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Department of Applied Finance and Actuarial Studies

Applied Finance and Actuarial Studies Seminar - Stefan Trueck

  • Topic: The Dynamics of Returns on Renewable Energy Companies: A State-Space Approach
  • Speaker: Associate Professor Stefan Trueck, Department of Applied Finance and Actuarial Studies,  Faculty of Business and Economics, Macquarie University


  • Venue:
  • When: 17th August, 2011, (Wed)
  • Time:
Renewable energy investment has expanded quickly during the last decade, partly as a result of more ambitious government policies. This paper is aimed at providing some understanding about the determinants of private investment in renewable energy. We examine excess returns for the WilderHill New Energy Global Innovation index, a major benchmark with a current capitalization of $ 312 billion. We propose a state-space multi-factor asset pricing model to study the role of excess returns for oil prices, technology stocks and the S&P 500 stocks as explanatory factors. The novelty of our approach is the use of time-varying beta-factors which provide insightful information about the dynamic influence of each explanatory factor.

Co-Authors: Julian Inchauspe and Ronald D. Ripple

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