부정적 ESG 이슈와 기업가치: KOSPI200 이벤트 스터디 분석

Market Responses to ESG Risk Incidents: An Event Study of KOSPI200 Firms

Purpose - This study aims to examine the effect of ESG (Environmental, Social, and Governance) incidents on stock returns, thereby assessing the value relevance of ESG practices in the Korean stock market. Design - The analysis uses news data related to KOSPI200 firms published between 2019 and 2023. An event study was conducted by identifying the release of news reports containing negative ESG issues as event occurrences. Abnormal returns around the event date were measured, and their statistical significance was tested using the standardized cross-sectional test. Findings - The results show that the market reacts significantly to ESG incidents, with statistically significant negative abnormal returns observed following the news release. The effect is primarily driven by social (S) issues, particularly those related to consumer-related problems, while market reactions to environmental (E) and governance (G) issues were limited. However, when focusing on events with high severity, significant market responses were observed across all three ESG categories. Research implications or Originality - This study contributes to the literature by employing event-level ESG risk signals derived from incident-based news data. The use of an event study framework enables a direct assessment of market responses to ESG risk exposure. The findings provide empirical evidence that ESG risk is financially material in the Korean context, highlighting the growing importance of proactive ESG management.