In
this paper, we analyze the abnormal returns of European Energy indices andthe factor loadings based
on the well-known Fama
and French three-factor (FF3) andfive-factor (FF5) models. We extend this
methodology by introducing one more
factor, aEuropean volatility index (VSTOXXt)to the FF3 and FF5 methodologies and we use data from RefinitivEikonovera period lasting from2010 to 2023. The
econometric findings indicate that Energy indices do not produce significant
alphas, verifying literature studies on negative excess returns. Observations
also show medium betas,indicating a medium level of systematic risk.
Furthermore, we notice sufficient
evidence that the European Energy Indices tilt to large cap, value stocks,
robust operating profitability, and low-risk investment strategies.Lastly, the performance and the validity of adding
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