%0 Journal Article
%T Asset Pricing Models and the Performance of European Energy Indices
%A Georgios Galyfianakis
%J Theoretical Economics Letters
%P 417-430
%@ 2162-2086
%D 2024
%I Scientific Research Publishing
%R 10.4236/tel.2024.142022
%X In
this paper, we analyze the abnormal returns of European Energy indices and<span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">the factor loadings </span>based
on the well-known <span style=\"font-size:10.0pt;font-family:;\" \"=\"\">Fama
and French three-</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">factor (FF3) and</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">five-factor (FF5) models. We extend this
methodology </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">by introducing one more
factor, a</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">European volatility index </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">(</span><i><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">VSTOXX</span><sub><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">t</span></sub></i><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">)</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">to the FF3 and FF5 methodologies and we </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">use data from Refinitiv</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">Eikonovera period lasting from</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">2010 to 2023. The
econometric findings indicate that </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">Energy indices do not produce significant
alphas, verifying literature studies on negative excess returns. Observations
also show </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">medium betas,</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">indicating a medium level of systematic risk.
Furthermore, w</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">e notice sufficient
evidence that the European Energy Indices tilt to large cap, value stocks,
robust operating profitability, and low-risk investment strategies.</span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\"> </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">Lastly, </span><span style=\"font-size:10.0pt;font-family:;\" \"=\"\">the performance and the validity of adding
%K Energy Indices
%K Volatility
%K &lt
%K i&gt
%K VSTOXX&lt
%K sub&gt
%K t&lt
%K /sub&gt
%K &lt
%K /i&gt
%K Fama-French
%K Crisis
%K Asset Pricing Models
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=132316