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Risk aversion and institutional information disclosure on the European carbon market : a case-study of the 2006 compliance event

Chevallier, Julien; Ielpo, Florian; Mercier, Ludovic (2009), Risk aversion and institutional information disclosure on the European carbon market : a case-study of the 2006 compliance event, Energy Policy, 37, 1, p. 15-28. http://dx.doi.org/10.1016/j.enpol.2008.07.030

Type
Article accepté pour publication ou publié
External document link
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1117184
Date
2009
Journal name
Energy Policy
Volume
37
Number
1
Publisher
Elsevier
Pages
15-28
Publication identifier
http://dx.doi.org/10.1016/j.enpol.2008.07.030
Metadata
Show full item record
Author(s)
Chevallier, Julien
Ielpo, Florian
Mercier, Ludovic
Abstract (EN)
This article evaluates the impact of the 2006 compliance event on changes in investors' risk aversion on the European Carbon Market using the newly available option prices dataset. Thus, we aim at capturing the specific event that occurred on April 2007 as the European Commission disclosed the 2006 verified emissions data. Following the methodology existing for stock indices, we recover empirically risk aversion adjustments on the period 2006-2007 by estimating first the risk-neutral distribution from option prices and second the actual distribution from futures on the European Climate Exchange. Our results show evidence of a dramatic change in the market perception of risk around the 2006 yearly compliance event that has not been assessed yet.
Subjects / Keywords
European Union Emissions Trading Scheme; CO2; Option and futures prices
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
C14 - Semiparametric and Nonparametric Methods: General
Q54 - Climate; Natural Disasters and Their Management; Global Warming

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