Water issues are receiving increasing attention from policy-makers and international organizations due to water scarcity and global rising demand. Given that the demand for water is mainly driven by agriculture and energy, we use a multifactor market model to analyze the impact of agriculture and energy price trends on the price of listed companies operating in the water industry. Evidence highlights a sensitivity of water stocks returns to agriculture and energy price changes. Additionally, when using state space model to estimate dynamic beta coefficients, factor sensitivities show a time-varying behavior, especially during the 2008 economic and financial crisis.

由于缺水和全球需求增加，水的问题越来越受到决策者和国际组织的关注。鉴于对水的需求主要由农业和能源驱动，因此我们使用多因素市场模型来分析农业和能源价格趋势对水务行业上市公司价格的影响。有证据表明，水资源储备对农业和能源价格变化的敏感性。此外，当使用状态空间模型估计动态贝塔系数时，因子敏感性表现出随时间变化的行为，尤其是在2008年经济和金融危机期间。