Quotation Kremser, Thomas, Rammerstorfer, Margarethe. 2010. Convenience Yield and Risk Premium - Comparison of the European and US Natural Gas Markets. The 23rd Australasian Finance and Banking Conference, Sydney, Australien, 15.12.-17.12..


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Abstract

In the following article, the marginal convenience yield and risk premium in the European natural gas market as well as the US natural gas market are determined and analysed. In this context, we also analyze whether there exists a relationship between the marginal convenience yield and the risk premium which are both important models in asset pricing but often quite separated. We find, that the marginal convenience yield and risk premium are measuarable and economically significant for the European trading hubs, and also for the American hub. Our empirical results, support the conclusion that the marginal convenience yield and the risk premium seems to be key factors that impact the spot and futures prices for natural gas. Moreover, the anaylsis reveals that there is no direct impact of the marginal convenience yield on the risk premium.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Convenience Yield and Risk Premium - Comparison of the European and US Natural Gas Markets
Event The 23rd Australasian Finance and Banking Conference
Year 2010
Date 15.12.-17.12.
Country Australia
Location Sydney
URL http://www.banking.unsw.edu.au/nps/servlet/portalservice?GI_ID=System.LoggedOutInheritableArea&maxWnd=_News_2010AFBConference

Associations

People
Kremser, Thomas (Former researcher)
Rammerstorfer, Margarethe (Details)
Organization
Institute for Finance, Banking and Insurance IN (Details)
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