earticle

영어

The relationship between the investment for the improvement of environment and the value of firm is controversial. The one is the value-added asset theory that the investment for improving the environment will increase the firm value resulted from the innovation of the products. The other is the altruistic liability theory that the firms producing the emission is liable to reduce the amount of emission. The costs related to decrease emission will increase the firm's production costs, which will lead the firm's value to be decreased. In this study, we analyze the effect of The Korea Certified Emission Reduction(KCER) on the capital market as well as firm's characteristic variables. The sample firms are selected from the firms that have enrolled the project of KCER from 2007 through 2011, and the firms that do not have the other major public announcement around the event time when the firm is certified in the KCER. And the selected firms are the listing companies on the KRX(Korea Exchange). For the clean data set, we impose more requirement for selecting sample firms. First, the stock price for the firm should be avaliable and acceptable for the analysis of the market response. This means that the liquidity of the trade of stock for the firm should be more than a moderate level to be able to be considered that the price of firm's stock must reflect the meaningful information. Second, for the market response we selected the firms whose daily stock prices are available for the estimation period. Third, to capture the pure effect of KCER on the firm's stock value in the capital market during the event period, we select the firms which do not have the other public announcement for the event period, so that we compose the clean data as the sample. Based on these selection criteria, 120 firms are finally selected. The abnormal retrun(AR) showed the statistically significant on the -8th, -4th,-3th, +4th, +10th, and 16th day of event day at the 5% of significance level, but it did not seem that the project of KCER affected the overall market. Even though the KCER did not affect the AR generally at the 5% of significance level around the event day, the AR were consistently the negative(-) during the estimation period. These movement was reflected on the cumulative abnormal return(CAR) as shown in [Figure 1]. In the [Figure 1], we could confirm that the CAR had a pattern such that the CAR abruptly dropped from the -14th day of event up to -4.07%(t==2.04), and this decrease in the CAR continued until the 3rd day of the event. From this result, we could think that the investors had the negative perception for the project of KCER. This implies that the investors were recognizing the firm value would be decreasing because the firms paid more costs for the improvement of emission required by the KCER. The size and the growth of the firms were not significantly changed before and after the event day, but the profitability, stability, and liquidity were decreased significantly. The t-value of these were -1.98, 1.84, and -1.64, respectively. This implies that the certified emission reduction project would cause the rate of EBIT and the current ratio to be dropped and the debt ratio was increased after the event day. It was because the certified firms in the KCER made investments for the improvement of emission reduction, which was more than the incentives for the reduction of emission provided by the government. We could imagine that the reason why debt ratio was increased was that the market value of firm's shares decreased. When we consider the seasonal effect on the firm's characteristic variables, the above results of the mean difference were not significantly changed. To see more detail, we ran the regression by using the cumulative average abnormal return(CAAR) as the dependent variable. Except model 1, we found that the firms with higher sales growth rate were related positively to the KCER in the most of regression models. Whereas, in the model 2 and 3, the CAAR and profitability(The rate of EBIT) had the negative relationship at the 10%of significance level. And in the model 1 and 2, the liquidity was negatively related with the CAAR at the 5% and 10% of level of significance, respectively. Generally speaking, the effect of the announcement of the firm's certified emission reduction on the firm's characteristic variables did not be different significantly from the results of mean difference analysis. From the above results shown in the

, , and , we can think that the investors in the market think that the firm with higher costs for facilities improvement of emission reduction should face the increases in the production costs, which sill cause the firm's value to decrease. Regardless to say, the effect of the certified emission reduction on the stock price and firm's characteristic variables in this study is the short-term point of view. If we expand this analysis for long period, we may have a different result. Because effect of the investment in the emission improvement facilities will take a time. But we can conclude that the effect of the certified emission reduction on the market and firm value is negative impact around the event day, and our results are consistent with the altruistic liability theory.