ESG와 손실회복 수준 : 코로나19 발생 초기 기간을 중심으로
ESG and Loss Recovery Level - Focusing on the Early Stages of COVID 19 Crisis
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초록
본 연구는 위기기간 동안 ESG평가등급을 중요한 투자지표로 활용할 수 있는지를 살펴보는 것을 목적으로한다. 이를 위해 코로나 19의 확산과정에 따른 사건발생 시점별로 기업의 ESG평가 등급과 주가 변동성, 그리고 누적 초과수익률 간의 관계를 산업고정효과모형(Industry Fixed Effect Model)을 통해 분석하였다. 주요 분석결과는 다음과 같다. 첫째, 코로나19시 ESG점수에 따라 거래활동에 차이가 존재하는지를 살펴본결과, 팬더믹기간 동안 시장 전반적으로 거래활동이 크게 증가하여 ESG 점수에 따른 차이는 발견되지 않았다. 다만 일평균 거래대금 측면에서는 high ESG 그룹이 팬더믹기간 동안 더 큰 증가폭을 보인 반면, 일평균거래량 측면에서는 low ESG가 더 큰 증가폭을 보여 증가 수준 측면에서는 양자가 차이를 보였다. 둘째, 코로나19의 확산과정에 따라 구분한 사건발생 시점 전후의 누적수익률 및 누적초과수익률과 ESG 세부 점수와의관계를 살펴본 결과, ESG 점수와 수익률 변화 간 유의미한 관계가 발견되지 않았다. 이러한 결과는 더미변수를활용하여 정상기간과 위기기간에서 ESG요인이 기업의 수익률에 미치는 영향의 정도가 다른지를 살펴본 추가분석에서도 정상기간과 위기기간에서 큰 차이가 없는 것으로 나타나 일관된 모습을 보였다. 셋째, 코로나19로인한 전 세계적인 위기상황에서 ESG점수를 고려한 투자 시 수익의 안정성 확보가 가능한지를 분석한 결과, ESG요인이 기업 수익률 변동성에 유의한 음(-)의 영향을 미치는 것으로 나타났다. 다만 ESG요인을 세부항목으로 분석한 결과에서는 S와 G요인은 유의미한 영향을 미치지 않았으나 E요인은 유의미하게 변동성을줄여주는 것으로 나타나 요인별로 차별화된 모습을 보였다. 본 연구는 코로나 19 위기기간 동안 투자자가ESG 평가등급을 활용한 투자를 시행했을 경우 어떠한 효용을 얻을 수 있었는지를 간접적으로 규명해 본다는측면과 혼재된 결과를 제시하고 있는 선행연구들의 결과를 새로운 금융시장 이벤트를 대상으로 재검증한다는측면에서 실무적·학술적 의의를 지닌다.
Abstract
The purpose of this study is to examine whether ESG evaluation grades can be used as investment indicators during crisis periods. To this end, we analyzed the relationship between a company's ESG evaluation grade, stock price volatility, and cumulative excess return for each event according to the spread of COVID-19 using an industry fixed effect model. The analysis results are as follows. First, we looked at whether there was a difference in transaction activities according to the ESG score during COVID-19. As a result of the analysis, we did not find any differences in transaction activities according to ESG scores due to a significant increase in transaction activities across the market during the Pandemic period. However, we found that the high ESG group showed a greater increase during the Pandemic period in terms of daily average transaction price, and the low ESG showed a greater increase in terms of daily average transaction volume. Second, we examined the relationship between the cumulative rate of return and the cumulative excess rate of return before and after the time of the COVID-19 incident and the ESG score. As a result, we found that there was no significant relationship between ESG scores and returns. In addition, we used dummy variables to examine whether the degree of influence of ESG factors on returns during the normal and crisis periods was different. As a result, we confirmed that there was no significant difference in the effect of ESG factors on corporate returns during the normal and crisis periods. These results are evidence showing that there is no significant relationship between ESG scores and returns. Third, we analyzed whether it is possible to secure stability in profits when investing in consideration of ESG scores in a global crisis caused by COVID-19. As a result, we found that ESG factors had a significant negative (-) effect on volatility. However, as a result of analyzing ESG factors by dividing them into detailed factors, it was found that the S and G factors did not have a significant effect, but the E factor significantly reduced volatility. In other words, the relationship between detailed ESG factors and volatility was different depending on the relationship with ESG factors. This study has practical and academic significance in that it indirectly investigates what utility investors could have obtained when investing using ESG evaluation ratings during the COVID-19 crisis and re-analyzes the results of previous studies that present mixed results.
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