This study analyzes the stock returns and volatility of the global water industry in different (full, pre-GFC, GFC and … post-GFC) periods. The study estimates ARMA (1, 1)-GARCH (1, 1) and EGARCH (1, 1) models on the World Water index (WOWAX …), S-Network Global Water Index (S-Net), S&P Global Water Index (S&P), and MSCI ACWI Water Utilities Index (MSCI ACWI), the …

We show that countries that take on more international risk are rewarded with higher expected consumption growth …. International risk is defined as the beta of a country’s consumption growth with world consumption growth. High-beta countries hold … more foreign assets, as predicted by the theory. Despite the positive effects of beta, a country's idiosyncratic volatility …

We investigate the relationship between idiosyncratic risk and return among four water exchange traded funds … seems that water investment has a lower systematic risk and a positive effect on the water exchange traded index funds …-PowerShares Water Resources Portfolio, Power Shares Global Water, First Trust ISE Water Index Fund, and Guggenheim S&P Global Water …