Does Sustainability Report Moderate the Effect of Financial Performance on Investor Reaction? Evidence of Indonesian Listed Firms

The aim of this research is to test the effect of financial performance to investor reaction with a sustainability report as a moderating variable. The financial performance was measured by five categories. Sustainability report was measured by a sustainability report disclosure index and investor reaction was measured by cumulative abnormal return. The population of this research is all firms listed in the Indonesian Stock Exchange. The research samples are firms which disclose Global Reporting Initiative G4 in a row from 2013-2016 by using purposive sampling. The data analysis method used in this research is the PLS method using WarpPLS 4.0 application. The test result showed that DER and EPS have no effect on the investor reaction. However, ROE, CR, and TAT have a positive effect on the investor reaction. Meanwhile, sustainability report moderate ROE, CR, and DER to investor reaction, but not moderate the effect of TAT and EPS to investor reaction.