Quotation Kremser, Thomas, Rammerstorfer, Margarethe. 2011. Risk premium - The Case of Unrealized Expectations in the Natural Gas Markets. The 26th Workshop of the Austrian Working Group on Banking and Finance, Klagenfurt, Österreich, 25.11.-26.11..


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Abstract

In the following article, we analyze the ex ante and ex post risk premium in the European and US natural gas market. We find that futures prices are biased predictors of future spot prices such that the risk premia can be detected by an ex ante and an ex post model. While for Europe, the expectations lie well above the true observable values, the opposite is true for the American market, where expectations turn out to be rather conservative, such that an additional premium can be reached. Moreover, we show that the impacting factors on both variables are not identical which indicates the gap between ex ante expectations and truly realized values.

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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 Risk premium - The Case of Unrealized Expectations in the Natural Gas Markets
Event The 26th Workshop of the Austrian Working Group on Banking and Finance
Year 2011
Date 25.11.-26.11.
Country Austria
Location Klagenfurt
URL http://www.uni-klu.ac.at/unisonoonline/inhalt/5587_5628.htm

Associations

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