Common risk factors for Latin American electric utilities
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jup.2024.101812
Download full text from publisher
As the access to this document is restricted, you may want to
for a different version of it.References listed on IDEAS
- Jimmy, Charles & Falianty, Telisa Aulia, 2021. "Managing leverage of infrastructure projects: Aggregate and sectoral risk effect," Journal of Asian Economics, Elsevier, vol. 73(C).
- Boyer, M. Martin & Filion, Didier, 2007.
"Common and fundamental factors in stock returns of Canadian oil and gas companies,"
Energy Economics, Elsevier, vol. 29(3), pages 428-453, May.
- M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO.
- Bianconi, Marcelo & Yoshino, Joe A., 2014.
"Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector,"
Energy Economics, Elsevier, vol. 45(C), pages 19-32.
- Marcelo Bianconi & Joe A. Yoshino, 2013. "Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector," Discussion Papers Series, Department of Economics, Tufts University 0773, Department of Economics, Tufts University.
- Rahmatallah Poudineh & Tooraj Jamasb, 2016.
"A New Perspective: Investment and Efficiency under Incentive Regulation,"
The Energy Journal, , vol. 37(1), pages 158-182, January.
- Rahmatallah Poudineh & Tooraj Jamasb, 2015. "A New Perspective: Investment and Efficiency under Incentive Regulation," The Energy Journal, , vol. 36(4), pages 241-264, October.
- Rahmatallah Poudineh and Tooraj Jamasb, 2015. "A New Perspective: Investment and Efficiency under Incentive Regulation," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Yu, Honghai & Du, Donglei & Fang, Libing & Yan, Panpan, 2018. "Risk contribution of crude oil to industry stock returns," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 179-199.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Daniel J. Tulloch & Ivan Diaz-Rainey & I.M Premachandra, 2018. "The impact of regulatory change on EU energy utility returns: the three liberalization packages," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 957-972, February.
- repec:bla:jfinan:v:43:y:1988:i:2:p:507-28 is not listed on IDEAS
- Sweeney, Richard J & Warga, Arthur D, 1986. "The Pricing of Interest-Rate Risk: Evidence from the Stock Market," Journal of Finance, American Finance Association, vol. 41(2), pages 393-410, June.
- González, María de la O & Jareño, Francisco, 2019. "Testing extensions of Fama & French models: A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 188-204.
- Elyasiani, Elyas & Mansur, Iqbal & Odusami, Babatunde, 2011. "Oil price shocks and industry stock returns," Energy Economics, Elsevier, vol. 33(5), pages 966-974, September.
- Jorge Armando Bedoya-Cadavid & Ángela María Lanzas-Duque & Harold Salazar, 2023. "WACC for Electric Power Transmission System Operators: The Case of Colombia," Energies, MDPI, vol. 16(2), pages 1-13, January.
- Ian Dobbs, 2011. "Modeling welfare loss asymmetries arising from uncertainty in the regulatory cost of finance," Journal of Regulatory Economics, Springer, vol. 39(1), pages 1-28, February.
- Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
- Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
- Wouter Thierie & Lieven Moor, 2016. "The characteristics of infrastructure as an investment class," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 277-297, August.
- Singh, Kewal & Singh, Anoop & Prakash, Puneet, 2022. "Estimating the cost of equity for the regulated energy and infrastructure sectors in India," Utilities Policy, Elsevier, vol. 74(C).
- Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
- Alexander, Ian & Mayer, Colin & Weeds, Helen, 1996. "Regulatory structure and risk and infrastructure firms : an international comparison," Policy Research Working Paper Series 1698, The World Bank.
- Kayo, Eduardo K. & Martelanc, Roy & Brunaldi, Eduardo O. & da Silva, Walter E., 2020. "Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil," Energy Policy, Elsevier, vol. 142(C).
- David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on the Variance of Stock Returns," IJFS, MDPI, vol. 7(1), pages 1-18, March.
- Luis García‐Feijóo & Benjamin A. Jansen, 2023. "International evidence on the association of leverage with stock returns and the value premium," The Financial Review, Eastern Finance Association, vol. 58(2), pages 315-341, May.
- Peltzman, Sam, 1976.
"Toward a More General Theory of Regulation,"
Journal of Law and Economics, University of Chicago Press, vol. 19(2), pages 211-240, August.
- Sam Peltzman, 1976. "Toward a More General Theory of Regulation," NBER Working Papers 0133, National Bureau of Economic Research, Inc.
- Jaime Sabal, 2004. "The Discount Rate in Emerging Markets: A Guide," Journal of Applied Corporate Finance, Morgan Stanley, vol. 16(2‐3), pages 155-166, March.
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Dina A. Zaki & Mohamed Hamdy, 2022. "A Review of Electricity Tariffs and Enabling Solutions for Optimal Energy Management," Energies, MDPI, vol. 15(22), pages 1-17, November.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Laura Abrardi & Cambini Carlo & Rondi Laura, 2018. "The Impact of Regulation on Utilities’ Investments: A Survey and New Evidence from the Energy Industry," De Economist, Springer, vol. 166(1), pages 41-62, March.
- Graeme Guthrie, 2006.
"Regulating Infrastructure: The Impact on Risk and Investment,"
Journal of Economic Literature, American Economic Association, vol. 44(4), pages 925-972, December.
- Guthrie, Graeme, 2006. "Regulating Infrastructure: The Impact on Risk and Investment," Working Paper Series 3851, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
- Guthrie, Graeme, 2006. "Regulating Infrastructure: The Impact on Risk and Investment," Working Paper Series 18946, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
- O'Neal, Edward S, 1998. "Why Electric Utility Stocks Are Sensitive to Interest Rates," The Financial Review, Eastern Finance Association, vol. 33(1), pages 147-161, February.
- Ferreira Savoia, José Roberto & Securato, José Roberto & Bergmann, Daniel Reed & Lopes da Silva, Fabiana, 2019. "Comparing results of the implied cost of capital and capital asset pricing models for infrastructure firms in Brazil," Utilities Policy, Elsevier, vol. 56(C), pages 149-158.
- Ron Bird & Harry Liem & Susan Thorp, 2014.
"Infrastructure: Real Assets and Real Returns,"
European Financial Management, European Financial Management Association, vol. 20(4), pages 802-824, September.
- Ron Bird & Harry Liem & Susan Thorp, 2011. "Infrastructure: Real Assets and Real Returns," Working Paper Series 11, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Oberndorfer, Ulrich, 2009. "Energy prices, volatility, and the stock market: Evidence from the Eurozone," Energy Policy, Elsevier, vol. 37(12), pages 5787-5795, December.
- Sadorsky, Perry, 2001. "Risk factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 23(1), pages 17-28, January.
- Surbhi Gupta & Anil Kumar Sharma, 2022. "Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 173-200, May.
- repec:vuw:vuwscr:18946 is not listed on IDEAS
- Daniel Wurstbauer & Stephan Lang & Christoph Rothballer & Wolfgang Schaefers, 2016. "Can common risk factors explain infrastructure equity returns? Evidence from European capital markets," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 97-120, April.
- Warnes, Ignacio & Warnes, Pablo E., 2014. "Country risk and the cost of equity in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 15-27.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
- Daniel Wurstbauer & Stephan Lang & Christoph Rothballer & Wolfgang Schaefers, 2016. "Can common risk factors explain infrastructure equity returns? Evidence from European capital markets," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 97-120, April.
- Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
- Jorge Armando Bedoya-Cadavid & Ángela María Lanzas-Duque & Harold Salazar, 2023. "WACC for Electric Power Transmission System Operators: The Case of Colombia," Energies, MDPI, vol. 16(2), pages 1-13, January.
- Ben Ammar, Semir & Eling, Martin, 2013. "Common Risk Factors of Infrastructure Firms," Working Papers on Finance 1307, University of St. Gallen, School of Finance.
- Shafiqur Rahman & Matthew J. Schneider, 2019. "Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-34, March.
- Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Kim, Soohun & Skoulakis, Georgios, 2018. "Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach," Journal of Econometrics, Elsevier, vol. 204(2), pages 159-188.
- Kaserer Christoph & Hanauer Matthias X., 2017. "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(2), pages 98-116, June.
- Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
- Virk, Nader Shahzad & Butt, Hilal Anwar, 2022. "Asset pricing anomalies: Liquidity risk hedgers or liquidity risk spreaders?," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Azevedo, Vitor, 2023. "Analysts’ underreaction and momentum strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Ciciretti, Rocco & Dalò, Ambrogio & Dam, Lammertjan, 2023.
"The contributions of betas versus characteristics to the ESG premium,"
Journal of Empirical Finance, Elsevier, vol. 71(C), pages 104-124.
- Rocco Ciciretti & Ambrogio Dalò & Lammertjan Dam, 2017. "The Contributions of Betas versus Characteristics to the ESG Premium," CEIS Research Paper 413, Tor Vergata University, CEIS, revised 19 Dec 2019.
- Cong, Lin William & George, Nathan Darden & Wang, Guojun, 2023.
"RIM-based value premium and factor pricing using value-price divergence,"
Journal of Banking & Finance, Elsevier, vol. 149(C).
- Lin William Cong & Nathan Darden George & Guojun Wang, 2023. "RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence," NBER Working Papers 30967, National Bureau of Economic Research, Inc.
- Shiyang Huang & Xin Liu & Dong Lou & Christopher Polk, 2024.
"The Booms and Busts of Beta Arbitrage,"
Management Science, INFORMS, vol. 70(8), pages 5367-5385, August.
- Lou, Dong & Polk, Christopher & Huang, Shiyang, 2014. "The booms and busts of beta arbitrage," LSE Research Online Documents on Economics 119019, London School of Economics and Political Science, LSE Library.
- Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
- Huang, Shiyang & Liu, Xin & Lou, Dong & Polk, Christopher, 2023. "The booms and busts of beta arbitrage," LSE Research Online Documents on Economics 120807, London School of Economics and Political Science, LSE Library.
- Anton Astakhov & Tomas Havranek & Jiri Novak, 2019. "Firm Size And Stock Returns: A Quantitative Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 33(5), pages 1463-1492, December.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- Surbhi Gupta & Anil Kumar Sharma, 2022. "Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 173-200, May.
- Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
- Ma, Tian & Leong, Wen Jun & Jiang, Fuwei, 2023. "A latent factor model for the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 87(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:juipol:v:93:y:2025:i:c:s095717872400105x. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.sciencedirect.com/journal/utilities-policy .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.