The dynamics of returns on renewable energy companies: A state-space approach

Julian Inchauspe; Ronald D. Ripple; Stefan Trück

doi:10.1016/j.eneco.2014.11.013

The dynamics of returns on renewable energy companies: A state-space approach

Julian Inchauspe, Ronald D. Ripple, Stefan Trück^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

54 Citations (Scopus)

Abstract

The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation Index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a multi-factor asset pricing model with time-varying coefficients to study the role of energy prices and stock market indices as explanatory factors. Our results suggest a strong influence of the MSCI World index and technology stocks throughout the sample period. The influence of changes in the oil price is significantly lower, although oil has become more influential from 2007 onwards. We also find evidence for underperformance of the renewable energy sector relative to the considered pricing factors after the financial crisis.

Original language	English
Pages (from-to)	325-335
Number of pages	11
Journal	Energy Economics
Volume	48
DOIs	https://doi.org/10.1016/j.eneco.2014.11.013
Publication status	Published - 1 Mar 2015

Keywords

CAPM
Oil price
Renewable energy
State-space models
WilderHill New Energy Global Innovation Index

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10.1016/j.eneco.2014.11.013

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Managing the Risk of Price Spikes, Dependences and Contagion Effects in Australian Electricity Markets
Trueck, S., Wolff, R., Weron, R. & Newton, J.
1/01/10 → 30/09/13
Project: Research

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abstract = "The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation Index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a multi-factor asset pricing model with time-varying coefficients to study the role of energy prices and stock market indices as explanatory factors. Our results suggest a strong influence of the MSCI World index and technology stocks throughout the sample period. The influence of changes in the oil price is significantly lower, although oil has become more influential from 2007 onwards. We also find evidence for underperformance of the renewable energy sector relative to the considered pricing factors after the financial crisis.",

keywords = "CAPM, Oil price, Renewable energy, State-space models, WilderHill New Energy Global Innovation Index",

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N2 - The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation Index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a multi-factor asset pricing model with time-varying coefficients to study the role of energy prices and stock market indices as explanatory factors. Our results suggest a strong influence of the MSCI World index and technology stocks throughout the sample period. The influence of changes in the oil price is significantly lower, although oil has become more influential from 2007 onwards. We also find evidence for underperformance of the renewable energy sector relative to the considered pricing factors after the financial crisis.

AB - The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation Index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a multi-factor asset pricing model with time-varying coefficients to study the role of energy prices and stock market indices as explanatory factors. Our results suggest a strong influence of the MSCI World index and technology stocks throughout the sample period. The influence of changes in the oil price is significantly lower, although oil has become more influential from 2007 onwards. We also find evidence for underperformance of the renewable energy sector relative to the considered pricing factors after the financial crisis.

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KW - Renewable energy

KW - State-space models

KW - WilderHill New Energy Global Innovation Index

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The dynamics of returns on renewable energy companies: A state-space approach

Abstract

Keywords

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Managing the Risk of Price Spikes, Dependences and Contagion Effects in Australian Electricity Markets

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