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dc.contributor.authorPietz, Matthäusen_US
dc.date.accessioned2011-07-18T08:58:52Z-
dc.date.available2011-07-18T08:58:52Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/48406-
dc.description.abstractThe mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity futures for delivery in Germany traded at the European Energy Exchange (EEX). We analyse the futures prices from an ex post perspective and show that there is evidence for significant positive risk premia at the short-end. Furthermore, we find that risk premia show a term structure. Evidence for the existence of seasonality in the risk premia is found as well. When testing for factors influencing the risk premia the results suggest that risk premia are directly related to factors linked to risk considerations.en_US
dc.language.isoengen_US
dc.publisherCenter for Entrepreneurial and Financial Studies (CEFS) Munichen_US
dc.relation.ispartofseriesCEFS working paper series 2009-07en_US
dc.subject.jelG13en_US
dc.subject.jelL94en_US
dc.subject.jelQ40en_US
dc.subject.ddc330en_US
dc.subject.keywordElectricityen_US
dc.subject.keywordElectricity Marketen_US
dc.subject.keywordForward Marketen_US
dc.subject.keywordFutures Marketen_US
dc.subject.keywordRisk Premiaen_US
dc.subject.keywordRisk Premiumen_US
dc.subject.keywordRealised Risk Premiaen_US
dc.subject.keywordEx post Risk Premiaen_US
dc.subject.stwEnergiemarkten_US
dc.subject.stwTermingeschäften_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwStromhandelen_US
dc.subject.stwDeutschlanden_US
dc.titleRisk premia in the German electricity futures marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn605092192en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cefswp:200907-
Appears in Collections:CEFS Working Paper Series, Center for Entrepreneurial and Financial Studies, Technische Universität München

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