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2023-08-19Subject
330 Economics Europäische UnionTaxonomieErneuerbare EnergienElektrizitätsversorgungCapital-Asset-Pricing-ModellMetadata
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Portfolio benefits of taxonomy orientated and renewable European electric utilities
Abstract
This paper investigates carbon and energy mix risk in the equity prices of EU-Taxonomy orientated and renewable European electric utility companies. We calculate carbon intensity and energy mix factors to measure possible carbon and energy mix premia while investigating the performance of portfolios of EU-Taxonomy orientated and renewable European electric utilities. We use a unique dataset to extend the three-factor model presented by Fama and French (1993) and find evidence of a positive renewable energy mix premium for portfolios of EU-Taxonomy orientated firms and firms with a high level of renewable energy in the energy mix. A positive low-carbon premium is also found for these same portfolios. Lastly, based on the three-factor model, an EU-Taxonomy orientated portfolio outperforms both a non-orientated portfolio and a non-reporting portfolio while a renewable energy portfolio outperforms a conventional energy portfolio. Our results are important for regulators, investors and European electric utilities in assessing the impact environmental regulations have on a firm’s cost of capital.
Citation
In: Journal of Asset Management Volume 24 / Issue 7 (2023-08-19) , S. 558-571 ; eissn:1479-179XSponsorship
Gefördert im Rahmen des Projekts DEALCitation
@article{doi:10.17170/kobra-202312089192,
author={Cauthorn, Thomas and Klein, Christian and Remme, Leonard and Zwergel, Bernhard},
title={Portfolio benefits of taxonomy orientated and renewable European electric utilities},
journal={Journal of Asset Management},
year={2023}
}
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2023-12-08T14:20:26Z 2023-12-08T14:20:26Z 2023-08-19 doi:10.17170/kobra-202312089192 http://hdl.handle.net/123456789/15278 Gefördert im Rahmen des Projekts DEAL eng Namensnennung 4.0 International http://creativecommons.org/licenses/by/4.0/ Taxonomy Factor model Asset pricing Renewable energy Carbon risk Carbon intensity 330 Portfolio benefits of taxonomy orientated and renewable European electric utilities Aufsatz This paper investigates carbon and energy mix risk in the equity prices of EU-Taxonomy orientated and renewable European electric utility companies. We calculate carbon intensity and energy mix factors to measure possible carbon and energy mix premia while investigating the performance of portfolios of EU-Taxonomy orientated and renewable European electric utilities. We use a unique dataset to extend the three-factor model presented by Fama and French (1993) and find evidence of a positive renewable energy mix premium for portfolios of EU-Taxonomy orientated firms and firms with a high level of renewable energy in the energy mix. A positive low-carbon premium is also found for these same portfolios. Lastly, based on the three-factor model, an EU-Taxonomy orientated portfolio outperforms both a non-orientated portfolio and a non-reporting portfolio while a renewable energy portfolio outperforms a conventional energy portfolio. Our results are important for regulators, investors and European electric utilities in assessing the impact environmental regulations have on a firm’s cost of capital. open access Cauthorn, Thomas Klein, Christian Remme, Leonard Zwergel, Bernhard doi:10.1057/s41260-023-00325-0 Europäische Union Taxonomie Erneuerbare Energien Elektrizitätsversorgung Capital-Asset-Pricing-Modell publishedVersion eissn:1479-179X Issue 7 Journal of Asset Management 558-571 Volume 24 false
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