Systematic Risk of Renewable Energy Companies

Student: Klochikhina Maria

Supervisor: D.A. Makarov

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 7

Year of Graduation: 2017

The paper investigates the factors that affect systematic risk of the renewable energy companies using the information about 29 green energy firms. The estimate of market risk, measured by beta, is obtained from CAPM by OLS regression. The determinants were chosen based on the previous researches. Both accounting and macroeconomic variables were taken into account. The beta was regressed on potential explanatory variableson obtained beta using panel regression with fixed effect. The empirical results revealed that R&D-intensity, firm size, credit spread, inflation and oil price return are significant and, therefore, affect the systematic risk behavior. This information may be interesting to both investors and managers of alternative energy companies.

Full text (added June 16, 2017)

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