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[Lecture] Clean Energy Risk Premium
Aug. 04, 2023

Speaker: Shijie Deng, Georgia Institute of Technology

Time: 1:00-2:30 p.m., August 4, 2023, GMT+8

Venue: Room 217, Guanghua Building 2


Based on a clean energy index (CEI) constructed from publicly traded companies in renewable energy technology, energy efficiency, and advanced materials sectors in China, we show that there exists a risk premium in the expected returns of firms in the clean energy and low-carbon technology sectors which have high beta exposures to the CEI. This empirical finding is in stark contrast to the common perception of dirty-energy firms bearing a risk-premium in their expected returns which is shown empirical study with data in the U.S. markets and other research. We also compare the costs of equity capital of low-carbon firms in China with comparable firms in the U.S. We attribute this effect to the clean-energy policy differences between China and the U.S. This finding suggests that policy uncertainty may have significant impacts on incentives to invest in clean-energy and low-carbon technology.


Professor Shijie Deng is a faculty member in the H. Milton Stewart School of Industrial and Systems Engineering at the Georgia Institute of Technology. He is an expert in financial modeling in energy markets, statistical learning and data analytics with pricing and risk management applications, electricity transmission pricing, carbon emission trading, and real options valuation of distributed energy resources. He was invited as plenary speaker at several international conferences and workshops to speak on topics of financial engineering and applications in energy industry. He received the CAREER Award from the National Science Foundation in 2002. Prof. Deng has consulted  with several private and public companies on energy derivative pricing and risk management issues in the financial and energy industries. He also serves on the Scientific Advisory Board of a hedge fund. He holds a Ph.D. in Industrial Engineering and Operations Research from the University of California at Berkeley.

Source: Guanghua School of Management