Expected Shortfall was another extreme risk value measure. The most significant predictors of green equity returns were Value-at-Risk at a 95% confidence level, and Value-at-Risk at a 99% confidence level. There was some support for the explanation of green equity returns by market returns and market risk (beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama–French Three-Factor and Fama–French Five-Factor Models. Fixed-effects panel data regressions of daily returns, followed by quantile regressions, were performed.
Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019.
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend.
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