| By: |
Martin Bohl;
Philipp Kaufmann;
Patrick Stephan |
| Abstract: |
Stocks of German renewable energy companies have commonly been regarded as
lucrative investment opportunities. Their innovative line of business
initially seemed to promise considerable future earnings. As shown by two
powerful bubble tests, the positive sentiment for renewable energy stocks even
led to explosive price behavior in the mid-2000s. However, intense sector
competition and the economic downturn following the global financial crisis
erased profit margins to a large extent. As a result, the former fad stocks
have recently turned into losers, loading negatively on price momentum and
delivering significantly negative Carhart (1997) four-factor alphas. The
radical shift in Germany's energy policy following the Fukushima nuclear
disaster in Japan could thus only temporarily halt the continuing decline in
alternative energy stock prices. |
| Keywords: |
Renewable Energy Stocks, Performance Measurement, Speculative Bubbles, Sup ADF Test, Markov Regime-Switching ADF Test |
| JEL: |
G10 G11 G12 Q42 |
| Date: |
2012–06 |
| URL: |
http://d.repec.org/n?u=RePEc:cqe:wpaper:2412&r=cfn |