摘要
上市公司披露环境污染事件后的股价响应,反映了投资者对环境事件负面影响的预期。对环境违法企业的处罚力度是决定企业经济损失大小的主要因素之一。由于上市公司环境事件的发生往往会对企业和社会造成严重影响和巨大损失,因此从环境污染事件的违法成本视角解释上市公司股价波动,有助于理解行政处罚等环境管理手段与资本市场表现之间的互动关系,从而为加强我国上市公司环境监管、改善环境信息披露提供实证依据。本文以2000年~2015年间我国90起上市公司环境污染事件为样本,基于有效市场理论,利用事件研究法和多元回归分析,考查多个违法成本测度对股价波动的影响。结果显示:所有样本的累计平均异常收益率在环境污染事件信息披露前后均呈现明显的低谷曲线。信息披露后的累计平均异常收益率下滑并伴有3个交易日左右的滞后期,但整体股价对环境事件的负面响应并不持久。通过多元回归模型分析发现,与上市公司属性变量相比,违法成本变量对环境事件发生后股价波动的解释力更强。罚款占固定资产比例越高,股价向下波动程度越大,而行政处罚金额及其占年净利润比重过低是造成股价难以持续响应的重要原因。要想通过市场力量对上市公司环境治理形成倒逼机制,就需要加大环境处罚力度,提高环境处罚标准,增加企业的环境违法成本。同时,完善上市环境信息披露制度,确保环境信息披露的时效性和真实性,打破环境信息壁垒,是促进二级市场股价对环境污染事件产生持久响应的必要条件。
The response of stock price to the disclosure of an environmental pollution event reflects investors' expectations on the negative impacts of the event. The amount of administrative penalty exerted on the listed company is a main part of its incurred economic losses. Explaining the response of stock price from the perspective of penalty costs is helpful to understand the interactions between environmental regulation and stock market performance. 90 environmental events of listed companies in China from 2000 to 2015 are collected as samples in this paper. Using the method of event study and multiple regression analysis,the stock market's responses to the pollution incidents is investigated in order to understand the impacts of administrative penalty on the stock price. We find that the CAAR of samples experiences a rebound after a short-term reduction with a lag phase around 3 trading days,demonstrating that the stock price's negative responses are not predominant or sensitive enough. The results of multiple regression models show that penalty costs variables are more significant than company attributes variables in explaining the responses of stock prices. The higher the penalty-to-fixed capital ratio the lower the stock price will be. However,the low proportions of penalty-to-net profit ratio are main reasons of the non-lasting responses of stock prices. The results offer important policy implications that the government should raise the environmental penalty costs in order to use market forces to promote corporate environmental management and pollution control. Meanwhile,improving the environmental information disclosure system to ensure timeliness and authenticity of information disclosure is also necessary to facilitate effective and lasting responses of stock price to environmental pollution events.
出处
《中国人口·资源与环境》
CSSCI
CSCD
北大核心
2017年第S1期61-66,共6页
China Population,Resources and Environment
关键词
环境污染事件
违法成本
环境信息披露
事件研究法
累计异常收益率
environmental pollution event
penalty cost
environmental information disclosure event study
cumulative average abnormal return
