What do we know about the idiosyncratic risk of clean energy equities?

Roy, Preeti; Ahmad, Wasim; Sadorsky, Perry; Phani, B.V.

doi:10.1016/j.eneco.2022.106167

Cited by 13 publications

(2 citation statements)

References 73 publications

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“…After estimating the parameters in the short-term/long-term model and computing the predicted futures prices, we then calculate idiosyncratic volatility (iVol) and systematic volatility (sVol). Following Roy et al (2022), we use an estimation window M equal to 20 (i.e. one month) in our analysis [9].…”

Section: Idiosyncratic and Systematic Volatilitiesmentioning

confidence: 99%

Idiosyncratic volatility in commodity futures markets: measurement and puzzle

Hong

Zhou

2023

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PurposeThis paper aims to propose an alternative method to measure idiosyncratic volatility and test whether the idiosyncratic volatility puzzle holds in commodity futures markets.Design/methodology/approachThis paper proposes a partially new measure of idiosyncratic volatility in commodity futures markets based on the Schwartz and Smith (2000) short-term/long-term model. This model enables us to capture systematic risks of commodity futures markets in a parsimonious way.FindingsUsing a sample of futures contracts for 20 commodities from 1973 to 2022, this paper demonstrates that idiosyncratic volatility is more significant than systematic volatility in commodity futures markets, and that the idiosyncratic volatility puzzle does not hold in these markets. This paper also performs robustness tests to investigate whether the puzzle holds during subsample periods when commodity markets are more volatile and find consistent results. This study highlights the differences between commodity futures markets and equity markets and emphasizes the importance of investigating idiosyncratic volatility in commodity futures markets.Originality/valueThe contributions of this paper are threefold. First, this paper contributes to the literature by focusing on the idiosyncratic volatility of commodity futures returns. Second, this paper constructs a partially new measure of idiosyncratic volatility in commodity futures markets. Finally, this paper also contributes to the literature on the idiosyncratic volatility puzzle and demonstrates that the puzzle may not exist in commodity futures markets.

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Section: Idiosyncratic and Systematic Volatilitiesmentioning

confidence: 99%

Idiosyncratic volatility in commodity futures markets: measurement and puzzle

Hong

Zhou

2023

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“…The stock market is always expected to fluctuate (Demir, 2019; Roy et al, 2022). As a part of the market, a firm is also expected to fluctuate in terms of stock price.…”

Section: Introductionmentioning

confidence: 99%

Stock Return Synchronicity and Profitability: Evidence from India

Murthy,

Mundi

2023

Paradigm: A Management Research Journal

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The current research article studies the stock return synchronicity (SYNCH) and profitability for Indian firms. SYNCH is measured using the value of R2 calculated from the market model for the sample firms. The market model runs regressions of individual stock returns with the Nifty index return. The quantile regression model is run to study the SYNCH and profit after tax (PAT). In addition, the SYNCH and its relation with PAT for low-quantile firms are compared to the SYNCH of high-quantile firms. After controlling for relevant variables, the quantile regression results provide evidence that SYNCH is related to PAT. The reported results also provide evidence that the lower quantile firms differ from higher quantile firms in terms of the impact of PAT on SYNCH.

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Visualizing environmental management: Corporate environmental images information disclosure and idiosyncratic risk

Yao

2023

Environmental Impact Assessment Review

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What do we know about the idiosyncratic risk of clean energy equities?

Cited by 13 publications

References 73 publications

Idiosyncratic volatility in commodity futures markets: measurement and puzzle

Idiosyncratic volatility in commodity futures markets: measurement and puzzle

Stock Return Synchronicity and Profitability: Evidence from India

Visualizing environmental management: Corporate environmental images information disclosure and idiosyncratic risk

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