Search

Begin New Search
Proceed to Checkout

Search Results for All:
(Showing results 1 to 2 of 2)



Oil Risk in Oil Stocks

Bert Scholtens  and Lei Wang

Year: 2008
Volume: Volume 29
Number: Number 1
DOI: 10.5547/ISSN0195-6574-EJ-Vol29-No1-5
View Abstract

Abstract:
We assess the oil price sensitivities and oil risk premiums of NYSE listed oil & gas firms returns by using a two-step regression analysis under two different arbitrage pricing models. Thus, we apply the Fama and French (1992) factor returns in a study of oil stocks. In all, we find that the return of oil stocks is positively associated with the return of the market, the increase of the spot crude oil price, and negatively with the firm�s book-to-market ratio. The oil firms sensitivities to the market, the oil price and the book-to-market ratio are positively priced by the market under the integrated model. However, both the size and significance of the oil risk premium are unstable. This suggests that increases in the oil price impact on expectations about the oil stocks� future return. The positive oil risk premium may disappear as investors change their perception of the effect of oil price changes on stock returns.



Carbon Intensity and the Cost of Equity Capital

Arjan Trinks, Gbenga Ibikunle, Machiel Mulder, and Bert Scholtens

Year: 2022
Volume: Volume 43
Number: Number 2
DOI: 10.5547/01956574.43.2.atri
View Abstract

Abstract:
The transition from high- to lower-carbon production systems increasingly creates regulatory and market risks for high-emitting firms. We test to what extent equity market investors demand a premium to compensate for such risks and thus might raise firms' cost of equity capital (CoE). Using data for 1,897 firms spanning 50 countries over the years 2008–2016, we find a distinct and robust positive impact of carbon intensity (carbon emissions per unit of output) on CoE: On average, a standard deviation higher (sector-adjusted) carbon intensity is associated with a CoE premium of 6 (9) basis points or 1.7% (2.6%). This effect is primarily explained by systematic risk factors: high-emitting assets are significantly more sensitive to economy-wide fluctuations than low-emitting ones. The CoE impact of carbon intensity is more pronounced in high-emitting sectors, EU countries, and firms subject to carbon pricing regulation. Our results suggest that carbon emission reduction might serve as a valuable risk mitigation strategy.





Begin New Search
Proceed to Checkout

 

© 2024 International Association for Energy Economics | Privacy Policy | Return Policy