기업의 ESG 성과가 비대칭적 변동성에 미치는 영향

초록

Based on the agency theory, this study examines the relationship between the ESG performance Korean firms, including chaebols, and stock price crash, as measured by asymmetric volatility. Specifically, this study investigates whether firms’ E (environment), S (social), and G (governance) scores mitigate the risk of stock price crash in next year, based on sample from 2013 to 2020, for chaebols. The results are summarized as follows. First, among ESG scores, environment(E) score is found to have a significantly negative relationship with the stock price crash for all firms including chaebols and non-chaebols. As the pressure to disclose environmental information from a variety of agencies including government and NGOs grows, it appears that Korean firms, regardless of their type, endeavor to resolve information asymmetry, thereby easing the agency cost. Second, in contrast with non-chaebols, ESG score for chaebols is found to have a significantly negative (-) relationship with the risk of stock price crash in next year. We believe this is due to their systematic environmental (E) management, that leads to a greater ESG score which, in turn, reduce stock price crash. Third, we find that the social (S) score for all firms, chaebol and non-chaebol, do not have a significant effect on stock price crash next year. This contrasts with previous findings that social (S) score reduces the risk of the stock price crash.

키워드