기업의 사회적 책임 활동이 주가변동성에 미치는 영향

초록

This study examines the effect of corporate social responsibility (CSR) activity, which is known to affect investor relations (IR) performance as a non-financial factor, on stock return volatility. IR activities of companies are perceived as actions to lower stock return volatility and increase corporate value by mitigating information asymmetry. On the other hand, there are many studies on the relationship between CSR activities and corporate value, but there is no consensus on the results of the empirical analysis. If the effect of CSR activities is correlated with the intrinsic value of a firm, it can be expected that CSR activities and IR activities may have a positive correlation since IR activities have been consistently reported to have a positive relation with the value of the firm. The purpose of this study is to analyze the effects of CSR activities on stock return volatility. In order to measure IR performance, various variables-cumulative abnormal trading volume/return, number of analyst reports, transaction liquidity etc.-were used, but all of the values indicated by these variables are bound to be mixed with other influencing factors. In addition, stock return volatility is not an exception. However, under the assumption of the stationary random noise, once we properly control other factors that affect volatility such as growth rates and dividend yields, stock return volatility would be a good meature for IR performance since it can capture the effect of bid-ask spread, the major indicator of information asymmetry (Corwin and Schultz, 2012). CSR scores data in the analysis are provided by the Korea Corporate Governance Service for the period of 2011~2014. There are three categories in the CSR scores: environmental, social, and governance. First, pooled ordinary least square analysis showed a statistically significant positive correlation between CSR activity and a reduction in stock return volatility. In other words, CSR activities lead to a reduction in stock return volatility, thus indicating a success of IR activities. Second, this result was maintained with panel analysis using the firm-fixed effect controlled model. This is in line with the IR's basic goal of increasing corporate value by reducing information asymmetry by conveying positive signals to the investors about positive intrinsic value of CSR activities. However, in this study, there is a clear limitation that the direct correlation or causal relationship between CSR and IR activities cannot be identified. Nonetheless, the results of this study imply that if the corporate intrinsic value is good, CSR activities bring not only abstract and long-term effects, but also concrete and short-term effects, such as stable stock prices and uplifts in stock prices by reducing stock return volatility. In addition, as there is positive correlation between the CSR and IR activities, the two activities need to be performed in more integrated and organized manner. Additional analysis with including the details of the ESG area in relation to the assessment of CSR activities will be left for future related research. Specifically, more attention to environmental scores based on longer-term period of data is needed. Lastly, similar data available from other sources(FTSE4Good, Dow Jones Sustainability Index, KRX SRI Index, etc.) will be worth used to compare the results of this study.

키워드