含硫原油特性及數(shù)據(jù)管理系統(tǒng)研究課件

1、Impact of Environmental Policies on the Stock Prices of Energy CompaniesDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing Xiaoli ZhaoYe FanXueying YuMing FangOct. 24. 2015OutlineDeveloped by: Ye Fan, School of Business Administration, China University of

2、 Petroleum, Beijing IntroductionHypothesisDataMethodologyEmpirical resultsConclusionsIn traditional corporate management, less attention has been paid to the environmental performance of firms because of profit maximization.Developed by: Ye Fan, School of Business Administration, China University of

3、 Petroleum, Beijing However, stricter environmental policies and a growing concern from consumers have triggered a change from a simple corporate management to an environmentally conscious one.IntroductionIntroductionDeveloped by: Ye Fan, School of Business Administration, China University of Petrol

4、eum, Beijing Environmental Policiesthe Stock Prices of Energy CompaniesAffect?Not Affect?The reaction of Capital Market and Energy CompaniesHypothesisGenerally，environmental control policies have negative impact on stock price of listed energy companies in the short term. Because, when dealing with

5、environmental policies, companies have to pay extra money on them, and the corporate earnings are reduced (Yanying Chen, 2009). Samiah (2013) has the idea that environmental control policies will increase company cost. Hypothesis 1: Environmental control policies have negative impact on stock price

6、of listed energy companies in the short term.Developed by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing HypothesisIn China, traditional energy industries are mainly thermal power generation, coal and oil & gas, they also play important parts in listed energy comp

7、anies. Coal companies can adjust the selling price according to the market. However, companies of thermal power generation and oil & gas are limited. Hypothesis 2: In the short term, environmental policies has a greater negative impact on the stock prices of the electric industry and the oil industr

8、y rather than the coal industry.Developed by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing HypothesisPlumlee (2009) found companies of a high level of disclosure were welcomed by the capital market, because their expected cash flows would increase. Wang and Choi

9、(2010),Yang Tang(2013) hold the same idea.Hypothesis 3: In the short term , the negative impact of environmental policies is relatively low for the listed energy companies who possess a higher level of disclosure.Developed by: Ye Fan, School of Business Administration, China University of Petroleum,

10、 Beijing HypothesisChina has vast country lands, population density and unbalanced economic development. So the sense of protecting environment is different in the same way. The level of industrialization of listed energy companies in eastern and central regions of China is higher than the western c

11、ompanies, they need more money to deal with the new coming policies which will surely influence their economic development.Hypothesis 4: Environmental control policies have greater negative effect on Listed Energy Companies in eastern and central regions of China than the western ones.Developed by:

12、Ye Fan, School of Business Administration, China University of Petroleum, Beijing HypothesisCowen (1987) point out energy companies of large scale will be paid more attention by the public, so they deal with environmental issues actively. However, companies of small size are limited by financial str

13、ength, political and social pressure, their ability to deal with environmental issues is always challenged.Hypothesis 5: The negative impact of environmental regulation policies on the listed energy companies of large scale is smaller than the companies of small size.Developed by: Ye Fan, School of

14、Business Administration, China University of Petroleum, Beijing HypothesisOur classification of environmental policies are Market stimulation, Administrative control, Legislative control and Disclosure. Administrative control, Legislative control are more powerful than Market stimulation and Disclos

15、ure (John J.Binder, 1985).Hypothesis 6: The negative impact of environmental regulation policies of Market Stimulation and Disclosure is less than the policies of Administrative control and Legislative control.Developed by: Ye Fan, School of Business Administration, China University of Petroleum, Be

16、ijing DataDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing Environmental control policies over the yearsNo.Enacted TimeEnacting DepartmentEnvironmental PolicyPolicy Type1Jun.7.2007National Development and Reform CommissionLong-term development plan for

17、renewable energyMarket stimulation2Nov.17.2007State councilEnergy conservation and emissions reduction statistical monitoring and assessment of implementation plan and methodAdministrative control3Jan.15.2008State Environmental Protection Department, NDRCPollution prevention of acid rain and carbon

18、dioxide in the eleventh five-year planAdministrative control4Aug.29.2008National Peoples CongressPeoples Republic of China Circular Economy Promotion LawLegislative control5Aug.25.2009National Peoples CongressResolution on tackling climate changeLegislative control6Jan.19.2010Ministry of Environment

19、al ProtectionPublish environmental administrative penaltiesAdministrative control7May.4.2010State councilNotification of Further intensify efforts to ensure the realization of the emission reduction targets in the eleventh five-year planAdministrative control8Aug.29.2011Ministry of Environmental Pro

20、tectionPublish Main pollutants emission in China, 2011Disclosure9Feb.29.2012National Peoples CongressClean Production Promotion Law of Peoples Republic of ChinaLegislative control10Sep.10.2013State councilAir Pollution Control Action PlanAdministrative controlDataDeveloped by: Ye Fan, School of Busi

21、ness Administration, China University of Petroleum, Beijing 表3-1 能源上市公司市值統(tǒng)計(jì)Statistics of listed energy companies ClassificationNumberThe proportion of top 20 percent market capitalization companies The average market capitalization($ hundred million) Listed Energy Companies5289.10%473.5IndustryElect

22、ricity, heat production3338%82.4Coal Mining1571%292.5Oil, gas exploration471%4378.6The level of disclosureHigh1990%114.6Low3361%87.2AreaEast3090%764.2Middle1548%88.7West733%52.2Market capitalization ($ hundred million)V502229.70%26.450V1001125.60%69.6 V1001985.20%1225.1DataDeveloped by: Ye Fan, Scho

23、ol of Business Administration, China University of Petroleum, Beijing No.Code1000027Shenzhen Energy Group Co., Ltd. 2000037Shenzhen Nanshan Power Co.,Ltd. 3000531Guangzhou Hengyun Enterprises Holding Ltd. 4000539Guangdong Electric Power Development Co.,Ltd. 5000543Anhui Wenergy Company,Limited 60005

24、52Gansu Jingyuan Coal Industry and Electricity Power Co.,Ltd7000600Jointo Energy Investment Co.,Ltd. Hebei 8000601Guangdong Shaoneng Group Co.,Ltd. 9000690Guangdong Baolihua New Energy Stock Co.,Ltd. 10000692Shenyang Huitian Thermal Power Co.,Ltd. 11000695Tianjin Binhai Energy & Development Co.,Ltd

25、12000780Inner Mongolia Pingzhuang Energy Resources Co.,Ltd. 13000937Jizhong Energy Resources Co., Ltd. 14000966Guodian Changyuan Electric Power Co.,Ltd. 15000983Shanxi Xishan Coal and Electricity Power Co.,Ltd 16000993Fujian Mindong Electric Power Limited Company 17001896Henan Yuneng Holdings Co.,Lt

26、d. 18002039Guizhou Qianyuan Power Co.,Ltd. 19600011Huaneng Power International,Inc. 20600021Shanghai Electric Power Company Limited 21600027Huadian Power International Corporation Limited 22600028China Petroleum & Chemical Corporation 23600098Guangzhou Development Group Incorporated 24600101Sichuan

27、Mingxing Electric Power Co.,Ltd. 25600123Shanxi Lanhua Sci-Tech Venture Co.,Ltd 26600167Luenmei Holding Co.,Ltd No.Code27600188Yanzhou Coal Mining Company Limited 28600348Yang Quan Coal Industry （Group） Co., Ltd. 29600395Guizhou Panjiang Refined Coal Co.,Ltd. 30600396Shenyang Jinshan Energy Co.,Ltd.

28、 31600397Anyuan Coal Industry Group Co., Ltd. 32600508Shanghai Datun Energy Resources Co.,Ltd. 33600509Xinjiang Tianfu Thermoelectric Co.,Ltd. 34600578Beijing Jingneng Thermal Power Co.,Ltd. 35600583Offshore Oil Engineering Co.,Ltd. 36600719Dalian Thermal Power Co.,Ltd. 37600726Huadian Energy Compan

29、y Limited 38600744Datang Huayin Electric Power Co.,Ltd 39600758Liaoning Hongyang Energy Yesource Invest Co.,Ltd 40600780Top Energy Company Ltd.Shanxi 41600795GD Power Development Co.,Ltd. 42600863Inner Mongolia Mengdian Huaneng Thermal Power Corporatio43600864Harbin Hatou Investment Co.,Ltd. 4460097

30、1Anhui Hengyuan Coal Industry and Electricity Power Co.,Ltd45600982Ningbo Thermal Power Co., Ltd. 46601001Datong Coal Industry Co.,Ltd. 47601088China Shenhua Energy Company Limited 48601666Pingdingshan Tianan Coal. Mining Co.,Ltd. 49601699Shanxi LuAn Environmental Energy Development Co.,Ltd. 5060180

31、8China Oilfield Services Limited 51601857Petrochina Company Limited 52601991Datang International Power Generation Co.,Ltd. MethodologyEvent study is a research methodology designed to measure the impact of an event of interest on stock returns. Dolley (1933), Fama (1969), Mackinlay (1997) explains t

32、his method in detail. To date using a market model, several researchers have performed event studies on the day of the announcement pertaining to environmental information Arora (2001), Gupta and Goldar (2005), and Klassen and McLaughlin (1996).Developed by: Ye Fan, School of Business Administration

33、, China University of Petroleum, Beijing Event study contains six steps. 1. Define event and time window 2. Identify research samples To examine the effect on share prices, daily data was obtained from CCER for each of the 10 events of the 52 companies.Developed by: Ye Fan, School of Business Admini

34、stration, China University of Petroleum, Beijing Estimation periodEvent periodEvent dayMethodologyMethodology 3. Determine share returns model. From the raw daily data, share returns were calculated according to the formula: where is the share return for firm i on day t and is the share price for da

35、y t.Developed by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing (1)Methodology 4. Estimate the abnormal returns. The expected returns is obtained from the market model and EGARCH model (Nelson,1991). The abnormal returns ARi,t is obtained from the formula 4. Devel

36、oped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing (2)(3)(4)Methodology stands for the cumulative abnormal returns from t1 to t2 . is abnormal returns. Also take weight of companies into consideration.Developed by: Ye Fan, School of Business Administration, Ch

37、ina University of Petroleum, Beijing (5)Methodology 5. Inspection of significant abnormal returns. To test the null hypothesis that the event does not affect the returns, we use the following J-statistics: 6. Conclusion.Developed by: Ye Fan, School of Business Administration, China University of Pet

38、roleum, Beijing (6)Empirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing CAR(cumulative abnormal returns ) of all the listed energy companiesEmpirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petrol

39、eum, Beijing Significance Testing SummaryclassificationJ-5J-15J-30IndustryElectricity, heat production-4.7392*-4.34643*-4.13913*Coal Mining-3.6064*-3.05046*-3.38866*Oil, gas exploration-1.81541*-1.81*-1.37717The level of disclosureHigh-7.2142*-6.5493*-8.08129*Low-4.1082*-3.83078*-3.40319*AreaEast-2.

40、6159*-2.38299*-2.07045*Middle-3.6955*-2.95739*-3.64876*West-3.3530*-3.42822*-2.91289*Market capitalization ($ hundred million)V50-8.4609*-6.34731*-7.21016*50V100-2.8969*-3.10612*-2.60577* V100-2.9239*-2.65771*-2.46021*J-5，J-15，J-30 stand for the J number in significance test in date -5，5，-15，15，-30，

41、30* = significant at the 1% level.* = significant at the 5% level.* = significant at the 10% level.CAR(cumulative abnormal returns ) of all the listed energy companiesEmpirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing Summary figure of CA

42、R in different industries Empirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing Summary figure of CAR in different level of disclouse Empirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Be

43、ijing Summary figure of CAR in different areaEmpirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing Summary figure of CAR in different size of companies Empirical resultsDeveloped by: Ye Fan, School of Business Administration, China Universit

44、y of Petroleum, Beijing Empirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing Significance Testing - Market Incentive classificationJ-5J-15J-30IndustryElectricity, heat production0.101264-0.18972-0.23708Coal Mining0.2110320.277802-0.52537Oil

45、, gas exploration0.8874381.2487781.270919The level of disclosureHigh1.2358321.2997571.610628Low0.028934-0.24304-0.4519AreaEast-0.84041-0.696160.847545Middle-0.32160.249340.330447West0.308252-0.00593-0.39841Market capitalization ($ hundred million)V50-0.70856-0.69839-0.2134450V1000.356930.036393-0.17

46、388 V100-0.427230.075633-0.01723J-5，J-15，J-30 stand for the J number in significance test in date -5，5，-15，15，-30，30* = significant at the 1% level.* = significant at the 5% level.* = significant at the 10% level.Empirical resultsDeveloped by: Ye Fan, School of Business Administration, China Univers

47、ity of Petroleum, Beijing Significance Testing - Legislative Control classificationJ-5J-15J-30IndustryElectricity, heat production-1.72323*-1.22966-0.57234Coal Mining-1.74197*-1.03526-1.14763Oil, gas exploration-1.16916-1.10324-0.65301The level of disclosureHigh-3.6052*-2.5409*-3.01438*Low-1.85866*-

48、1.5261-0.89177AreaEast-1.44535-1.2672-0.82015Middle-1.76639*-0.86281-1.12221West-1.01413-0.94143-0.19934Market capitalization ($ hundred million)V50-4.1229*-2.69795*-2.4107*50V100-0.7688-0.77798-0.12205 V100-1.65051*-1.31573-0.94566J-5，J-15，J-30 stand for the J number in significance test in date -5

49、，5，-15，15，-30，30* = significant at the 1% level.* = significant at the 5% level.* = significant at the 10% level.Empirical resultsDeveloped by: Ye Fan, School of Business Administration, China University of Petroleum, Beijing Significance Testing - Administrative Control classificationJ-5J-15J-30Ind

50、ustryElectricity, heat production-5.2624*-4.58828*-4.38003*Coal Mining-3.8027*-3.25569*-3.39645*Oil, gas exploration-1.32898-1.39485-1.0848The level of disclosureHigh-6.9990*-6.49939*-8.12779*Low-4.2143*-4.01357*-3.61414*AreaEast-2.22396*-2.10509*-2.05519*Middle-3.7622*-3.25761*-4.03785*West-4.09135*-3.81062*-3.21057*Market capitalization ($ hundred million)V50-7.8764*-5.56717*-7.03522*50V100-3.6532*-3.53138