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..

RIS

@CONFERENCE{Kremser2012,
title = {Risk Premium - The Case of Unrealized Expectations in the Natural Gas Markets},
author = {Thomas Kremser and Margarethe Rammerstorfer},
year = {2012},
address = {New Orleans},
url = {http://hq.ssrn.com/Conference/Reports/conf_program.cfm?conflink=Midwest-Fin-Assoc-2012},
language = {EN},
misc = {The 61st Annual Meeting of the Midwest Finance Association (2012)},
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.},
}