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Analysis of four alternative energy mutual funds

We analyze four alternative energy mutual funds using a multi-factor capital asset pricing model with generalized autoregressive conditionally heteroskedastic errors (CAPM-GARCH). Our findings will help portfolio managers and others who seek to predict the return on investment in alternative energy firms. We find that alternative energy firms tend to be riskier than the general US stock market, have a low, but significant and positive response to oil prices, and have a significantly high and negative response to the value of the dollar relative to other currencies. Our results also suggest that alternative energy firms should hedge against currency exchange rate fluctuation.

Identiferoai:union.ndltd.org:GATECH/oai:smartech.gatech.edu:1853/37236
Date18 November 2010
CreatorsSelik, Michael Andrew
PublisherGeorgia Institute of Technology
Source SetsGeorgia Tech Electronic Thesis and Dissertation Archive
Detected LanguageEnglish
TypeThesis

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