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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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
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spelling Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexesGarcía Amate, Antonio JesúsRamírez-Orellana, AliciaRojo-Ramírez, Alfonso A.DJSIRenewable energyRisk return analysisSocially responsible investmentsStock indexesPurpose– 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.EmeraldGestión de EmpresasEnpresen Kudeaketa2021info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2454/56111reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglés© Emerald Publishing Limited.info:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/561112026-06-17T12:41:47Z
dc.title.none.fl_str_mv Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
title Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
spellingShingle Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
García Amate, Antonio Jesús
DJSI
Renewable energy
Risk return analysis
Socially responsible investments
Stock indexes
title_short Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
title_full Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
title_fullStr Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
title_full_unstemmed Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
title_sort Is it attractive to invest in alternative energy?: evidence from a five-factor Fama-French model for regional DJSI and renewable stock indexes
dc.creator.none.fl_str_mv García Amate, Antonio Jesús
Ramírez-Orellana, Alicia
Rojo-Ramírez, Alfonso A.
author García Amate, Antonio Jesús
author_facet García Amate, Antonio Jesús
Ramírez-Orellana, Alicia
Rojo-Ramírez, Alfonso A.
author_role author
author2 Ramírez-Orellana, Alicia
Rojo-Ramírez, Alfonso A.
author2_role author
author
dc.contributor.none.fl_str_mv Gestión de Empresas
Enpresen Kudeaketa
dc.subject.none.fl_str_mv DJSI
Renewable energy
Risk return analysis
Socially responsible investments
Stock indexes
topic DJSI
Renewable energy
Risk return analysis
Socially responsible investments
Stock indexes
description 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.
publishDate 2021
dc.date.none.fl_str_mv 2021
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2454/56111
url https://hdl.handle.net/2454/56111
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv © Emerald Publishing Limited.
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © Emerald Publishing Limited.
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Emerald
publisher.none.fl_str_mv Emerald
dc.source.none.fl_str_mv reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname:Universidad Pública de Navarra
instname_str Universidad Pública de Navarra
reponame_str Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
collection Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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