The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study
BuR Business Research Journal, Vol. 5, No. 1, pp. 25-41, May 2012
17 Pages Posted: 22 May 2012 Last revised: 24 May 2012
Date Written: May 18, 2012
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.
Keywords: Fama-French model, Fukushima-Daiichi, bootstrap, event study, nuclear accidents
JEL Classification: G14, G12, G15
Suggested Citation: Suggested Citation