신용평가 등급 불확실성과 ESG 성과와의 관계: 신용등급 상향 및 하향 가능성의 비대칭적 효과

초록

While prior studies have primarily examined how environmental, social, and governance (ESG) activities affect credit risk and financing costs, relatively little attention has been paid to the reverse relationship. In particular, it remains unclear whether firms’ expectations regarding credit rating changes are associated with their ESG decisions. This study addresses this gap by examining the relationship between credit rating change likelihood and corporate ESG performance, with a particular focus on the asymmetric effects of upgrade and downgrade likelihood. To capture firms’ potential rating transitions, this study focuses on credit rating notches, which provide information about a firm’s relative position within a broad rating category. In the corporate bond rating system, “+” and “−” notches indicate that a firm is positioned closer to an upgrade or downgrade, respectively. Firms positioned near an upgrade are more likely to be perceived as financially stable or improving, whereas those positioned near a downgrade are more likely to face greater concerns regarding financing costs, investor confidence, external monitoring, and reputational risk. Consequently, firms exposed to potential downgrades may have stronger incentives to enhance ESG activities as a strategic signal of sustainability and risk-management capabilities to external stakeholders. Using an unbalanced panel of Korean listed manufacturing firms from 2011 to 2021, this study combines data on ESG performance, credit ratings, and firm-level financial characteristics. Panel regression models are employed to examine ESG scores, while ordered logit models are used to analyze ESG rating indicators. The environmental, social, and governance dimensions are also examined separately, and propen- sity score matching is conducted to assess the robustness of the findings. The results show that the relationship between credit rating change likelihood and ESG perform- ance is driven mainly by downgrade likelihood rather than upgrade likelihood. Specifically, upgrade likelihood is not statistically significant in the main specifications, whereas downgrade likelihood exhibits a consistently positive and significant association with both ESG scores and ESG rating indicators. Further analyses show that downgrade likelihood is positively associated with the environmental and governance dimensions, while its association with the social dimension is not statistically significant. These findings remain robust after propensity score matching. Additional tests show that the positive association between downgrade likelihood and ESG per- formance is stronger among firms with higher growth rates and larger market shares. The difference by market share is statistically significant, while the difference by growth rate is significant at a relatively weak level. These findings suggest that firms’ ESG responses to downgrade risk vary with their growth prospects and market position. This study contributes to the literature by providing a more dynamic perspective on the relationship between ESG and credit risk. Rather than viewing ESG solely as a determinant of creditworthiness, the findings suggest that anticipated credit rating pressure may also motivate firms to strengthen their ESG performance. The study further highlights the asymmetric nature of this relationship by showing that firms’ ESG responses are driven primarily by downgrade risk rather than upgrade potential. Overall, the findings suggest that ESG activities may serve as a strategic risk-management mechanism for firms facing potential credit rating downgrades.

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