ESG 등급 차이 하에서 투자심리지수와 주가수익률의 관계에 대한 연구

초록

This study analyzes the role of ESG ratings in the relationship between investor sentiment and stock returns. First, we analyze the impact of investor sentiment on stock returns by approximating investor sentiment using the Economic Sentiment Index (ESI), Business Survey Index (BSI), and Consumer Sentiment Index (CSI) released monthly by the Bank of Korea. We then examine how the impact of investor sentiment varies depending on the evaluation of non-financial factors, ESG. The results show that investor sentiment has a negative predictability on stock returns one- to six-month future returns, which is consistent with previous studies. Next, we analyze the impact of ESG and find that the explanatory power of ESG increases the most when consumer sentiment and ESG are combined, and the overvaluation of stocks by sentiment is greater with higher ESG scores. The contribution of this study is that it is the first study to analyze the interconnectedness of ESG and sentiment.

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