Environmental Incidents and Firm Value –International Evidence using a MultiFactor Event Study Framework
AbstractEvent study methodology is used to analyze whether bad news in the form of environmental (EV) incidents affect firm value negatively. An international sample of firms with EV incidents is studied. It is found that EV incidents are generally associated with loss of value. For European firms the loss is statistically significant and the magnitude of the abnormal returns should be of economic significance to corporations and investors. The results are not sensitive to multiple variations in methodology, including the use of international versions of the market model as well as of multi-factor models of the Fama-French type. Results are also robust to different parametric and non-parametric test statistics.
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Bibliographic InfoPaper provided by CERE - the Center for Environmental and Resource Economics in its series CERE Working Papers with number 2010:3.
Length: 32 pages
Date of creation: 30 Mar 2010
Date of revision:
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Web page: http://www.cere.se
multi-country-multi-factor event study; environmental incidents; abnormal returns;
Find related papers by JEL classification:
- M14 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
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- Asgharian, Hossein & Hansson, Bjorn, 2003. "The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 325-353, October.
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