연기금의 투자 배제전략이 기업 주가와 투자성과에 미치는 영향 - GPF-G, ABP, AP의 국내 배제 기업 사례를 중심으로 -
Effects of Negative Screening Strategy by Global Pension Funds on Stock Returns and Investment Performance
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본 연구의 목적은 해외 연기금(GPF-G, ABP, AP)의 공개 투자 배제 발표가 국내 기업주가에 미치는 영향을 분석하는 것이다. 본 연구는 해외 연기금의 공개 자료를 통해 배제 공개일, 기업명, 배제 사유를 수집하고, DataGuide의 재무자료를 활용하여, Event study와 포트폴리오 성과분석 모형(CAPM, Three Factor Model)을 통해 배제전략의 장·단기 영향을측정하였다. 연구 결과 첫째, 연기금의 배제 공개는 무기와 환경 부문에서 주가에 단기 영향을 미치는 것으로 나타났다. 둘째, 배제전략 포트폴리오는 전반적으로 시장 대비 양(+)의 초과성과를 보이지는 않았으나, 기간을 구분(스튜어드십 코드 도입·전후)하여 분석할 경우, SC 도입 이후 배제전략은 시장 대비 우월한 성과를 보였고, 그 결과는 1% 유의수준에서 통계적으로 유의하였다. 종합하면, 본 연구 결과는 투자자가 배제전략을 고려할 때, 여전히 무엇을제외(주제, 범위선정)할지에 대한 이슈는 남아 있지만, 투자자의 가치 기준과 윤리적 기준을환기하면서도 투자성과에 부정적인 영향을 미치지 않을 전략으로써 가능성이 존재함을 시사한다
Abstract
purpose - This paper examines the effects of negative screening by global pension funds on stock returns and investment performance. design/methodology - The study collected the excluded corporate names, reasons for exclusion, and dates from the pension fund's public data. and the company's financial data were extracted from DataGuide. also, the short-term and long-term stock price effects were analyzed by using an event study methodology and a Three Factor Model. findings - first, we confirmed that the declaration of exclusion from pension funds impacts the short-term stock price of the arms and environment sectors. second, The exclusion strategy portfolio did not show positive (+) excess performance compared to the market. however, when analyzing the period by dividing it (before and after Stewardship Code introduction), the exclusion strategy after Stewardship Code introduction showed superior performance compared to the market. research implications - The exclusion strategy suggests that there is a possibility as a strategy that meets investor value and ethical standards and has potential as a strategy that does not negatively affect investment performance.
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