1、Impact of Environmental Policies on the Stock Prices of Energy CompaniesDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Xiaoli ZhaoYe FanXueying YuMing FangOct.24.2015OutlineDeveloped by:Ye Fan,School of Business Administration,China University of Petroleu
2、m,Beijing nIntroductionIntroductionnHypothesisHypothesisnDataDatanMethodologyMethodologynEmpirical resultsEmpirical resultsnConclusionsConclusionsnIn traditional corporate management,less attention has been paid to the environmental performance of firms because of profit maximization.Developed by:Ye
3、 Fan,School of Business Administration,China University of Petroleum,Beijing nHowever,stricter environmental policies and a growing concern from consumers have triggered a change from a simple corporate management to an environmentally conscious one.IntroductionIntroductionDeveloped by:Ye Fan,School
4、 of Business Administration,China University of Petroleum,Beijing Environmental Policiesthe Stock Prices of Energy CompaniesAffect?Not Affect?The reaction of Capital Market and Energy CompaniesHypothesisHypothesisnGenerally，environmental control policies have negative impact on stock price of listed
5、 energy companies in the short term.Because,when dealing with environmental policies,companies have to pay extra money on them,and the corporate earnings are reduced(Yanying Chen,2009).Samiah(2013)has the idea that environmental control policies will increase company cost.nHypothesis 1:Environmental
6、 control policies have Hypothesis 1:Environmental control policies have negative impact on stock price of listed energy negative impact on stock price of listed energy companies in the short panies in the short term.Developed by:Ye Fan,School of Business Administration,China University of Petroleum,
7、Beijing HypothesisHypothesisnIn China,traditional energy industries are mainly thermal power generation,coal and oil&gas,they also play important parts in listed energy companies.Coal companies can adjust the selling price according to the market.However,companies of thermal power generation and oil
8、&gas are limited.nHypothesis 2:In the short term,environmental Hypothesis 2:In the short term,environmental policies has a greater negative impact on the stock policies has a greater negative impact on the stock prices of the electric industry and the oil industry prices of the electric industry and
9、 the oil industry rather than the coal industry.rather than the coal industry.Developed by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing HypothesisHypothesisnPlumlee(2009)found companies of a high level of disclosure were welcomed by the capital market,because their
10、expected cash flows would increase.Wang and Choi(2010),Yang Tang(2013)hold the same idea.nHypothesis 3:Hypothesis 3:In the short term,the negative In the short term,the negative impact of environmental policies is relatively low for impact of environmental policies is relatively low for the listed e
11、nergy companies who possess a higher the listed energy companies who possess a higher level of disclosure.level of disclosure.Developed by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing HypothesisHypothesisnChina has vast country lands,population density and unbalance
12、d economic development.So the sense of protecting environment is different in the same way.The level of industrialization of listed energy companies in eastern and central regions of China is higher than the western companies,they need more money to deal with the new coming policies which will surel
13、y influence their economic development.nHypothesis 4:Environmental control policies have Hypothesis 4:Environmental control policies have greater negative effect on Listed Energy Companies greater negative effect on Listed Energy Companies in eastern and central regions of China than the in eastern
14、and central regions of China than the western ones.western ones.Developed by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing HypothesisHypothesisnCowen(1987)point out energy companies of large scale will be paid more attention by the public,so they deal with environmen
15、tal issues actively.However,companies of small size are limited by financial strength,political and social pressure,their ability to deal with environmental issues is always challenged.nHypothesis 5:The negative impact of Hypothesis 5:The negative impact of environmental regulation policies on the l
16、isted environmental regulation policies on the listed energy companies of large scale is smaller than the energy companies of large scale is smaller than the companies of small panies of small size.Developed by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Hypothesis
17、HypothesisnOur classification of environmental policies are Market stimulation,Administrative control,Legislative control and Disclosure.Administrative control,Legislative control are more powerful than Market stimulation and Disclosure(John J.Binder,1985).nHypothesis 6:The negative impact of Hypoth
18、esis 6:The negative impact of environmental regulation policies of Market environmental regulation policies of Market S Stimulation and Disclosure is less than the policies timulation and Disclosure is less than the policies of Administrative control and Legislative control.of Administrative control
19、 and Legislative control.Developed by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing DataDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Environmental control policies over the yearsNo.Enacted TimeEnacting DepartmentEnvironm
20、ental PolicyPolicy Type1Jun.7.2007National Development and Reform CommissionLong-term development plan for renewable energyMarket stimulation2Nov.17.2007State councilEnergy conservation and emissions reduction statistical monitoring and assessment of implementation plan and methodAdministrative cont
21、rol3Jan.15.2008State Environmental Protection Department,NDRCPollution prevention of acid rain and carbon dioxide in the eleventh five-year planAdministrative control4Aug.29.2008National Peoples CongressPeoples Republic of China Circular Economy Promotion LawLegislative control5Aug.25.2009National P
22、eoples CongressResolution on tackling climate changeLegislative control6Jan.19.2010Ministry of Environmental ProtectionPublish environmental administrative penaltiesAdministrative control7May.4.2010State councilNotification of Further intensify efforts to ensure the realization of the emission reduc
23、tion targets in the eleventh five-year planAdministrative control8Aug.29.2011Ministry of Environmental ProtectionPublish Main pollutants emission in China,2011Disclosure9Feb.29.2012National Peoples CongressClean Production Promotion Law of Peoples Republic of ChinaLegislative control10Sep.10.2013Sta
24、te councilAir Pollution Control Action PlanAdministrative controlDataDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing 表3-1 能源上市公司市值统计Statistics of listed energy companiesStatistics of listed energy companies ClassificationNumberThe proportion of top 20 perc
25、ent market capitalization companies The average market capitalization($hundred million)Listed Energy Companies5289.10%473.5IndustryElectricity,heat production3338%82.4Coal Mining1571%292.5Oil,gas exploration471%4378.6The level of disclosureHigh1990%114.6Low3361%87.2AreaEast3090%764.2Middle1548%88.7W
26、est733%52.2Market capitalization($hundred million)V502229.70%26.450V1001125.60%69.6 V1001985.20%1225.1DataDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing No.Code1000027Shenzhen Energy Group Co.,Ltd.2000037Shenzhen Nanshan Power Co.,Ltd.3000531Guangzhou Hen
27、gyun Enterprises Holding Ltd.4000539Guangdong Electric Power Development Co.,Ltd.5000543Anhui Wenergy Company,Limited 6000552Gansu Jingyuan Coal Industry and Electricity Power Co.,Ltd7000600Jointo Energy Investment Co.,Ltd.Hebei 8000601Guangdong Shaoneng Group Co.,Ltd.9000690Guangdong Baolihua New E
28、nergy Stock Co.,Ltd.10000692Shenyang Huitian Thermal Power Co.,Ltd.11000695Tianjin Binhai Energy&Development Co.,Ltd 12000780Inner Mongolia Pingzhuang Energy Resources Co.,Ltd.13000937Jizhong Energy Resources Co.,Ltd.14000966Guodian Changyuan Electric Power Co.,Ltd.15000983Shanxi Xishan Coal and Ele
29、ctricity Power Co.,Ltd 16000993Fujian Mindong Electric Power Limited Company 17001896Henan Yuneng Holdings Co.,Ltd.No.Code27600188 Yanzhou Coal Mining Company Limited 28600348 Yang Quan Coal Industry（Group）Co.,Ltd.29600395 Guizhou Panjiang Refined Coal Co.,Ltd.30600396 Shenyang Jinshan Energy Co.,Lt
30、d.31600397 Anyuan Coal Industry Group Co.,Ltd.32600508 Shanghai Datun Energy Resources Co.,Ltd.33600509 Xinjiang Tianfu Thermoelectric Co.,Ltd.34600578 Beijing Jingneng Thermal Power Co.,Ltd.35600583 Offshore Oil Engineering Co.,Ltd.36600719 Dalian Thermal Power Co.,Ltd.37600726 Huadian Energy Compa
31、ny Limited 38600744 Datang Huayin Electric Power Co.,Ltd 39600758 Liaoning Hongyang Energy Yesource Invest Co.,Ltd 40600780 Top Energy Company Ltd.Shanxi 41600795 GD Power Development Co.,Ltd.42600863Inner Mongolia Mengdian Huaneng Thermal Power Corporatio43600864 Harbin Hatou Investment Co.,Ltd.446
32、00971Anhui Hengyuan Coal Industry and Electricity Power Co.,Ltd45600982 Ningbo Thermal Power Co.,Ltd.46601001 Datong Coal Industry Co.,Ltd.47601088 China Shenhua Energy Company Limited 48601666 Pingdingshan Tianan Coal.Mining Co.,Ltd.49601699Shanxi LuAn Environmental Energy Development Co.,Ltd.50601
33、808 China Oilfield Services Limited 51601857 Petrochina Company Limited 52601991 Datang International Power Generation Co.,Ltd.MethodologynEvent study is a research methodology designed to measure the impact of an event of interest on stock returns.Dolley(1933),Fama(1969),Mackinlay(1997)explains thi
34、s method in detail.To date using a market model,several researchers have performed event studies on the day of the announcement pertaining to environmental information Arora(2001),Gupta and Goldar(2005),and Klassen and McLaughlin(1996).Developed by:Ye Fan,School of Business Administration,China Univ
35、ersity of Petroleum,Beijing Event study contains six steps.1.Define event and time window 2.Identify research samples To examine the effect on share prices,daily data was obtained from CCER for each of the 10 events of the 52 companies.Developed by:Ye Fan,School of Business Administration,China Univ
36、ersity of Petroleum,Beijing Estimation periodEvent periodEvent dayMethodologyMethodology 3.Determine share returns model.From the raw daily data,share returns were calculated according to the formula:where is the share return for firm i on day t and is the share price for day t.Developed by:Ye Fan,S
37、chool of Business Administration,China University of Petroleum,Beijing 11ititititPPPRitRitP(1)Methodology 4.Estimate the abnormal returns.The expected returns is obtained from the market model and EGARCH model(Nelson,1991).The abnormal returns ARi,t is obtained from the formula 4.Developed by:Ye Fan
38、,School of Business Administration,China University of Petroleum,Beijing tiR,titititimtiitiuhRR,)log()log(1,1,1,21,1,1,tiititiititiiitihhhh(2)(3)tititiRRAR,(4)Methodology stands for the cumulative abnormal returns from t1 to t2.is abnormal returns.Also take weight of companies into consideration.Dev
39、eloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing 2121,tttttARCAR）（(5)）（21,ttCAR）（21,ttARMethodology 5.Inspection of significant abnormal returns.To test the null hypothesis that the event does not affect the returns,we use the following J-statistics:6.Conclusi
40、on.Developed by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing ）（1,0),(/1),(0212221NttNttACARJNi(6)Empirical resultsDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing-0.06-0.05-0.04-0.03-0.02-0.0100.010.02-30-25-20-15-10-505101
41、5202530CAR(cumulative abnormal returns)of all the listed energy companiesEmpirical resultsDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Significance Testing SummaryclassificationJ-5J-15J-30IndustryElectricity,heat production-4.7392*-4.34643*-4.13913*Coal
42、 Mining-3.6064*-3.05046*-3.38866*Oil,gas exploration-1.81541*-1.81*-1.37717The level of disclosureHigh-7.2142*-6.5493*-8.08129*Low-4.1082*-3.83078*-3.40319*AreaEast-2.6159*-2.38299*-2.07045*Middle-3.6955*-2.95739*-3.64876*West-3.3530*-3.42822*-2.91289*Market capitalization($hundred million)V50-8.460
43、9*-6.34731*-7.21016*50V100-2.8969*-3.10612*-2.60577*V100-2.9239*-2.65771*-2.46021*J-5，J-15，J-30 stand for the J number in significance test in date-5，5，-15，15，-30，30*=significant at the 1%level.*=significant at the 5%level.*=significant at the 10%level.-0.06-0.05-0.04-0.03-0.02-0.0100.010.02-30-25-2
44、0-15-10-5051015202530CAR(cumulative abnormal returns)of all the listed energy companiesEmpirical resultsDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Summary figure of CAR in different industries-0.07-0.06-0.05-0.04-0.03-0.02-0.0100.010.02-30-25-20-15-10
45、-5051015202530Electricity,heat productionCoal miningoil,gas explorationEmpirical resultsDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Summary figure of CAR in different level of disclouse-0.08-0.07-0.06-0.05-0.04-0.03-0.02-0.0100.010.02-30-25-20-15-10-50
46、51015202530highlowEmpirical resultsDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Summary figure of CAR in different area-0.1-0.08-0.06-0.04-0.0200.02-30-25-20-15-10-5051015202530eastmiddlewestEmpirical resultsDeveloped by:Ye Fan,School of Business Admini
47、stration,China University of Petroleum,Beijing Summary figure of CAR in different size of companies-0.07-0.06-0.05-0.04-0.03-0.02-0.0100.010.020.03-30-25-20-15-10-5051015202530V5050V100Empirical resultsDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing-0.1-0.
48、08-0.06-0.04-0.0200.020.04-30-25-20-15-10-5051015202530Market StimulationAdministrative Control Legislative Control DisclosureEmpirical resultsDeveloped by:Ye Fan,School of Business Administration,China University of Petroleum,Beijing Significance Testing-Market Incentive classificationJ-5J-15J-30In
49、dustryElectricity,heat production0.101264-0.18972-0.23708Coal Mining0.2110320.277802-0.52537Oil,gas exploration0.8874381.2487781.270919The level of disclosureHigh1.2358321.2997571.610628Low0.028934-0.24304-0.4519AreaEast-0.84041-0.696160.847545Middle-0.32160.249340.330447West0.308252-0.00593-0.39841
50、Market capitalization($hundred million)V50-0.70856-0.69839-0.2134450V1000.356930.036393-0.17388 V100-0.427230.075633-0.01723J-5，J-15，J-30 stand for the J number in significance test in date-5，5，-15，15，-30，30*=significant at the 1%level.*=significant at the 5%level.*=significant at the 10%level.-0.1-
