Dasgupta, Laplante, and Mamingi (1998)

Dasgupta, Susmita , Benoit Laplante, and Nlandu Mamingi. "Capital Market Responses to Environmental Performance in Developing Countries." The World Bank Development Research Group, 1998.

Uses event study methodology to evaluate reactions of individual stocks to environmental news in the Argentina (20 events, 11 firms), Chile (53 events, 17 firms), Mexico (35 events, 10 firms), and Philippines (18 events, 10 firms) stock markets for the 1990-1994 time period. Finds that the stocks tended to react positively to positive government actions on the day after the announcement (t-stat 1.8), but not to other positive environmental news. Negative news events involving government and/or citizen complaints reduced stock values on the day after the announcement (t-stat -1.7), but other negative environmental news appeared not to be meaningful. The authors report that "reductions in market values range on average from 4% to 15%."

Concludes that "these results suggest that in numerous circumstances market forces...have not remained idle upon receiving signals of the environmental performance of firms."

Link to paper:  http://web.worldbank.org/archive/website01004/WEB/IMAGES/12852832.PDF