The Korean Journal of Economic Studies
The Impact of ESG Bond Issuances on Stock Returs
Karam Kim (Korea Asset Pricing) and Doojin Ryu (Sungkyunkwan University)Year 2023Vol. 71No. 3
This study investigates the effect of ESG bond issuance on stock returns from January 2019 to September 2022. We use the event study and propensity score matching analyses and our findings are as follows. First, cumulative abnormal returns were significantly negative, but become positive after the revision of guidelines on the registration statement. Second, cumulative abnormal returns of firms with high free cash flows are more sensitive. Third, cumulative abnormal returns are more negative (positive) when investor sentiment is more pessimistic (optimistic) around the ESG bond issuance date, implying that stock returns of firms with ESG bond issuance are affected by investor sentiment. We emphasize the information accessibility and availability regarding ESG bond issues in order to improve firms’ incentive for issuing ESG bonds.