Trámite para la constitución de la compañía:

Table 2.5 displays the univariate results of the market reaction to bank loan announcements.

Among 759 bank loan announcement articles obtained from the SIRCA database, only 735 observations had sufficient stock price data (i.e., 100 daily stock returns ranging from 109 days

to 10 days prior to the announcement day) for the abnormal return calculations. Panel A reports the daily abnormal returns ranging from five days before to five days after the announcement day with corresponding mean (%), z statistics, standard deviations (SD), minimum value (min), maximum value (max), percentage of abnormal return being greater than zero, and non- parametric Wilcoxon signed rank test. Panel B presents similar statistics for various cumulative abnormal returns around the announcement day, including two asymmetric (two-day CAR(0,1) and five-day CAR(0,4)) and three asymmetric ones (three-day CAR(−1,1), seven-day CAR(−3,3) and eleven-day CAR(−5,5)).

Table 2.5: Abnormal Returns around Bank Loan Announcements in Australia

Event day or window (0:

announcement day) Mean (%) z test SD (%) Min (%) Max (%)

Percentage of AR (or CAR) > 0 (%) Wilcoxon signed rank test

Panel A: Daily Abnormal Returns (ARs)

−5 −0.16 −2.39** 3.97 −18.12 47.28 48.16 −1.46 −4 −0.18 −0.41 4.12 −32.57 26.15 48.16 −1.05 −3 0.11 −1.18 3.77 −15.54 26.86 48.03 −1.62 −2 −0.14 −0.52 3.86 −23.12 23.71 48.44 −1.79 −1 0.13 0.41 3.87 −22.99 29.36 52.65 1.09 0 1.10 8.98*** 5.25 −26.25 51.24 58.10 5.25*** 1 0.27 0.67 5.67 −51.86 50.60 50.61 0.69 2 0.14 −0.07 4.89 −49.21 32.81 49.66 −0.15 3 0.05 0.55 4.34 −25.79 55.70 48.71 −1.06 4 −0.05 −0.44 4.27 −38.85 29.30 48.30 −1.41 5 −0.16 −2.17** 4.58 −54.88 25.58 48.98 −1.04

Panel B: Cumulative Abnormal Returns (CARs)

(0;1) 1.37 6.82*** 7.01 −51.91 51.58 57.01 4.90***

(−1;1) 1.50 5.80*** 7.78 −51.94 60.73 55.37 4.60***

(0;4) 1.52 4.34*** 10.51 −67.54 70.59 55.10 3.70***

(−3;3) 1.66 3.34*** 10.81 −63.04 78.42 51.84 2.65***

(−5;5) 1.12 1.03 13.16 −58.14 76.56 50.61 1.40

The table presents abnormal returns around 735 bank loan announcements in Australia during the sample period 2001–2013. The abnormal return (AR) and cumulative abnormal return (CAR) were calculated using the market model and standard event study methodology. The estimation window for calculating the market model parameters was [−109, −10]. AR and CAR were tested for

significance using a two-tailed z test. The Wilcoxon signed rank test had a null hypothesis of no difference in magnitudes between the

Overall, the daily abnormal returns before and after the announcement day did not present a clear pattern, with both positive and negative numbers. Even though the z test showed that average abnormal returns on day −5 and +5 were significantly negative at 0.16%, these results were not supported by the Wilcoxon signed rank test. Days other than the announcement day mainly had negative abnormal returns (more than 50% of abnormal returns were negative) that were not significantly different from zero, indicating weak evidence on the information leakage of bank loans.

Most notably, both the z test and the Wilcoxon rank test confirmed that the abnormal return on announcement day was significantly positive, with an average of 1.10%. This result is similar in size to those of almost all previous studies conducted in developed markets (Aintablian & Roberts 2000; James 1987; Lummer & McConnell 1989; Ongena & Roscovan 2013; Preece & Mullineaux 1996; Slovin, Johnson & Glascock 1992). This empirical evidence from recent data on the Australian market advocates the theory on the specialness of bank loans, confirming the certification and signalling effects associated with bank loan announcements.

The magnitude of the cumulative abnormal returns increased to 1.37% over the two-day window CAR(0,1), to 1.50% over the three-day window CAR(−1,1), to 1.52% over the five- day window CAR(0,4), and to 1.66% over the seven-day window CAR(−3,3), and these were all significant using both parametric and non-parametric tests. However, when the event window extended to 11 days covering five days before and after the announcement day, CAR(−5,5) decreased to 1.13% and was no longer significant. These findings show that the information content of bank loans is fully reflected in stock price movements a couple of days around the announcement, providing evidence of the delayed market reaction to bank loan announcements and supporting the view of a semi-strong level of market efficiency in Australia.

Panel A of Table 2.4 displays the five-day CAR(0,4) and seven-day CAR(−3,3) of polluting and non-polluting borrowers and the t test of mean difference between these two groups. For example, the results show that, on average, polluters produced 2.2% compared with the merely 0.8% five-day cumulative abnormal returns generated by non-polluters. Hence, on average, investors of polluters earned 1.4% cumulative abnormal returns higher than those of non- polluters and the difference was significant at the 10% level.

Table 2.6 reports the cumulative abnormal returns over various windows around bank loan announcements made in each year over the sample period 2001–2013. The results show that bank loans elicited positive cumulative abnormal returns in almost all years and were statistically significant for several years in both the pre- and the post-Kyoto periods. Regarding the volume of the announcements, bank loans were more frequently announced in the post period, with 524 compared with 211 observations in the pre-Kyoto period. In sum, there was no clear pattern in the yearly bank loan announcement abnormal returns before and after the Kyoto Protocol ratification.

Table 2.6: Bank Loan Announcement Abnormal Returns by Year

Year N

1-Day Window 2-Day Window 3-Day Window 5-Day Window 7-Day Window 11-Day Window

AR(0) CAR(0;1) CAR(−1;1) CAR(0;4) CAR(−3;3) CAR(−5;5)

Mean (%) t test Mean (%) t test Mean (%) t test Mean (%) t test Mean (%) t test Mean (%) t test

Panel A: Pre-Kyoto Period 2001–2007

Overall 211 1.19 3.16*** 1.22 2.15** 1.65 2.66*** 0.75 1.05 1.25 1.58 0.46 0.48 2001 17 3.11 1.86* 5.76 1.69* 4.57 1.12 5.44 1.91* 3.15 1.05 0.87 0.31 2002 14 1.11 1.09 −0.76 −0.53 −1.31 −1.00 −1.59 −0.82 −3.99 −1.83* −2.01 −0.46 2003 24 3.42 1.58 3.13 1.43 2.37 1.05 2.58 0.79 2.32 0.65 0.69 0.18 2004 28 1.17 2.15** 1.45 2.45** 2.59 2.15** 0.78 0.53 2.21 1.11 1.83 0.86 2005 37 0.44 0.55 0.28 0.32 0.98 1.15 0.85 0.83 2.68 1.81* 1.86 0.98 2006 42 0.89 1.49 2.06 1.74* 2.88 2.41** 2.01 1.4 2.18 1.57 2.13 0.98 2007 49 0.29 0.49 −0.85 −0.68 0.04 0.03 −2.28 −1.41 −0.87 −0.50 −2.37 −1.22

Panel B: Post-Kyoto Period 2008–2013

Overall 524 1.07 4.74*** 1.43 5.09*** 1.45 4.58*** 1.83 3.97*** 1.83 3.98*** 1.39 2.47** 2008 80 2.75 2.85*** 3.29 3.01*** 3.48 3.11*** 2.28 1.72* 2.54 1.72* 2.35 1.43 2009 87 1.18 1.88* 1.47 1.90* 1.71 1.86* 1.02 0.70 1.60 1.39 1.67 1.04 2010 71 0.55 1.76* 0.30 0.55 0.46 0.85 0.93 1.06 0.91 1.16 −0.16 −0.14 2011 123 0.61 1.50 0.86 1.94* 0.56 1.05 1.89 2.12** 0.91 1.2 1.08 0.96 2012 91 0.57 1.61 1.72 2.85*** 1.54 2.44** 3.31 3.01*** 3.21 2.39** 2.70 2.21** 2013 72 0.90 2.48** 1.07 1.76* 1.24 1.48 1.22 1.17 2.07 1.70* 0.36 0.23

The table presents average cumulative abnormal returns on bank loan announcements and two-tailed t test for significance for two subsample periods: Pre-Kyoto period

2001–2007 and Post-Kyoto period 2008–2013. The former Prime Minister Kevin Rudd officially ratified the Kyoto Protocol at the end of 2007, which is broadly considered

the starting point of a more stringent environmental regulatory period in Australia. Average AR and CAR and corresponding two-tailed t test for each year in the sample

2.6.2 Regression Analysis on Bank Loan Announcement Cumulative Abnormal