The Determinants of Systematic Risk of Renewable Energy Firms

Lars J. Hesselink, Lammertjan Dam and Wim Westerman ()
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Lars J. Hesselink: University of Groningen
Wim Westerman: University of Groningen

A chapter in Regulations in the Energy Industry, 2020, pp 215-241 from Springer

Abstract: Abstract Conventional asset pricing theory predicts that expected stock returns are driven by systematic risk. In this context, we investigate the determinants of systematic risk of renewable energy firms. To do so, we estimate a dynamic beta model using a cross-country panel data set of 578 renewable energy firms from 52 countries for the period 2005–2016. We employ both global and country-specific factors to explain both variation over time and variation between firms in their systematic risk. The results show that systematic risk of renewable energy firms is negatively influenced by oil returns and that country-level net-imports, environmental policy stringency, and environmental policy stability explain differences in risk at the country level.

Keywords: Renewable energy; Dynamic beta estimation; Cross-country differences (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-32296-0_12

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DOI: 10.1007/978-3-030-32296-0_12

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