The Efficiency of Alternative and Conventional Energy Exchange-Traded Funds: Are Clean Energy Exchange-Traded Funds a Safer Asset?

IF 2.1 Q2 BUSINESS, FINANCE International Journal of Financial Studies Pub Date : 2024-01-12 DOI:10.3390/ijfs12010004
Carla Oliveira Henriques, Maria Elisabete Neves, João Jorge Couceiro
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Abstract

This paper examines the efficiency of alternative energy equity Exchange-Traded Funds (ETFs) and conventional energy equity ETFs from 2018 to 2020, utilizing a combination of an output-oriented Slack-Based Data Envelopment Analysis (DEA) model and cluster analysis. In the context of an output-oriented DEA model, efficiency is defined as the ability of an ETF to maximize its outputs (annualized average return; environmental, social responsibility, and corporate governance; and net asset value) given a fixed level of inputs (expense ratio and beta). The findings indicate that alternative energy ETFs have the potential for long-term outperformance compared to conventional energy ETFs in terms of efficiency. However, during financial crises, the performance differences between the two types of ETFs diminish, with no significant outperformance observed in either category. The expense ratio and net asset value are identified as key factors influencing the efficiency of both ETF types. Additionally, social and governance metrics have a notably stronger positive impact on conventional energy ETFs relative to alternative energy ETFs, highlighting the increasing significance of these factors in financial asset performance.
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替代能源和传统能源交易所交易基金的效率:清洁能源交易所交易基金是更安全的资产吗?
本文结合以产出为导向的基于松弛的数据包络分析(DEA)模型和聚类分析,研究了2018年至2020年替代能源股票交易所交易基金(ETF)和传统能源股票ETF的效率。在以产出为导向的 DEA 模型中,效率被定义为 ETF 在固定投入水平(费用率和贝塔系数)下最大化其产出(年化平均回报率;环境、社会责任和公司治理;资产净值)的能力。研究结果表明,与传统能源 ETF 相比,替代能源 ETF 有可能在效率方面长期表现优异。然而,在金融危机期间,两类 ETF 之间的业绩差异缩小,没有观察到任何一类 ETF 有显著的超额收益。费用率和资产净值被认为是影响两类 ETF 效率的关键因素。此外,与替代能源 ETF 相比,社会和治理指标对传统能源 ETF 的积极影响明显更大,这凸显了这些因素在金融资产绩效中日益重要的地位。
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来源期刊
CiteScore
3.70
自引率
8.70%
发文量
100
审稿时长
11 weeks
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