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1 – 5 of 5Weihua Liu, Zhixuan Chen, Tsan-Ming Choi, Paul Tae-Woo Lee, Hing Kai Chan and Yongzheng Gao
This study aims to explore the impact of carbon neutral announcements on “stock market value” of publicly listed companies in China.
Abstract
Purpose
This study aims to explore the impact of carbon neutral announcements on “stock market value” of publicly listed companies in China.
Design/methodology/approach
The event study approach is adopted. Market, market-adjusted, Carhart four-factor model and a cross-sectional regression model are employed to examine the impacts of carbon neutral announcements on “stock market value” of Chinese companies based on data from 188 carbon neutral announcements.
Findings
Carbon neutral announcements positively impact Chinese shareholder value. Carbon neutral announcements at the strategic level have a more positive and significant impact on Chinese stock market value. Innovative carbon neutral announcements do not significantly cause Chinese stock market reactions. Companies have more positive and significant stock market reactions when the companies make carbon neutral announcements that reflect high supply chain network resilience and heterogeneity and strong supply chain network relationships.
Practical implications
The findings uncover the business value of carbon neutral activities and provide operations managers in developing countries insights into how to improve enterprises' market value by actively implementing carbon neutral activities.
Originality/value
This paper is the first trial to apply an event study to examine the relationship between carbon neutral announcements and Chinese stock market value from the perspective of announcement level and type and supply chain networks. This paper introduces corporate reputation theory and enriches the application of corporate reputation theory in the field of low-carbon environmental protections and supply chains.
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Yan He, Ruixiang Jiang, Yanchu Wang and Hongquan Zhu
We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that…
Abstract
We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that the past loser-and-illiquid stock portfolios tend to outperform the past winner-and-liquid stock portfolios in the 1–12 months holding period. The excess return is significantly associated with the market-wide liquidity factor even when we control the three Fama-French and momentum factors. Cross-sectionally, the liquidity beta significantly affects the excess return even with control of other risk betas and other traditional liquidity proxies.
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Peiyuan Gao, Yongjian Li, Weihua Liu, Chaolun Yuan, Paul Tae Woo Lee and Shangsong Long
Considering rapid digitalization development, this study examines the impacts of digital technology innovation on social responsibility in platform enterprises.
Abstract
Purpose
Considering rapid digitalization development, this study examines the impacts of digital technology innovation on social responsibility in platform enterprises.
Design/methodology/approach
The study applies the event study method and cross-sectional regression analysis, taking 168 digital technology innovations for social responsibility issued by 88 listed platform enterprises from 2011 to 2022 to study the impact of digital technology innovations for social responsibility announcements of different announcement content and platform attributes on the stock market value of platform enterprises.
Findings
The results show that, first, the positive stock market reaction is produced on the same day as the digital technology innovation announcement. Second, the announcement of the platform’s public social responsibility and the announcement of co-innovation and radical innovation bring more positive stock market reactions. In addition, the announcements mentioned above issued by trading platforms bring more positive stock market reactions. Finally, the social responsibility attribution characteristics of the announcement did not have a significant differentiated impact on the stock market reaction.
Originality/value
Most scholars have studied digital technology innovation for social responsibility through modeling rather than second-hand data to empirically examine. This study uses second-hand data with the instrumental stakeholder theory to provide a new research perspective on platform social responsibility. In addition, in order to explore the different impacts of digital technology innovation on social responsibility, this study has classified digital technology innovation for social responsibility according to its social responsibility and digital technology innovation characteristics.
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Svetoslav Covachev and Gergely Fazakas
This study aims to examine the impact of the beginning of the Russia–Ukraine war and the Wagner Group’s attempted military coup against Putin’s regime on the European defense…
Abstract
Purpose
This study aims to examine the impact of the beginning of the Russia–Ukraine war and the Wagner Group’s attempted military coup against Putin’s regime on the European defense sector, consisting of weapons manufacturers.
Design/methodology/approach
The authors use the event study methodology to quantify the impact. That is, the authors assume that markets are efficient, and abnormal stock returns around the event dates capture the magnitudes of the impacts of the two events studied on European defense sector companies. The authors use the capital asset pricing model and two different multifactor models to estimate expected stock returns, which serve as the benchmark necessary to obtain abnormal returns.
Findings
The start of the war on February 24, 2022, when the Russian forces invaded Ukraine, was followed by high positive abnormal returns of up to 12% in the next few days. The results are particularly strong if multiple factors are used to control for the risk of the defense stocks. Conversely, the authors find a negative impact of the rebellion initiated by the mercenary Wagner Group’s chief, Yevgeny Prigozhin, on June 23, 2023, on the abnormal returns of defense industry stocks on the first trading day after the event.
Originality/value
To the best of the authors’ knowledge, this is the first study of the impact of the Russia–Ukraine war on the defense sector. Furthermore, this is the first study to measure the financial implications of the military coup initiated by the Wagner Group. The findings contribute to a rapidly growing literature on the financial implications of military conflicts around the world.
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Investors who can transfer their savings to investments in a well-regulated market benefit not only themselves but also economic development. Hence, it is crucial for fund owners…
Abstract
Purpose
Investors who can transfer their savings to investments in a well-regulated market benefit not only themselves but also economic development. Hence, it is crucial for fund owners to evaluate their stock market investment decisions. The goal of the study is to understand which model determines the asset returns most efficiently. In this regard, the validity of single and multi-index asset pricing models (capital asset pricing model-CAPM and Fama–French models) has been examined in the Turkish Stock Exchange for 2009–2020, with the quantile regression (QR) approach.
Design/methodology/approach
On 18 portfolios comprised of quoted stocks in the Istanbul Stock Exchange 100 (ISE-100/BIST-100), we test the CAPM, the Fama and French three factor model (FF3) and the Fama and French five factor model (FF5). Empirical analyses have been carried out via QR approach regressing the portfolios' average weekly excess returns on risk premium/market factor (Rm-Rf), firm size, book value/market value (B/M), profitability and investments factors. QR estimation has been employed since QR is more effective and provides a better definition of the distribution’s tails.
Findings
Our empirical findings have revealed that the average excess weekly returns can be explained more strongly via CAPM. Moreover, Fama and French models are expected to give more reliable result with more data, whereas the market premium would give robust results for the Turkish Capital Market.
Practical implications
Individuals investing in financial assets must find the price model that best fits the market. The return can be approximated in the most appropriate manner using the right variables.
Originality/value
The study differs from other research by comparing the asset pricing models via examining the assets' weekly returns with QR in the Istanbul Stock Exchange 100 (ISE-100).
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