Portfolio benefits of taxonomy orientated and renewable European electric utilities

IF 1.5 Q3 BUSINESS, FINANCE

Journal of Asset Management Pub Date : 2023-08-19 DOI:10.1057/s41260-023-00325-0

Thomas Cauthorn, Christian Klein, Leonard Remme, Bernhard Zwergel

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Abstract

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.

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面向分类和可再生的欧洲电力公用事业的投资组合收益

摘要本文研究了以EU-Taxonomy为导向的可再生欧洲电力公司股票价格中的碳和能源结构风险。我们计算了碳强度和能源组合因素，以衡量可能的碳和能源组合溢价，同时调查了欧盟分类导向和可再生欧洲电力公司的投资组合绩效。我们使用一个独特的数据集来扩展Fama和French(1993)提出的三因素模型，并找到证据表明，以欧盟分类法为导向的公司和在能源结构中具有高水平可再生能源的公司的投资组合具有正的可再生能源组合溢价。这些投资组合也存在正的低碳溢价。最后，基于三因素模型，以欧盟分类法为导向的投资组合优于非导向投资组合和非报告投资组合，而可再生能源投资组合优于传统能源投资组合。我们的研究结果对监管机构、投资者和欧洲电力公司评估环境法规对公司资本成本的影响具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

自引率

0.00%

发文量

期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics

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