Gavrilakis, N., & Floros, C. (2024). Volatility and Herding Bias on ESG Leaders’ Portfolios Performance. Journal of Risk and Financial Management, 17, Article 77.
https://doi.org/10.3390/jrfm17020077

has been cited by the following article:

• TITLE: Asset Pricing Models and the Performance of European Energy Indices

  AUTHORS: Georgios Galyfianakis

  KEYWORDS: Energy Indices, Volatility, VSTOXXt, Fama-French, Crisis, Asset Pricing Models

  JOURNAL NAME: Theoretical Economics Letters, Vol.14 No.2, April 7, 2024

  ABSTRACT: In this paper, we analyze the abnormal returns of European Energy indices and the factor loadings based on the well-known Fama and French three-factor (FF3) and five-factor (FF5) models. We extend this methodology by introducing one more factor, a European volatility index (VSTOXXt) to the FF3 and FF5 methodologies and we use data from Refinitiv Eikonovera period lasting from 2010 to 2023. The econometric findings indicate that Energy indices do not produce significant alphas, verifying literature studies on negative excess returns. Observations also show medium betas, indicating a medium level of systematic risk. Furthermore, we notice sufficient evidence that the European Energy Indices tilt to large cap, value stocks, robust operating profitability, and low-risk investment strategies. Lastly, the performance and the validity of adding an extra determinant factor on both the FF3 and FF5 models resulted in a novelty finding of volatility tilting and dispersion of returns bias on European Energy portfolios. Robustness tests of a complementary index, (MSCI), obtain the same results. This paper contributes to the growing empirical literature on Fama and French three-factor and five-factor models and provides additional insight for academics, policymakers, and investors.