Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
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A Study on Responsible Investment Strategies with ESG Rating Change

ESG 등급 변화를 이용한 책임투자전략 연구

  • Young-Joon Lee (Department of Artificial Intelligence Engineering, Cheju Halla University) ;
  • Yun-Sik Kang (Division of Business Administration and Accounting, Kangwon National University) ;
  • Bohyun Yoon (Division of Economics and Information Statistics, Kangwon National University)
  • 이영준 (제주한라대학교 인공지능공학과 ) ;
  • 강윤식 (강원대학교 경영회계학부 ) ;
  • 윤보현 (강원대학교 경제정보통계학부 )
  • Received : 2022.11.30
  • Accepted : 2022.12.23
  • Published : 2022.12.30
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Abstract

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.

Keywords

Acknowledgement

이 논문은 2019년 대한민국 교육부와 한국연구재단의 지원을 받아 수행된 연구임 (NRF - 2019S1A5A2A03048212). 또한 이 논문은 2021년도 강원대학교 대학회계의 지원을 받아 수행한 연구임

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