Abstract
AbstractThis event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of French, German, Japanese, and U.S. nuclear utility and alternative energy firms. Hypotheses regarding the (cumulative) abnormal returns based on a three-factor model are analyzed through joint tests by multivariate regression models and bootstrapping. Our results show significant abnormal returns for Japanese nuclear utility firms during the one-week event window and the subsequent four-week post-event window. Furthermore, while French and German nuclear utility and alternative energy stocks exhibit significant abnormal returns during the event window, we cannot confirm abnormal returns for U.S. stocks.
Highlights
On March 11, 2011, an earthquake and ensuing tsunami devastated extensive parts of the northeastern Japanese coastline
The three key results of our empirical study of the Fukushima-Daiichi nuclear disaster are: (1) the unanticipated event is incorporated in the stock prices of selected nuclear and alternative energy companies within a few days, supporting the concept of semi-strong market efficiency, (2) nuclear energy companies have significant negative cumulative abnormal returns while alternative energy companies show a positive reaction, and (3) the majority of abnormal returns in the postevent window are caused by confounding events
Comparing the exposure to the highminus-low (HML) factor, we find that the nuclear stocks have lower factor loadings than the alternative energy stocks in all markets except Japan
Summary
On March 11, 2011, an earthquake and ensuing tsunami devastated extensive parts of the northeastern Japanese coastline. The concern of an imminent nuclear meltdown after the loss of cooling capabilities in the Fukushima-Daiichi power plant invoked widereaching global attention. The release of major amounts of radioactive material compelled the Japanese government to implement an exclusion zone within a 20-kilometer radius of the power plant, an area formerly populated by 80,000 people. The accident intensified the international discussion concerning the hazard of nuclear power plants as well as its effect on the countries’ transition to alternative, clean energy forms. On March 14, only three days after the earthquake, the German government announced that it would thoroughly reconsider its nuclear energy policy and accelerate the changeover to alternative energies.
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