Environmental sentiment and stock performance in the U.S. energy sector
Abstract: This thesis studies how energy sector stocks perform under environment- related risks. I constructed the environmental sentiment factor and 7 subgroup environment-related risk factors using Dynamic Factor Model and took the abnormal returns as financial performance measure. The regression results show that during January 2004 to October 2016, all energy company stocks had negative abnorm... read moreal returns; renewable energy firms had even lower abnormal returns than non-renewables; the abnormal returns of nonrenewable energy firms could be decreased by the increase of environmental concerns and they are more sensitive about public's environmental sentiment and weather conditions than that of renewable energy firms. In conclusion, based on the findings of this thesis, in a world with worse weather conditions and higher public's environmental concerns, investors would sell nonrenewable energy stocks due to the decreasing abnormal returns, causing the cost of equity for nonrenewable energy firms to increase. So fewer nonrenewable energy firms would afford the cost of raising fund in stock market.
Thesis (M.S.)--Tufts University, 2017.
Submitted to the Dept. of Economics.
Advisor: Marcelo Bianconi.
Committee: Marcelo Bianconi, Daniel Richards, and Jeffrey Zabel.
Keywords: Economics, Finance, and Environmental economics.read less