CARBON EFFICIENT INDEX (ICO2) AND STOCK RETURNS: AN EVENT STUDY IN NON-FINANCIAL PUBLICLY TRADED FIRMS
DOI:
https://doi.org/10.11606/rco.v7i19.55448Keywords:
environmental responsibility and disclosure environmental, efficient market hypothesis, event study.Abstract
The companies concerned to disclose environmental information in order to convey to their stakeholders a good environmental impression. In December 2010, BMF&Bovespa launched its first portfolio that comprised the ICO2. This research aims to investigate if there is a relation between stock returns and admission of firms in the ICO2 composition. Data were collected at the base Economática©. Final sample have comprised 28 companies that made up the first ICO2 portfolio, and the methodological approach have involved event study based on the Efficient Market Theory. Findings suggest that the announcement had no impact on stock returns, thus the null hypothesis couldn’t be rejected. It is noteworthy that among the companies investigated, the return of Vale Company’s shares has kept stable before and after the event. Moreover, the return of the Cyrela Company’ shares and MRV Company’s shares has showed greater variability during the event window.
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