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When Does ESG Lose Value Relevance? A Discount-Rate Threshold in Korea

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  • Lee, Sunwoo

Abstract

Whether ESG performance creates value for shareholders remains contested. We ask whether the ESG–firm value relation in Korea depends on the prevailing monetary regime. Hansen’s (1999) panel threshold model, applied to 5,110 firm-year observations of KOSPI-listed firms over 2012–2025 with cluster-robust inference and 1,000 bootstrap replications, locates a structural break at a 3-year AA− corporate bond yield of 3.19%. The threshold is sharply identified (F = 72.59, bootstrap p

Suggested Citation

  • Lee, Sunwoo, 2026. "When Does ESG Lose Value Relevance? A Discount-Rate Threshold in Korea," MPRA Paper 129220, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:129220
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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