The Influence of Corporate Social Responsibility and Company Financial Performance on Stock Returns Empirical Studies in Manufacturing Companies

— This study aims to determine the influence of corporate social responsibility and company financial performance on stock returns in manufacturing companies listed on the Indonesia Stock Exchange in 2016 – 2020. The research strategy used in this research is quantitative method. Data obtained from data collection and data analysis with financial reports and annual reports, and GRI-based CSR sustainable reports. The population in this study were all manufacturing companies listed on the Indonesia Stock Exchange in 2016 – 2020. The sampling in this study was purposive sampling, with a total sample of 67 manufacturing companies. Primary data were processed using MS Office 365 and E-Views 10. Statistical analysis of the data in this study were descriptive statistical analysis, and panel data regression model analysis. The results of this study indicate that corporate social responsibility, profitability, leverage and liquidity have no influence on stock returns, and profitability cannot moderate the influence of corporate social responsibility on stock returns


INTRODUCTION
In today's modern times all businesses have to do more than just seek strong profit margins to succeed, but social responsibility is part of the continuity of businesses and companies in today's economy.The development of science and technology which is marked by an increasingly advanced industry has an impact on the increasing complexity of operational activities and corporate social responsibility.Companies must take a stand on important social issues to build a brand that is trusted and liked by consumers.Therefore, company management should have a deep understanding of corporate social responsibility (CSR) so that companies can develop a sustainable business.[1] in his research results states that CSR consistently contains 5 dimensions, namely environmental dimensions, social dimensions, economic dimensions, stakeholder dimensions, and voluntary dimensions.According to [1] the environmental dimension refers to the environment and contains words such as "cleaner environment", "environmental management", "environmental stewardship", and "concern for the environment in managing business operations".The social dimension is the relationship between business and society and is reflected through phrases such as "contributing to a better society", "integrating social interests in business operations", and "paying attention to the impact on society".The economic dimension explains the socio-economic or financial aspects of business which are explained by words such as "contributing to economic development", "maintaining profits", and "business operations".
Corporate social responsibility can have a positive impact on the company, where by carrying out CSR activities the company can increase public trust in the company's products so that the company's reputation also increases in the eyes of the public.So people will want to buy the company's products.The more the company's products sell well in the market, the more profit the company can generate.This will significantly affect the company's stock return.Besides the importance of corporate social responsibility, company management also has the responsibility to manage investors' funds so as to provide benefits for them and seek sources of funds from other investors to develop the business.The company makes an annual accountability report as a reflection of the company's performance in related years.The annual financial report also serves as a tool to attract investors to invest in the company.
The results of this study are expected to add to the repertoire of knowledge of management science, especially in the field of financial management, as well as the role of CSR in companies regarding social responsibility.annual report.

Relationship between CSR and Stock Returns
Companies that do not carry out CSR will tend to receive protests and/or demonstrations from the public which can result in the cessation of operational activities of a company which can cause losses, on the other hand, companies that carry out CSR well can avoid public protests so that the company can continue to operate effectively so that it can achieve profit goals.The increase in company profits is clearly directly proportional to the increase in the company's profitability ratios which consist of return on assets (ROA) and return on equity (ROE) [2].
CSR can be carried out in various ways as a strategy to minimize risk and increase profitability.Implementing CSR provides many benefits, including reducing company operational costs, increasing sales volume and market share, attracting potential investors through the positive image it creates and so on.Company reputation is an important concern for potential investors.This reputation can be assessed from the company's profitability, so reputation needs to be maintained to support the company's survival.By carrying out CSR activities, it is hoped that the company will be able to achieve the main goal of seeking profits without ignoring the interests of stakeholders and environmental sustainability as a form of responsibility for the impacts that have been caused by the company's operational activities [3].A company's ability to compete is very dependent on the location where the company operates.Therefore, the CSR pyramid model must be understood as a single unit.Because, CSR is a company concern that is based on three basic principles known as triple bottom lines, namely profit, people and planet (3P).Profit, companies must still be oriented towards seeking economic benefits that enable them to continue operating and developing.People, companies must have concern for human welfare.Several companies are developing CSR programs such as providing scholarships for students around the company, establishing educational and health facilities, strengthening local economic capacity, and there are even companies that are designing various social protection schemes for local residents.Planet, a company that cares about the environment and the sustainability of biodiversity.Some CSR programs that are based on this principle usually take the form of greening the environment, providing clean water facilities, improving settlements, developing tourism (ecotourism).A bad company image that is often displayed in the mass media clearly does not support the smooth operation of the company and is counterproductive to efforts to increase productivity and profits.It is now increasingly recognized that companies, as business actors, will not be able to continue to develop if they close their eyes or do not want to know the situation and conditions of the social environment in which they live.In this regard, implementing CSR is seen as a necessity.CSR is not only a responsibility, but also an obligation.CSR is a business role and must be part of business policy.So, business not only deals with profit issues, but also as a learning institution.
This research replicates research conducted by [4], who also analyzed the influence that Corporate Social Responsibility disclosures have on company stock returns.
The difference between previous research and the research to be conducted is the use of an observation period, where the research to be conducted uses 5 (five) years of observation, namely 2016-2020.The addition of the population and sample is intended so that the research results can provide more accurate information regarding the influence of corporate social responsibility disclosure on company stock returns, where if the research period is relatively short it will only cause the influence of CSR to be invisible because CSR disclosure is aimed at the long term.
The research sample used in this research is a manufacturing company.
The manufacturing companies used in this research are based on the consideration that manufacturing companies on the Indonesian Stock Exchange have the largest number compared to other types of companies.Apart from that, manufacturing companies are considered to be directly related to social problems related to company operations, such as environmental problems, the products produced and employees.[5] in his research stated that financial ratios are numbers obtained from the results of comparisons between one financial report item and another post that has a relevant and significant relationship.Comparisons can be made between one financial report item and another post or between items within the financial report.
According to IAI (2012: 10), the purpose of financial reports is to provide information about the financial position, financial performance and cash flow of an entity, which is useful for most users of financial reports in making economic decisions.Companies as economic entities, whatever the form of industry, aim to generate optimal profits in order to increase the wealth of share owners and also the company's financial performance, but that alone is not enough.
Financial performance is a factor that provides freedom and flexibility to management to carry out and disclose corporate social responsibility (CSR) programs to shareholders more broadly.The company's financial performance is also indicated as a factor that influences the extent of disclosure made by the company.The relationship between company stock returns and corporate social responsibility (CSR) disclosure has become a basic basis for reflecting the view that social reactions require a significant managerial style.Therefore, the higher the level of corporate financial performance produced by the company, the greater the disclosure of social responsibility information will tend to be [6].

Research Hypothesis
Investment activity is an action taken based on the ability of investors/potential investors in making decisions to invest the capital they have.The capital invested by an investor certainly has the hope of getting a return that is greater than the capital invested.Therefore, before making a decision to invest capital in a company, investors/potential investors are expected to be able to analyze or predict how much return they will receive in the future.This information can be obtained through various media.
One of the most appropriate media to use to analyze how much return you will receive is CSR, the company's financial performance.In this research, we will further analyze the relationship between CSR and profitability, leverage, liquidity and activity on stock returns with profitability as a moderating variable between CSR and stock returns.

METHOD
This research method uses a quantitative approach.According to [7], the quantitative research method can be interpreted as a research method based on the philosophy of positivism, used to research populations and samples are generally carried out randomly, data collection uses research instruments, data analysis is quantitative/statistical with the aim of testing the hypothesis has been established.This study uses secondary data obtained from annual reports of manufacturing companies for the period 2016 -2020 which are listed on the Indonesia Stock Exchange, and Corporate Social Responsibility (CSR) based on GRI.
Data is collected by conducting a literature study, namely by recording data listed on the IDX and data obtained through the global reporting website.With these data, it can be used to calculate corporate social responsibility (CSR), ROA (return on assets), DER (debt to equity ratio), CR (current ratio), and TATO (total asset turnover).
The method of data analysis used in this research is to use statistical analysis of data with MS Office 365 and with the E-Views 10 program. .This researcher uses a quantitative method, which is a form of research based on data collected during systematic research on the facts and characteristics of the object under study, then several steps of statistical testing are carried out and interpreted based on theories and literature related to company value and the condition of the company's financial health.This research uses financial reports sourced from the Indonesian Stock Exchange (IDX) for companies that have been audited and published their financial reports both on the Indonesia Stock Exchange and company websites during the 2016-2020 period.Based on the criteria for determining the sample, a total sample of 67 companies was obtained which had data according to the specified criteria.Data processing was carried out using Ms Office 365, and with the Views 10 econometric program (E-Views 10).The sample criteria are as follows: 1. Companies listed in the manufacturing sector on the IDX.
2. Companies that are listed on the stock board, namely companies that are listed and have published financial statements for 5 consecutive years.Source: E-Views data processing results (2022) The table shows the results of testing the Descriptive Statistics test data where the explanation of each is as follows: Based on the table, it shows that the value of stock returns within 5 years of research shows that the dependent variable (y) has an average value of 0.097093, a maximum value of 3.769231, a minimum value of -0.742560, and a standard deviation of 0.469450.Because the standard deviation is greater than the average value, this indicates that the dependent variable is heterogeneous.
The data shows that the value of corporate social responsibility (CSR) within 5 years of research shows that the independent variable (x) has an average value of 0.583582, a maximum value of 0.900000, a minimum value of 0.200000, and a standard deviation of 0.161946.Because the standard deviation is smaller than the average value, this indicates that the dependent variable is homogeneous.
The data shows that the value of the Current ratio (CR) within 5 years of the study shows that the independent variable (x) has an average value of 2.499965, a maximum value of 10.65293, a minimum value of 0.084551, and a standard deviation of 1.871180.Because the standard deviation is smaller than the average value, this indicates that the dependent variable is homogeneous.
The data shows that the value of Debt to equity ratio (DER) within 5 years of the study indicated that the independent variable (x) has an average value of 1.114319, a maximum value of 17.30426, a minimum value of -2.214501, and a standard deviation of 1.646135.Because the standard deviation is greater than the average value, this indicates that the dependent variable is heterogeneous.
The data shows that the value of total asset turnover (TATO) within 5 years of research shows that the independent variable (x) has an average value of 1.000403, a maximum value of 8.429380, a minimum value of 0.019748, and a standard deviation of 0.791817.Because the standard deviation is smaller than the average value, this indicates that the dependent variable is homogeneous.
The data shows that the value of Return on assets (ROA) within 5 years of the study indicated that the moderating variable (z) has an average value of 0.054732, a maximum value of 0.607066, a minimum value of -0.391842, and a standard deviation of 0.094626.Because the standard deviation is greater than the average value, this indicates that the dependent variable is heterogeneous.Source: E-Views data processing results (2022) The table shows the results of testing the multicollinearity test data with an explanation of each variable, namely the corporate social responsibility (CSR) variable has a VIF value of 1.015729, the current ratio variable (CR) has a VIF value of 1.221298, the debt to equity ratio (DER) variable ) has a VIF value of 1.251775, the total asset turnover (TATO) variable has a VIF value of 1.075166, and the return on asset (ROA) variable has a VIF value of 1.231376.The test results show that the data does not have multicollinearity symptoms because the VIF value is less than 10.The table shows the results of cross section dependence data testing with a probability value of 0.0000 so that it can be concluded that there is a cross correlation.Corporate social responsibility (CSR) has no effect on manufacturing company stock returns in the 2016 -2020 period, producing a probability value of 0.6214 > 0.05, so these results state that CSR has no significant effect on stock returns.The higher the company's activity in carrying out corporate social responsibility (CSR), it is not the main determinant for investors to get high stock returns.
ROA profitability as a moderating variable on the influence of corporate social responsibility (CSR) on manufacturing company stock returns in the 2016 -2020 period produces a probability value of 0.2594 > 0.05, so these results state that ROA has no effect and cannot moderate the influence of stock CSR on stock returns.
The effect of profitability as proxied by ROA on stock returns of manufacturing companies in the 2016 -2020 period produces a probability value of 0.5829 > 0.05, so these results state that ROA has no effect on stock returns.The higher the company's performance in profitability (ROA) is not the main determinant for investors to get high stock returns.
The effect of solvency/leverage proxied by DER on manufacturing company stock returns in the 2016 -2020 period produces a probability value of 0.3253 > 0.05, so these results state that DER has no effect on stock returns.The high or low performance of a company in solvency/leverage (DER) is not the main determinant for investors to get high stock returns.
The effect of liquidity proxied by CR on manufacturing company stock returns in the 2016 -2020 period produces a probability value of 0.7295 > 0.05, so these results state that CR has no effect on stock returns.The higher the company's performance in liquidity (CR) is not the main determinant for investors to get high stock returns.
The influence of activities proxied by TATO on stock returns of manufacturing companies in the 2016 -2020 period produces a probability value of 0.5055 > 0.05, so these results state that TATO has no effect on stock returns.The higher the company's performance in activities (TATO) is not the main determinant for investors to get high stock returns.

Conclusion
Based on the results of research that has been conducted to analyze the effect of corporate social responsibility and company financial performance on stock returns of empirical studies in manufacturing companies listed on the Indonesian stock exchange for the 2016 -2020 period it can be concluded as follows: Corporate social responsibility (CSR) has no effect on stock returns.Company activities in carrying out corporate social responsibility (CSR) are not the main determinant of investors getting high

H1:
Corporate Social Responsibility has a positive effect on stock returns.H2: Profitability can moderate the relationship between corporate social responsibility with stock returns.H3: Profitability has a positive effect on stock returns.H4: Solvency/Leverage has a positive effect on stock returns.H5: Liquidity has a positive effect on stock returns.H6: Activity has a positive effect on stock returns.

Table 3 .
Uji Cross Section Dependence

Table 4 .
Panel Period Heteroskedasticity LR Test