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ESG가 자산가격결정에 미치는 영향에 대한 연구

The Impact of ESG Factors on Asset Prices: An Empirical Analysis in the Korean Stock Market

이동엽|홍정훈|이상기
한국금융정보학회 (Financial Information Society of Korea)|2022.10|금융정보연구 (Review of Financial Information Studies)|제11권 제3호|pp. 121-136|DOI 10.35214/rfis.11.3.202210.004

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키워드

위험요인Risk factorESGESG 등급ESG ratingKOSPI200자산가격결정모형Asset pricing model

초록

본 논문은 한국 주식시장에서 ESG가 자산가격결정에 미치는 영향을 조사한다. 이를 위해 시장요인, 기업규모요인, 그리고 가치요인을 설명변수로 하는 Fama-French 3요인 모형과 ESG를 추가한 4요인 모형을 비교하여 ESG 요인이 자산가격결정에 영향을 미치는지 분석한다. 우리는 KOSPI200 기업을 대상으로 한국기업지배구조원(KCGS)에서 제공하는 ESG 평가자료를 이용해 실증분석을 실시한다. 분석결과 ESG 성과와 주가수익률 간에 유의한 양(+)의 관계가 성립하고, Fama-French 3요인 모형에 ESG 요인을 추가하면 모형의 설명력이 개선되는 것을 확인하였다. 본 연구는 한국 주식시장을 대상으로 ESG가 가격결정에 미치는 영향을 규명함으로써 ESG 성과와 주식수익률의 관계에 대해 일치된 결론을 보여주지 못하고 있는 기존 문헌에 기여할 것으로 기대한다.

Abstract

This study examines the impact of ESG on asset prices in the Korean stock market. We develop a four-factor asset pricing model with ESG as an additional factor and compare it to Fama-French three-factor model. We conduct an empirical analysis on KOSPI200 companies using ESG score data provided by the Korea Corporate Governance Service (KCGS). We find a significant positive relationship between ESG performance and stock return. Empirical analyses confirm that our model competently captures the cross-sectional variation in returns associated with ESG performance. This study contributes to the existing literature that does not show a consistent conclusion on the relationship between ESG performance and stock return by examining the impact of ESG factors on asset prices in the Korean stock market. Some recent studies of the measurability and durability of ESG information have published unsettled conclusions. To significantly extend and develop research on this issue, the divergence among ESG ratings must be resolved. Standardizing authentic evaluation processes will produce less research inconsistency and enhance the credibility of ESG information.

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관련 논문AI추천

사회책임투자지수 편출･입에 대한 주식시장의 반응김명애, 우민철한국재무관리학회 · 재무관리연구2021 · 제38권 제2호주식시장에서의 ESG 지표의 비대칭적 정보 효과김성환, 도연우한국재무관리학회 · 재무관리연구2022 · 제39권 제2호Investment strategy using Adjusted ESG rating: Focusing on a Korean MarketEunchong KIM, Hanwook JEONG한국유통과학회 · 산경연구논집2022 · 제13권 제1호ESG 채권발행이 주가에 미치는 영향이동엽, 이상기한국금융정보학회 · 금융정보연구2025 · 제14권 제1호ESG 주식형 ETF 성과분석: Alpha가 존재 하는가?강신국, 이준서한국금융정보학회 · 금융정보연구2022 · 제11권 제3호ESG 등급 차이 하에서 투자심리지수와 주가수익률의 관계에 대한 연구김유경, 윤선중경영연구소 · 자산운용연구2023 · 제11권 제2호

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