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

See all articles by Robert Ferstl

Robert Ferstl

Oesterreichische Nationalbank (OeNB)

Sebastian Utz

University of St. Gallen - School of Finance

Maximilian Wimmer

University of Regensburg; University of Mannheim - Finance Area

Date Written: May 18, 2012

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.

Keywords: Fama-French model, Fukushima-Daiichi, bootstrap, event study, nuclear accidents

JEL Classification: G14, G12, G15

Suggested Citation

Ferstl, Robert and Utz, Sebastian and Wimmer, Maximilian, The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study (May 18, 2012). BuR Business Research Journal, Vol. 5, No. 1, pp. 25-41, May 2012, Available at SSRN: https://ssrn.com/abstract=2064637

Robert Ferstl (Contact Author)

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3, PO Box 61
Vienna,
1010 Vienna, A-1011
Austria

Sebastian Utz

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

Maximilian Wimmer

University of Regensburg ( email )

Universitaetsstrasse 31
Regensburg, 93053
Germany
+49 941 943 2672 (Phone)

HOME PAGE: http://www-finance.uni-regensburg.de/Team/Maximilian-Wimmer.html

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

HOME PAGE: http://cf.bwl.uni-mannheim.de/

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