기준금리 발표 주변의 주가 반응과 ESG 및 지배구조의 효과

This study investigates the effects of interest rate announcements on stock returns and stock return volatility, and examines the role of firm-specific factors of ESG scores and corporate governance. Using data from 527 companies listed on KOSPI, we analyze 97 interest rate announcements between 2013 and 2022, examining both short-term (3-day window) and long-term (21-day window) periods surrounding each announcement. The analysis reveals several key findings. First, changes in stock prices are influenced by deviations from market expectations regarding interest rate movements, rather than by absolute changes compared to previous periods. Second, firms with higher ESG and governance scores exhibit stronger cumulative abnormal returns around interest rate announcements. Lastly, these firms also show a more significant reduction in stock price volatility after the announcements, suggesting that strong ESG practices and corporate governance help mitigate market uncertainty surrounding such events. These results provide evidence that companies with better ESG and governance profiles not only benefit in terms of long-term value, as shown in previous literature, but also offer short-term advantages by enhancing returns and reducing stock volatility during periods of macroeconomic uncertainty. The findings highlight the importance of integrating ESG and governance factors into investment strategies and contribute to a broader understanding of the market’s reaction to macroeconomic policy announcements, with important implications for both financial and educational practices in the fields of business and commerce.