ESG 공시품질의 자본시장효과

Abstract

Commencing in 2025, a regulatory mandate will require publicly listed companies in Korea to disclose Environmental, Social, and Governance (ESG) reports in a phased approach. This upcoming mandate has significantly heightened corporate interest in the quality of ESG report disclosures. This study seeks to empirically investigate the impact of improved ESG disclosure quality on the dynamics of the capital market, focusing on key indicators such as credit ratings, cost of capital, and market value.

The study entailed a direct assessment of the quality of ESG reports voluntarily disclosed over six consecutive years. This evaluation employed a robust methodological framework, incorporating a multiple regression analysis using a specific regression model (Model 1), while controlling for industry and year effects. Additionally, a Heckman two-stage analysis was conducted to address potential endogeneity concerns.

The findings indicate that enhanced quality in ESG disclosures is positively correlated with improvements in credit ratings and market value and is inversely related to the cost of debt capital. These results substantiate the primary hypothesis that superior ESG disclosure quality yields positive effects in the capital market. Supporting this, the study confirms three sub-hypotheses: firstly, high-quality ESG disclosures lead to improved credit ratings; secondly, they contribute to a reduction in the cost of capital; and thirdly, they result in an increase in market value. The Heckman two-stage analysis further corroborates these findings, demonstrating a positive relationship between ESG disclosure quality and capital market outcomes.

This research is particularly pertinent in light of the imminent mandatory ESG report disclosures in Korea. It provides novel insights into how improved ESG disclosure quality can influence capital market dynamics, a topic that has received limited attention in Korean financial research to date. Unlike previous studies that predominantly relied on simpler metrics like ESG ratings or scores from various agencies, this study makes a novel contribution by focusing on the actual quality of ESG disclosures. By doing so, it presents new empirical evidence on how the capital market reacts to the quality of ESG disclosures, potentially enriching the field of ESG-related research and offering practical insights for corporations and policymakers.