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1 ( 286 ) China Industrial Economics Jan No ( ; ) [ ] A H ; A ;H A H [ ] ; ; [ ]F270 [ ]A [ ] X(2012) % 1000 GDP 5.8%(World Bank2007) 80% (BP) BP 50% [ ] [ ] (1979 ) ; (1988 ) ; (1969 ) 141

2 (Corporate Social ResponsibilityCSR) ( 2009) (Griffin and Mahon1997) RomanHayibor et al.(1999) Griffin and Mahon (1997) (2006) (2005) A (Shane and Spicer1983;Klassen and McLaughlin1996) Blacconiere et al.(1994) 1984 (Cormier et al.1993;dasgupta et al.2001) (CAR) ( ) (Muoghalu et al.1990;lanoie and Laplante1994) 1 1. ( HK) http//news.sina.com.cn/z/zjkywr/ 142

3 Frooman(1997) ; (2008) AR CAR 9 1 ; 2 ;3 ; 4 ;5 ( 2008) (Spillover Effect) ; H % (EMH) ; H2a 956 ; H2b % 2% 143

4 (Muoghalu et al.1990;lanioe and Laplante1994) Lorraine et al.(2005) 5 H A H (Social Responsible InvestmentSRI) SRI ( 2010) ; SRI ; H4 A H (-1010) (AR) (CAR) R it =α i +β i R mt +ε α i β i R it i t R mt t ε α i β i i t AR it CAR it AR it =R it -(α i +β i R mt ) (2) CAR it = ΣAR it t t=-10 A H B0730 A ; CSMAR (CAR) (1) (3)

5 6 (CAAR) t CAR CAAR CAR CAAR t ** * ** *** *** ** *** *** *** *** ** *** ** * 1% 5% 10% 2 (-10 10) CAR CAAR CAR 10% CAR ; 4 CAR 1% ; % 5% -3.85% H1 1 CAR 1 (-9-1) CAR (010) CAR V 4 4 CAR %

6 CAR CAR CAR CAAR 3( ±10±5±2±10 ) (-10-5) 3 (-100) (110) CAR t 42.56% 27.81% 956 H2b 3 CAR CAAR t CAR CAAR t * * 10% CAR 21 CAR CAAR 5% ; 3 1% 6.77% 146

7 6.65% A H H A 21 H CAR A t ±10±5±2 ±10 CAR 4 4 A H CAR-H CAR-A CAR-H CAR-A CAR-H CAR-A t 8.766*** *** *** *** 1% 4 21 A H A CAR H 21 t H CAR 1% A H 2 A H CAR 2 A H CAR 4 A H A CAR (-104) (410) A ( 0 )H CAR A CAR 9 H (-1010) A CAR H t A A H H 14.07% A 42.56% t H CAR 1% A A H CAR 3 H A H A H 956 A H4 H 147

8 H A CAR A H 2 A H CAR CAR A H A H CAR 3000 H -5.44% A 6.77% t H CAR 1% A 3000 A H CAR ( 4) -3 A H CAR A CAR ;H CAR CAR A H A H CAR

9 4. 1 ; ;3 A H A 956 A 3000 A A H ;A ;H A H (1) (Kaneko and Managi2004) (2) Pigou(1920) ( 2007) ( ) 28.96% ; 70% ; GDP GDP (3) ( 2008) 149

10 90% A (4) (5) 9 (Clarkson1995) 1 Blacconiere W. and Patten D. Environmental Disclosure Regulatory Costs and Changes in Firm Value[J]. Journal of Accounting and Economics199418(3). 2 Clarkson Max. A Stakeholder Framework for Analyzing and Evaluating Corporate Social Performance [J]. Academy of Management Review199520(1). 3 Cormier D. Magnan M. Morard B. The Impact of Corporate Pollution on Market ValuationSome Empirical Evidence[J]. Ecological Economics19938(2). 4 Dasgupta S. Laptante B. Mamingi N. Pollution and Capital Markets in Developing Countries [J]. Journal of Environmental Economies and Management200142(3). 5 Frooman J. Socially Irresponsible and Illegal Behavior and Shareholder Wealth A Meta -Analysis of Event Studies[J]. Business and Society199736(3). 6 Griffin Jennifer J. and Mahon John F. The Corporate Social Performance and Corporate Financial Performance Debate 25 Years of Incomparable Research[J]. Business and Society199736(1). 150

11 7 Kaneko Shinji and Shunsuke Managi. Environmental Productivity in China[J]. Economics Bulletin200417(2). 8 Klassen R. D. and McLaughlin C. P. The Impact of Environmental Management on Firm Performance [J]. Management Science199642(8). 9 Lanioe P. Laplante B. The Market Response to Environmental Incidents in Canada A Theoretical and Empirical Analysis[J]. Southern Economic Journal199460(3). 10 Lorraine Eden Luis F. Juarez Valdez and Dan Li. Talk Softly but Carry a Big Stick Transfer Pricing Penalties and the Market Valuation of Japanese Multinationals in the United States [J]. Journal of International Business Studies200536(4). 11 Michael I. Muoghalu H. David Robison and John L. Glascock. Hazardous Waste Lawsuits Stockholder Returns and Deterrence[J]. Southern Economic Journal199057(2). 12 Pigou A. The Economics of Welfare[M]. London Macmillan Roman Ronald M. Hayibor Sefa and Agle Bradley R. The Relationship between Social and Financial Performance Repainting a Portrait[J]. Business and Society199938(1). 14 Shane P. B. and B. H. Spicer. Market Response to Environmental Information Produced outside the Firm[J]. Accounting Review198353(3). 15 World Bank. Cost of Pollution in China Economic Estimates of Physical Damages [R]. Washington DCWorld Bank [J]. 2006(2). 17. U S [J]. 2008(12). 18. SRI [J]. 2010(7). 19. [D] [J]. 2009(1). 21. [J]. 2008(5). 22. [J]. 2007(7). Environmental Protection Corporate Social Responsibility and Its Market Response Case Study Based on the Environmental Pollution Incident of Zijin Mining Group Co. SHEN Hong-bo 1 XIE Yue 1 CHEN Zheng-rong 2 (1. Institute for Financial Studies of Fudan University Shanghai China; 2. Institute of Research for Haitong Securities Corporation Shanghai China) Abstract This paper chooses the environmental pollution accident of Zijin Mining Group Co. analyzes the influence of the environmental pollution accident and two subsequent penalties to stock prices of Zijin Mining Group Co. and other gold mining companies and discusses different market response to different types of environmental events. Empirical results show that environmental performance can affect investment decision to some extent. Both A-share and H-share exhibit significantly negative reaction to serious environmental pollution accident; A-share market can hardly react to environmental penalties or lawsuits; H-share investors think more of CSR and long-term development and react negatively to environmental penalties. Our research also shows that investors can identify information content of different environmental events. A -share market pays more attention to information about operating performance while H-share market pays more attention to information about corporate governance and enterprise value. Key Words environmental protection; corporate social responsibility (CSR); event study 151

管理科学软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 9 10 11 12 2 3 3. 1 变量选择 1 CAR i 20 20 140 21 120 2 2 i CSP 66 16 1 1 1 / 2 / 0 3 4 + + 5-6 7 8

管理科学软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 9 10 11 12 2 3 3. 1 变量选择 1 CAR i 20 20 140 21 120 2 2 i CSP 66 16 1 1 1 / 2 / 0 3 4 + + 5-6 7 8 软科学 2013 年 6 月第 27 卷第 6 期 ( 总第 162 期 ) 管理科学叶陈刚, 王 ( 对外经济贸易大学国际商学院, 北京 100029) 2012-10 - 12 国家社会科学基金重点项目 ( 10AZD014) ; 国家自然科学基金项目 ( 70672060) ; 教育部人文社会