기업의 ESG가 내부자 거래와 정보비대칭 간의 관계에 미치는 영향 (The Effect of a Firm’s ESG on the Relationship between Insider Trading and Information Asymmetry)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 36권 / 2호 / 89 ~ 123페이지
· 저자명 : 김태연, 김현동, 나재석

초록

본 연구는 기업의 환경, 사회 및 기업 지배구조(Environmental, Social, and Governance; 이하 ESG) 성과가 내부자 거래와 정보비대칭 사이의 관계에 미치는영향을 분석한다. 2011년부터 2020년까지 한국 유가증권시장과 코스닥시장에 상장된기업을 대상으로 분석한 결과, 내부자 주식거래와 재무분석가의 이익 예측 오차 및분산 간의 음(-)의 관계는 ESG 성과가 높은 기업에서 강화되는 것으로 관찰되었다.
이러한 결과는 높은 ESG 성과를 보이는 기업에서 내부자 거래가 제공하는 정보의투명성과 신뢰성이 향상되어 정보비대칭을 더 많이 감소할 수 있음을 제시한다. 기존연구와 달리 본 연구는 내부자 거래와 정보비대칭 사이의 관계가 내부자 거래 정보의질적 측면에 따라 상이할 수 있음을 보였다는 점에서 의의를 갖는다.

영어초록

There has been an ongoing debate on the impact of insidertrading on financial markets. Insiders can easily access inside information and make abnormal profits through this information advantage, consequently decreasing the confidence of investors in financial markets. In contrast to this negative side, insider trading can positively affect financial markets. Since insider trading provides investors with crucial information that is not publicly released about firms’performance or financial policies, insider trading reduces information asymmetry between firms and investors (Ke, Huddart, and Petroni, 2003; Lustgarten and Mande, 1998; Sivakumar and Vijayakumar, 2001; Kim and Choi, 2010; Sohn, Kim, and Goh, 2009). Insider buying (selling) signals that firms are possibly undervalued (overvalued) or may have good (bad) news, suggesting that insider trading benefits financial markets by decreasing information asymmetry. However, this negative relationship between insider trading and information asymmetry is likely to depend on information quality. Because insider trading in firms that disclose transparent information conveys valuable information to financial markets, the positive effect of insider trading on information asymmetry is expected to increase in these firms. In this reasoning, the relationship between insider trading and information asymmetry is likely to depend on the quality of information that firms provide.
Meanwhile, a firm’s environmental, social, and governance (ESG) has received a growing attention from both practitioners and academics over the past decade. ESG is regarded as an important factor for firms to improve a good reputation and achieve sustainable survival (Leem, Cheung, and Son, 2019). Existing studies has examined the relationship between ESG and information asymmetry (Cho, Lee, and Pfeiffer, 2013; Kim, Park, and Wier, 2012; Yoon and Lee, 2019). These studies find that information asymmetry between firms and investors tends to decrease in firms with greater EGS because these firms provide markets with trustworthy information, implying that ESG is likely to improve the quality of information that firms disclose. In line with this extant literature, information quality can affect the relationship between insider trading and information asymmetry, but relatively little is known about this research. Thus, we examine how a firm’s ESG affects the relationship between insider trading and information asymmetry. Since the information quality of firms with more ESG is higher than that of firms with less ESG, the positive effect of insider trading on information asymmetry will be pronounced in firms that invest in more ESG. Based on this discussion, we propose the hypothesis that the negative association between insider trading and information asymmetry strengthens in firms with greater ESG.
To test our hypothesis, we use data on Korean firms over the 2011-2020 period.
Following existing literature (e.g., Lang and Lundholm, 1996; Krishnaswami and Subramaniam, 1999; Drobetz, Grüninger, and Hirschvogl, 2010), we measure information asymmetry using analysts’forecast errors and dispersion. In addition, we measure insider trading as net insider trading, which is the difference between insider buying and selling in a given year. Furthermore, given that our ESG data comprises six ratings, we define firms with A+, A, or B+ of ESG rating as high ESG firms and these with B, C, or D of ESG rating as low ESG firms, respectively. Our final sample includes 3,531 firm-year observations from 2011 to 2020.
We find that the negative relationship between insider trading and analysts’ earnings forecast errors and dispersion is stronger in firms that engage in more ESG. Our results suggest that firms’ ESG is likely to improve the transparency and credibility of insider trading’s information, resulting in a greater decrease in information asymmetry. Further, our findings persist after addressing endogeneity issues such as reverse causality and omitted variable bias concerns. Specifically, our results hold when we conduct various robustness tests including regressions with firm fixed effects, change regressions, and System Generalized Method of Moments (GMM) estimations, and alternative measures of analyst forecasts.
While previous studies on insider trading have examined a negative relationship between insider trading and information asymmetry, this paper contributes to the corporate finance literature by showing that the association between insider trading and information asymmetry depends on the information quality of insider trading.
Moreover, this study adds to the literature on ESG by focusing on how a firm’s ESG affects information asymmetry.

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