We use a controlled economic experiment to examine the implications of asymmetric information for informational linkages between a stock market and a traded call option on that stock. The setting is based on the Kyle model and Back (1993). We find that an insider trades aggressively in both the...

The increase in the share of supply from intermittent power sources changes the demand for power from traditional power plants. The power system demands more volume flexibility from traditional plants. Our goal is to better understand the impact of a reduction of flexibility in power supply on...

In this article, we examine the development of day-ahead prices in five European markets which became more connected over recent years. Where previous studies examined the convergence of price levels over time, we focus on patterns in estimates for the parameters in a switching regimes model....

Given the local character of real estate market, real estate investments have always been identified as an opportunity for diversifying internationally. Low international coherence can reduce the risk of both private and professional multi asset investment portfolios. Early research confirmed,...

ERES:conference

ERES:conference

This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the relation...

Bürer and Wüstenhagen (2009) examined the preferences of 60 clean-tech venture capital and private equity investors regarding renewable energy and climate policies in 2007. This paper presents the results of a research project that examined whether these investor preferences changed due to the...

This paper discusses the current trend in the commercial real estate market to offer more flexible lease contracts. In this paper we assume one form of flexibility: the right to terminate the lease contract prematurely, i.e. a break-option. The lessor is exposed to more risk in cash-flow when he...

ERES:conference