What drove the mid-2000s explosiveness in alternative energy stock prices? Evidence from U.S., European and global indices

Bohl, Martin T.; Kaufmann, Philipp; Siklos, Pierre L.

doi:10.1016/j.irfa.2015.05.018

Cited by 19 publications

(8 citation statements)

References 33 publications

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“…Our results on the renewable energy indices indicate that these are high-beta, small-cap, growth and contrarian stocks. These findings corroborate the results in Bohl, Kaufmann, and Siklos (2015) who study a range of renewable indices as well. The coefficients on the two additional factors reveal that renewables need aggressive investment to generate positive returns.…”

Section: Discussionsupporting

confidence: 91%

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Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices

Sokolovska

Kešeljević

2019

Economic Research-Ekonomska Istraživanja

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The private sector arguably plays a greater role in sustainability transitions through private investment. The authors apply the four-and five-factor Fama-French models to the Dow Jones Sustainability Index (DJSI) and a range of renewable energy indices to evaluate the financial attractiveness of sustainability in general, relative to alternative investments. They find both overperformance and underperformance in the regional DJSIs over the period 2006-2016. In contrast, renewable energy indices have high betas and negative alphas, which makes them financially unattractive. These results imply the need for public support in sustainability transitions, as high risk and low return deter private investment.

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Section: Discussionsupporting

confidence: 91%

“…Finally, perhaps the most relevant result from an investors' point of view is the under/overperformance. Both Reboredo et al (2017) and Bohl et al (2015) report negative alphas. The significance for the negative alpha differs in the latter study, whereas the former only reports average alphas.…”

Section: Discussionmentioning

confidence: 98%

Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices

Sokolovska

Kešeljević

2019

Economic Research-Ekonomska Istraživanja

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“…Still on the global benchmark, interestingly, with a beta of 1.14, the green mutual funds are the most sensitive to market risk, implying high correlation with the market and heightened risks due to greater volatility (as evidenced by the standard deviation estimates in Table II) and reduced diversification opportunities. Other studies confirm that renewable energy stocks often rank in the high-beta segment (see Henriques and Sadorsky 2008;Bohl et al 2015). Furthermore, the model best fits the green mutual fund returns (R 2 ADJ = 0.73).…”

Section: Global Benchmarkmentioning

confidence: 59%

“…from the turn of the millennium until the global financial crisis (see Henriques and Sadorsky 2008;Kumar et al 2012;Bohl et al 2015;Sadorsky 2012;Inchauspe et al 2015;Bohl et al 2013;Managi and Okimoto 2013). The worsening state of the global economy thereafter lands the industry in substantial difficulties.…”

Section: Insert Table IV About Herementioning

confidence: 99%

European Green Mutual Fund Performance: A Comparative Analysis with their Conventional and Black Peers

2015

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We conduct the first comparative analysis of the financial performance of European green, black (fossil energy and natural resource) and conventional mutual funds. Based on a unique dataset of 175 green, 259 black and 976 conventional mutual funds, the investigation contrasts the financial performance of the three dissimilar investment orientations over the 1991-2014 period. Over the full sample period, green mutual funds significantly underperform relative to conventional funds, while no significant risk-adjusted performance differences between green and black mutual funds could be established during the same period. Environmentally friendly investment vehicles display a significant exposure to small cap and growth stocks, while black funds are more exposed to value stocks. Remarkably, the green funds' risk-adjusted return profile progressively improves over time until no difference in the performance of the green and the conventional classes could be discerned. Further evidence suggests that the green funds are beginning to significantly outperform their black peers, especially over the 2012-2014 investment window.JEL classification: F30, G11, G15, G23, M14

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“…These studies apply the GSADF on international housing prices (Engsted et al, 2016;Pavlidis et al, 2014;, Real Estate Investment Trust (REIT) indices (Escobari and Jafarinejad, 2015), alternative energy stock prices (Bohl et al, 2015), oil prices (Caspi et al, 2015), the nominal Sterling-dollar exchange rate (Bettendorf and Chen, 2013), the Chinese RMB-dollar exchange rate (Jiang et al 2015) and the Bitcoin market (Cheung et al 2015). …”

Section: B Applications Of the Gsadf Procedures To Identify Bubblesmentioning

confidence: 99%

Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Asset Purchase Program

2017

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SUMMARY -This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value.We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond prices are no longer in line with the underlying fundamental value. We argue that careful monitoring is required when the QE policy is eventually reversed. The test procedure outlined in this paper provides a monitoring tool to do so.JEL-code -G12; G15; E52

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What drove the mid-2000s explosiveness in alternative energy stock prices? Evidence from U.S., European and global indices

Cited by 19 publications

References 33 publications

Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices

Does sustainability pay off? A multi-factor analysis on regional DJSI and renewable stock indices

European Green Mutual Fund Performance: A Comparative Analysis with their Conventional and Black Peers

Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Asset Purchase Program

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