盈利能力、环境执法与环保法律实施的股价冲击——基于新《环境保护法》出台的事件研究

Profitability,Environmental Enforcement and the Share Price Response to Environmental Law-based on the release of “The New Environmental Protection Law”

基于合规成本理论,围绕新《环境保护法》(以下简称"新法")的出台,采用沪深两市A股重污染行业上市公司的相关数据,运用事件研究法和多元截面回归实证考察了"史上最严环保法"的股价冲击及其影响因素。实证发现:(1)"新法"颁布和实施均造成了显著的股价冲击;(2)"新法"颁布事件窗口,上市公司的盈利能力加剧了股价冲击,上市公司外部的环境执法力度缓解了股价冲击;(3)"新法"实施事件窗口,盈利能力缓解了股价冲击,环境执法力度与股价冲击没有显著的相关关系。研究表明,"新法"颁布表现出政策冲击效应,而"新法"实施表现出信息发现效应。研究结论有助于理解投资者的行为特征、决策的过程及影响机制。

Based on the theory of compliance cost, this paper takes the release of ＂The New Environmental Protection Law＂ as an example and uses the event study method to measure to effects of ＂The Strictest Environmental Law＂ on the share price. Furthering, we analysis the factors which influence the share price volatility with use of Multiple Regression. The empirical shows that： （ 1 ） Not only the new law enacts, but also the implementation of the new law makes a negative effect on the share price; （2） In the window period of new law enacts, the company with good profitability and more stringent environmental enforcement face more obvious negative effect; （3） In the window period of new law implement, the profitability contribute to the fall of the share prices and we do not find significant correlation between the enforcement of environmental law of the local government and the share price volatility. The research indicates that the share price react to the law enacts behaviors as a ＂policy shock effect＂, while the share price react to the law implements behaviors as a ＂revelation effect＂. The results can contribute to a better comprehension of investor behavior characteristics, decision making process and influencing mechanism.