ESG 성과와 신용 스프레드:인과관계 및 COVID-19 팬데믹의 영향 분석

Despite increased market uncertainty, the bond market has continued to grow. Meanwhile, advancing ESG regulations and heightened investor awareness have positioned ESG as strategically important for both companies and investors. This study examines the impact of corporate ESG performance on corporate bond credit spreads, using firm-level credit spread data from 2011 to 2023 and panel fixed-effect OLS models to analyze causal relationships. The key findings are as follows. First, overall ESG performance, as well as environmental (E) and governance (G) performance, significantly reduce credit spreads, indicating that investors perceive lower credit risk for companies with strong ESG performance. Second, during the COVID-19 pandemic, the reduction in credit spreads was even more pronounced, with overall ESG performance as well as environmental (E), social (S), and governance (G) factors having a significant impact. These results suggest that the effect of ESG performance on credit spreads varies depending on economic conditions. They provide investors with a basis for developing investment strategies that incorporate ESG considerations and offer companies valuable insights into which ESG factors to prioritize when designing capital-raising strategies, particularly during periods of economic instability.