Market efficiency and risk premia in short-term forward prices

Haugom, Erik; Ullrich, Carl J.

doi:10.1016/j.eneco.2012.08.003

Cited by 40 publications

(40 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Their analysis provides support for the model presented by Bessembinder and Lemmon (2002). Haugom and Ullrich (2012) repeat the study of Longstaff and Wang (2004) for a longer data set in the PJM market, analyzing day-ahead futures between 2000 and 2010. They find that the premium is still positive and significant, even though it has decreased in the more recent period.…”

Section: Earlier Findings On the Relationship Between Spot And Futurementioning

confidence: 99%

“…Gjolberg and Brattested (2011) argue that if the forecast error is a risk premium, it should follow a seasonal pattern based on expected risk expectations. Bessembinder and Lemmon (2002) and Haugom and Ullrich (2012) find that the premium in the US market is greatest during summer. In the Nordic market, Lucia and Torró (2011) find a substantial risk premium during winter and a zero premium during summer.…”

Section: Earlier Findings On the Relationship Between Spot And Futurementioning

confidence: 99%

“…Consequently, such studies may not be comparable. When the realized risk premium is used, as in Lucia and Torró (2011), Gjolberg and Brattested (2011), Haugom and Ullrich (2012) and Weron and Zator (2013), it is assumed that the difference between the expected spot price and realized spot price acts as noise. The realized premium will then equal the sum of the expected risk premium and a noise term:…”

Section: Ex Ante and Ex Post Risk Premiumsmentioning

confidence: 99%

“…Following Haugom and Ullrich (2012), we look at the realized risk premium, ie, the difference between the futures price and the spot price at delivery. This allows us to compare our results with previous studies (see, for example, Botterud et al 2010;Gjolberg and Brattested 2011;Haugom and Ullrich 2012;Lucia and Torró 2011;Weron and Zator 2013). We add to previous research by investigating whether there is evidence of a systematic risk premium in the futures prices, and whether the prices are unbiased predictors of spot price.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The forecasting power of medium-term futures contracts

Haugom¹,

Hoff²,

Mortensen³

et al. 2014

JEM

Self Cite

View full text Add to dashboard Cite

show abstract

Section: Earlier Findings On the Relationship Between Spot And Futurementioning

confidence: 99%

Section: Earlier Findings On the Relationship Between Spot And Futurementioning

confidence: 99%

Section: Ex Ante and Ex Post Risk Premiumsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The forecasting power of medium-term futures contracts

Haugom¹,

Hoff²,

Mortensen³

et al. 2014

JEM

Self Cite

View full text Add to dashboard Cite

show abstract

“…Whereas Kellard et al (1999) studied the relative degree of inefficiency of certain commodities. Moreover, McKenzie & Holt (2002) and Haugom & Ullrich (2012) test for market efficiency and the presence of a time-varying risk premium in agricultural and the PJM electricity market.…”

Section: Notesmentioning

confidence: 99%

Predictive Performance and Bias: Evidence from Natural Gas Markets

Kremser¹,

Rammerstorfer²

2017

JMS

View full text Add to dashboard Cite

This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in the UK and the Henry Hub located in the US. For this, we analyze traders' expectations and implement a mechanical forecasting model that allows traders to predict future spot prices. Based on this, we compute the deviations between expected and realized spot prices and analyze possible reasons and dependencies with other market variables. Overall, the mechanical predictor performs well, but a small forecast error remains which can not be characterized by the explanatory variables included.

show abstract

Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period

Trück

Weron

2016

Journal of Futures Markets

View full text Add to dashboard Cite

We examine convenience yields and risk premiums in the EU‐wide CO2 emissions trading scheme (EU‐ETS) during the first Kyoto commitment period (2008–2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU‐ETS spot market. Our findings suggest that the drop in risk‐free rates during and after the financial crisis has impacted on the deviation from the cost‐of‐carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587–611, 2016

show abstract

Market efficiency and risk premia in short-term forward prices

Cited by 40 publications

References 14 publications

The forecasting power of medium-term futures contracts

The forecasting power of medium-term futures contracts

Predictive Performance and Bias: Evidence from Natural Gas Markets

Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period

Contact Info

Product

Resources

About