormal Return (AR) ... 74
4.4 Descriptive statistics ... 76
4.4.1 Descriptive Analysis ... 78
4.5 Regression Result Analyzes ... 82
4.5.1 Return on Asset (ROA) ... 82
4.5.2 Debt to Asset Ratio (DAR) ... 86
4.5.3 Total Asset (TA) ... 90
4.5.4 Trading Volume Activity (TVA) ... 94
4.5.5 Abnormal Return (AR) ... 98
CHAPTER 5 – CONCLUSION ... 106
5.1 Conclusion ... 106
5.3 Recommendation ... 107
GLOSSARY ... 108
REFERENCES ... 110
APPENDICES ... 119
CURICULUM VITAE ... 140
