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2000:50:193–200
Table 1. Cumulative Average Excess Returns: Overall Sample, n 5 73 CAERs for Event Windows
a
Sample Type
210, 110 210, 26
25, 22 21, 0
11, 15 16, 110
OLSEW
b
2 2.46
2 0.51
2 0.44
2 0.11
2 0.84
2 0.55
TSSD
c
22.96 21.26
21.22 20.44
22.07 21.37
SER
d
22.93 21.06
21.41 20.99
21.98 21.08
SW
e
23.14 2
0.51 2
0.61 2
0.02 2
1.16 2
0.81 TSSD
c
23.77 21.26
21.70 20.10
22.87 22.01
SER
d
23.50 21.18
21.77 20.94
22.34 21.46
a
CAERS cumulative average excess returns indicate the average market-adjusted change over the event window in the market values of the sample firms. Test statistics are given in parentheses.
b
OLSEW refers to ordinary least squares regression with the CRSP equally weighted index as the market index.
c
TSSD refers to the time series standard deviation testing procedure. t-statistics are reported.
d
SER refers to the standardized excess return testing procedure. Z-statistics are reported.
e
SW refers to regressions with Scholes-Williams 1977 beta with the CRSP equally weighted index as the market index. , Significant at the .01 and .05 levels, respectively.
gies and could not be grouped to provide a large enough stock price reactions to announcements of recycling efforts
cannot be rejected. category for further analysis. Examples of green product an-
nouncements include those announcing environmentally The third subsample of 15 announcements is related to
green promotional efforts. The CAERs for the 210, 110, friendly products. Recycling announcements including a new
program for recycling milk and juice cartons from schools, and the 210, 26 windows are significantly negative, thus
leading to the rejection of null hypothesis of no stock price and another one about the opening of a new recycling center.
reactions to green promotional activities. The results indicate Examples of green promotion include an announcement of a
that green promotional efforts are not well-received by investors. donation to an environmental group, and announcing adver-
Category 4 deals with announcements of appointments of tising in Earth Day magazine. The last category includes firms’
corporate environmental policy managers. The CAERs for the announcements of hiring an environmental policy manager.
210, 110 window are 26.71, but are not statistically The results for the four subsamples of announcements are
different from zero, primarily due to the small sample size presented in Table 2. The CAERs for the 28 announcements
of 5. Similarly, the CAERs for the other windows are not of green products are generally negative, but in no case signifi-
significantly different from zero. These results do not lead to cantly different from 0. These results suggest that, based on
the rejection of null hypothesis H5 of no stock price reactions the sample size, green product announcements are viewed in
to announcements of appointments of environmental policy a neutral light by investors. The null hypothesis H2 of no
managers. stock price reactions to announcements of green products
cannot be rejected.
Subsampling by Firm Characteristics
The recycling subsample has 15 observations. The results in Table 2 do not indicate any significant stock price reaction
Three measures of a firm’s financial performance are used in this study: growth in earnings per share GEPS, firm size SIZE,
to recycling announcements. Thus, null hypothesis H3 of no
Table 2. Market Value Effects for Subsampling by Marketing Strategies CAERs for Event Windows
a
Sample Type
210, 110 210, 26
25, 22 21, 0
11, 15 16, 110
Product 2
2.44 2
0.67 2
0.38 0.14
2 1.28
2 0.24
n 5 28 21.50
20.85 20.54
0.28 21.61
20.31 Recycling
2 2.16
0.00 1.10
0.05 2
1.50 2
1.82 n 5 15
21.02 0.00
1.19 0.09
21.45 21.76
Promotion 2
3.40 2
1.71 2
0.31 0.21
2 1.40
2 0.18
n 5 15 22.14
22.21 20.45
0.43 21.80
20.23 Manager
2 6.71
1.21 2
3.50 2
0.94 2
2.37 2
1.09 n 5 5
21.58 0.59
21.89 20.72
21.15 20.53
a
CAERS cumulative average excess returns indicate the average market-adjusted change over the event window in the market values of the sample firms. Test statistics are given in parentheses.
b
The CAERs are from the SW procedure, and the t-statistics in parentheses are from the TSSD procedure see Table 1. Significant at the .05 level.
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J Busn Res L. K. Mathur and I. Mathur
2000:50:193–200
Table 3. Wealth Effects for Subsampling by Firm Characteristics CAERs for Event Windows
a,b
Sample Type 210, 110
210, 26 25, 22
