Reexamination of stock price reaction to environmental performance: A GARCH application
Reexamination of stock price reaction to environmental performance: A GARCH application
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DOI：
10.1016/j.ecolecon.2008.04.004
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发表时间：
2008-12
影响因子：
7
通讯作者：
K. Yamaguchi
中科院分区：
文献类型：
--
作者：
K. Yamaguchi
本文利用考虑广义自回归条件异方差（GARCH）效应的市场模型，考察了日经环境管理排名调查评估的企业环境绩效如何影响排名公司的股价。因此，我们将EGARCH模型的结果与普通最小二乘法（OLS）的结果进行了8年和每年的比较。所得结果显示，日经环境管理排名在30位以上的企业，其股价在活动当日有上升、下跌或持平的趋势。基于8年周期的分析结果表明，市场对企业环境绩效的反应对排名频率越高的企业具有正作用，对排名频率越低的企业具有负作用。
This paper examines how the corporate environmental performance of a firm — evaluated by the Nikkei Environmental Management Ranking survey — affects the ranked firms' stock price, using the market model that accounts for Generalized Autoregressive Conditional Heteroskedasticity (GARCH) effects. Accordingly, we compare the results of the EGARCH model with that of Ordinary Least Squares (OLS) for a period of eight years and for each year. The obtained results indicate that the stock prices of firms ranked above thirty in Nikkei Environmental Management Ranking have risen, fallen, or remained constant on the event day. The findings based on the analysis by the period of eight years suggests that market reaction to corporate environmental performance has a positive effect for the higher frequency of ranking and a negative effect for the lower frequency of ranking.