Abstract:Based on the theory of compliance cost, this paper takes the release of "The New Environmental Protection Law" as an example and uses the event study method to measure to effects of "The Strictest Environmental Law" on the share price. Furthering, we analysis the factors which influence the share price volatility with use of Multiple Regression. The empirical shows that:(1) Not only the new law enacts, but also the implementation of the new law makes a negative effect on the share price; (2) In the window period of new law enacts, the company with good profitability and more stringent environmental enforcement face more obvious negative effect; (3) In the window period of new law implement, the profitability contribute to the fall of the share prices and we do not find significant correlation between the enforcement of environmental law of the local government and the share price volatility. The research indicates that the share price react to the law enacts behaviors as a "policy shock effect", while the share price react to the law implements behaviors as a "revelation effect". The results can contribute to a better comprehension of investor behavior characteristics, decision making process and influencing mechanism.

Key words:environmental protection law,share price shock,compliance cost,profitability,environmental enforcement