Environment Pollution,Media Attention and Investor Reaction
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We investigate the reaction of market to environment pollution events of listed firms,and further explore if the first disclosure of pollution events affect the actions of different investors.By using a dataset on environment pollution since 2010 and high-frequency trading data in stock market,we find that the environment pollution causes a value decline of listed firms overally,while the stock market only reacts to the environment pollution exposed by media instead of the government.However,unlike individuals,institutions don't sell significantly.This finding indicates that environment protection responsibilities of the firms are not significantly reflected in the market price mechanism.The lack of the punishment further results in the different reactions between individuals and institutions.Our study has clear policy implications: the regulators should pay more attention to environment protection publicizing,encourage the media's monitor on the firm behaviors and use the finance market as the effective supplement of environment punishment to decrease the negative externalities of environment pollution.Meanwhile,regulators of capital market should formulate and issue relevant systems to promote the environmental information disclosure of listed companies.In general,our paper introduces the financial theory into the field of environmental economics,and provides clear policy implications on the issue of green finance,which is a new conception advocated by our government.Keywords:
Externality
Market mechanism
Environmental Pollution
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Information disclosure is an essential component of regulation in financial markets. In this article, we provide a cohesive analytical framework to review a few key channels through which disclosure in financial markets affects market quality, information production, efficiency of real investment decisions, and traders' welfare. We use our framework to cover four main aspects. First, we demonstrate the conventional wisdom that disclosure improves market quality in an economy with exogenous information. Second, we illustrate that disclosure can crowd out the production of private information, and that its overall market-quality implications are more subtle and depend on the specification of information-acquisition technology. Third, we review how disclosure affects the efficiency of real investment decisions when financial markets are not just a side show, as real decision makers can learn information from them to guide their decisions. Last, we discuss how disclosure in financial markets affects investor welfare through changing trading opportunities and through beauty-contest motives. Overall, our review suggests that information disclosure is an important factor for understanding the functioning of financial markets and that there are several trade-offs that need to be considered in determining its optimal level.
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Value relevance studies assess how well accounting amounts reflect the market information that investors use for their economic decisions. Analysing a sample of 90 banks listed in 24 European stock markets, this study uses a price model (Ohlson, 1995) and provides evidence that a risk-sensitive metric like regulatory capital is more useful for investors’ decisions than book value of equity and that investors price the parts of regulatory capital that are devoted ideally to absorb losses differently due to the different risks taken. In particular, the part devoted to absorb losses due to credit risk is priced higher than the parts devoted to absorb other risks (e.g. market risks, operational risk). According to our evidence, this is due to the business model of the entities analysed, which are mostly retail and wholesale banks with significant credit exposure to clients and other banks. The paper adds to the literature and has implications for regulators and standard setters showing that the assessment and disclosure of regulatory capital not only strengthens the soundness and the stability of the international banking system (Basle Committee on banking supervision, 1988), but provides to investors useful information for their future investment strategies.
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ABSTRACTThe recent market crises have focused interest on methods to improve the functioning of financial markets. Before implementing new regulations, it is necessary to evaluate the effects of previous regulations. Regulatory changes such as Fair Disclosure have an effect on information dissemination and price discovery. This paper uses the information share of individual markets, to measure changes in the information contribution of markets before and after implementation of Regulation Fair Disclosure. Most of the existing studies focus on the price discovery process and the information contribution or share of the individual markets. This paper uses this information share as a metric to test the effect of a particular regulation. Employing cointegration analysis, this study measures the changes in the information share, impulse response functions, and tests whether Regulation Fair Disclosure has achieved its intended goal of greater informational parity and market integration. Results show that Fair Disclosure has increased the information share of satellite markets and achieved greater market integration.JEL: G, G12, G14, G18, G19KEYWORDS: Market Integration, Information Share, Regulation Fair Disclosure, Cointegration, Informational Efficiency, Market Efficiency(ProQuest: ... denotes formulae omitted.)INTRODUCTIONFinancial capital must be optimally matched with investment opportunity. This would require a financial market, in which informational asymmetries do not impede the allocation process. The parties involved in the supply or consumption of financial capital, usually the latter, may be better informed and reluctant to disclose the superior information. Therefore, the participants would require a market that does not suffer from informational asymmetries and accurately discovers the prices of securities. The accuracy of price discovery reveals how efficiently information is distributed to all participants.The production and dissemination of information and price discovery are critical to efficient capital markets. Bernier and Mouelhi (2009) in a study that covers the years 2000-7, show that despite the apparent maturity, the Canadian stock market appears to have been inefficient. Financial markets seem to suffer from persistent informational asymmetries and regulations have been imposed in an attempt to correct them. Nevertheless, the very act of imposing regulations raises several questions. Are regulations justified in a free market? Is there a significant imperfection or externality that needs resolution through regulation? How critical is regulation for the development of equitable capital markets? Do we even need regulation? If regulations are necessary, do we adopt a minimalist approach or impose regulations to preempt every possible crisis.These rules influence the introduction and impounding of new information into prices as well as the dissemination of information through markets in a fundamental way. Thus, any changes to these marketgoverning regulations are bound to have a profound effect on the microstructure of markets and the amount of information that is available to the participants. Edwards (2012) changes in Fed policy interest rates were transmitted into domestic short-term interest rates. An examination of the effect of regulations is particularly relevant in the modem framework where markets have fragmented into a large number of trading venues. Though investors have a greater choice, are the different markets introducing new information and thus contributing to price discovery, or just following a dominant market? Has such proliferation improved price discovery or merely fragmented it? An important, yet less explored line of inquiry is how regulations affect the interactions of various markets and how such effects are manifested in price discovery. This study attempts to at least some of these questions by studying the impact of Regulation Fair Disclosure (Reg FD) on the information share of multiple markets trading the same asset. …
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Stock (firearms)
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Voluntary disclosure
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The Rudd Labor Government plans to introduce a national Emissions Trading Scheme (ETS) in Australia, which is expected to start in 2010. When emissions trading in Australia becomes a reality, any domestic assets which increase a company's emission profile will increase the liability of that firm. A material impact on company valuations is likely to result. This thesis investigates whether the share market negatively assesses the existence of unbooked future liabilities - emissions abatement and/or permit spending obligations - for intensive firms. A modified version of the Ohlson (1995) valuation model is used for testing purposes and is followed by an event study to provide further insights. The event study examines the stock market reaction of intensive firms on key regulatory event dates. Data comes from relevant responses to the Carbon Disclosure Project (CDP) and expert industry estimates where such responses are unavailable. Related research is beginning to attract mainstream financial services companies. Notwithstanding, the connection between emissions trading and company valuation is relatively unexplored in an academic context. This study adds to the Australian literature, which to this point only assesses the risk exposures of ASX firms (Citigroup, 2006; Citigroup, 2008; VicSuper, 2007) and key Australian industries (Investor Group on Climate Change, 2007). The author is unaware of any research which investigates the extent to which corporate greenhouse gas (GHG) emissions data is being impounded in share prices. Despite earnings impacts unlikely to be felt until scheme implementation, the study concludes that the financial impact of an ETS on certain intensive ASX companies will be material. Average unbooked liabilities are found to be at least 3.37% of market capitalisation which is inline with recent professional estimates. This equates to an implied cost of carbon of at least AUD29/tonne of dioxide equivalent. If follows that price pass-through and Government assistance may be inadequate to fully shelter firms in their adjustment to a low-carbon economy. Emissions reporting, disclosure and due diligence will each increase in importance and it will become increasingly necessary for these issues to be understood both by firms themselves and from an investment perspective. This research is intended as an early study to address a topical and fast-growth area. Limitations are acknowledged however numerous research opportunities are also identified. Further work will facilitate a smoother transition to emissions trading. While uncertainty remains, those proactive in this area are likely to gain a relative advantage.
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Abstract In an unstable environment, the investors become more aware of the importance of a good assessment of the risk implied by their investment. Therefore, much attention is given to the amount of information provided by the issuer, as well as to the signals it offers to investors. The financial literature emphasizes the role of the dividend policy in signaling the financial soundness of the companies. Our paper aims to verify if the dividend and financing policies of the companies have a role to play in the share valuation in an unstable economic environment and if their explanatory power differs with the phases of the economic cycle. The period 2006-2010 was chosen in order to test our model, as it corresponds to a period of the economic cycle similar to the present one, which may lead to similar behavior of the market participants. Moreover, the behavioral economics sustains the importance of the recent experiences in shaping actors’ responses in conditions perceived as similar. Our analysis is made on a worldwide database including 5391 companies listed in the most important market indices on 82 national capital markets. We chose to multiple linear regressions for successive yearly periods in order to put in evidence in a straight and unambiguous manner the influence of the dividend and financing policies on the share valuation. It puts in evidence that the dividend policy remains an important signal for the investors and it is taken into consideration even more seriously in unstable economic environment. Moreover, the financing policy is emphasized as important signal in investors’ eyes.
Corporate Finance
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This paper provides a theory of informal communication (cheap talk) between firms and the capital market. The theory emphasizes the central role that agency conflicts play in firms' disclosure policies. Since managers' information is a consequence of their actions, incentive compensation and information disclosure become two intrinsically linked aspects of corporate governance. In the model, the information disclosed by managers attracts market attention and guides investors in their investigation efforts. Optimal incentive compensation, however, discourages managers from attracting market attention unless the firm is severely undervalued. The analysis relates the credibility of managerial announcements to the use of stock based compensation, the presence of informed trading, and the level of liquidity in the market. The study can also explain why apparently innocuous corporate events (e.g., a stock dividend or a name change) can affect a firm's stock price, and suggests that an adequate use of incentive compensation can foster the communication of managerial information to the market.
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本文以2013—2018年我国A股上市公司为样本，实证检验了经济政策不确定性对企业信息披露的影响及作用机制。研究发现：经济政策不确定性对企业信息披露行为同时具有正负面影响，但整体上降低了信息披露质量。具体地，经济政策不确定性增大了管理者的机会主义行为进而导致年报的可读性降低，即经济政策不确定性下管理层存在“浑水摸鱼”行为。但同时经济政策不确定性引致的融资约束对年报可读性具有改善作用，管理者会主动提高信息披露以缓解融资约束，即存在“自证清白”行为。进一步分析得出，“浑水摸鱼”的负面影响在市值较低以及风险水平较高的企业更加显著，在国有企业与非国有企业差异不明显；“自证清白”的正面效应在不同类型的企业均存在，但表现程度不同。
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