The Market Reaction to Carbon Disclosure of Listed Companies——Evidence from Heavily Polluting Industries
To test whether the carbon disclosure of listed companies has information content,can be reflected through the share price in capital mar-ket,this paper selects the A-share heavy polluting industry enterprises belongs to the first low-carbon pilot provinces and cities of Shanghai and shenzhen in 2013-2019 as samples,using self-designed index system,studies the market reaction of carbon disclosure in different window periods,and the impact of carbon disclosure level on company market value.The studying results show that carbon disclosure of listed companies can lead to short-term fluctua-tions of stock price,carbon disclosure and cumulative abnormal return is negative correlation within the time window of three days before and after,but on-ly if the disclosure is all good news,significant negative reaction can only be seen.The results of grouping test of all good news samples showes that the negative reaction of the low disclosure group is larger,more significant and more robust,while the negative reaction of the high disclosure group is no lon-ger significant.With the extension of the window period,although there is a positive reaction trend,it is not significant,and no evidence has been found that carbon disclosure can help improve the company's future market value before the national dual-carbon goals is proposed.Empirical analysis shows that the cost of disclosing only good news is high in the short term,especially when the level of disclosure is lower,which may be the main reason why most companies lack the motivation to disclose.In view of the fact that carbon disclosure is the basis to support the smooth implementation of carbon peak and carbon neutral,in order to improve the level of carbon disclosure of listed companies,increase the decision-making usefulness and value relevance of carbon information,corresponding suggestions are put forward finally from the three levels of government,enterprise and society.
Low-carbon EconomyCarbon DisclosureMarket ReactionCumulative Abnormal ReturnMarket Value
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