CORPORATE FUNDAMENTALS AND FIRM VALUE AMONG INDONESIA’S SRI-KEHATI CONSTITUENTS: EVIDENCE FROM MULTIPLE PANEL ESTIMATORS

Abstrak

Indonesia’s sustainability-screened equity market provides a distinct setting for examining whether conventional corporate fundamentals remain associated with firm value. This study examines the relationships of dividend policy, profitability, financial leverage, firm size, and firm age with firm value using a balanced panel of 23 firms and 230 firm-year observations from 2014–2023. The Random Effects Model serves as the baseline static estimator, complemented by System GMM to account for firm-value persistence and dynamic endogeneity, Robust Least Squares MM-estimation to assess sensitivity to influential observations, and Two-Stage Least Squares as an alternative instrumental-variable specification. Dividend policy and profitability are consistently positively associated with firm value across all estimators, whereas firm size shows a stable negative association and firm age remains insignificant. Financial leverage is specification-sensitive, with an insignificant association under REM and 2SLS, a negative association under System GMM, and a positive association under RLS-MM. The study contributes by distinguishing stable relationships from estimator-sensitive evidence through the integrated estimators within the SRI-KEHATI setting. The findings provide evidence relevant to the signaling, agency, and internal-financing mechanisms underlying corporate valuation.

Kata kunci

• Corporate Fundamentals
• Dividend Policy
• Financial Leverage
• Firm Value
• SRI-KEHATI Index