Essays on the Risks and Returns of Water Investments

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Author(s)
Primary Supervisor
Roca, Eduardo
Other Supervisors
Li, Bin
Wong, Victor
Year published
2015
Metadata
Show full item recordAbstract
Water is a vital commodity; essential to life, agriculture and industry. The water industry is one of the largest industries in the world, and is continuously expanding. Humans have been facing substantial water scarcity, especially those in developing countries. However, the severe water stress is not primarily a result of the lack of water resources, but surprisingly, a product of financial underinvestment. Researchers tackle this problem with water mainly from a policymaking perspective, and the driving force of private investments – profit – has been ignored. Hence, there is a need to examine the water industry from the ...
View more >Water is a vital commodity; essential to life, agriculture and industry. The water industry is one of the largest industries in the world, and is continuously expanding. Humans have been facing substantial water scarcity, especially those in developing countries. However, the severe water stress is not primarily a result of the lack of water resources, but surprisingly, a product of financial underinvestment. Researchers tackle this problem with water mainly from a policymaking perspective, and the driving force of private investments – profit – has been ignored. Hence, there is a need to examine the water industry from the point of view of risks and returns. To fill this gap, the thesis conducts three studies. The first study investigates the profitability and diversification effect of water investments. Value at Risk and Conditional Value at Risk are estimated for optimal risky portfolios. The results indicate that the water asset class outperforms the traditional asset classes (stocks and bonds), and has the capacity to produce diversification effects in portfolios primarily comprised of listed equity and bond assets. To further understand the factors associated with expected returns, the second study investigates the impact of asset liquidity risk on water companies’ stock returns.
View less >
View more >Water is a vital commodity; essential to life, agriculture and industry. The water industry is one of the largest industries in the world, and is continuously expanding. Humans have been facing substantial water scarcity, especially those in developing countries. However, the severe water stress is not primarily a result of the lack of water resources, but surprisingly, a product of financial underinvestment. Researchers tackle this problem with water mainly from a policymaking perspective, and the driving force of private investments – profit – has been ignored. Hence, there is a need to examine the water industry from the point of view of risks and returns. To fill this gap, the thesis conducts three studies. The first study investigates the profitability and diversification effect of water investments. Value at Risk and Conditional Value at Risk are estimated for optimal risky portfolios. The results indicate that the water asset class outperforms the traditional asset classes (stocks and bonds), and has the capacity to produce diversification effects in portfolios primarily comprised of listed equity and bond assets. To further understand the factors associated with expected returns, the second study investigates the impact of asset liquidity risk on water companies’ stock returns.
View less >
Thesis Type
Thesis (PhD Doctorate)
Degree Program
Doctor of Philosophy (PhD)
School
Griffith Business School
Copyright Statement
The author owns the copyright in this thesis, unless stated otherwise.
Item Access Status
Public
Note
One article is embargoed until 4 February 2017.
Subject
Water industry
Water investment
Water sustainability