Document Type


Publication Date




Publication Title

Journal of Risk and Financial Management






121 (1-15)


This article studies the relationship between renewable energy stocks’ performance and climate risk. It shows that publicly held renewable energy stocks underperform as a reaction to climate policy information releases, modeled by feed-in tariff (FIT) legislation announcements. The study examined stock price behaviors 2 days before and 30 days after FIT policy announcements. The stock sample used in the study has 3702 firm-day combinations, which included 180 cleantech firms and 32 events from 2007 to 2017. Based on the residual analysis of the sample’s abnormal return, it indicated that the FIT announcements are associated with significant declines in returns. The cumulative abnormal return until Day 18 was a significant −0.83%, while the average abnormal return on the day was −0.16% at normal levels. The study partially excluded the likelihood of a transitory result by varying the measurement horizon. It also adopted both the market model and the Fama–French three-factor models to rule out model misspecification when estimating abnormal returns and thus increased the robustness. In fact, the results were stable to changes in estimating the model’s specifications. In addition, the study compared the portfolio’s performance with mimicking portfolios in terms of size, book-to-market equity (BE/ME), and the firms’ geographic location. It demonstrated that the documented anomaly of the portfolio of renewable energy companies is robust.


© 2024 by the authors.

This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution 4.0 International (CC BY 4.0) license.(


Article states: "The data can be found in Center for Research in Security Prices (CRSP)."


0000-0003-2695-9642 (Zheng)

Original Publication Citation

Li, L., Zheng, X., & Wang, S. (2024). Renewable energy stocks’ performance and climate risk: An empirical analysis. Journal of Risk and Financial Management, 17(3), 1-15, Article 121.