발행 및 유통시장에서 ESG 채권의 가격 프리미엄에 대한 연구

초록

This study examines a premium of ESG bonds listed in the KRX’s socially responsible investment bond segment. To do so, I control for the characteristics of bond issuers by estimating the fixed effect model that uses the de-meaning process within individuals and investigate the yield spread between ESG bonds and general bonds in the primary and secondary markets. The results show that the price premium exists only for social bonds in the issuance market, while it is not significant for green bonds and sustainable bonds. In the secondary market, it highly depends on the measurement period whether a premium for ESG bonds exists. Specifically, ESG bonds have a price premium in the secondary market in 2020, while the premium is not significant in 2021. The result suggests that, unlike the primary market where institutional investors such as pension funds tend to purchase ESG bonds on a large scale, ESG bonds may not have an advantage in terms of supply and demand in the secondary market. This is the first study to analyze the domestic ESG bond both in the primary and secondary markets. In addition, in that the main reasons of the inconsistent evidence on ESG investment performance in the existing literature are due to the inconsistent ESG evaluation system and the endogeneity problem in the estimated models, the comparative analysis of this paper between ESG bonds certified by external agencies and general bonds issued by the same company provides the more reliable evidence on the performance of ESG investment.

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