45 Chapter IV Data Analysis In this chapter, we have separated two mainly topic research discussed are the first about the influence of combination ESG rating score and decompose of E, S, G individual rating score to cost of debt of firm’s financing activity and second about the influence of factor combination of ESG rating score to stock return in public listed company. IV.1 Research Data Sampling. The selection of sampling data for this research has separated with two section first section for the cost of debt and the second model for the stock return. The first section show that firms have ESG availability data going to small data from large in first selection method. Table IV.1 show the process of selection procedure firms in five major ASEAN country Selection Process Cost Of Debt Stock Return Total Number of Firms Average Years Total Number of Firms Cumm. Years Total Number of Firms Average Years Total Number of Firms Cumm. Years Criteria 1: Firms listed in ASEAN Exchanges Primary equities listed on Bursa Malaysia, Indonesia Stock Exchange, The Philippine Stock Exchange, Singapore Exchange, and The Stock Exchange of Thailand 3046 15236 755 2249 Criteria 2: Non-financial firms Exclude: Financial firms (512) (2,568) (-) (-) Criteria 3: Firms with ESG and financial data availability Exclude: Firms with missing ESG and financial data (2279) (11,539) (451) (1,532) Final sample on ASEAN Firms 255 1,125 304 717 Table IV.1 show the process of selection procedure firms in five major ASEAN country 46 The final sampling data consisting of 1127 firms for fifth years observation relating average 255 firms, covering from 2017 to 2021 periods. The second for the stock return from 2017 to 2019, for third years observation relating average the final sampling has consisted average 304 firms with total 717 data observation. The firm’s data of selection for this research only smaller observation because in ASEAN Country was late from development ESG practice rather than major develop regional country such as Central ASEAN, Europe or US Country. But there is a progress to concern firms of ASEAN country to be engage with ESG practice. This is consistent with enterprise technology investment priorities, as 73% anticipate an increase in expenditure on digital technologies in 2021 (ADB,2019). Throughout various discussions on digital priorities over the past year, ASEAN enterprises have consistently emphasized that digitalisation enables transparent business practices and social responsibility in addition to increasing core business outcomes such as cost-efficiency and profit maximisation (ADB,2019). IV.2 Research Data Mapping. The research data mapping will be separated with two factor common size comparison which is first is by country in Table IV.2 and second by industry. Our research conducted in the time series data therefore we mapping by the yearly. Categorize Cost of Debt Stock Return Country Indonesia 234 131 Malaysia 216 180 Philippine 108 74 Singapore 250 168 Thailand 317 164 Total 1125 717 Table IV.2 show the total number observation with cost of debt and stock return 47 From table IV.3 show that the ESG practice the lastly data observation has been increased both of Cost of Debt and Stock Return 28.44% and 42.54% respectively. The increasing of number observation which ESG practices and reports with overtime is aligns based on the expectation of debtor and investor that ESG practices are growing in ASEAN nations. Table IV.4 show ESG practices more transparency have applied in consumer staples sectors about 18.28% followed second and third sectors are Industrial and Real Years Cost of Debt Stock Return 2021 320 (-) 2020 254 (-) 2019 246 305 2018 156 215 2017 149 197 Total 1125 717 Sectors Cost of Debt Stock Return Banking and Financial (-) 109 Consumer Staples 206 125 Industrials 196 90 Real Estate 129 72 Consumer Discretionary 111 62 Energy 98 58 Utilities 98 52 Communication Services 93 40 Materials 76 42 Health Care 66 37 Technology 54 30 Table IV.3 show the total number observation with cost of debt and stock return Table IV.4 show the data distribution categorize by the Industry Sectors. 48 Estate about 17.39% and 11.45% in cost of debt section. Other side for stock returns the sector more concern in ESG practice in still same in consumer staples about 17.43% followed second and third sectors are Financial and Industrial about 15.20% and 12.55%. The consumer staples implementation ESG practice because their product has interacting with human usage daily life incoherent communities impact area focuses on the social aspect of ESG, enhancing livelihoods and diversity (Wang, et al., 2023). IV.3 Descriptive Statistics. We running of description statistics with separate two model of dependent variable. For cost of debt to examine of ESG rating score and decomposition the single pillar ESG that are Environment, Social and Government. Stock return to examine of overall ESG rating score. Table IV.5 show the descriptive statistics regarding the all of variable with examine in this research. All of COD, ESG, Env, Soc, Gov, DER, ICR, RoA, CashCov, CR, Prob, and CRisk are minorized at the 1% and 99% percentiles to deal with strong outliers. The mean value of dependent variables CoD is 0.0461. Compared with mean value of dependent variable result of prior studies in develop countries particularly in European Country (Gigante, et al. 2022), is still higher of the cost of debt of firms in ASEAN-5 countries because the sovereign of country risk is still higher other than the develop country (Damodaran, 2022). Variable Observations Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Probability COD 1125 0.0461 0.0365 0.8118 0.0002 0.0438 8.0301 112.1593 0.000 ESG 1125 0.5023 0.508 0.9201 0.0266 0.1878 -0.0731 2.2656 0.000 ENV 1125 0.4336 0.4375 0.9751 0 0.2495 0.0557 2.0066 0.000 SOC 1125 0.546 0.5415 0.9742 0.007 0.2116 -0.1446 2.3273 0.000 GOV 1125 0.5058 0.5127 0.9774 0.0138 0.2236 -0.0223 2.0623 0.000 Struc 1125 0.2965 0.2955 1.682 0.0002 0.1871 0.803 6.4415 0.000 DER 1125 0.9383 0.5859 49.0583 -0.5365 1.9274 15.6152 358.4514 0.000 ICR 1125 1.1453 0.0589 368.8406 -1.0577 12.0424 26.486 784.3535 0.000 ROA 1125 0.0839 0.0628 1.0851 -0.6675 0.1264 1.3262 16.9141 0.000 CASHCOV 1125 56.1119 2.934 9426.067 -2985 404.2264 13.2054 278.4052 0.000 CR 1125 1.8817 1.45 19.23 -1.34 1.5639 3.5791 26.8738 0.000 PROB 1125 0.0958 0.1365 0.8132 -26.3013 1.0004 -20.0785 475.1942 0.000 CRISK 1125 0.0221 0.0276 0.0379 0 0.0127 -0.866 2.3137 0.000 Table IV.5 Cost of debt Descriptive Statistics 49 The mean of ESG, Env, Soc, Gov aspects overall is upper 0.5 except Env aspect only 0.4336. This is a concern for firms in ASEAN to carry out more environmentally sound business practices but overall ESG practice has good because the mean value of ESG rating score is 0.5023. The mean of structure debt of firms in ASEAN-5 Country is 0.2965 is still aggressive compare the previous study e.g., in Indian firms the mean is 0.2 (Aurora, 2022). From previous literature show develop countries is 0.252 (Eliwa, et al. 2019). The result concludes that the creditor more concern in mitigating risk because the development countries will higher in risk exposure rather than develop countries. The mean and median of DER of ASEAN-5 firms are 0.938 and 0.589. This realized the firms of ASEAN-5 countries is more aggressive to taking debt because the DER is closed to 1. The mean of ICR 1.145 is ability to pay interest expense with net income, its ratio bigger than 1 its overall which can be the firms can pay the interest expense with their profit. The mean of RoA, CashCov, Prob bigger than develop countries (Bhuiyan and Nguyen, 2019; Fonseka et al., 2019; Ge and Liu, 2015). It is logical reasoning for firms in the ASEAN-5 country and also investors which had high risk than develop country and generate high return. The mean of CR is 1.882 which means the overall liquidation of firms in ASEAN-5 countries have adequate to fulfil short- term obligation. Moreover, the CRisk is 0.022 and the median is 0.028 indicates the ASEAN-5 countries have an overall low country risk and default which mean less to be default. For table IV.6 stock return we observation variable of mean cumulative raw return and abnormal return tend to be negative return are -0.054 and -0.036 from 2017 to 2019. This reason had influence by macroeconomic factor such as rising the interest rate of the FED therefore the foreign of capital flow find the more interesting return with low risk to develop countries particularly to US country (ASEAN Financial Table IV.6 Stock return Descriptive Statistics Variable Observations Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Probability RAW_R 717 -0.05449-0.059912.366404-9.550780.616631-8.77875139.93160.000 ABNORMAL_R 717 -0.03564-0.046532.342007-8.887060.546558-7.60299125.82250.000 ESG 717 0.4076360.446630.891847 0 0.247015-0.334182.0415190.000 PROB 717 0.1461090.1663420.920832-26.30131.227704-17.4249338.35490.000 ROE 717 0.1474930.10742.84531-2.67170.2660422.73705153.105650.000 50 Report, 2019). For ESG rating score show the mean is 0.407 is below the 0.5 explain the ASEAN-5 countries which is leader in this area still development the implementation of ESG practices in the firms.