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Environmental incidents and firm value-international evidence using a multi-factor event study framework

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  • Tommy Lundgren
  • Rickard Olsson

Abstract

Event study methodology is used to analyse 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 the 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 nonparametric test statistics.

Suggested Citation

  • Tommy Lundgren & Rickard Olsson, 2010. "Environmental incidents and firm value-international evidence using a multi-factor event study framework," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1293-1307.
  • Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1293-1307
    DOI: 10.1080/09603107.2010.482516
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    References listed on IDEAS

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    Cited by:

    1. Jan Endrikat, 2016. "Market Reactions to Corporate Environmental Performance Related Events: A Meta-analytic Consolidation of the Empirical Evidence," Journal of Business Ethics, Springer, vol. 138(3), pages 535-548, October.
    2. repec:kap:jbuset:v:144:y:2017:i:3:d:10.1007_s10551-015-2814-y is not listed on IDEAS
    3. repec:bla:eufman:v:21:y:2015:i:1:p:20-51 is not listed on IDEAS

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