Comparison of Macro Factors’ Influences on Energy Stocks and Alternative Energy Stocks
Comparison of Macro Factors’ Influences on Energy Stocks and Alternative Energy Stocks

Summary/Abstract: This research investigates macro factors’ influence on energy and alternative energy stocks. The market risk premium, industry risk premium, and the percentage change in oil price from January 2003 to December 2019 are examined for their impact on energy stocks’ risk premium by applying the multifactor model analysis. The results suggested that market sentiment plays an important role on both fossil and alternative energy stocks’ return but at unequal level. The impact of oil price change is rather low. Surprisingly, the industry risk premium is not statistically significant in this study. The results suggest that fossil energy stocks and alternative energy stocks are not integrated. Investors could gain diversification benefit from holding these two sub￾sectors together. The unexplained part is still high, accordingly, the uncounted variables in this study should be further explored.

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