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

dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.contributor.authorIelpo, Florian
dc.contributor.authorMercier, Ludovic
dc.date.accessioned2010-05-26T10:32:12Z
dc.date.available2010-05-26T10:32:12Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4221
dc.language.isoenen
dc.subjectEuropean Union Emissions Trading Schemeen
dc.subjectCO2en
dc.subjectOption and futures pricesen
dc.subject.ddc333en
dc.subject.classificationjelG14en
dc.subject.classificationjelC14en
dc.subject.classificationjelQ54en
dc.titleRisk aversion and institutional information disclosure on the European carbon market : a case-study of the 2006 compliance eventen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité Paris 1;France
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameEnergy Policy
dc.relation.isversionofjnlvol37en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2009-01
dc.relation.isversionofjnlpages15-28en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.enpol.2008.07.030en
dc.identifier.urlsitehttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1117184en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


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