Author(s): Robert Ferstl | Sebastian Utz | Maximilian Wimmer
Journal: BuR : Business Research
ISSN 1866-8658
Volume: 5;
Issue: 1;
Start page: 25;
Date: 2012;
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Keywords: Fama-French model | Fukushima-Daiichi | bootstrap | event study | nuclear accidents
ABSTRACT
This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of French, German, Japanese, and U.S. nuclear utility and alternative energy firms. Hypotheses regarding the (cumulative) abnormal returns based on a three-factor model are analyzed through joint tests by multivariate regression models and bootstrapping. Our results show significant abnormal returns for Japanese nuclear utility firms during the one-week event window and the subsequent four-week post-event window. Furthermore, while French and German nuclear utility and alternative energy stocks exhibit significant abnormal returns during the event window, we cannot confirm abnormal returns for U.S. stocks.
Journal: BuR : Business Research
ISSN 1866-8658
Volume: 5;
Issue: 1;
Start page: 25;
Date: 2012;
VIEW PDF
DOWNLOAD PDF Original pageKeywords: Fama-French model | Fukushima-Daiichi | bootstrap | event study | nuclear accidents
ABSTRACT
This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of French, German, Japanese, and U.S. nuclear utility and alternative energy firms. Hypotheses regarding the (cumulative) abnormal returns based on a three-factor model are analyzed through joint tests by multivariate regression models and bootstrapping. Our results show significant abnormal returns for Japanese nuclear utility firms during the one-week event window and the subsequent four-week post-event window. Furthermore, while French and German nuclear utility and alternative energy stocks exhibit significant abnormal returns during the event window, we cannot confirm abnormal returns for U.S. stocks.