dc.contributor.author | Fleten, Stein-Erik | |
dc.contributor.author | Hagen, Liv Aune | |
dc.contributor.author | Nygård, Maria Tandberg | |
dc.contributor.author | Smith-Sivertsen, Ragnhild Brita | |
dc.contributor.author | Sollie, Johan Magne | |
dc.date.accessioned | 2017-10-18T07:22:37Z | |
dc.date.available | 2017-10-18T07:22:37Z | |
dc.date.created | 2015-06-15T12:22:06Z | |
dc.date.issued | 2015 | |
dc.identifier.citation | Energy Economics. 2015, 49 293-300. | nb_NO |
dc.identifier.issn | 0140-9883 | |
dc.identifier.uri | http://hdl.handle.net/11250/2460666 | |
dc.description.abstract | We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austrian electricity markets. We argue that finding risk premiums by analyzing overnight returns is more relevant than the frequently used ex post approach. The derivatives in these markets can be characterized as trading products and hedging products. Each contract shows a clear increase in trading volume and liquidity when approaching maturity. We link this to a testable hypothesis where financial traders are compensated for holding price risk, and where the sign and magnitude of the risk premium changes depending on the hedging pattern of producers and retailers. Incorporating this in regressions we find that there are higher risk premiums in the period before the forwards become front products, compared to the risk premiums in the front period. Quarterly and monthly contracts show the most significant results. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Elsevier | nb_NO |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.title | The overnight risk premium in electricity forward contracts | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.pagenumber | 293-300 | nb_NO |
dc.source.volume | 49 | nb_NO |
dc.source.journal | Energy Economics | nb_NO |
dc.identifier.doi | 10.1016/j.eneco.2014.12.022 | |
dc.identifier.cristin | 1248201 | |
dc.relation.project | Norges forskningsråd: 228811 | nb_NO |
dc.description.localcode | © 2015. This is the authors’ accepted and refereed manuscript to the article. LOCKED until 27.2.2018 due to copyright restrictions. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | nb_NO |
cristin.unitcode | 194,60,25,0 | |
cristin.unitname | Institutt for industriell økonomi og teknologiledelse | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |