The effects of involuntary negative enviromental disclusure: an event study in brazilian companies with a high pullution index

Abstract

The aim in this study was to identify the influence of involuntary negative environmental disclosure on abnormal returns in sectors with high pollution indices: Exploitation, Refining, Metallic Minerals, Paper and Pulp and Iron and Steel. To achieve the proposed objective, the event study method was used, based on the Efficient Market Hypothesis. The sample selected totals 29 events, referent to the period from 2007 till 2012. T statistics of different variances was used, as well as the Wilcoxon test for paired variables, with a view to detecting whether the volatility of stock prices before the event is statistically different from stock prices after the event. The results demonstrated that the disclosure of environmental events negatively affected stock prices and returns, evidencing the semi-strong form of the Brazilian stock market, that is, the stock price reflects publicly available information in a rapid and precise manner. Also, the negative reaction of investors was observed until the third day after the event for the iron and steel and paper and pulp sectors, and until the fourth day after the event for the metallic minerals and exploitation and refining sectors, after which the stock prices and returns went back to normal levels.mumente utilizadas (tamanho, rentabilidade etc.) nos modelos de análise do nível de endividamento, contribuiu para o entendimento da estrutura de capital de empresas brasileiras.