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학술자료 검색

내생성(Endogeneity) 문제를 통제한 환경경영과 기업가치 간의 관계에 관한 연구

  • 박경서 고려대학교 경영대학 교수
  • 변희섭 고려대학교 경영대학 박사과정
  • 이지혜 고려대학교 경영대학 박사과정
본 연구는 한국거래소의 환경책임 투자지수 최초 공시일 현재 동 지수에 포함되지 않은 여타 기업의 주가반응과 환경경영 평가점수 간의 관계를 분석함으로써 환경경영이 기업가치에 미치는 영향을 확인한다. 실증분석결과, 환경책임 투자지수 최초 공시일을 전후로 동 지수에 포함되지 않은 기업의 경우 환경경영 평가점수와 주가수익률 간 유의적인 음(-)의 관계가 관찰되는 것으로 나타났다. 이러한 결과는 정책당국이 친환경 경영을 적극적으로 도모하는 제도적 변화를 실시함에 따라 기업의 환경경영성과가 상대적으로 부진한 기업들이 향후 이 분야에 대한 투자를 통해 기업가치를 제고하는 효과가 보다 클 것으로 투자자들이 기대하기 때문인 것으로 해석된다. 즉, 기업의 환경적 성과 개선에 대해 투자자들이 높은 가치를 부여하고 있음을 나타내므로 환경경영이 기업가치 개선에 긍정적인 영향력이 있음을 의미한다. 또한, 이러한 관계는 환경경영전략을 적극적으로 수행하기 위한 초기투자비용을 충당할 수 있는 능력이 있는 수익성이 높은 기업이나 기업가치가 높은 기업에서 주로 관찰되었다. 본 연구의 연구방법론과 결과는 기존 연구들에서 제기되었던 환경경영과 기업가치 간의 내생성 문제를 완화하고, 양자 간 관계를 보다 명확히 확인해주고 있다는 점에서 학술적 의의가 있다.
환경경영; 기업가치; 환경책임 투자지수; 주가; 내생성; Environmental Management; Firm Value; KRX SRI-ECO; Stock Price; Endogeneity

Would Environmental Management Have Positive Effects on Firm Value after Controlling for the Endogeneity Problem?

  • Kyung Suh Park
  • Hee Sub Byun
  • Ji Hye Lee
This paper examines the relationship between environmental management and firm value with a new empirical approach that can reduce the endogeneity problem observed in existing literatures. In the empirical analysis, we check the stock market response to the first announcement of the KRX SRI-ECO index with focus on the stock prices of those firms which are not included in this index. As the announcement is likely to be regarded as an unexpected event that may herald concerns among authorities and regulators, we expect that any stock price changes would be an independent reflection of investor’ perception on the relationship between environmental management and firm value. As a new initiative to strengthen the environmental management of Korean firms, the Korea Exchange has recently decided to introduce a new index, KRX SRI-ECO. The firms included in the index were chosen from the listed ones with strong environmental performance. The main purpose of the introduction of this new index is to raise stock investors’ awareness of environmental aspects of firms as potential performance factors while motivating them to improve their environmental management as a way to enhance their firm values. Since stock values of such firms do increase by being listed in the index, the announcement is expected to encourage other non-listed firms to raise their effort to improve their environmental management. Another advantage is that the development of new index can serve as a new information content in investment in stocks, effectively reminding the investors of the importance of environmental consideration. We conjecture that, given the new event, firms with poor environmental management would feel increased pressure to improve their current status so as to be qualified for the index with an ultimate aim to boost their stock prices. Then, we can expect that on the disclosure date of KRX SRI-ECO index, the level of environmental performance of firms is likely to have a negative relationship with the stock price of firms excluded from this index. Since this conjecture is fundamentally rooted in the assumption that investors do attribute value to the issues pertaining to environmental management, we can conclude that environmental performance has a positive effect on firm value. Above all, the methodology we use in our paper mitigates the endogeneity problem between environmental management and firm value observed in existing literatures. Existing literatures analyzing the relationship have shown that the improvement of the environmental management increases profitability and firm value, and contributes to the competitiveness (Hart and Ahuja, 1996; Klassen and McLaughlin, 1996). However, these researches invariably carry the endogeneity problem: they do not clearly establish whether the improvement in environmental management increases firm value or firms with already high value attain higher environmental performance (Kim, 2010). To minimize such problem, this paper analyzes the relationship between stock price response and the level of environmental performance subsequent to a policy change. Initiated by Lee and Park (2009), this research design has been further developed through a thorough analysis of the relationship between a non-target firm's stock price response and the level of corporate governance on the first target announcement date of corporate governance fund. In doing so, one of the key aims is to mitigate the endogeneity problem between corporate governance and firm value. Unlike the previous attempt, however, we try to further improve the approach by leaving out firms that are included in the KRX SRI-ECO index from our sample so as to more effectively minimize the noise effect due to firms expected of higher stock return for good environmental performance. Another prevailing criticism against existing papers on this topic has been that they would normally adopt arbitrary evaluation criteria for environment management. To correct this draw-back, this paper uses more reliable data, namely the environmental management evaluation score compiled by Korea Corporate Governance Service as a proxy for the level of environmental management of firms. Incorporating such officially accepted figures as those provided by this quasi-government organization, this paper further reinforces the result’s objectivity and reliability the data is also easily available to investors. In addition, we investigate which types of firms show stronger stock price responses vis-a-vis the new event. Empirically, we confirm that stock returns are higher for those firms with higher profitability or higher firm values since such firms can cope with the high opportunity cost of environmental management. At the same time, they are aware of the higher opportunity costs if they fail to effectively deal with the environmental management. Estimated results thus far are as follows: (1) Stock price response (CAR) of the firms excluded from the index around the disclosure date of KRX SRI-ECO index is significantly positive. (2) The environmental management score has a negative effect on the CAR. This result is consistent with our hypothesis that firms with poorer environment management history will react more to the new policy and pay more attention to their environmental management, which consequently elicits positive reaction from investors. This result also implies that the environmental management has a positive effect on firm value. On the other hand, among 5 sub-categories for the environmental management evaluation, environmental organization, environmental management, environmental performance, and activity of stakeholder have significantly negative effects on CAR. (3) When we divide the sample into two groups based on the average ROA in the past3 years and Tobin Q, and re-estimate the effect of environmental management evaluation scores on CAR in each sample, we find that firms with high profitability and firm value tend to show stronger significance.