A comment on: Storage and the electricity forward premium
This paper examines the robustness of the results found by Douglas and Popova (2008). They examine the electricity forward premium in relation to gas storage inventories and find that, although electricity is not directly storable, electricity forward premiums are lower when gas storage inventories are higher, especially on days with high temperatures. Douglas and Popova (2008) derive their results from a forward premium model that is an extension of the Bessembinder and Lemmon (2002) model. We examine whether the gas storage inventory results hold under a different specification of the forward risk premium. Our results support the results found by Douglas and Popova (2008) and show that their results are not influenced by the specification of the forward premium model.
|Keywords||electricity, forward premium, robustness|
|JEL||Corporate Finance and Governance (jel G3), Financing Policy; Capital and Ownership Structure (jel G32), Business Administration and Business Economics; Marketing; Accounting (jel M)|
|Persistent URL||dx.doi.org/10.1016/j.eneco.2009.11.007, hdl.handle.net/1765/19979|
|Series||ERIM Article Series (EAS)|
Bloys van Treslong, A, & Huisman, R. (2010). A comment on: Storage and the electricity forward premium. Energy Economics, 32(2), 321–324. doi:10.1016/j.eneco.2009.11.007