The Long-Run Effect of Environmental Issues on Stock Market Performance: Evidence from the U.S. Stock Market
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We examine the long-run effect of U.S. firms’ environmental issue announcements on their stock market performance. We create a merged dataset of the list of environmental issue announcements, provided by Flammer (2013), and the monthly corporate stock returns of 14,662 operating firms in 55 U.S. industries covering the period from January 1950 to December 2012. We use the four-factor capital asset pricing model with difference-in-difference(DID) estimations of the environmental event announcement firm indicator and the pre and post event indicator. From empirical analysis, we find that the beta estimates are strongly significant and closed to one, and the momentum factors are also strongly significant but negative. On the other hand, the DID estimates for individual environmental issues are most likely to be neither significant, nor consistent with sample selections. These empirical foundations show that the environmental issue may bring short-run changes of the excess return, which is the normal return of firms, but the return’s momentum forces it to go back to its original equilibrium.
Abstract
We examine the long-run effect of U.S. firms’ environmental issue announcements on their stock market performance. We create a merged dataset of the list of environmental issue announcements, provided by Flammer (2013), and the monthly corporate stock returns of 14,662 operating firms in 55 U.S. industries covering the period from January 1950 to December 2012. We use the four-factor capital asset pricing model with difference-in-difference(DID) estimations of the environmental event announcement firm indicator and the pre and post event indicator. From empirical analysis, we find that the beta estimates are strongly significant and closed to one, and the momentum factors are also strongly significant but negative. On the other hand, the DID estimates for individual environmental issues are most likely to be neither significant, nor consistent with sample selections. These empirical foundations show that the environmental issue may bring short-run changes of the excess return, which is the normal return of firms, but the return’s momentum forces it to go back to its original equilibrium.
참고문헌 (27)
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