The effect of Chernobyl on electric-utility stock prices

How does the stock market respond to chemical disasters?

“…All these estimates are statistically significant at the 1% level. 12 It could be argued that the CAAR t metric is difficult to interpret since bigger firms should incur a lower drop in percentage terms. Therefore, in unreported results, in addition to the equally weighted CAAR t , we also computed the valueweighted CAAR t (see [11]).…”

“…This test, however, attributes more weight to observations of firms with a high variance in returns, and is therefore more sensitive to distortions from very noisy observations. 12 Cumulative abnormal returns ðCAR i;t Þ for each accident are available at JEEM's online archive at supplementary material, which can be accessed at http://aere.059/journals/. In unreported results, we computed cumulative average abnormal returns using different event window lengths.…”

“…A few studies have also looked at nuclear accidents, such as the Three Mile Island accident[6,19] and the Chernobyl nuclear meltdown[22,12] 18. According to data provided by Swiss Re (see its website, http://www.swissre.com), the total insured losses per year for man-made disasters (which includes fires and explosions, aviation disasters, collapse of buildings/bridges, etc.)…”

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide - An Event Study

“…In particular, nuclear-related firms exhibited greater losses than non-nuclear firms. In contrast to Bowen, Castanias, and Daley (1983) who considered TMI, Fields and Janjigian (1989) did not find statistically significant changes in systematic risk, total risk, or market risk. Another study, which researched whether daily stock returns of U.S. electric utilities reacted to the Chernobyl nuclear catastrophe is the one by Kalra, Henderson jr., and Raines (1993), who grouped firms by their nuclear capacity.…”

“…In particular, firms with nuclear-generating capacity show a larger step-up in the risk premia following the TMI event than non-nuclear utility bonds. Fields and Janjigian (1989) studied the U.S. public electric utility stock price reaction to the Chernobyl nuclear power plant disaster. During a 20-day period after the accident, they found statistically significant, negative daily abnormal returns for all firms.…”