Analyzing the Returns of Energy Companies Listed on the Bist With the Capital Asset Pricing Model

This study examines the monthly returns of thirteen companies with renewable energy investments on the Borsa Istanbul at the firm level between 2015 and 2024. The aim is to measure how stock returns are explained by market sentiment within a multi-factor structure. The scope encompasses the entire population and allows comparison of two sub-periods: 2020 to 2022 and 2022 to 2024. The method is based on the single-factor CAPM and multi-factor APT frameworks, with estimates made using the least squares method and Newey West robust standard errors. Diagnostic tests included F-statistics, adjusted R-squared, and Durbin Watson-Breusch-Pagan and Jarque Bera. Outliers were weighted between the first and ninety-ninth percentiles. The CAPM used the market proxy as the equal-weighted monthly sector return. The APT extracted principal components from the panel returns, and firm-based factorial regressions were run. Our findings indicate that the CAPM's overall explanatory power is limited, but some stocks exhibit significant sensitivity to market volatility. Our firm-based analysis reveals that Zorlu, SAY, and Pamukova exhibit high beta values, Odaş exhibits significant co-movement in the mid-high range, Aksa, Enerjisa, and Orge remain marginal, and market sentiment is weak for Alarko Doğan Global Koç and Ak Enerji. The APT increases its explanatory power and reveals that the common sector component dominates both subperiods. Our periodic analysis found that AKSA, IŞIKLAR, ODAŞ, PAMUKOVA, SAY, and ZORLU exhibited strong bonds between 2020 and 2022, while the bond strengthened further between 2022 and 2024 for AKSA, ENERJİSA, ODAŞ, ORGE, SAY, and ZORLU. Conversely, ALARKO, AK ENERJİ, and GLOBAL's returns were better explained by the company's news feed, project schedule, and balance sheet dynamics. When a two-tiered pricing system is established for energy stocks, the first tier sees common sector volatility become the primary driver during certain periods, while the second tier, driven by company-specific sentiment, drives differentiation. It has been concluded that these two risks should be managed together in portfolio decisions.