上市融资环保核查对证券市场的影响:基于事件研究法的评价

Impact of The Announcement of Listing Environmental Examination and Approval Results on Stock Market:An Event Study

上市融资环保核查制度是中国环境经济政策和上市公司监管的重要创新,对遏制污染企业扩张和控制由污染引起的金融风险具有重要作用。运用事件研究法,以2007年上市融资环保核查正式实施后的6年间的93件上市再融资环保核查结果公告为样本事件,通过对比事件前后上市公司股票的超额回报率变变化,分析了该环境事件对证券市场的影响。结果表明,环保部公布的事件结果对证券市场能够产生影响。特别是上市融资环保核查负面事件公告,在整个事件窗口期内共引起上司公司股票13.18%的负向平均累积超额回报率,公告前的第4天和公告后的第3天影响程度最大,且具有统计上的显著性。按行业比较,事件结果公告对石化行业的影响最为显著。本研究证明了中国的证券市场在处理环境信息上的有效性,也为环保核查制度的开展和证券投资者的投资决策提供了实证支持。

The system of requiring environmental examination and approval （EEA） for companies intend to financing in stock market is an important innovation of environmental economics policy and listed companies supervision. The system is a vital function for halted the expansion of pollution - intensive industries and the financial risks cause by the pollution. This paper analyzes the impact of environmental examination and approval results announcement on listed companies by studying a sample of 93 stocks that has been experienced the EEA during the past 6 years since 2007. The impact is measured in terms of stock return. We can find that, the EEA result announcement from environmental authority has impact on stock return. Especially for the negative result announcement events, during the whole windows, the negative events lead to negative average abnormal returns of up to 13.18%. The impact is strong and significant in t - test in day 4 before and day 3 after announcement. The petrochemical industry is the most influenced industry. These findings should be viewed as evidence of the role that capital markets could play in environmental management, as well as providing support for EEA system of environmental authority and financial decision of investors.