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Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas
van Eijkel, Remco; Moraga-González, José Luis - 2010
empirical strategy to test whether oligopolistic firms use forward contracts for strategic motives, for risk-hedging, or for … both. An increase in the number of players weakens the incentives to sell forward for risk-hedging reasons. However, if …
Persistent link: https://www.econbiz.de/10010275895
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Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS
Blasberg, Alexander; Kiesel, Ruediger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...
Persistent link: https://www.econbiz.de/10014243102
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A strategic R&D investment with flexible development time in real option game analysis
Villani, Giovanni - 2009
, to value the flexibility time to realize the development phase, we consider the American-Exchange type options. …
Persistent link: https://www.econbiz.de/10010266007
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost … evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities … contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed. …
Persistent link: https://www.econbiz.de/10010270503
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The dependence structure between carbon emission allowances and financial markets: A copula analysis
Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011
allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important …
Persistent link: https://www.econbiz.de/10010274834
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Firm heterogeneity and credit risk diversification
Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10010276169
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Extracting leading indicators of bank fragility from market prices : Estonia focus
Chen, Yu-Fu; Funke, Michael; Männasoo, Kadri - 2006
Banking reform has proved to be one of the most problematic elements of economic transition in central and Eastern Europe. Therefore the paper considers the development of the Estonian banking sector and derives individual banks´ fragility scores during transition. To this end we use...
Persistent link: https://www.econbiz.de/10010271924
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Co-Investment, Uncertainty, and Opportunism: Ex-Ante and Ex-Post Remedies
Bourreau, Marc; Cambini, Carlo; Hoernig, Steffen; … - 2020
remedies to correct these distortions: (i) co-investment options purchased ex-ante by entrants from incumbents, and (ii) risk … premia paid ex-post by entrants. We show that co-investment options cannot fully reestablish total coverage, while premia can …
Persistent link: https://www.econbiz.de/10012179877
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Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience
Feld, Lars P.; Kalb, Alexander; Moessinger, Marc-Daniel; … - 2013
We investigate the political determinants of risk premiums which sub-national governments in Switzerland have to pay for their sovereign bond emissions. For this purpose we analyse financial market data from 288 tradable cantonal bonds in the period from 1981 to 2007. Our main focus is on two...
Persistent link: https://www.econbiz.de/10010293905
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What do the Fama-French Factors Add to C-CAPM?
Abhakorn, Pongrapeeporn; Smith, Peter N.; Wickens, Michael - 2013
This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the...
Persistent link: https://www.econbiz.de/10010293924