About This Journal

korean management review - Vol. 53 , No. 5

[ Article ]
korean management review - Vol. 53, No. 5, pp. 1137-1163
Abbreviation: kmr
ISSN: 1226-1874 (Print)
Print publication date 31 Oct 2024
Received 16 Sep 2023 Revised 08 May 2024 Accepted 23 May 2024
DOI: https://doi.org/10.17287/kmr.2024.53.5.1137

The Impact of ESG Information on Firm Valuation Efficiency: Evidence based on Analysts’ Target Price Forecast
Heejeong Shin ; Su-young Choi
(First Author) Assistant Professor, Department of Accounting, Dong-Eui University (H.Maria.Shin@deu.ac.kr)
(Corresponding Author) Lecturer, College of Business Administration, Inha University (chsy0808@daum.net)

ESG 성과 정보가 기업가치평가 효율성에 미치는 영향: 재무분석가 목표주가를 중심으로
신희정 ; 최수영
(주저자) 동의대학교 경영학부 조교수
(교신저자) 인하대학교 경영학과 강사

Copyright 2024 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This study examined whether financial analysts can incorporate ESG performance information efficiently into the stock price targets. Although the ESG information is known to be value-relevant from long-term perspective, it would be overly or less reflected in the expectations of corporate value since there remain concerns with objectivity and value-linkage of ESG evaluation criteria. For the empirical test, this study analyzed the relationship between ESG ratings and analysts’ forecast errors in stock price targets. The analysis results on firms listed in KSE or KOSDAQ from 2011 to 2020 show that the higher the ESG ratings, the higher the stock price targets and the more optimistic the target stock price forecast. These results show that the higher performance ratings, the more overly the expectation of corporate value growth is reflected in the target stock price. Further analysis also shows that the higher ESG ratings more reduce the degree to which the analysts’ target price explains the stock returns. By reporting the analysts’ efficiency of corporate valuation on ESG performance information, this study suggests that information users including investors need to be careful in valuation using non-financial information.

초록

본 연구는 재무분석가들이 기업의 비재무적 정보인 환경․사회․지배구조(ESG) 성과 정보를 목표주가 예측에 효율적으로 반영하는지 살펴보았다. ESG 정보는 장기적으로 기업 가치를 반영할 잠재력이 있으나, 평가기준의 객관성과 가치 연계성 문제로 인해 기업가치 결정 시 과대 또는 과소 반영될 수 있다. 2011년부터 2020년까지 유가증권시장 및 코스닥에 상장된 기업들을 대상으로 ESG 성과 등급과 재무분석가 목표주가 예측오류의 관계를 분석한 결과, ESG 등급이 높을수록 재무분석가의 목표주가는 보다 낙관적으로 예측되었으며, 이에 따른 예측오류는 특히 ESG 상위 등급에서 더 높게 나타났다. 이는 ESG 정보가 목표주가에 반영되면서도 성과등급이 높을수록 기업가치 성장에 대한 기대가 과대반영되고 있음을 의미한다. 본 연구는 ESG 성과 정보를 활용한 기업가치 평가 시 정보이용자와 투자자들에게 신중한 접근이 필요함을 시사한다.


Keywords: Nonfinancial accounting information, ESG performance information, Analysts’ price targets, Corporate valuation efficiency
키워드: 비재무적 정보, ESG 성과 정보, 재무분석가 목표주가, 기업가치평가 효율성

References
1. 강원, 정무권(2020), “ESG 활동의 효과와 기업의 재무적 특성,” 한국증권학회지, 제49권 5호, pp.681-707.
Kang, W. and M. Jung(2020), “Effect of ESG activities and firm's financial characteristics,” Korean Journal of Financial Studies, 49(5), pp. 681-707.
2. 김명서, 나영, 홍수희(2014), “지속가능책임투자(SRI)활동에 있어 기관투자자 지분율과 CSR의 관련성,” 회계정보연구, 제32권 2호, pp.305-336.
Kim, M. S., Y. Na, and S. H. Hong(2014), “Rela- tionship between institutional investors’ holding and CSR in sustainable and res- ponsible investments,” Korea Accounting Information Research, 32(2), pp.305-336.
3. 김문철, 전영순, 이명복(2011), “애널리스트 목표주가 예측능력의 지속성 및 주가반응에 관한 연구,” 세무와 회계저널, 제12권 2호, pp.43-73.
Kim, M. C., Y. S. Cheon, and M. Lee(2011), “Analysts’ target price forecasting ability and market reaction,” Jourmal of Taxation and Accounting, 12(2), pp.43-73.
4. 김수욱, 이치송(2015), “지속가능경영이 기업가치와 신용평가에 미치는 영향에 대한 실증 분석,” 한국산업경제학회 정기학술발표대회 논문집, pp.531-549.
Kim, S. O. and C. S. Lee(2015), “An empirical study on company value and credit ratings effectiveness of the corporate substantiality management,” Working Paper: Journal of Industrial Economics and Business, pp.531- 549.
5. 나영, 임욱빈(2011), “ESG 정보의 가치관련성에 관한 실증연구,” 경영교육연구, 제26권 4호, pp.439-467.
Na, Y. and W. B. Leem(2011), “An empirical study on the value relevance of ESG Information,” Korean Business Education Review, 26(4), pp.439-467.
6. 나영, 임욱빈, 김명서(2013), “ESG 정보와 타인자본비용의 관련성에 대한 실증연구,” 회계정보연구, 제31권 1호, pp.453-487.
Na, Y., W. B. Leem, and M. S. Kim(2013), “An empirical analysis on ESG performance information and cost of debt capital,” Korea Accounting Information Research, 31(1), pp.453-487.
7. 박영규(2017), “ESG 투자전략의 성과분석,” Journal of the Korean Data Analysis Society, 제19권 4호, pp.1951-1961.
Park, Y.(2017), “The profitability of ESG investing,” Journal of the Korean Data Analysis Society, 19(4), pp.1951-1961.
8. 오원정, 권해숙(2014), “비재무적 정보의 공시가 재무분석가의 이익예측활동에 미치는 영향 - 지속가능경영보고서를 중심으로 -,” 재무와 회계정보저널, 제14권 1호, pp.47-67.
Oh, W. J. and H. Kwon(2014), “The effect of nonfinancial information disclosure on analysts’ earnings forecasts - Corporate social res- ponsibility(CSR) reports -,” Journal of Finance and Accounting Information, 14(1), pp.47- 67.
9. 이정은, 김진섭(2013), “기업지배구조, 사회 및 환경평가지수와 기업가치의 관련성 분석,” 회계와 정책연구, 제18권 4호, pp.81-99.
Lee, J. and J. Kim(2013), “A study on relationship between corporate values and corporate governance, social and environmental evaluation index,” Review of Accounting and Policy Studies, 18(4), pp.81-99.
10. 이창섭, 정아름, 전홍민(2021), “ESG 결정요인 및 기업가치에 관한 연구 : 경제정책 불확실성과 영업이익 변동성을 중심으로,” 회계학연구, 제46권 6호, pp. 115-139.
Rhee, C., A. Jung, and H. Chun(2021), “A Study on ESG determinants and firm value : Focusing on economic policy uncertainty and operating income volatility,” Korean Accounting Review, 46(6), pp.115-139.
11. 임옥빈(2019), “비재무적 정보가 기업성과에 미치는 영향: ESG 점수를 중심으로,” 국제회계연구, 제86집, pp.119-144.
Leem, W. B.(2019), “Effect of non-financial infor- mation on firm performance : Focusing on ESG score,” Korea International Accounting Review, 86, pp.119-144.
12. 장승욱, 김용현(2013), “기업의 ESG와 재무성과,” 재무관리연구, 제30권 1호, pp.131-152.
Jang, S. W. and Y. H. Kim(2013), “Corporate ESG and long-run financial performance,” Korean Journal of Financial Management, 30(1), pp.131-152.
13. 정혜연, 최은실, 유용근(2014), “재무회계정보 해석에 있어서의 재무분석가 목표주가와 주식가격 간 체계적 편의의 비교분석,” 회계저널, 제23권 1호, pp.33- 59.
Jung, H. Y., E. S. Choi, and Y. K. Yoo(2014), “Analysis of systematic errors between analyst’s target price and stock price in interpreting financial accounting information,” Korean Accounting Journal, 23(1), pp.33-59.
14. Aert W., D. Cormier, and M. L. Magnan(2008), “Corporate environmental disclosure, financial markets and the media; An international perspective,” Ecological Economics, 64(3), pp.643-659.
15. Alford, A. W. and P. G. Berger(1999), “A simultaneous equations analysis of forecasts accuracy, analysts following, and trading volume,” Journal of Accounting, Auditing & Finance, 14(3), pp.219–246.
16. Amel-Zadeh, A. and G. Serafeim(2018), “Why and how investors use ESG information: Evidence from a global survey,” Financial Analysts Journal, 74(3), pp.87-103.
17. Bandyopadhyay, S., L. Brown, and G. Richardson (1995), “Analysts’ use of earnings forecasts in predicting stock returns: Forecast horizon effects,” International Journal of Forecasting, 11(3), pp.429-445.
18. Bonini, S. and A. G. Kerl(2014), “Subjective valuation and target price accuracy,” Working Paper, Bocconi University. Available at SSRN: http://papers.ssrn.com/abstract=2168856
19. Bradshaw, M.(2002), “The use of target prices to justify sell-side analysts’ stock recommendations,” Accounting Horizons, 16(1), pp.27-41.
20. Bradshaw, M., L. Brown, and K. Huang(2013), “Do sell-side analysts exhibit differential target price forecasting ability?,” Review of Accounting Studies, 18(4), pp.930-955.
21. Chatterji, A. K., R. Durand, D. I. Levine, and S. Touboul(2016), “Do ratings of firms converge? implications for managers, investors and strategy researchers,” Strategic Management Journal, 37(8), pp.1597-1614.
22. Cheng, B., I. Ioannou, and G. Serafeim(2014), “Corporate social responsibility and access to finance,” Strategic Management Journal, 35(1), pp.1-23.
23. Clarkson, P., A. Nekrasov, A. Simon, and I. Tutticci (2020), “Target price forecasts: The roles of the 52-week high price and recent investor sentiment,” Journal of Business Finance & Accounting 47(9-10), pp.1365-1399.
24. Collins, D. W., E. L. Maydew, and I. S. Weiss(1997), “Changes in the value-relevance of earnings and book values over the past forty years,” Journal of Accounting and Economics, 24 (1), pp.39-67.
25. Da, Z. K. Hong, and S. Lee(2016), “What drives target price forecasts and their investment value?,” Journal of Business Finance and Accounting, 43(3-4), pp.487-510.
26. Dechow, P. and H. You(2012), “Analysts’ motives for rounding EPS forecasts,” The Accounting Review, 87(6), pp.1939-1966.
27. Dhaliwal, D. S., O. Z. Li, A. Tsang, and Y. G. Yang (2011), “Voluntary nonfinancial disclosure and the cost of equity capital: The initiation of corporate social responsibility reporting,” The Accounting Review, 86(1), pp.59-100.
28. Dhaliwal, D. S., S. Radhakrishnan, A. Tsang, and Y. G. Yang(2012), “Nonfinancial disclosure and analyst forecast accuracy: International evidence on corporate social responsibility disclosure,” The Accounting Review, 87(3), pp.723-759.
29. Eliwa, Y., A. Aboud, and A. Saleh(2021), “ESG practices and the cost of debt: Evidence from EU countries,” Critical Perspectives on Accounting, 79, 102097.
30. Ertimur, Y., J. Sunder, and S. Sunder(2007), “Measure for measure: The relation between forecast accuracy and recommendation profitability of analysts,” Journal of Accounting Research, 45(3), pp.567-606.
31. Gleason, C., W., Johnson, and H. Li(2013), “Valuation model use and the price target performance of sell-side equity analysts,” Contemporary Accounting Research, 30(1), pp.80-115.
32. Grewal, J., E. Riedl, and G. Serafeim(2019), “Market reaction to mandatory nonfinancial disclosure,” Management Science, 65(7), pp.3061-3084.
33. Hayes, R. M.(1998), “The impact of trading commission incentives on analysts’ stock coverage decisions and earnings forecasts,” Journal of Accounting Research, 36(2), pp.299-320.
34. Heckman, J. J.(1979), “Sample selection bias as a specification error,” Econometrica, 47(1), pp.153-161.
35. Hong, Y. and M. L. Anderson(2011), “The relationship between corporate social responsibility and earnings management: An exploratory study,” Journal of Business Ethics, 104, pp.461-471.
36. Hope, O. K.(2003), “Disclosure practices, enforcement of accounting standards, and analysts’ forecast accuracy: An international study,” Journal of Accounting Research, 41(2), pp.235-272.
37. Kaiser, L.(2020), “ESG intergration: Value, growth and momentum,” Journal of Asset Manage- ment, 21(1), pp.32-51.
38. Kerl, A. G.(2011), “Target price accuracy,” Business Research, 4, pp.74-96.
39. Khan, M., G. Serafeim, and A. Yoon(2016), “Corporate sustainabiliy: First evidence on materiality,” The Accounting Review, 91(6), pp.1697-1724.
40. Kiymaz, H.(2019), “Factors influencing SRI fund performance,” Journal of Capital Markets Studies, 3(1), pp.68-81.
41. Kothari, S. P.(2001), “Capital markets research in accounting,” Journal of Accounting and Economics, 31(1-3), pp.105-23.
42. Lev, B. and G. Feng(2017). The end of accounting. HANS MEDIA.
43. Liu, X. and C. Zhang(2017), “Corporate governance, social responsibility information disclosure, and enterprise value in China,” Journal of Cleaner Production, 142, pp.1075-1084.
44. Loh, R. and G. Mian(2006), “Do accurate earnings forecasts facilitate superior investment re- commendations?,” Journal of Financial Eco- nomics, 80(2), pp.455-483.
45. Oh, H. M., S. B. Park, and H. Y. Ma(2020), “Cor- porate sustainability management, earnings transparency, and chaebols,” Sustainability 12(10), 4222.
46. Petersen, M.(2009), “Estimating standard errors in finance panel data sets: Comparing approaches,” Review of Financial Studies, 22(1), pp.435- 480.
47. Verrecchia, R. E.(2001), “Essays on disclosure,” Journal of Accounting and Economics, 32 (1-3), pp.97-180.

∙ 저자 신희정은 현재 동의대학교 회계학과 조교수로 재직 중이다. 이화여자대학교에서 경영학박사를 취득하였으며, 주요 연구 분야는 재무제표분석, 기업가치평가, 시장이상현상 등이다.

∙ 저자 최수영은 인하대학교 경영대학의 강사로 재직 중이다. 인하대학교에서 경영학 박사 학위를 취득하였으며, 연구 관심 분야는 회계정보와 가치평가, 투자심리, 경영전략, ESG경영과 지속가능성 등이다.