Abstract:
Is there any information content of firms’ pollution and does the investors use this information to make investment decision? Taking the listed firms in steel industry, we find that the firms’ air pollution discharge has a significant positive correlation with its monthly production and its seasonal profit. But the investors seems do not use this information. To construct the hedged arbitrage portfolio by buying the heaviest-pollution firms and selling the least-pollution firms, investors will gain a significant annual return, ranging from 4.92% to 29.44%.
薛爽, 赵泽朋, 王迪. 企业排污的信息价值及其识别——基于钢铁企业空气污染的研究[J]. 金融研究, 2017, 439(1): 162-176.
XUE Shuang, ZHAO Zepeng, WANG Di. The Information Content of Firms’ Pollution and Its Identification:An Empirical Study on the Air Pollution of Steel Industry. Journal of Financial Research, 2017, 439(1): 162-176.
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