ESG 등급 변화를 이용한 책임투자전략 연구

• 영문명: A Study on Responsible Investment Strategies with ESG Rating Change
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 이영준 강윤식 윤보현
• 간행물 정보: 『아태비즈니스연구』제13권 제4호, 79~89쪽, 전체 11쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2022.12.31

영문 초록

Purpose - The purpose of this study was to examine the impact of ESG rating changes of companies listed in Korean Stock Exchange on stock returns. Design/methodology/approach - This study collected prices and ESG ratings of all the companies listed on the Korea Composite Stock Price Index. Based on yearly change of ESG ratings we grouped companies as 2 portfolios(upgrade and downgrade) and calculated portfolios’ return. Findings - First, the difference in returns between upgraded and downgraded portfolios is small and statistically insignificant. Second, however, in the COVID-19 period (2020 ~ 2021), the upgraded portfolio outperforms the downgraded portfolio by 0.7 percentage points per month. The difference in returns between upgraded and downgraded portfolios is statistically significant after controlling for the Carhart four factors. Lastly, there are much higher volatility when the ESG rating changes are made of companies with low levels of ESG ratings. Research implications or Originality This study is the first to examine the impact of ESG rating changes on stock returns in Korea. Furthermore, the findings can serve as a reference for managers who want to control a firm's risk by ESG rating changes. Practically, asset managers can use the findings to construct portfolios that are less risky or more profitable than the market portfolio.

목차

Ⅰ. 서론

Ⅱ. 선행 연구

Ⅲ. 연구방법론

Ⅳ. 실증분석 결과

Ⅴ. 결론

References

키워드

ESG Rating ESG Rating Change Stock Return COVID-19