The dynamics of returns on renewable energy companies: A state-space approach
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-...
| Main Authors: | , , |
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| Format: | Journal Article |
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Elsevier
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/11656 |
| _version_ | 1848747864316968960 |
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| author | Ripple, R. Inchauspe, Julian Truck, S. |
| author_facet | Ripple, R. Inchauspe, Julian Truck, S. |
| author_sort | Ripple, R. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T06:55:55Z |
| format | Journal Article |
| id | curtin-20.500.11937-11656 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:55:55Z |
| publishDate | 2015 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-116562017-09-13T14:58:46Z The dynamics of returns on renewable energy companies: A state-space approach Ripple, R. Inchauspe, Julian Truck, S. WilderHill New Energy Global Innovation Index Renewable energy CAPM State-space models Oil price 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. 2015 Journal Article http://hdl.handle.net/20.500.11937/11656 10.1016/j.eneco.2014.11.013 Elsevier restricted |
| spellingShingle | WilderHill New Energy Global Innovation Index Renewable energy CAPM State-space models Oil price Ripple, R. Inchauspe, Julian Truck, S. The dynamics of returns on renewable energy companies: A state-space approach |
| title | The dynamics of returns on renewable energy companies: A state-space approach |
| title_full | The dynamics of returns on renewable energy companies: A state-space approach |
| title_fullStr | The dynamics of returns on renewable energy companies: A state-space approach |
| title_full_unstemmed | The dynamics of returns on renewable energy companies: A state-space approach |
| title_short | The dynamics of returns on renewable energy companies: A state-space approach |
| title_sort | dynamics of returns on renewable energy companies: a state-space approach |
| topic | WilderHill New Energy Global Innovation Index Renewable energy CAPM State-space models Oil price |
| url | http://hdl.handle.net/20.500.11937/11656 |