The Determinants of Systematic Risk of Renewable Energy Firms

Lars Hesselink, Lammertjan Dam, Wim Westerman*

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapterAcademicpeer-review


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.
Original languageEnglish
Title of host publicationRegulations in the Energy Industry
Subtitle of host publicationFinancial, Economic and Legal Implications
EditorsAndré Dorsman, Özgür Arslan-Ayaydin Arslan-Ayaydin, James Thewissen
Place of PublicationCham
Number of pages27
ISBN (Electronic)978-3-030-32296-0
ISBN (Print)978-3-030-32295-3
Publication statusPublished - 2020

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