Capturing the Business Value of EH&S Excellence

Corporate Environmental Strategy

Volumn 5, Issue 2, 1998, Pages 61-68

  Soyka, Peter A ^a   Feldman, Stanley J ^b  

^a ICF INTERNATIONAL   (United States)

^b BENTLEY COLLEGE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347175073     PISSN: 10667938     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1066-7938(00)80068-8     Document Type: Article

References (4)

1. Systematic, or market, risk reflects factors that affect all firms in the market simultaneously. These factors include inflation, changes in interest rates, recessions, wars, and the like. Because all firms participating in the market are affected by these factors the risks that they pose cannot be eliminated by investing in a diversified portfolio.
2. In practice, company-specific Beta values are computed from a regression line relating total historic returns (dividend yield plus market gain or loss) of the company's stock to the returns of the overall market. The slope of the line of best fit (regression parameter value using least squares technique) is defined as the Beta. Beta also may be calculated as the covariance between the returns of the company's stock and the market divided by the variance of market returns.
3. The regression model was constructed using variables suggested by theory and previous empirical work to explain the observed changes in Beta across the two time periods. Having obtained results that were in keeping with past financial research, we evaluated two environmental variables for significance defined herein as additional explanatory power. All variables used in the regression model are expressed in change form, i.e., period 2 value minus period 1 value. Regression model variables are listed in Exhibit 3, while summary regression model statistics are provided below. Regression model results are statistically significant and useful, in the sense that the parameter estimates for all explanatory variables have the anticipated sign (plus or minus) and are of a magnitude that comports with common sense. As expected, the financial variables (leverage, in particular) have the greatest explanatory power in the model, with the environmental management and performance variables exerting a smaller, though meaningful, impact.
4. Feldman, S.J., Soyka, P.A., and Paul Ameer, 1997. Op. cit.