From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks

Bohl, Martin T.; Kaufmann, Philipp; Stephan, Patrick M.

doi:10.1016/j.eneco.2013.01.006

Cited by 97 publications

(31 citation statements)

References 29 publications

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“…But when the duration of the second bubble exceeds the first, the PWY strategy can detect the second bubble but only with some delay. Third, the PSY strategy and (under additional conditions) a sequential implementation of the PWY strategy (to each individual bubble in turn) do provide consistent detectors for both 2 The present article therefore subsumes the results contained in the unpublished working paper of Phillips and Yu (2009) which is referenced in PWY and which first analyzed the asymptotic properties of the PWY procedure.…”

Section: Introductionmentioning

confidence: 58%

“…The present article provides a rigorous limit theory showing formal test consistency of the PWY bubble detection procedure and the consistency of its associated dating algorithm under certain conditions, notably the existence of a single bubble period in the data. 2 This limit theory is part of a much larger formal investigation undertaken here that examines the asymptotic properties of bubble detection algorithms when there may be multiple episodes of exuberance in the data, under which the PWY procedure does not perform nearly as well. As argued in the authors' companion paper (Phillips, Shi, and Yu, 2015a, hereafter PSY), data over long historical periods often include several crises involving financial exuberance and collapse.…”

Section: Introductionmentioning

confidence: 99%

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Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

2013

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This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolves as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right tailed unit root tests (each with a di¤erent recursive algorithm) that may be used in real time to locate the origination and collapse dates of bubbles. Under certain explicit conditions, the moving window detector of PSY is shown to be a consistent dating algorithm even in the presence of multiple bubbles. The other algorithms are consistent detectors for bubbles early in the sample and, under stronger conditions, for subsequent bubbles in some cases. These asymptotic results and accompanying simulations guide the practical implementation of the procedures. They indicate that the PSY moving window detector is more reliable than the PWY strategy, sequential application of the PWY procedure and the CUSUM procedure.

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Section: Introductionmentioning

confidence: 58%

Section: Introductionmentioning

confidence: 99%

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

2013

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“…Using Return on Assets (ROA) as a key performance metric, the attention of the management is drawn on the assets required to run the business. Some economists [23] consider that ROA is a better metric of analyzing financial performance than income statement profitability measured by return on sales. ROA explicitly takes into account the assets used to support management activities.…”

Section: Methodsmentioning

confidence: 99%

“…Other types of analysis, such as the Bohl et al study [23], could not be replicated for the Romanian market since there are a few companies operating in the renewable energy sector that are listed on the stock exchange. An overview of the sustainability and financial performance of the companies in the energy sector in Romania [24] has been recently undertaken, so the authors of this paper decided to take a different approach by investigating the economic performance of the companies in this sector.…”

Section: Introductionmentioning

confidence: 99%

Sustainability and Economic Performance of the Companies in the Renewable Energy Sector in Romania

Bușu

Nedelcu

2017

Sustainability

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Abstract:In this paper, we focus on the sustainability and economic performance of the renewable energy sector of Romania. In our analysis, we have used Total Quality Management (TQM) model, which is an economic modern tool used for improving the quality of management for all companies. The aim of this study is to bring into discussion the conceptualized TQM model of Edward Deming underlying different stages of its evolution as it is described in the economic literature. Conceptual model is applied in a case study of the renewable energy sector of Romania. The quantitative research evaluates the impact of the total quality management to achieve the sustainable development, performance objectives and the competitive advantage of the companies in the renewable energy sector. Data was collected through a survey and the questionnaire was addressed to the management and employees in the renewable energy sector. Structural equation modelling (SEM) was used and the hypotheses were tested by partial least square (PLS) equations. Data was analyzed through the Smart PLS 3 software. The main contribution of this paper is to identify and evaluate the relationship among sustainable development, economic performance of the companies and TQM model indicators. The conclusions of our research are in line with the existing literature and confirm the theoretical assumptions, underlining the fact that the undertaking's performance and sustainable development is a direct consequence of the combination among a series of factors like decisional power quality, motivated workforce as well as integrity of operational process.

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“…(), Homm and Breitung (), Gutierrez (), Bohl et al. (), Etienne et al. (2013), Greenaway‐McGrevy and Phillips (forthcoming), and Jiang et al (), among others.…”

mentioning

confidence: 99%

Testing for Multiple Bubbles: Limit Theory of Real‐time Detectors

Phillips

Shi

2015

Int Economic Review

324

118

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This article provides the limit theory of real‐time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201–26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Review 56 [2015a], 1099–1134. Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolve as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right‐tailed unit root tests (each with a different recursive algorithm) that may be used in real time to locate the origination and collapse dates of bubbles. Under certain explicit conditions, the moving window detector of PSY is shown to be a consistent dating algorithm even in the presence of multiple bubbles. The other algorithms are consistent detectors for bubbles early in the sample and, under stronger conditions, for subsequent bubbles in some cases. These asymptotic results and accompanying simulations guide the practical implementation of the procedures. They indicate that the PSY moving window detector is more reliable than the PWY strategy, sequential application of the PWY procedure, and the CUSUM procedure.

show abstract

From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks

Cited by 97 publications

References 29 publications

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Sustainability and Economic Performance of the Companies in the Renewable Energy Sector in Romania

Testing for Multiple Bubbles: Limit Theory of Real‐time Detectors

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