Showing 1 - 10 of 29
The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. This paper reexamines the relation between FCOJ futures returns and fundamentals, focusing primarily on temperature. We show...
Persistent link: https://www.econbiz.de/10012469188
The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased sharply and many commodity prices rose and became more...
Persistent link: https://www.econbiz.de/10012453945
consistent with the claim that index-fund investing has become more important relative to commerical hedging in determining the …
Persistent link: https://www.econbiz.de/10012459606
applies the methodology to estimate preferences for electricity reliability in Israel …
Persistent link: https://www.econbiz.de/10012464196
purchasing electricity according to the half-hourly energy prices from the England and Wales (E&W) electricity market. These …This paper presents estimates of the customer-level demand for electricity by industrial and commercial customers … customers also face the possibility of a demand charge on their electricity consumption during the three half-hour periods that …
Persistent link: https://www.econbiz.de/10012470511
empirical relevance of this phenomenon is scarce. We study the dynamics of residential electricity demand by exploiting price … electricity suppliers on behalf of their residents. Using a flexible difference-in-differences matching approach, we estimate a … energy policy …
Persistent link: https://www.econbiz.de/10012455198
Environmental policy is increasingly concerned with measuring emissions resulting from local changes to electricity … consumption. These marginal emissions are challenging to measure because electricity grids encompass multiple locations and the … as a high-dimensional aggregation problem: The effect of electricity consumption on emissions can be estimated precisely …
Persistent link: https://www.econbiz.de/10014468265
This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...
Persistent link: https://www.econbiz.de/10012471575
credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually …
Persistent link: https://www.econbiz.de/10012469110
Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...
Persistent link: https://www.econbiz.de/10012473518