Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes

Purpose– This study aims to examine the attractiveness of the regional Dow Jones Sustainability Indexes (DJSI) and several renewable energy indexes during December 31,2010 to December 31, 2019. This study uses a risk-return analysis and a set of explanatory factors. Lastly, this study conducts a com...

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Detalles Bibliográficos
Autores: García Amate, Antonio Jesús, Ramírez-Orellana, Alicia, Rojo-Ramírez, Alfonso A.
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2021
País:España
Institución:Universidad Pública de Navarra
Repositorio:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
OAI Identifier:oai:academica-e.unavarra.es:2454/56111
Acceso en línea:https://hdl.handle.net/2454/56111
Access Level:acceso abierto
Palabra clave:DJSI
Renewable energy
Risk return analysis
Socially responsible investments
Stock indexes
Descripción
Sumario:Purpose– This study aims to examine the attractiveness of the regional Dow Jones Sustainability Indexes (DJSI) and several renewable energy indexes during December 31,2010 to December 31, 2019. This study uses a risk-return analysis and a set of explanatory factors. Lastly, this study conducts a comparative analysis of these indexes with conventional indexes. Design/methodology/approach– This study uses data from Eikon, a Thomson Reuters database. To analyze the indexes’ behavior, this study uses the indexes’ annual return as of December 31 for each year. Next, this study estimates the Fama andFrench’s five-factor model usinganordinaryleast squares regression for regional DJSI andrenewable energy indexes. Findings– The results show that regional DJSIs delivered returns both above and below conventional indexes. In contrast, renewable energy indexes had high betas and negative returns, making them unattractive to investors. Practical implications– The results imply the need for public financing programs that support the transition to a sustainable economy andreducerisk andincrease the return on privateinvestment. Social implications– This study provides insights for policymakers regarding the importance of sustainability indexes in the transition to a green economy. Originality/value– This study contributes to the growing literature on Fama and French’s five-factor model of sustainability indexes, especially in the current context characterized by intense green political changes. In particular, this study complements the few studies that have addressed the economic implications of renewable energyindexesin markets.