This paper evaluates the role of hedgers and speculators as liquidity providers in oil markets and analyses the effects of these liquidity provision channels on weekly volatility. Using two measures of hedging pressure that capture liquidity provision by speculators and hedgers, we find that...

Mechanisms to incentivize divestment strategies, such as divestment schedules, are an important component of carbon reduction strategies. We find that the risk/return profile of divested S&P 500 portfolios is typically indifferent to divestment schedules, but instantaneous divestment benefits...

Mechanisms to develop divestment strategies are an essential component of carbon reduction strategies. The rate at which investors should divest has become a critical aspect of effective divestment, which has shifted from the periphery to a movement of over a thousand major investors, totaling...

This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing efficient calibration applications. By performing a...

This paper introduces DivFolio, a multi-period portfolio selection and analytic software application that incorporates automated and user-determined divestment practices accommodating Environmental Social Governance (ESG) and portfolio carbon footprint considerations. This freely available...

Purpose: This paper aims to provide investors’ views on financing costs and barriers to entry into the electricity generation sector, with a focus on investors’ views on potential impacts on cost of capital from adopting nodal pricing and financial transmission rights (FTRs). The...

Recent theory and evidence from US studies suggest that aggregate market volatility risk is a strong candidate for inclusion in the list of risk factors that earn a risk premium in equilibrium. We re-examine the sensitivity of stock returns to volatility risk using delta-neutral index option...