Artikel
Predictors of excess return in a green energy equity portfolio: Market risk, market return, value-at-risk and or expected shortfall?
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019. Fixed-effects panel data regressions of daily returns, followed by quantile regressions, were performed. There was some support for the explanation of green equity returns by market returns and market risk (beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were Value-at-Risk at a 95% confidence level, and Value-at-Risk at a 99% confidence level. Expected Shortfall was another extreme risk value measure. The importance of extreme value measures suggests the presence of fat-tailed leptokurtic distributions, whereby excess returns were explained by the risk of loss given adverse conditions, primarily at 95% confidence. We conclude that the proliferation of small firms and new entrants in the renewable energy sector has led to the explanation of returns by extreme values of risk.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 2 ; Pages: 1-31 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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green equities
Capital Asset Pricing Model
Fama-French Three-Factor Model
Fama-French Five-Factor Model
Value-at-Risk
Expected Shortfall
- Event
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Geistige Schöpfung
- (who)
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Abraham, Rebecca
El-Chaarani, Hani
Tao, Zhi
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2022
- DOI
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doi:10.3390/jrfm15020080
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Abraham, Rebecca
- El-Chaarani, Hani
- Tao, Zhi
- MDPI
Time of origin
- 2022
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Market Risk: Exponential Weightinh in the Value-at-Risk Calculation
Market risk: Exponential weighting in the value-at-risk calculation
Equity risk and return across hidden market regimes
Low risk and high return: Affective attitudes and stock market expectations
Changing risk-return profiles
Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects
Risk and return in convertible arbitrage: Evidence from the convertible bond market
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