ESG 평가 기업의 가격발견에 관한 동태적 영향 연구

This study analyzes the dynamic relationship between price discovery in ESG-rated and non-ESG-rated firms. The sample period was selected from January 1, 2011, to December 31, 2021, using publicly listed companies that received ESG ratings from the Korea Corporate Governance Service. Granger causality tests, impulse response functions, and variance decomposition analysis were conducted, and the main results are as follows. First, the stock returns of ESG-rated companies led those of non-ESG-rated companies, and the stock returns of companies with high ESG ratings led those of companies with low ESG ratings, demonstrating predictive power. Second, The stock returns of high ESG-rated companies showed predictive power over the stock returns of companies evaluated on environmental, social, and governance factors, respectively. Third, in response to a one-unit change in the stock returns of high ESG-rated companies, the stock returns of non-ESG-rated companies and those evaluated on environmental, social, and governance factors showed the largest reactions, which lasted for about six days. Furthermore, the stock return fluctuations of high ESG-rated companies explained the most variation in the returns of other variables, suggesting that the influence of high ESG-rated companies on other variables is the greatest. Overall, it can be inferred that the stock prices of high ESG-rated companies are useful as leading indicators.