Investor Attention and Market Ｒesponse to Negative Environmental Events of Listed Companies
Xi Cen，Wang Mingxuan，Liu Yifang and Liu Qian
摘要：资本市场对负面环境事件的有效反应是激励行业企业环境保护的重要途径。本文对所有在A股和H股市场交叉上市公司的负面环境信息披露事件的市场反应进行研究，并从投资者关注的视角分析负面环境事件市场反应的作用机制和影响因素。研究发现整体上我国负面环境信息披露事件对股票市场造成的冲击弱于其他国家的市场，相比来说，A股市场比H股市场反应速度更快，但程度更小；两市场上投资者对公司的关注度越高，市场反应程度越大；信息披露方、行业、公司类型、财务状况等因素也对市场的累计异常收益率有显著影响。本文的结论从投资者关注角度证明了加强重大环境事件信息临时披露的必要性，并从市场差异角度启示了内地市场逐步落实强制性环境信息披露重要性。未来完善绿色金融体系，一要明确环境信息披露标准体系，逐步提升企业自身环境管理能力；二要搭建良好的信息平台，充分发挥大众媒体和专业NGO的力量；三要通过宣传教育和风险评估模型研发，培育绿色投资者。
关键词 ： 负面环境事件, 信息披露, 投资者关注, 绿色金融, 交叉上市公司
Abstract: Effective response of the capital market to the environmental violation events is an essential incentive mechanism for the environmental protection of the company． This paper investigates the market effect of negative environmental information disclosure of all cross－listed companies，and analyzes the influential factors of market reaction to environmental violation events from the perspective of investor attention for the first time． We found that the overall impact of China＇s negative environmental information disclosure on the stock market is weaker than that of other countries． In contrast，the A－share market responses faster than the H－share market，and the H－share market is more responsive than the A－share market． Investors’attention is the common factor affecting market effect in both markets． Besides，disclosure type，industry and other company characters also affect the market effect． This paperproves the necessity of strengthening the temporary disclosure of information on major environmental events from the perspective of investors’attention，and explores the feasibility of implementing mandatory environmental information disclosure in the mainland market from the perspective of market differences． The conclusions give implications developing the green capital market． In the future，the green financial system will be improved． The first recommendation is to clarify the environmental information disclosure standard system and gradually improve the companies’environmental management capabilities． Second，build a good information platform and give full play to the power of mass media and professional NGOs． Third，foster green investors through public education and risk assessment model development．
Keywords: Negative Environmental Events; Information Disclosure; Investor Attention; Green Finance; Cross － listing Companies
基金资助:本文系国家社会科学基金项目“环境治理绩效的评估体系与实施机制研究” (１８ＢＴＪ００４)、中央财经大学研究生科研创新基金“中国居民环境污染支出与不平衡” (２０１６０４)的阶段性成果。
全文：
投资者对上市公司负面环境事件的关注及其市场反应.pdf
DOI:10．19511/j．cnki．jee．2018．04．004