Risk-return profile of environmentally friendly assets: evidence from the NASDAQ OMX green economy index family

Demiralay, S ORCID: https://orcid.org/0000-0003-2543-7914, Gencer, G and Kilincarslan, E, 2023. Risk-return profile of environmentally friendly assets: evidence from the NASDAQ OMX green economy index family. Journal of Environmental Management, 337: 117683. ISSN 0301-4797

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Abstract

The COVID-19 pandemic, geopolitical risks and net-zero targets have created not only pressures but incentives for energy investors. The renewable energy has become the largest energy sector and provided significant investment opportunities. However, companies operating in this sector are highly risky due to economic and political barriers. Therefore, it is of crucial importance for investors to properly assess the risk-return dynamics of these investments. This paper examines the risk-return characteristics of clean energy equities at a disaggregate level using a battery of performance metrics. The main results provide evidence of significant heterogeneity across clean energy sub-sectors; for instance, fuel cell and solar stocks display higher downside risks than the others, while the developer/operator equities are the least risky. The findings further provide evidence of higher risk-adjusted returns during the coronavirus pandemic; as an example, energy management companies appear to provide the highest risk-adjusted returns in the wake of the COVID-19. Comparing the performance with traditional sectors, clean energy stocks outperform certain sectors, including dirty assets. These findings offer important implications for investors, portfolio managers, and policy makers.

Item Type:	Journal article
Publication Title:	Journal of Environmental Management
Creators:	Demiralay, S., Gencer, G. and Kilincarslan, E.
Publisher:	Elsevier BV
Date:	1 July 2023
Volume:	337
ISSN:	0301-4797
Identifiers:	Number Type 10.1016/j.jenvman.2023.117683 DOI 1743046 Other
Divisions:	Schools > Nottingham Business School
Record created by:	Laura Ward
Date Added:	22 Mar 2023 11:30
Last Modified:	16 Mar 2024 03:00
URI:	https://irep.ntu.ac.uk/id/eprint/48581

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