Quotation Kremser, Thomas, Rammerstorfer, Margarethe. 2012. Risk Premium - The Case of Unrealized Expectations in the Natural Gas Markets. The 61st Annual Meeting of the Midwest Finance Association (2012), New Orleans, Vereinigte Staaten/USA, 22.02.-25.02..


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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 for Europe, the expected risk premia lie well above the true observable values, while the opposite is true for the American market, where expectations turn out to be rather cautious. In this case, the investors underestimate the risk incorporated in the market. Moreover, we find that the mismatch between expected and realized risk premium is driven by the spot price volatility, the convenience yield, the risk free rate, and seasonalities, but also significantly affected by the price based liquidity measure given by the bid-ask spread. However, volume based liquidity measures the results for the US and Europe differ.

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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 61st Annual Meeting of the Midwest Finance Association (2012)
Year 2012
Date 22.02.-25.02.
Country United States/USA
Location New Orleans
URL http://hq.ssrn.com/Conference/Reports/conf_program.cfm?conflink=Midwest-Fin-Assoc-2012

Associations

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