Research on Market Effectiveness and Influencing Factors of Environmental Penalty Information Disclosure
This paper collects environment enforcement data from 833 firms listed in China's A-share market in the period of 2015 and 2022 and uses an event study approach to test the effectiveness of environmental information disclosure policy.The results show that the cumu-lative average abnormal return of firms in the sample during the event window of environ-mental information disclosure is significantly negative,which is consistent with the hy-pothesis that the market punishes firms for disclosure of environmental enforcement.Hetero-geneity analysis finds that the market's punitive response is significantly higher to firms from heavy-pollution industries and the extent of market reaction is positively related to the sever-ity of punishment.In terms of the factors influencing market reaction,environmental regula-tions,media attention,and public environmental attention can significantly increase the punitive response of the market,while the political connection plays the opposite role.Fur-ther research indicates that the impact of corporate environmental penalties on stocks'cumu-lative abnormal return lasts for about 20 days and significantly increase the price volatility.This article expands the research on environmental penalty information disclosure and asset pricing,and provides practical inspiration for guiding the green development of capital mar-kets.
Disclosure of Environmental PenaltiesMarket ResponseEvent-study Meth-odology
万方数据
维普
