CERE Working Papers, CERE - the Center for Environmental and Resource Economics
Environmental Incidents and Firm Value –International Evidence using a MultiFactor Event Study Framework
() and Rickard Olsson
Abstract: Event study methodology is used to analyze whether bad
news in the form of environmental (EV) incidents affect firm value
negatively. An international sample of firms with EV incidents is studied.
It is found that EV incidents are generally associated with loss of value.
For European firms the loss is statistically significant and the magnitude
of the abnormal returns should be of economic significance to corporations
and investors. The results are not sensitive to multiple variations in
methodology, including the use of international versions of the market
model as well as of multi-factor models of the Fama-French type. Results
are also robust to different parametric and non-parametric test
Keywords: multi-country-multi-factor event study; environmental incidents; abnormal returns; (follow links to similar papers)
JEL-Codes: M14; (follow links to similar papers)
32 pages, March 30, 2010
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