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Is There A Green Link A Panel Data Value Event Study Of The Relationship Between Capital Markets And Toxic Releases

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Author Info
Amarnath Ananthanarayanan () (Rutgers University)
Abstract

This paper attempts to look at the effectiveness of public provision of pollution information in providing incentives for firms to control pollution. This is achieved by examining the effect of release of pollution information on the market value of firms. The paper conducts a value event study using the U.S Environmental Protection Agency's Toxic Release Inventory Program as the basis for its analysis. We conclude that there are significant negative abnormal returns on the day of the release of the pollution information for all the seven releases put together. But, there are no significant negative abnormal returns for each of the seven releases when we incorporate the contemporaneous correlation of the returns and inter-temporal correlation of the estimated abnormal returns. In addition, this negative effect peters away as the length of the event period is extended to include the four days after the release of the information as well.

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Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 199818.

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Date of creation: 17 Sep 1998
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Handle: RePEc:rut:rutres:199818

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Related research
Keywords: Environment Pollution; Event Study; Panel Data; Seemingly Unrelated Regressions (SUR); Toxic Release Inventory (TRI);

Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
Q28 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Government Policy

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March. [Downloadable!] (restricted)
  2. Konar, Shameek & Cohen, Mark A., 1997. "Information As Regulation: The Effect of Community Right to Know Laws on Toxic Emissions," Journal of Environmental Economics and Management, Elsevier, vol. 32(1), pages 109-124, January. [Downloadable!] (restricted)
  3. Kennedy, P.W. & Laplante, B. & Maxwell, J., 1993. "Pollution Policy: The Role for Publicly Provided Information," Papers 9301, Laval - Recherche en Energie.
    Other versions:
  4. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September. [Downloadable!] (restricted)
  5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
  6. Lanoie, Paul & Laplante, Benoit & Roy, Maite, 1997. "Can capital markets create incentives for pollution control?," Policy Research Working Paper Series 1753, The World Bank. [Downloadable!]
  7. Salkever, David S., 1976. "The use of dummy variables to compute predictions, prediction errors, and confidence intervals," Journal of Econometrics, Elsevier, vol. 4(4), pages 393-397, November. [Downloadable!] (restricted)
  8. Jaffe Adam B. & Stavins Robert N., 1995. "Dynamic Incentives of Environmental Regulations: The Effects of Alternative Policy Instruments on Technology Diffusion," Journal of Environmental Economics and Management, Elsevier, vol. 29(3), pages S43-S63, November. [Downloadable!] (restricted)
  9. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  10. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March. [Downloadable!] (restricted)
  11. Paul Lanoie & Benoit Laplante & Maité Roy, 1997. "Can Capital Markets Create Incentives for Pollution Control?," CIRANO Working Papers 97s-05, CIRANO. [Downloadable!]
  12. Ayres, Robert U & Kneese, Allen V, 1969. "Production , Consumption, and Externalities," American Economic Review, American Economic Association, vol. 59(3), pages 282-97, June. [Downloadable!] (restricted)
  13. Salinger, Michael, 1992. "Standard Errors in Event Studies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 39-53, March. [Downloadable!]
  14. Kennedy Peter W. & Laplante Benoit & Maxwell John, 1994. "Pollution Policy: the Role for Publicly Provided Information," Journal of Environmental Economics and Management, Elsevier, vol. 26(1), pages 31-43, January. [Downloadable!] (restricted)
  15. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Stavins, Robert, 2003. "Market-Based Environmental Policies: What Can We Learn from U.S. Experience (and Related Research)?," Discussion Papers dp-03-43, Resources For the Future. [Downloadable!]
    Other versions:
  2. Stavins, Robert, 2000. "Experience with Market-Based Environmental Policy Instruments," Working Paper Series rwp00-004, Harvard University, John F. Kennedy School of Government. [Downloadable!]
    Other versions:
  3. Stavins, Robert, 2001. "Lessons from the American Experiment with Market-Based Environmental Policies," Working Paper Series rwp01-032, Harvard University, John F. Kennedy School of Government. [Downloadable!]
    Other versions:
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