Abstract
This thesis investigates variance risk premia in energy markets, specifically in the context of clean energy markets. By using a model-robust independent approach, variance risk premia in both renewable and non-renewable energy markets are identified, compared, and contextualized. Over two time periods of 1998-2023 for non-renewable indices and 2008-2023 for renewable indices, significantly negative variance risk premia are identified for the XLE and VDE (non-renewable) and the ICLN and TAN (renewable), respectively. The analysis reveals a clear link between the identified variance risk premia and their underlying’s exposure to systematic market variance, however, explaining the risk premia with classic risk factors proves to be difficult. Although direct comparisons are challenging due to the early stages of clean energy market data, this thesis proposes a novel and direct comparison between variance risk pricing in renewable and non-renewable energy sectors. Over a period from 2020-2023, variance risk premia are larger on the XLE than the ICLN.
Uddannelser | Cand.merc.oecon Advanced Economics and Finance, (Kandidatuddannelse) Afsluttende afhandling |
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Sprog | Engelsk |
Udgivelsesdato | 2024 |
Antal sider | 100 |
Vejledere | Anders Bjerre Trolle |