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dc.contributor.authorPietz, Matthäusen
dc.date.accessioned2011-07-18T08:58:52Z-
dc.date.available2011-07-18T08:58:52Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aTechnische Universität München, Center for Entrepreneurial and Financial Studies (CEFS) |cMünchenen
dc.relation.ispartofseries|aWorking Paper |x2009-07en
dc.subject.jelG13en
dc.subject.jelL94en
dc.subject.jelQ40en
dc.subject.ddc330en
dc.subject.keywordElectricityen
dc.subject.keywordElectricity Marketen
dc.subject.keywordForward Marketen
dc.subject.keywordFutures Marketen
dc.subject.keywordRisk Premiaen
dc.subject.keywordRisk Premiumen
dc.subject.keywordRealised Risk Premiaen
dc.subject.keywordEx post Risk Premiaen
dc.subject.stwEnergiemarkten
dc.subject.stwTermingeschäften
dc.subject.stwRisikoprämieen
dc.subject.stwStromhandelen
dc.subject.stwDeutschlanden
dc.titleRisk premia in the German electricity futures market-
dc.typeWorking Paperen
dc.identifier.ppn605092192en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cefswp:200907en

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