발행 및 유통시장에서 ESG 채권의 가격 프리미엄에 대한 연구
Empirical Analysis of a ESG Bond Premium in the Primary and Secondary Markets
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본 연구에서는 한국거래소(KRX) 사회책임투자채권 전용 세그먼트에 상장된 ESG 채권의 발행시장 및 유통시장에서 프리미엄 존재여부를 살펴보았다. 평균제거과정을 거친 고정효과모형을 사용하여 채권 발행기관의 특성을 통제하고 ESG 채권과 일반채권의 수익률 스프레드를 추정한 결과, 발행시장에서 가격프리미엄은 사회적채권에만 존재하며 녹색채권과 지속가능채권에는 유의하게 존재하지 않았다. 매 분기 말 기준 수익률 스프레드를 분석한 결과 유통시장에서 ESG 채권의 프리미엄 존재여부는 측정시기별로 변동성이 큰 것으로 나타났다. 즉, 2020년에는 ESG 채권이 유통시장에서 가격프리미엄을 갖는 것으로 나타났으나, 2021년에는 전체적으로 가격프리미엄 존재여부가 유의하지 않았다. 이는 연기금 등 기관투자자가 ESG 채권을 대규모로 인수하는 발행시장과는 달리 유통시장에서는 ESG 채권이 수급적인 측면에서 장점이 없을 수 있으며, 발행시장에서 책정된 높은 가격이 유통시장에서 조정을 받을 가능성이 있음을 시사한다. 본 연구는 국내 ESG 채권의 발행시장과 유통시장을 분석한 최초의 연구라는 점에서 의의가 있다. 또한 기존문헌에서 ESG 투자성과에 대한 증거가 일관적이지 못한 주요 원인이 ESG 평가체계가 일관적이지 않고 투자성과 추정방법론 상 내생성(endogeneity) 문제라고 할 때, 외부평가기관에 의하여 인증된 ESG 채권을 대상으로 동일기업이 발행한 일반채권과 비교분석을 통해 추정된 본 연구의 실증결과는 보다 신뢰성이 높을 것으로 판단된다.
Abstract
This study examines a premium of ESG bonds listed in the KRX’s socially responsible investment bond segment. To do so, I control for the characteristics of bond issuers by estimating the fixed effect model that uses the de-meaning process within individuals and investigate the yield spread between ESG bonds and general bonds in the primary and secondary markets. The results show that the price premium exists only for social bonds in the issuance market, while it is not significant for green bonds and sustainable bonds. In the secondary market, it highly depends on the measurement period whether a premium for ESG bonds exists. Specifically, ESG bonds have a price premium in the secondary market in 2020, while the premium is not significant in 2021. The result suggests that, unlike the primary market where institutional investors such as pension funds tend to purchase ESG bonds on a large scale, ESG bonds may not have an advantage in terms of supply and demand in the secondary market. This is the first study to analyze the domestic ESG bond both in the primary and secondary markets. In addition, in that the main reasons of the inconsistent evidence on ESG investment performance in the existing literature are due to the inconsistent ESG evaluation system and the endogeneity problem in the estimated models, the comparative analysis of this paper between ESG bonds certified by external agencies and general bonds issued by the same company provides the more reliable evidence on the performance of ESG investment.
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