경제불확실성(EPU)이 이익하방위험(EDR)에 미치는 영향과 ESG의 조절효과

Purpose: The influence of Economic Policy Uncertainty (EPU) on firms’ Earnings Downside Risk (EDR) is examined, alongside the differential moderating roles of Environmental, Social, and Governance (ESG) performance in this relationship. Beyond the widely accepted ‘Insurance Hypothesis’ (Risk mitigation), the ‘Cost Hypothesis’ is specifically tested, asserting that ESG engagement may impose short-term financial burdens when macroeconomic uncertainty is high, challenging the conventional view. Research design, data, and methodology: Using unbalanced panel data consisting of 5,403 firm-year observations from Korean listed firms spanning 2013 to 2022, an Ordinary Least Squares regression model is employed. EDR is quantified using the Root Lower Partial Moment approach, effectively capturing the firm's downside earnings exposure. The Korea EPU index is utilized as the main independent variable, while ESG scores (Total, Environmental, Social, Governance) from the Korea Institute of Corporate Governance and Sustainability(KCGS) serve as the moderating variables. Results: The empirical analysis of Korean listed firms from 2013 to 2022 shows that economic policy uncertainty significantly increases firms’ earnings downside risk, indicating that policy instability heightens the likelihood of earnings losses. Furthermore, ESG performance amplifies this relationship, supporting the cost hypothesis that ESG activities can become financial burdens under uncertainty. In particular, the environmental and social components significantly intensify downside risk, while the governance component shows no significant moderating effect. These results suggest that capital-intensive environmental and social investments may weaken financial flexibility during unstable policy conditions. Implications: The findings offer new insights into the conditional role of ESG in corporate risk. Academically, the study challenges the universal assumption that ESG always mitigates risk by demonstrating that its effect depends on the macroeconomic environment. From a managerial perspective, the results caution that while ESG initiatives are vital for long-term sustainability, they may increase short-term financial vulnerability when policy uncertainty is high. Managers and investors should therefore implement ESG strategies with careful consideration of external economic conditions.