آیا بازار سرمایه می تواند به سیاست های زیست محیطی شرکت ها پاسخ دهد؟ مدارک و شواهد از یونان

In this study we attempt to evaluate the stock value of Greek firms, which apply systems of environmental management in the light of systemic risk. Risk is examined empirically with the help of conditional volatility models of investment in environmental friendly firms. The empirical analysis relies on financial econometric models, which determine the underlying conditional volatility. We find that improved environmental management system and environmental performance result in reductions in firms’ beta. Specifically, our empirical estimates show evidence of volatility clustering, short- and long-run persistence of shocks to the returns of the market and asymmetry in the leverage effect between negative and positive shocks to returns. Finally, the macroeconomic factors proposed and included in the analysis have no statistical significant influence on the beta estimates in almost all cases.

Nowadays environmental cost steadily increases and more and more firms, whose capitals are concentrated on environmental products and services, make their appearance. This raises the question whether business environmental policy and the systems of environmental management are being attuned or opposed to the evolution of the shareholder value. In order to give an answer to this question we have to analyze and find out what is being projected as evaluation of shareholder value indexes. Firms or companies, as far as their relation to the environment is concerned, are based mainly on the establishment of a flexible legal system, which is capable to promote the environmental harmonization and the effective application of the legal provisions. The latter is in accordance to direct and objective information towards the mass of share-hold market (shareholders–stakeholders), which expresses interest in locating enterprises with preferential discounted future business value. The improvement of the pre-mentioned relation will encourage the mass of business community to re-establish its relation to the environment. In addition, the improvement of the above relation and the financial effectiveness of every firm are directly and indirectly influenced by the capital market and the formation of the stock value within. At the same time, based on a different prospective, environmental management and policy are closely related to the modern strategy of firms, due to the fact that they aim towards better financial results. In other words, environmental management is associated with increasing rate of environmental strategy and becomes its organic part. Due to these reasons, the question of compliance of the operation of capital market with the environmental dimension of business strategy arises. The scientific community already deals with the issue of how it is possible that the two superficially controversial aspects of “stock value” and “environmental policy and management” can be finally related, at the level of strictly business strategy as well as at the level of capital market operation. The question that emerges is in what way could the conditions that can effectively lead a capital market network towards a perfect function consist of conditions related to environmental management. If the answer is positive then the two areas of business strategy evolution could have mutual and compatible goals even at the level of environmental strategy. In that case, the capital market and the microeconomics system of each firm could affect each other, with mutual gain, contributing to the achievement of environmental policy and management's goals. Our research mainly tries to highlight that the recognition of relativity of corporate environmental policy and management with the configuration of shareholder value is required to be incorporated into a horizontal aspect of environmental policy. This has to take place with all the manifestations of component elements, which constitute the operation mechanism of capital market under efficiency conditions. The reduction of in question relativity in its horizontal dimension will elect the necessity for planning a model (Horizontal equilibrium model), which will interpret the peculiarity that the application lends from the corporate environmental policy in the light of general important macroeconomic and microeconomic factors that prevail in the capital market they negotiate. For the first time, we try to relate environmental policy, management planning and the stock value for the case of Greek companies. Using a sample of 11 Greek companies verified in the Athens Stock Exchange Market and applying adequate econometric techniques we reach a number of interesting conclusions with the associated policy implications. At the same time we apply a number of diagnostic tests in order to justify and check the validity of the proposed models. Companies that make a reference for their environmental policy in the annual financial report or publish an annual social report seem to have a reduction in their beta estimates especially in sectors that influence heavily the environment. Macroeconomic factors seem to be insignificant in almost all cases. The structure of the paper is organized as follows. Section 2 reviews the existing literature. The data and the methodology adopted are presented in Section 3 while Section 4 discusses the empirical results extracted in the study. The Final section concludes the paper.

In this study, we tried to model environmental risk relying on econometric models, which determine the underlying conditional volatility. Our empirical results lead to a number of conclusions. Generally speaking, there is a perceptible relativity; all companies with high environmental risk present a reduction in their beta estimates. Specifically, 1. For companies that make a reference for their environmental policy in their annual financial report and those that publish an annual social report, beta has decreased in the period 2001–2004 compared to the period 1998–2001. Out of the eleven firms included in our “green portfolio” three (Elais Oleaginous Prod. S.A., Halcor SA Metal Works, Hellenic Cables S.A) make a reference for their environmental policy in their annual (2003, 2004) financial report and one publishes an annual social report (S&B Industrial Minerals S.A.). For all these companies beta has decreased. 2 The three cases of increased beta estimates refer to companies from low environmental risk sectors such as Food, Clothing and Textile. 3. The macroeconomic factors have no statistical significant influence on the beta estimates in almost all cases. 4. Shocks to the conditional variance are highly persistent. Our empirical estimates show evidence of volatility clustering, short- and long-run persistence of shocks to the returns of the market and asymmetry in the leverage effect between negative and positive shocks to returns. Up to now in Greece there is no systematic availability of environmental information and no governmental, political or judicial applied decisions that would force the financial intermediary investments to promote environmental policy in firms. Additionally, there are no financial products like eco-loans or annual environmental benchmark indexes for the segregation of firms as environmental friendly (green) or not. It is notable that several Greek efforts (TITAN — Dow Jones Sustainable Group Index, and Eurobank, Commercial Bank, FTSE 4Good) are negotiating and drawing capital from the international capital market due to their integration in Dow Jones Sustainable Group and FTSE 4Good Indexes. The existence of a special law that regulates the Stock Exchange Market (Act 2992/2002 F.E.K. 54 A′/20-3-2002), induces firms that negotiate in the Athens Stock Exchange Market (ASE) to apply international accounting standards (I.A.S.s), which could be included in the recognition of environmental situations (see also Sepetis et al., 2005). Day by day we realise that the mechanisms that lead to the decline in environmental quality are so complicated and interdependent so that the mapping out and application of an effective overall policy in the fragmentary sector seems reasonably infeasible. For example, an abrupt change of investors to firms with right environmental policy is not only a result of a big environmental accidental event — like Exxon Valdez or an environmental statement (T.R.I.) that can be explained for a short interval. Potentially the participants in capital markets react to environmental news on an important accident or an environmental fine, ignoring if this involves or not damage for the environment and public health. This does not irrevocably prove that sustainability will finally increase the shareholder value. It simply means that capital markets consider the information related to future environmental expenses and that these news lead to a short-term reduction of shareholder value. One realization that is in effect for Greek but also international reality is that there is no scientifically argued conceptual definition that would fix the environmental or sustainable effective capital market as well as the factors that contribute in the characterization of capital market as environmental or sustainable effective. It becomes clear that Environmental or Sustainable Policy must be drawn and applied horizontally as to incorporate also its environmental or sustainable “dimension”. Its scientific approach (risk/return adjusted) has guided the finance research into a more general equilibrium model framework, representative of the economic theory of total factors, which have repercussions in the stock's evaluation. Henceforth it is obvious that in order to convince the investment community more complex financial risk adjusted return and multi-factor models are required. These will help interpreting the relativity exempted from environmental bias and exploitation of environmental subjects from firms and financial institutions for the improvement of their short-term oligopoly position.