THE LINKING OF THE FAMA FRENCH FIVE FACTOR AND ENVIRONMENTAL PERFORMANCE ON MARKET VALUE
DOI:
https://doi.org/10.2478/eoik-2024-0020Abstract
The pharmaceutical industries are crucial for the nation’s health and
economy; therefore, their performance must be maintained. When
they obtain the more successful performance indicators that can sway
investors to raise their confidence as well as market value. This study
aims to examine the effect of the Fama-French five factors and envi-
ronmental performance on share returns. This was conducted on phar-
maceutical industries listed on the Indonesia Stock Exchange, and all
data was obtained from annual-quarterly reports in the period 2017–
2023. A total of 196 panel data observations have been conducted, and
the analysis technique has employed quantitative approaches, notably
autoregressive distributed lag analysis, of time series data. The results
showed that market risk premium (MRP), firm size (SMB), profit-
ability (RMW), and environment performance (EP) have a significant
impact on share returns (SR), while firm size (SMB) and book value
to equity (CMA) have not been significant statistically. The study is
important for a variety of stakeholders, including managers, investors,
and policymakers, who are interested in resolving the financial and
environmental performance of pharmaceutical companies and pre-
serving market prices by establishing mitigation strategies related to
the specific factors. However, this study has limited relevance to the
presence of F-F five factors and environmental performance that can-
not maximally encourage the disclosure of market value.
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