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THE ROLE OF SUSTAINABILITY REPORTS IN THE DISCLOSURE OF RISK

MANAGEMENT, CAPITAL ADEQUACY, AND LIQUIDITY RISK TO

COMPANY VALUE IN INDONESIAN BANKING COMPANIES

Sheila

, Herman Ruslim

Tarumanagara University,West Jakarta, Indonesia

1,2

[email protected]

, [email protected]tar.ac.id

ABSTRACT

This study aims to examine the effect of risk management disclosure, capital adequacy, and liquidity

risk on company value with sustainability report disclosure as a moderation variable. This research data

is taken from the financial statements and annual reports of banking companies listed on the Indonesia

Stock Exchange from 2018-2021. Sample selection using purposive sampling method with data of 164,

testing this study using regression analysis panel data with random effect model. The results of this study

show that risk management disclosure has no effect on company value, capital adequacy has a positive

effect on company value, and liquidity risk has no effect on company value. In addition, sustainability

reports are not able to strengthen the influence of independent variables on company value. This research

is expected to be useful for the Financial Services Authority as evaluation material for improving

banking company regulations. In addition, this research is expected to add information for investors to

use financial statements and annual reports in decision making

Keywords: Risk Management Disclosure; Capital Adequacy; Liquidity Risk; Corporate Value;

Sustainability Report

INTRODUCTION

The banking sector is one of the corporate sectors listed on the Indonesia Stock Exchange.

As an intermediary institution, banking plays an important role in the economy and supports a

country's growth process (Hersugondo et al., 2021). In the last 10 years since the global financial

crisis that occurred in 2008, the development of the banking industry has experienced quite good

growth.

Figure 1

Movement of Treasury Yields and the S&P 500 index - Banks

The S&P 500 Bank index suffered its biggest decline since 2020, at 9.2% in April 2022.

This is in contrast to the surge in US Treasury bond yields which are at their highest level since

2018. The increase in net interest income reported by major banks was unable to drive an increase

The Role Of Sustainability Reports In The Disclosure Of Risk Management, Capital Adequacy, And

Liquidity Risk To Company Value In Indonesian Banking Companies

641 Return: Study of Economic And Business Management, Vol 2 (7), Juuly 2023

in share prices. By contrast, Wells Fargo & Co. and Bank of America have seen stock prices drop

by at least 3% since reporting better earnings results (Turner, 2022).

Figure 2 Bank Central Asia Share Price & Net Income Comparison

Stock price movements that are inversely proportional to net profit movements also

occurred in Bank Central Asia's share prices during 2019-2021. In the 2021 financial report, the

company reported a 6% decrease in net profit from the previous period's net profit, but Bank

Central Asia's share price increased by 4%. The same thing happened again in the 1st quarter of

2022, net profit was reported to have decreased by 2% from the previous period, while Bank

Central Asia's share price increased by 9%.

Investor decisions in investing can be viewed as a problem for companies to achieve the

goal of increasing company value (Firmansyah & Ardi, 2020). Problems related to information

reported by the company will affect the value of the company. The company must develop

policies or strategies to disclose information received by the public, either non-financial or

financial, so that the stock price can reflect the state of the company so that it can be used as a

reference by investors when making investment decisions.

The information that can be disclosed by the company can be in the form of non-financial

and financial information. Non-financial information can be seen in the annual report which

contains risk management information and corporate sustainability reports. Risk management

disclosure is one of the reports that must be disclosed transparently by banks because the banking

industry is an industry that has many risks. In addition to strengthening internal banking

conditions and controlling risk, company value can grow with the implementation of good risk

management (Ticoalu et al., 2021). The obligation to report on risk management in the banking

industry in Indonesia is contained in the Financial Services Authority Regulation No.

18/POJK.03/2016 concerning the Application of Risk Management for Commercial Banks.

The sustainability report reflects the economic, environmental and social activities carried

out by the company as a form of the company's response to sustainability problems that are very

dynamic globally (Firmansyah et al., 2022). According to (Bristow, 2021), in 2021 one of

Australia's rail transport operator companies experienced better stock price movements after

releasing a sustainability report. Extensive disclosure of information is expected to increase the

value of the company which can be seen from the increase in the company's stock price.

The company's financial information focuses on the analyzed financial reporting

information. The results of the financial statement analysis will provide information on the capital

adequacy and liquidity risk of the company. Capital is an assessment of the adequacy of a banked

The Role Of Sustainability Reports In The Disclosure Of Risk Management, Capital Adequacy, And

Liquidity Risk To Company Value In Indonesian Banking Companies

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642

company's capital to cover current risks and anticipate future risk exposures, as well as to maintain

banking strength and efficiency. In addition, liquidity risk is a risk that occurs due to the

company's inability to fulfill its maturing obligations. Liquidity risk measures a bank's ability to

repay debts and their returns to customers (Subhan, 2021).

The information provided by the company is intended so that the company can achieve its

goal of increasing company value. Therefore, observation of the value of the company needs to

be done.

According to Nahar & Jahan (2021), risk management disclosure has a positive influence

on company value. The results of this study are in line with research conducted by (Chairani &

Siregar, 2021; Iswajuni et al., 2018). In contrast, the results of research by (Emar & Ayem, 2020; Siregar

& Safitri, 2019; Ticoalu et al., 2021) show that company value is not influenced by risk management

disclosures. So that retesting of risk management disclosures needs to be done because there are

still inconsistencies in previous tests.

In research by Subhan (2021), capital adequacy has a positive effect on company value.

These results are in line with research by (A Kadim et al., 2018; Mayunita, 2017; Ovami, 2017).

Conversely, the results obtained from the research of (Kusumastuti & Alam, 2019; Sitompul &

Nasution, 2019) concluded that capital adequacy does not affect company value. Capital adequacy

proxies use the capital adequacy ratio (CAR).

According to Subhan (2021), liquidity risk has a positive influence on company value.

Research by (A Kadim et al., 2018; Adhim, 2019) states that liquidity risk has no influence and

negatively affects company value. The liquidity risk proxy in this study uses the Loan to Deposit

Ratio (LDR).

Based on research by (Loh et al., 2017), company value is positively influenced by the

disclosure of sustainable reports. The results of this study are supported by (Yilmaz, 2021) and

research by (Swarnapali & Le, 2018). Meanwhile, research by (Amalia et al., 2021) states that the

disclosure of sustainable reports has no effect on company value. The results of this study are

supported by the research of (Marwa et al., 2017). In this study, sustainability report disclosure is

proxied with a ratio, meaning that the more reporting indicators that are met, the higher the value

of sustainability report disclosure.

RESEARCH METHOD

The data used in this study is quantitative data based on secondary data obtained from

financial statements and annual reports of banking companies in 2018-2021 obtained through

www.idx.co.id. In this study, the sampling method used was a non-probability method. The

sampling technique carried out in this study was to use purposive sampling. The period started

from 2018 because in that year the regulation on the Application of Sustainable Finance to

Financial Service Institutions, Issuers and Public Companies was issued through OJK Regulation

No. 51 / POJK.03 / 2017 and in Indonesia GRI Standards were released in 2017 (OJK, 2017).

Here are the sample selection criteria:

Table 1 Sample Selection Criteria

Criterion

Number of

Companies

Financial sector companies with banking subsectors listed on the IDX

as of May 2022

Companies newly listed on IDX after January 1, 2018

(5)

Financial sector companies with banking subsectors listed on the IDX

until December, 31 2017

Period of the year of study

Total amount of data

164

Source: Researcher's Processed Data (2023)

The Role Of Sustainability Reports In The Disclosure Of Risk Management, Capital Adequacy, And

Liquidity Risk To Company Value In Indonesian Banking Companies

643 Return: Study of Economic And Business Management, Vol 2 (7), Juuly 2023

The dependent variable in this study is company value and is measured using Tobin's Q

ratio. Tobin's Q ratio provides a reflection of investor expectations for the company's future so

that it is considered to describe a better measure of company performance (Horvey and Ankamah,

2020). With the following formula:

𝑇𝑜𝑏𝑖𝑛

𝑠

𝑄

𝐾𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑠𝑎𝑠𝑖

𝑃𝑎𝑠𝑎𝑟

𝑃𝑒𝑟𝑢𝑠𝑎ℎ𝑎𝑎𝑛

𝑇𝑜𝑡𝑎𝑙

𝑈𝑡𝑎𝑛𝑔

𝑇𝑜𝑡𝑎𝑙

𝐴𝑠𝑒𝑡

Assessment of independent variables of risk management disclosure using IFRS 7 and

BASEL II indices (Nahar & Jahan, 2021) with the following formula:

𝑅𝐷𝐼

Σ𝑅

𝑛

Where:

𝑅𝐷𝐼

= Value of enterprise risk management disclosure i in year t

Σ𝑅

= Disclosure of enterprise risk management i in year t

𝑛

= Maximum value of risk management disclosures with reference to IFRS 7 and

BASEL II

Capital adequacy as an independent variable in this study uses the Capital Adequacy Ratio

(CAR) proxy as conducted by Subhan (2021) with the following formula:

𝐶𝐴𝑅

𝑀

𝐴𝑇𝑀𝑅

Where:

𝐶𝐴𝑅

= Capital Adequacy Ratio of the company i in year t

= Capital of the company i in year t

ATMR

= Risk-Weighted Assets of the company i in year t

Liquidity risk is assessed by the Loan to Deposit Ratio (LDR) as conducted by Subhan

(2021) with the following formula:

𝐿𝐷𝑅

𝐾

𝐷𝑃𝐾

Where:

𝐿𝐷𝑅

= The credit ratio of the company i in year t

= Credit given to third party company i in year t

DPK

= Third party funds of the company i in year t

Sustainability reports as moderation variables are assessed by the GRI 2018 index with

GRI indices 102-18 to 102-39, GRI 200, GRI 300 and GRI 400 regarding governance, economy,

environment, and social (Firmansyah et al., 2022). The sustainability report disclosure formula is

as follows:

𝑆𝑅

Σ𝑋

𝑛

Where:

'𝑆𝑅

= The value of disclosure of the company's sustainability report i in year t

𝑆𝑅

= Total value of disclosure of the company's sustainability report i in year t

𝑛

= Maximum value of sustainability report disclosure with GRI reference

The proxy of profitability as a control variable in this study is Return on Assets Ratio

(ROA) as used in research by (Firmansyah et al., 2021) with the following formula:

𝑅𝑂𝐴 =

𝑇𝑜𝑡𝑎𝑙'𝑅𝑒𝑣𝑒𝑛𝑢𝑒

𝑇𝑜𝑡𝑎𝑙'𝐴𝑠𝑠𝑒𝑡𝑠

The Leverage control variable in this study is calculated using the Debt to Equity Ratio

proxy which provides an overview of the comparison of debt to equity (Firmansyah et al., 2022).

With the following formula:

𝐷𝐸𝑅 =

𝑇𝑜𝑡𝑎𝑙'𝐷𝑒𝑏𝑡

𝑇𝑜𝑡𝑎𝑙'𝐸𝑞𝑢𝑖𝑡𝑦

The multiple linear regression equation according to (Sugiyono, 2017) is formulated as

follows:

𝑇𝑄 = 𝛼 + 𝛽

𝑅𝐷𝐼

+ 𝛽

𝐶𝐴𝑅

+ 𝛽

𝐿𝐷𝑅

+ 𝛽

𝑆𝑅 ∗ 𝑅𝐷𝐼

+ 𝛽

(

𝑆𝑅 ∗ 𝐶𝐴𝑅

+ 𝛽

)

𝑆𝑅 ∗ 𝐿𝐷𝑅

+ 𝛽

𝑃

+ 𝛽

𝐿

+ 𝑒

The Role Of Sustainability Reports In The Disclosure Of Risk Management, Capital Adequacy, And

Liquidity Risk To Company Value In Indonesian Banking Companies

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644

Information:

𝑇𝑄

= Company Value

𝑅𝐷𝐼

= Risk Management Disclosure

𝐶𝐴𝑅

= Capital Adequacy

𝐿𝐷𝑅

= Liquidity Risk

𝑆𝑅

= Sustainability Report Disclosure

𝑃

= Profitability

𝐿

= Leverage

𝛼

= Constant

𝛽

= Risk Management Disclosure regression coefficient

𝛽

= Capital Adequacy Regression Coefficient

𝛽

= Regression coefficient of liquidity risk

𝛽

= Moderation regression coefficient of Sustainability Report Disclosure on Risk

Management Disclosure

𝛽

(

= Regression coefficient moderation Sustainability Report Disclosure on Capital

Adequacy

𝛽

)

= Moderation regression coefficient of Sustainability Report Disclosure on Liquidity

Risk

𝛽

= Regression coefficient of profitability

𝛽

= Leverage regression coefficient

𝑒

= Error

𝑖

= Company

𝑡

= Time Period

RESULT AND DISCUSSION

The descriptive statistical results of these research variables are shown in Table 2:

Table 2 Descriptive Statistics

Variabel

Min.

Max.

Mean

Med.

Std. Dev.

0,1589

50,4784

1,560

1,005

4,1589

RDI

0,1515

0,8788

0,6388

0,6364

0,1452

CAR

0,0901

17,780

0,3818

0,2288

1,3806

LDR

0,1235

162,2900

3,3219

0,8479

18,4474

0,0811

0,6216

0,1739

0,0811

0,1453

-0,1806

0,0414

0,0012

0,0050

0,0256

0,0974

16,0786

4,3007

4,1294

3,2219

Source: Data processing Eviews 12 (2023)

The company's value has a maximum value of 50.4784, which belongs to PT Bank Jago

Tbk, a minimum value of 0.1589 belongs to PT Bank Panin Dubai Syariah Tbk, and an average

value of 1.560. The risk management disclosure variable has a maximum value of 0.8788

belonging to PT Bank Pan Indonesia Tbk, a minimum value of 0.1515 belonging to PT Bank of

India Indonesia Tbk, and an average value of 0.1515. Capital adequacy has a maximum value of

17,780 owned by PT Bank Pembangunan Daerah Banten Tbk, the minimum value owned by PT

Bank Pembangunan Daerah Jawa Barat and Banten Tbk is 0.0901, with an average value of

0.3818. Liquidity risk has a maximum value of 162.2900, namely PT Bank Woori Saudara

Indonesia 1906 Tbk and a minimum value of 0.1235 belonging to PT Bank Capital Indonesia

Tbk. While the average value is 3.3219. The sustainability report variable has a maximum value

of 0.6216, namely PT Bank BTPN Tbk and a minimum value of 0.0811 belonging to PT Bank

Woori Saudara Indonesia 1906 Tbk, and an average value of 0.1739. Profitability has a maximum

value of 0.0414 belonging to PT Bank Raya Indonesia Tbk and a minimum value of -0.1806

The Role Of Sustainability Reports In The Disclosure Of Risk Management, Capital Adequacy, And

Liquidity Risk To Company Value In Indonesian Banking Companies

645 Return: Study of Economic And Business Management, Vol 2 (7), Juuly 2023

belonging to PT Allo Bank Indonesia Tbk, and an average value of 0.0012. Leverage has a

maximum value of 16.0786, namely PT Bank Tabungan Negara (Persero) Tbk, a minimum value

of PT Bank Panin Dubai Syariah Tbk of 0.0974 and an average value of 4.3007.

Based on panel data regression tests, from the Chow test, Hausman test, and Lagrange

Multiplier test, the test results concluded that the model used was a random effect model. The

summary of the results of the hypothesis test is as follows:

Table 3 Summary of Hypothesis Test Results

Var.

Coeff.

t-Stat.

Prob.

-3,042272

-1,793353

0,0375

RDI

3,568381

1,412790

0,0799

CAR

10,11141

4,982047

0,0000

LDR

0,001661

0,032487

0,4870

RDI*SR

3,206601

0,874993

0,1915

CAR*SR

-18,65669

-4,906743

0,0000

LDR*SR

0,012909

0,028288

0,4888

-27,86745

-2,199538

0,0147

-5,02E-05

-0,000474

0,4998

0,206630

Adj. R

0,165682

F-Stat.

5,046140

Prob.(F-Stat.)

0,000014

Source: Data processing Eviews 12 (2023)

The Effect of Risk Management Disclosure on Company Value

The results of the hypothesis test showed that risk management disclosure had no effect on

company value so that H

was rejected. These results are in line with research by (Emar & Ayem,

2020; Siregar & Safitri, 2019; Ticoalu et al., 2021). By investors, risk management disclosures are

allegedly only considered unilateral claims made by management. The implementation of risk

management in the company is not aligned with the interests of investors so that by investors the

disclosure of risk management is not an indicator of decision making (Ticoalu et al., 2021).

Investors prioritize the company's end result over the disclosure of risks reported by the company

(Deffi et al., 2020). This can also be caused by the strict regulation and supervision of the

Financial Services Authority so that investors consider the company capable of mitigating

existing risks so that the disclosure of risk management carried out by the company is not a

consideration for investors.

The Effect of Capital Adequacy on Company Value

The test results show that capital adequacy has a positive effect on the value of the company

so that H

is accepted. Capital adequacy indicates the company's financial ability to maintain the

possibility of loss risk in its business operations and has a significant impact on bank performance.

By considering the CAR ratio, it is expected that the company can provide funds for business

development and overcome potential loss risks that may arise during the company's operations.

The results of this study are in line with research conducted by ( ), (A Kadim et al., 2018;

Mayunita, 2017; Ovami, 2017).

The Effect of Liquidity Risk on Company Value

The results of the hypothesis test show that liquidity risk has no effect on the value of the

company so that H

is rejected. This result shows that liquidity risk has no impact on company

value because investors assume that with strict regulation and supervision of the Financial

Services Authority, banks have applied the principle of prudence in disbursing funds to maintain

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liquidity. The results of this study are in line with research conducted by (A Kadim et al., 2018;

Adhim, 2019).

The role of sustainability report moderation in the relationship of risk management

disclosure, capital adequacy, and liquidity risk to company value

The test results showed that the variable disclosure of sustainability reports was not able to

moderate the interaction of risk management disclosure, capital adequacy, and liquidity risk to

company value so that H3, H4, and H5 were rejected. This is allegedly because the majority of

investors still do not consider the disclosure of sustainability reports as relevant reports in making

investment decisions. In addition, the disclosure of sustainability reports is still considered only

limited to claims from the company because sustainability reports are not audited by the Financial

Services Authority. Disclosure of sustainability reports that weaken the relationship of capital

adequacy to company value can be caused by the large costs incurred by the company for the

preparation of the process and publication of sustainability reports so that it is considered an

additional cost that reduces company profits.

CONCLUSION

Based on the results of the analysis of the previous discussion, it can be concluded that risk

management disclosure has no effect on company value, capital adequacy has a positive effect on

company value, liquidity risk does not affect company value, disclosure of sustainability reports

is not able to moderate the relationship between risk management disclosure and liquidity risk on

company value, but weakens the relationship between capital adequacy and company value.

Risk management disclosures and sustainability reports are allegedly only considered

unilateral claims made by management, so investors give priority to the company's final results

over disclosures reported by the company. Investors consider that the company has applied the

principle of prudence in the distribution of funds to maintain its liquidity with strict regulation

and supervision of the Financial Services Authority. Capital adequacy illustrates that the company

can provide funds for business development and overcome potential loss risks that may arise

during the company's operations.

This research is limited to 41 banking subsector companies during 2018-2021, risk

management indicators using IFRS 7 and BASEL II, and sustainability report indicators using the

GRI 2018 index which are limited to governance, economy, environment and social. It is

recommended that future studies use longer time spans and the company's population is expanded

to all financial sector companies, in addition to risk management indicators and sustainability

reports can also be expanded using a more comprehensive index.

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