ESG 활동은 경영위험을 감소시키는가?

[Purpose]The purpose of this study is to verify whether corporate ESG activities reduce business risks. For analysis, we use stock price volatility as a proxy for management risk to analyze the relationship with ESG ratings. In addition, it is verified whether stock price volatility decreases when the ESG evaluation grade increases. It is intended to demonstrate that ESG activities reduce stock price volatility by sending a signal to investors that their ability to respond to management risks is improved. [Methodology]This study analyzes 4,822 companies whose ESG evaluation ratings were announced by the Korea ESG Standards Agency from 2011 to 2021. The dependent variable is stock price volatility, and the main variable of interest is the ESG rating and its change. In order to control endogeneity, GLS regression analysis, which can be analyzed by excluding characteristics that are difficult to find by constructing panel data, is applied. [Findings]The higher the ESG rating, the smaller the stock price volatility. In addition, when the ESG evaluation rating increased in the current year compared to the previous year, the volatility of the stock price decreased. These results indicate that stock price volatility decreases because companies with ESG management capabilities are secured with the ability to respond to management risks. [Implications]According to previous studies, the ESG rating of the previous year and stock price volatility are either irrelevant or positively correlated. In this study, according to the efficient market hypothesis, it is the result that stock price volatility decreases when the ESG evaluation rating of the current year improves compared to the previous year. It suggests that ESG management capabilities are recognized by investors and reflected in stock prices according to the signal hypothesis of an efficient market.