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1 , ( ) * 1) *** ***.,,, ROI.. (event day) 1.09%... *. ** ***

2 90, I.,,..,,, ~60 2, 60%. 78% 73%...

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7 95 Commision for Environment and Development, WCED), 1992, UN. WCED (Our Common future) (Environmentally Sound and Sustainable Development)..... Gray(1993),, Chiristie(1995). (2000) (1995)

8 96, Bradon & Marlin(1972) CEP, CEP (EPS, 5 ROE, 5, 5 ). Klassen & Mclaughlin(1996),. Event( ), Event(, )., (1992).., (1995) Event Study.. (event study) ( ) (expected profitability). (Fama, Fisher, Jensen and Roll 1969). (efficient

9 97 market hypothesis) (event) ( )., (Brown and Warner 1985).,,,. (stock split) (Fama et al. 1969),,,,.. Horsky and Swyngedouw(1987). (Eddy and Saunders, 1980; Chaney, DeVinney, and Winer, 1991), (Peltzman 1981), (Jarrell and Peltzman 1985), (Agrawal and Kamakura 1995), (Lane and Jacobson 1995), (Hendricks and Singhal 1997), (Kulik and Jacobson 2001). (,, 2003) ( ). CRM (,, 2004) CRM.., (abnormal return), ( )

10 98, ,. i, t ( R i, t ). R i, t = P - P t P t-1 t-1 (1) P t : t P t-1 : t 1, (benchmark model) (normal return), (abnormal return)., (abnormal return) (normal return) (benchmark model) (market model) (Brown and Warner 1980; 1985, Binder 1998).. 5 (benchmark model). 5 (benchmark model). 1) (mean-adjusted returns) 2) (market-adjusted returns) 3) (market model) 4) 1 (CAPM)

11 99 5) (multifactor model) Brown and Warner(1980, 1985) 1), 2), 3) 1) (mean-adjusted model). A - i, t = Ri, t Ri (2) A i, t : i t R i, t : i t R 1 1 = å T i R i, t T T0 : i T: T 0 : T 1 : 2) (market-adjusted model). A i, t Ri, t - Rm, t = (3) R m, t : t 3) (market model) (4) t (R m,t ) 1.

12 100, = ˆ ˆ (4) A i, t Rit -a i - b i Rm, t a i, R i,t R m,t. 5 1), 2), 3), (market model) (mean-adjusted model) (market returns).,., (true model) (event period) (market model)., (event period), ( ).,.. OLS (event), (stationarity)., 1 (noise)., (calendar time).

13 101., (market model) (benchmark model).., (heteroskedasticity).,.,.,. Boehmer (1991),. Patell(1976) (Prediction error). (SARs). SARs ASARs..,,,. (Theil 1971).. (autocorrelation). (Binder 1998)., (calendar time) (clustered)

14 102, , (calendar time) (Chandra 1990). (2), (3), (benchmark model),,.,, (event period) (estimation period).. III..,.. r it = a + b r + e i i mt it (5) r it : i t r mt : t

15 103 a i : i e it : i t (error term) b i r mt i, / e it i.i.d. N(0, s 2 i ). r mt,. {a i, b i, s 2 i } (estimation period) OLS. 1, (event day) (event) (Beaver 1968), (non-stationarity). (Hendrics and Singhal 1997). 0, 1 (event time).. (information leaking) -1 0 '0' -1, (Hendricks and Singhal 1997) (5), i t.

16 104, A it = rit - ˆ a i - ˆ birmt i = { 1,2,..., N}, t Î{-5,...,5} (6) A it : i t N : ( ). _ A t = N å i= 1 Ait N for t {-5,..., 5} (7) (CAR) t {-5,..., 5},. 5 å CAR t = At t=-5 (8) (event day). 0 t- (Brown an Warner 1980, Dyckman et al. 1984, Brown and Warner 1995). TS t = N å t= 1 A it sˆ N i for t {-5,..., 5} (9).,

17 105. (FType ), (FSize ), (FTime (2000~2002 ) (2003~2005 ) ).. Model 1 : CARi = b 0 + b1ftypei + b 2FTypei + b 3FTimei + e i (10). Model Model 2 : CAR i = b 0 + b1ftype i + e i (10a) 3 : CAR i = b 0 + b1fsize i + e i (10b) : CAR i = b 0 + b1ftime i + e i Model 4 (10c). (market model) t-,,.,,,....

18 106, (, )... ( )

19 107 IV. KOSPI KOSDAQ (, ) (, ), KISFAS/SMAT Fnguide.com. (benchmark index), KOSDAQ KOSDAQ. KINDS(Korea Integrated News Database System) ( 10, 9, IT 4 ) 1).,,,,.,. / (,, ) (, ISO14001 ). (event day), ( +1).. 1),,,,,,,,,,,,,,,,,,, IT,, 24, ZDNet Korea.

20 108, ) KOSPI KOSDAQ 2) 2 1 3) 1 4) (event period) 5), 2 2), 3). 4), 5) , 1)~5) 55, ,,

21 109 /, 24 / / 10 / 7 / / 9 2) /, 27 / / 10 / / 26 / / 7 / / 18 3) %,, 18% , 4, 5. 2),, IT, ( ). 3),, IT,,, ( ).

22 110, / ( A t ), t- (TS t ), p-value (CAR t ). t {-5,..., 5}. t- 0. (event period) (%) t- P-value (%)

23 % 2.00% 1.50% 1.00% 0.50% 0.00% -0.50% (-5 ~+5 ) 1.51% p-value (event day).. 1.1( ) ( 0.1) ( A t ), t- (TS t ), p-value (CAR t ). 7 / ( 0)

24 112, (%) t- P-value (%) %, T ( 0) % 0.20% 0.00% -0.20% % -0.60% -0.80% -1.00% -1.20%

25 % 0.00% % -1.00% -1.50% -2.00% % R 0% R -5% 5% R 0% R 5% (0). (-5 ~+5 ) -1.45% p-value (event day) -1.09%, -1.00%. (outlier). 67% 94.55% -5 +5%. (outlier). 1.2( )..

26 114, (, ). (event day). (2000~2002 ) (2003~2005).,,., (, 2001) %. 2.2(.).,. (2-tailed) ( / ) ( ) ( / )

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28 116, , 103, 11 (event period) ( 0.1).,.., , ISO ISO14001.

29 117.,... (Announcement).,..,, (2004), CRM,, 33 4, pp , (2004),,., (1995),,, 24 1, pp (2004),,. (2000),,, 350,., (1992),,, 21 2, pp

30 118, ,, (2003),,, 32, 4, pp ,, (2001),,. (2005),,, 9 1 ), pp (2004),. Klassen, R.D., and C.P. Mclaughlin (1996), The Impact of Environmental Management on Firm Performance, Management Science, pp Agrawal, J. and W. Kamakura (1995), The Economic Worth of Celebrity Endorsers: An Event Study Analysis, Journal of Marketing, Vol. 59, No. 3, pp Beaver, W. (1968), The Information Content of Annual Earnings Announcement, Journal of Accounting Research, Supplement, pp Binder, J. (1998), The Event Study Methodology Since 1969, Review of Quantitative Finance and Accounting, 11, pp Brown, S. and J. Warner (1985), Using Daily Stock Returns: The Case of Event Studies, Journal of Financial Economics, 14, pp Chaney, P., T. DeVinney, and R. Winer (1991), The Impact of New Product Introductions on the Market Value, Journal of Business, Vol. 64, No. 4, pp Eddy, A. and G. Saunders (1980), New Product Announcements and Stock Price, Decision Sciences, 11, pp Fama, E., L. Fisher, M. Jensen, and R. Roll (1969), The Adjustment of Stock Prices to New Information, International Economic Review, 10, pp Horsky, D. and P. Swyngedouw (1987), Does It Pay To Change Your Company s Name? A Stock Market Perspective, Marketing Science, Vol. 6, No. 4, pp Jarrell, G. and S. Peltzman (1985), The Impact of Product Recalls on the Wealth of Sellers, Journal of Political Economy, 93, pp

31 119 Lane, V. and R. Jacobson (1995), Stock Market Reactions to Brand Extension Announcements: The Effects of Brand Attitude and Familiarity, Journal of Marketing, Vol. 59, No. 1, pp Park, Namgyoo, Mezias, John M., and Song, Jaeyong (2004), A Resource-based View of Strategic Alliances and Firm Value in the Electronic Marketplace, Journal of Management, Vol. 30, No. 1, pp. 727.

32 120, The Effect of Environmental Performance on the Market Value of Korean Firms 4)Byung-Do Kim** Jung Eun Moon** With the fast industrialization, human beings have received the benefits of metarial civilization. However an accelerated rate of exhaustion of natural resources, air pollution, and water pollution has threatened human exixtence as well as sustainable development. Companies can take this situation either as an opportunity or as a challenge. Companies, which make environmentally harmful final products or byproduct, are faced with demanding legal restriction. Companies, which manufacture environmentaly friendly products, are welcomed with higher comsumer demand and market growth potential. No consensus has ever been made on how environment management affects company performance. Some researchers and industry experts consider environment management as financial burden, consequently being against aggressive environmental invenstment. Other researchers, however, see clear benefits of environmental investment such as improved corporate image, direct or indirect long-term cost reduction, and lowered trade barrier. Depending on how companies understand the cost and benefits of enviroenment management, companies will take their stand whether to do just legal limit or to pursue environmental issues as strategic choice. The objective of this study is to empirically measure the cost of environmental accident and the economic value of environmental investment by implementing the market model. This study is intended to help top Korean CEOs to make ROI *Professor of Marketing, Seoul National University **Korea Exchange

33 121 considered strategic decisions on environmentaly friendly issues. This study applies an event study to analyze the effect of environment performance on the market value of Korean firms based on stock price, which shows future value of companies. The results show that when companies announce their environmental accidents, their announcements of those incidents will, in general, negatively influence the market values of the companies. The companies lose, on average, 1.09% of their market values on the day of the announcement. On the other hand, announcing an environmental investment has no effect on the market. Additional finding is that company size is a factor influencing the magnitude of capital market s receptiveness toward environmental performance. This suggests that companies need to recognize the value of environmental invenstment and to take environment management as a competitive advantage. Keywords: Event study methodology, Environment management, Return on Investment

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