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Has Fulltext

  • no (5) (remove)

Author

  • Andreas Jungherr (2)
  • Alexander Glantz (1)
  • Benjamin Heitmann (1)
  • Björn-Christopher Witte (1)
  • Jan Marckhoff (1)
  • Jens Wimschulte (1)
  • Jürgen Maier (1)
  • Pascal Jürgens (1)
  • Severin Bathelt (1)

Year of publication

  • 2009 (5) (remove)

Document Type

  • Artikel in einer Zeitschrift / Postprint (2)
  • Artikel in einem Sammelwerk / Postprint (1)
  • Buch (Monografie) (1)
  • Konferenzveröffentlichung (1)

Language

  • English (3)
  • German (2)

Keywords

  • Contract for Difference (1)
  • Electricity (1)
  • Implied area forward (1)
  • Risk premium (1)

Institute

  • Lehrstuhl für Politikwissenschaft, insbesondere Politische Soziologie (3)
  • Lehrstuhl für Betriebswirtschaftslehre, insbesondere Banking und Finanzcontrolling (1)
  • Lehrstuhl für Volkswirtschaftslehre, insbesondere Wirtschaftspolitik (1)

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Temporal information gaps and market efficiency: a dynamic behavioural analysis (2009)
Björn-Christopher Witte
Show/Hide Abstract Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market (2009)
Jan Marckhoff Jens Wimschulte
In electricity markets, not only does the risk of substantial price variations over time exist, but so does the risk of price variations over space, as prices between locations can differ due to transmission congestion. To manage this risk, Contracts for Difference (CfDs), i.e., forwards on the spread between a particular area price and the (unconstrained) system price, were introduced at the Scandinavian electricity exchange Nord Pool at the end of 2000. We empirically investigate the pricing of these CfDs over the period 2001 through 2006 and find that CfD prices contain significant risk premia. Their sign and magnitude, however, differ substantially between areas and delivery periods, because areas are subject to transmission congestion to a varying extent. While the relation between risk premia and time-to-maturity is not uniform for CfDs, there is a negative relation for implied area and system forwards, which can be explained by the relative hedging demand of market participants. In addition, we find that risk premia of CfDs and implied area forwards vary systematically with the variance and skewness of the underlying spot prices. This confirms both implications of the Bessembinder and Lemmon [Bessembinder, H., Lemmon, M.L., 2002. Equilibrium pricing and optimal hedging in electricity forward markets. Journal of Finance, 57, 1347–1382] model.
The interplay of theory and observation: a proposition for structured research on human behavior on the web (2009)
Pascal Jürgens Andreas Jungherr Benjamin Heitmann
Twitternde Politiker : Zwischen buntem Rauschen und Bürgernähe 2.0 (2009)
Andreas Jungherr
Was wissen Bürger über Politik? Zur Erforschung der politischen Kenntnisse in der Bundesrepublik Deutschland 1949-2008 (2009)
Alexander Glantz Severin Bathelt Jürgen Maier

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