주식시장에서의 ESG 지표의 비대칭적 정보 효과

This study investigates the asymmetric information effects of ESG (Environment, Social, and Governance) rating on the volatility and firm values using data of KOSPI firms. Specifically, the effects of changes in the overall ESG and each category of E, S, and G on the volatility in stock prices and long-term cumulative abnormal returns (CARs) are studied. The test results are summarized as follows. First, the overall rating of ESG reduces the volatility in stock prices in the short run, while the introduction of ESG index for the first time increase their volatility. Individually, the rating of E and S reduces the volatility in stock prices in the short run, while such effect of G is not statistically significant. Second, the short-term effect of overall rating of ESG reduces the volatility when the rating stays constant while downgrading in the index increases the volatility the short-term volatility in stock prices. Third, the effects of ESG rating, overall and individually, last for a long time. Fourth, the long-term CARs show an opposite pattern to short-term volatility. In sum, the stability and improvements in ESG rating has a positive effect on risk management and abnormal long-term returns, while efforts to introduce the ESG management and improving which later results in lower grades might have severe adverse information effects to outside investors