ESG 성과에 따른 변동성 특성과 위험예측 성과 분석

In this study, volatility characteristics by ESG performance of KOSPI listed companies were analyzed. And the risk forecasting performance by ESG performance was analyzed. The main results are as follows. First, Companies with poor ESG performance have been shown to have increased volatility asymmetry and are more responsive to new shocks. Second, the EGARCH model considering the asymmetry of volatility achieved relatively good risk prediction performance. Third, Companies with high non-financial risk have difficulty forecasting risk accurately, and risk is relatively underestimated. The following conclusions were drawn through this study. Non-financial risk increases the asymmetry of stock price volatility and destabilizes stock price movements. Conversely, if the non-financial risk is low, the stock price shows a stable movement. Therefore, Companies should consider improving non-financial performance for sustainable management. Companies exposed to non-financial risks are more likely to have relatively inaccurate risk forecasts and underestimate risks. Therefore, Companies should strive to minimize non-financial risks as well as financial performance. It also suggests that investors should estimate risk more conservatively, taking into account that there may be non-financial risks that are not accurately measured.