自然灾害对企业价值的实质影响——基于中国上市公司地震公告的事件研究

The real impact of natural disaster on firm value:An event study of earthquake related announcements by Chinese listed firms

自然灾害能对企业造成相当的影响,自然灾害的风险管理不容忽视.衡量自然灾害对企业造成的实质性影响,是从企业层面对自然灾害进行风险管理的前提.本文以地震为例,收集我国上市公司于2008年~2015年间发布的,关于企业生产运营是否受到地震灾害影响的公告,定位可能受到实质影响的企业,利用事件研究法,估计地震给企业造成的实质影响.首先,结合已有研究的结论,对研究情境和样本可能存在的情绪性影响进行逐一讨论和检验,未发现有显著的情绪性影响的存在.然后,估算得受影响公告公布当天,样本企业市值平均损失2%,—周内平均损失2.5%,基于多重检验,该损失可以被认为是地震对企业造成的实质影响.此外,还检验了突发事件情境下,我国股票市场的半强有效性,发现市场反应及时,不存在逆转,且可以区分不同信息,说明该情境下我国“股票市场半强有效”假设成立.前述研究结果稳健.

The impact of natural disasters on a firm can be profound.This study collects all announcements made by Chinese listed firms related to operational impact due to earthquakes from 2008 to 2015.Utilizing the event study methodology,the real impact on firm value is measured by the abnormal return after the announcement.First,possible emotional reactions that may arise from different channels are examed.Those possible emotional reactions are either controlled or negligible.Second,it is found that a firm’s market value loses,on average,2%on the announcing day,given the announcement claimed that the firm's operationis indeed impacted by the earthquake.The loss increases to 2.5%if the time window is extended to a week.As the possible emotional reactions have been removed,those abnormal returns can be treated as the real impact of earthquakes.Moreover,investors respond to the information timely and irreversibly.In addition,investors can distinguish the severity of impacts contained in the announcement.This evidence indicates that the Chinese market is at least a'semi-efficient market'.Changing models of estimation and counterfactual construction does change our result qualitatively,as proves the robustness of our results.