Predictors of clean energy stock returns: An analysis with best subset regressions

Cetin Ciner, Arman Kosedag and Brian Lucey

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: We investigate the determinants of clean energy stock returns by considering a large set of variables. We focus on the Covid-19 period and use a novel statistical technique, best subset regressions with non-Gaussian errors, for variable selection. Our examination shows that clean energy stocks are significantly exposed to small company and emerging market equities, a new finding to the literature. Moreover, we find no influence from the oil market, contrary to conclusions of a large part of the prior work.

Keywords: Clean energy stocks; Best subset regressions; COVID-19 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002842

DOI: 10.1016/j.frl.2023.103912

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