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| 1 |
ID:
146511
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| Summary/Abstract |
This article presents a large-scale, systematic study of politically connected firms in China. It was conducted by compiling a database of all the publicly traded firms in China in 1993, 2002 and 2012 that codes the biographies of hundreds of thousands of board members. I find that there has been a significant increase in the percentage of firms that are connected with the national government in the last 20 years. This casts doubt on a popular argument that businesses in China have primarily relied on “local protectionism.” I interpret this as a result of firms' need to connect with powerful and stable institutions. I test this by examining the impact of the fall of Chen Liangyu on firms in Shanghai.
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| 2 |
ID:
098622
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2010.
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| Summary/Abstract |
This paper investigates the competition effects of the entry of Vattenfall into the German electricity market. While the competition authorities supported the entry by approving Vattenfall's acquisition of three regional utilities, other market participants raised concerns over the emergence of an upcoming oligopoly in the German market for power generation. We contrast the efficiency hypothesis postulating pro-competitive effects of mergers with the market power hypothesis postulating anti-competitive effects. For the analysis of the two opposing hypotheses, we use an event study approach to the stock prices of Vattenfall's competitors in the German market. While we find no empirical evidence for increased market power in the German electricity market due to Vattenfall's mergers, there is some indication for efficiency increases. We therefore cannot oppose the view of the competition authorities predicting an overall positive effect for consumers as a result of Vattenfall's entry into the German electricity market.
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| 3 |
ID:
150810
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This paper investigates the effect of OPEC production decisions (increase, cut, maintain) on both WTI and Brent crude oil prices between Q1 1991 and Q1 2015 by employing the event study methodology and by using two indices as benchmarks (BCI and S&P GSCI). We employ an EGARCH model to take into account the high volatility of oil prices and some stylized facts characterizing this volatility. We find that the impact of OPEC’s announcements on oil prices (i)evolves over time and among decisions, (ii) is more significant for production cut and maintain, (iii) is different for WTI and Brent prices, and (iv) is sensitive to the benchmark index. Moreover, OPEC’s decisions depend on the exploration and extraction cost of more expensive/unconventional oil resources.
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| 4 |
ID:
132685
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2014.
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| Summary/Abstract |
The aim of this paper is to examine whether shareholders consider the EU Emissions Trading Scheme (EU ETS) as value-relevant for the participating firms. An analysis is conducted of the share prices changes as caused by the first publication of compliance data in April, 2006, which disclosed an over-allocation of emission allowances. Through an event study, it is shown that share prices actually increased as a result of the allowance price drop when firms have a lower carbon-intensity of production and larger allowance holdings. There was no significant value impact from firms× allowance trade activity or from the pass-through of carbon-related production costs (carbon leakage). The conclusion is that the EU ETS does 'bite'. The main impact on the share prices of firms arises from their carbon-intensity of production. The EU ETS is thus valued as a restriction on pollution.
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| 5 |
ID:
101686
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2010.
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| Summary/Abstract |
This article studies the effects of conflict onset on asset markets applying the event study methodology. The authors consider a sample of 101 internal and inter-state conflicts during the period 1974-2004 and find that a sizeable fraction of them has had a significant impact on stock market indices, exchange rates, oil and commodity prices. This fraction is inconsistent with pure chance, that is, with the selected probability of type-I errors in our tests of statistical significance. The results suggest that, on average, national stock markets are more likely to display positive than negative reactions to conflict onset. When the authors distinguish between internal and inter-state conflicts, they find that the fraction of significant results is higher for international conflicts. When the authors classify events according to the region where they occur, they find that Asia and the Middle East are the regions where conflicts tend to have the strongest effects. Finally, the article reports evidence that abnormal returns would have accrued to investors systematically exploiting conflict onset to implement conflict-driven strategies. Results are robust to selecting a subset of high-intensity conflicts and to expanding the time window over which conflict events are defined. The findings of the article confirm the economic importance of the effects of conflicts on asset markets.
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| 6 |
ID:
189403
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The purpose of this paper is to shed light on the impact of the rising terrorist threat on the performance of a small capitalization market – the Tunisian stock market-. Using an event study methodology as well as conditional volatility, we investigate the impact of recent terrorist attacks in Tunisia on the general index TUNINDEX and sector indices. Our main findings are as follows. First, we find that terrorist attacks negatively affect the Tunisian stock market. However, the decline – considerable in certain cases- is short-lived: the market recovers from terrorist shocks in one day. Second, Oil and Gas, Insurance and Telecommunications, are the most affected sectors. Third, different terrorist tactics have varied effects on the stock market that leads us to conclude that attack type, weapon type, target type, and severity of the attack may determine the market’s reactions.
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| 7 |
ID:
187919
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This paper explores the impact of environmental regulation (ER) on outward foreign direct investment (FDI) flows in China. During the period from 2013 to 2015, all Chinese cities were required to join a nationwide automatic air quality monitoring network in batches, and this policy exogenously raised local environmental regulation. This unique policy implemented full coverage through a staggered adoption, which motivates this paper to apply an event study approach to identify the treatment effect of stringent environmental regulation. Based on a city-year level capital outflows dataset constructed from the fDi Markets database, we obtain three main findings: (1) environmental regulation significantly stimulates outward FDI flows; (2) this promoting effect centers on polluting industries; and (3) these ER-induced FDI outflows are mainly directed toward countries with weaker environmental protection and with a closer geographic and cultural distance to the home country. These results together provide a snapshot confirming the classical “pollution haven hypothesis”.
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| 8 |
ID:
186429
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To fulfill the Paris Agreement commitments and stimulated by an unprecedented amount of public resources put in place to recover from the COVID-induced recession, European governments have recently announced sizable green policy plans. In this paper, we examine the behavior of green and brown portfolios around green policy-related announcements (GPAs) made by major European governments in 2020 via a standard event study analysis and the use of returns of stocks listed in the “STOXX 100 All Europe”. Our main empirical findings indicate the presence of positive cumulative abnormal returns (CARs) both in the green and brown sectors following GPAs. However, the estimated positive sentiment effect is stronger in the former sector. A size effect in terms of the amount of resources announced to be allocated for a specific category of policy is also observed. We find that the observed positive sentiment is mainly driven by announcements on climate change mitigation-related policies, which account for 70% of the total allocated funds. At the sector level, positive and significant CARs due to GPAs are found in the (i) energy, (ii) financial and (iii) industrial sectors. At the country level, GPAs are found to drive a significant positive sentiment effect in the following European countries: Switzerland, Spain, UK, Ireland and Italy. Sector- and country-level analyses confirm the presence of larger benefits from GPAs among more sustainable portfolios.
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| 9 |
ID:
140833
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Terrorist attacks adversely affect the Pakistani stock market. However, such effect is short-lived: the market recovers from terrorist shocks in one day. The impact of attack depends on the locations and types of attack. The more severe the attack (i.e. more people killed), the more negative is the KSE-100 index return. Most interestingly, stock market contains information about future attacks. In sum, different tactics of terrorists have varied effects on financial markets, which in turn can predict terrorist attacks.
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| 10 |
ID:
177464
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| Summary/Abstract |
Subsidies and policy support are critical for the development of renewable energy industries such as solar photovoltaics (PV). One of the most important policy instruments for supporting renewable energy development is the feed-in tariff (FIT), which is intended to have a significant, facilitating impact on the steady development of the PV industry. The questions are how strong market reactions are to FIT policies and what forms of policies are more effective. To investigate these questions, this paper uses an event study approach and pays special attention to the responses of the capital market. The empirical results show that the stock returns of listed PV companies in China respond significantly to FIT policies. The capital market responses of these policy shocks differ significantly over time and across companies. Manufacturing companies and companies receiving large subsidies are more sensitive to policy shocks. Given the importance of equity financing to the renewable energy industry, policymakers should take into account the potential uncertainties in the sector that are caused by policy changes.
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| 11 |
ID:
150674
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| Summary/Abstract |
This paper studies the impact of verified emissions publications in the European Emissions Trading Scheme (EU ETS) on the market value of participating companies. Using event study methodology on a unique sample of 368 listed companies, we show that verified emissions only resulted in statistically significant market responses when the carbon price was high and allowance scarcity was anticipated. The cross-section analysis of abnormal returns surrounding the publication of verified emissions shows that share prices decrease when actual emissions relative to allocated emissions increase. This negative relationship between allocation shortfalls and firm value is only significant for firms that are either carbon-intensive, compared to sector peers, or are less likely to pass through carbon-related costs in their product prices. The results suggest that although the EU ETS has been deemed unsuccessful so far due to over-allocation and low carbon price, shareholders initially perceived allowance holdings as value relevant. Our results highlight that a significant carbon market price and addressing pass-through costing are essential for successful future reforms of the EU ETS and other analogous carbon cap-and-trade systems implemented or planned worldwide.
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| 12 |
ID:
176137
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| Summary/Abstract |
In July 2018, the Korean National Pension Service (KNPS), one of the world’s largest pension funds, introduced a stewardship code, and in February 2019 it first exercised active shareholder engagement in an investee. Using an event study methodology, we examine whether this institutional investor’s active shareholder engagement affected the stock market. We find that the stock value of the KNPS’s investees was reduced after the active shareholder engagement. The effect was larger in the case of small-cap stocks, companies in which the KNPS has a 5–10% share, and firms with a lower environmental, social, and governance grade. This implies that market concerns about government intervention are valid, and institutional reforms are necessary, including specific guidelines to balance shareholder and management rights.
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| 13 |
ID:
139214
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| Summary/Abstract |
Using an event study approach to analyze stock market data from the United States, I investigate how regulations on conflict minerals sourced in the Democratic Republic of the Congo were perceived by investors. I find that for a subset of mining companies, stock returns were abnormally high when regulations in the US became more likely. I also find that returns were higher for communications equipment manufacturing companies when strong regulations in the DRC were announced. I argue that these responses were due to the competitive environments faced by each of these company types. These findings relate to debates surrounding the effects of the conflict mineral regulations. While some critics argue that reporting requirements were tantamount to a ban on minerals from the DRC, I find that stock returns for a subset of companies were sensitive to legislation in the DRC after legislation became law in the US, suggesting that market participants did not expect a complete trade ban on regulated mining and trading activities.
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| 14 |
ID:
094278
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| Publication |
2010.
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| Summary/Abstract |
We investigate evidence on the effects of OPEC announcements on world oil prices by examining announcements from both official conferences and ministerial meetings on major international crudes, including the key benchmarks and several other heavy and light grades. With data from 1982 to 2008, we use event study methodology and find differentiation in the magnitude and significance of market responses to OPEC quota decisions under different price bands. We also find some (weak) evidence of differentiation between light and heavy crude grades.
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| 15 |
ID:
192751
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| Summary/Abstract |
The Renewable Energy Certificate (REC) has been considered as an innovative technology for a green society. Many firms look to reduce carbon emissions and improve their environmental, social, and governance (ESG) performance using RECs. However, the impact of REC purchases on the value of firms remains unclear. This study investigates the effect of REC purchases on the stock return and volume of all REC buyers in Taiwan between 2017 and 2021. The sample consists of 266 REC transactions in the trading market. We find a positive effect of firms’ REC purchases on its stock returns in manufacturing but not the service industry. Moreover, the frequency of REC purchases is an important factor in the relationship between REC purchase and firm value. This study also investigates the underlying mechanisms of these effects. We find that public attention paid to environmental pollution is the most crucial factor associated with positive stock return and volume of a firm, while ESG disclosure is negatively associated with returns and volume.
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| 16 |
ID:
102721
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2011.
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| Summary/Abstract |
For a sample of US stocks in the period 1998-1999, Cooper, Dimitrov, and Rau (2001) report dramatic value increases in the 10 days around the announcement of dotcom name changes. We find much smaller value changes for a sample of Chinese listed firms with changes to internet-related dotcom names for the 1998 to 2002 period. This result is surprising given the high proportion of retail trading in China and the prohibition to short sell Chinese stocks. Also in contrast to Cooper, Dimitrov, and Rau (2001), we find that most of the value increase for our sample firms is realized gradually prior to the announcement. Further investigation reveals that our sample firms experience more frequent CEO-turnover, significant increase in return-on-assets, and involve more restructure activities around the name change event. These results suggest that the value increases for firms with name changes are the consequence of substantial and successful operational changes, and that the name change is simply part of that process, instead of the cosmetic effects of name change or investor mania suggested by previous studies.
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