Stock market response to environmental policies: Evidence from heavily polluting firms in China
Stock market response to environmental policies: Evidence from heavily polluting firms in China
复制标题
股市对环境政策的反应：来自中国污染严重企业的证据
DOI：
10.1016/j.econmod.2019.09.028
复制
发表时间：
2020-03-01
影响因子：
4.7
通讯作者：
Liu, Xiaoyan
中科院分区：
文献类型：
--
作者：
Guo, Mengmeng;Kuai, Yicheng;Liu, Xiaoyan
近年来，中国的污染问题日益突出，不仅加剧了公众对环境保护的担忧，也促使中国政府实施更加严格的环境监管。本文从投资者关注度的角度考察股市对中国新环保政策发布的反应。我们采用事件研究方法，评估了2014-2017年中央政府发布的10项环境政策的影响。我们发现一致的证据表明，新环保政策的公布会在短期内损害重污染企业的股票回报。同时，与环保法规相比，环保法规由于政策执行更加严格，导致市场反应更加恶劣。更重要的是，投资者对环境问题的关注（通过百度指数衡量）在预测股市反应方面发挥着至关重要的作用，因为我们发现较高的百度指数会导致污染严重的公司的股票回报较低。异质性分析进一步揭示，环境政策对市场价值的负面影响取决于企业特征，如规模、所有权结构、盈利能力和行业。
Pollution problems have recently become prominent in China, which has not only amplified public concerns on environmental protection but has also pushed the Chinese government to enforce more stringent environmental regulation. In this paper, we investigate the stock market response to the release of new environmental policies in China from the perspective of investor attention. By using the event study methodology, we assess the impact of 10 environmental policies issued by the central government over the period of 2014-2017. We find consistent evidence that the announcement of new environmental policies hurts the stock returns of heavily polluting firms in the short term. Meanwhile, compared to environmental regulations, environmental laws result in more adverse market reactions due to stricter policy enforcement. More importantly, investor attention to the environment issues, as measured by the Baidu Index, plays an essential role in predicting the stock market response, as we find a higher Baidu Index leads to lower stock returns for heavily polluting firms. Heterogeneity analyses further reveal the negative impact of environmental policies on market value is contingent on firm characteristics such as size, ownership structure, profitability and industry.