{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,23]],"date-time":"2026-01-23T18:45:59Z","timestamp":1769193959503,"version":"3.49.0"},"reference-count":31,"publisher":"Emerald","issue":"5","license":[{"start":{"date-parts":[[2011,8,9]],"date-time":"2011-08-09T00:00:00Z","timestamp":1312848000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.emerald.com\/insight\/site-policies"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2011,8,9]]},"abstract":"<jats:sec>\n               <jats:title content-type=\"abstract-heading\">Purpose<\/jats:title>\n               <jats:p> \u2013 This paper seeks to analyze stylized statistical properties of the recent traded asset CO<jats:sub>2<\/jats:sub> emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. <\/jats:p>\n            <\/jats:sec>\n            <jats:sec>\n               <jats:title content-type=\"abstract-heading\">Design\/methodology\/approach<\/jats:title>\n               <jats:p> \u2013 The study was conducted through empirical estimations of CO<jats:sub>2<\/jats:sub> allowances risk premium, convenience yield, and their relationships. <\/jats:p>\n            <\/jats:sec>\n            <jats:sec>\n               <jats:title content-type=\"abstract-heading\">Findings<\/jats:title>\n               <jats:p> \u2013 Future prices from an <jats:italic>ex-post<\/jats:italic> perspective are examined to show evidence for significant negative risk premium, or a positive forward premium. A positive relationship between risk premium and time-to-maturity is found. Both financial concepts are found to be negatively affected by spot price volatility. Convenience yield is positively influenced by CO<jats:sub>2<\/jats:sub> price, while influencing the risk premium positively. <\/jats:p>\n            <\/jats:sec>\n            <jats:sec>\n               <jats:title content-type=\"abstract-heading\">Practical implications<\/jats:title>\n               <jats:p> \u2013 From a financial perspective, allowances seem to be producing the desired effects in terms of environmental policies, although a lot more remains to be done. The presence of risk premium and convenience yield makes it clear that agents act in this commodity market according to risk consideration. Results change depending on phase and futures contracts used for the determination of both financial terms, indicating that uncertainties over the future of EU-ETS seem to be decreasing. <\/jats:p>\n            <\/jats:sec>\n            <jats:sec>\n               <jats:title content-type=\"abstract-heading\">Originality\/value<\/jats:title>\n               <jats:p> \u2013 Previous research has mainly focused on the first phase of the EU-ETS (2005-2007), whereas this paper extends the analysis period here. The paper finds some opposite results compared with previous commodities theories and designs some policy implications, given the results attained.<\/jats:p>\n            <\/jats:sec>","DOI":"10.1108\/14777831111159699","type":"journal-article","created":{"date-parts":[[2011,8,20]],"date-time":"2011-08-20T07:00:39Z","timestamp":1313823639000},"page":"550-565","source":"Crossref","is-referenced-by-count":7,"title":["Risk premia in CO<sub>2<\/sub> allowances: spot and futures prices in the EEX market"],"prefix":"10.1108","volume":"22","author":[{"given":"Mara","family":"Madaleno","sequence":"first","affiliation":[]},{"given":"Carlos","family":"Pinho","sequence":"additional","affiliation":[]}],"member":"140","reference":[{"key":"key2022031120425582600_b1","doi-asserted-by":"crossref","unstructured":"Andrew, J.\n               , \n                  Kaidonis, M.\n                and \n                  Andrew, B.\n                (2010), \u201cCarbon tax: challenging neoliberal solutions to climate change\u201d, \n                  Critical Perspectives on Accounting\n               , Vol. 21 No. 7, pp. 611-18.","DOI":"10.1016\/j.cpa.2010.03.009"},{"key":"key2022031120425582600_b2","doi-asserted-by":"crossref","unstructured":"Benth, F.E.\n               , \n                  Cartea, A.\n                and \n                  Kiesel, R.\n                (2008), \u201cPricing forward contracts in power markets by the certainty equivalence principal: explaining the sign of the market risk premium\u201d, \n                  Journal of Banking and Finance\n               , Vol. 32 No. 10, pp. 2006-21.","DOI":"10.1016\/j.jbankfin.2007.12.022"},{"key":"key2022031120425582600_b3","doi-asserted-by":"crossref","unstructured":"Benz, E.\n                and \n                  Tr\u00fcck, S.\n                (2009), \u201cModeling the price dynamics of CO2 emission allowances\u201d, \n                  Energy Economics\n               , Vol. 31 No. 1, pp. 4-15.","DOI":"10.1016\/j.eneco.2008.07.003"},{"key":"key2022031120425582600_b4","doi-asserted-by":"crossref","unstructured":"Bessembinder, H.\n                and \n                  Lemmon, M.L.\n                (2002), \u201cEquilibrium pricing and optimal hedging in electricity forward markets\u201d, \n                  The Journal of Finance\n               , Vol. 57 No. 3, pp. 1347-82.","DOI":"10.1111\/1540-6261.00463"},{"key":"key2022031120425582600_b5","unstructured":"Bhardwaj, M.\n                and \n                  Wadadekar, A.\n                (2010), \u201cCarbon credit for environmental management\u201d, \n                  NSE Newsletter\n               , pp. 1-4."},{"key":"key2022031120425582600_b6","doi-asserted-by":"crossref","unstructured":"Borak, S.\n               , \n                  H\u00e4rdle, W.\n               , \n                  Tr\u00fcck, S.\n                and \n                  Weron, R.\n                (2006), \u201cConvenience yields for CO2 emission allowance futures contracts\u201d, SFB 649 discussion paper 2006-076, Humboldt Universit\u00e4t zu Berlin, pp. 1-30.","DOI":"10.2139\/ssrn.2894390"},{"key":"key2022031120425582600_b7","doi-asserted-by":"crossref","unstructured":"Chevallier, J.\n                (2010), \u201cModeling risk premia in CO2 allowances spot and futures prices\u201d, \n                  Economic Modeling\n               , Vol. 27 No. 3, pp. 717-29.","DOI":"10.1016\/j.econmod.2010.01.012"},{"key":"key2022031120425582600_b8","doi-asserted-by":"crossref","unstructured":"Considini, T.J.\n                and \n                  Larson, D.F.\n                (2001), \u201cRisk premium on inventory assets: the case of crude oil and natural gas\u201d, \n                  Journal of Futures Markets\n               , Vol. 21 No. 2, pp. 109-26.","DOI":"10.1002\/1096-9934(200102)21:2<109::AID-FUT1>3.0.CO;2-A"},{"key":"key2022031120425582600_b10","unstructured":"Daskalakis, G.\n                and \n                  Markellos, R.N.\n                (2008), \u201cAre the European carbon markets efficient?\u201d, \n                  Review of Futures Markets\n               , Vol. 17 No. 2, pp. 103-28."},{"key":"key2022031120425582600_b9","doi-asserted-by":"crossref","unstructured":"Daskalakis, G.\n                and \n                  Markellos, R.N.\n                (2009), \u201cAre electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext\u201d, \n                  Energy Policy\n               , Vol. 37 No. 7, pp. 2594-604.","DOI":"10.1016\/j.enpol.2009.02.010"},{"key":"key2022031120425582600_b11","doi-asserted-by":"crossref","unstructured":"Daskalakis, G.\n               , \n                  Psychoyios, D.\n                and \n                  Markellos, R.\n                (2009), \u201cModeling CO2 emission allowance prices and derivatives: evidence from the European trading scheme\u201d, \n                  Journal of Banking and Finance\n               , Vol. 33 No. 7, pp. 1230-41.","DOI":"10.1016\/j.jbankfin.2009.01.001"},{"key":"key2022031120425582600_b12","unstructured":"Dellink, R.\n               , \n                  Jamet, S.\n               , \n                  Chateau, J.\n                and \n                  Duval, R.\n                (2010), \u201cTowards global carbon pricing: direct and indirect linking of carbon markets\u201d, OECD environmental working paper No. 20, OECD Publishing, pp. 1-39."},{"key":"key2022031120425582600_b13","doi-asserted-by":"crossref","unstructured":"Diko, P.\n               , \n                  Lawford, S.\n                and \n                  Limpens, V.\n                (2006), \u201cRisk premia in electricity forward prices\u201d, \n                  Studies in Nonlinear Dynamics and Econometrics\n               , Vol. 10 No. 3, pp. 1-27.","DOI":"10.2202\/1558-3708.1358"},{"key":"key2022031120425582600_b14","unstructured":"Hill, J.\n               , \n                  Jennings, T.\n                and \n                  Vanezi, E.\n                (2008), \u201cThe emissions trading market: risks and challenges\u201d, working paper, Financial Services Authority, FSA Commodities group, pp. 1-43."},{"key":"key2022031120425582600_b15","unstructured":"Karakatsani, N.V.\n                and \n                  Bunn, D.W.\n                (2005), \u201cDiurnal reversals of electricity forward premia\u201d, mimeo, Department of Decision Sciences, London Business School, London."},{"key":"key2022031120425582600_b17","doi-asserted-by":"crossref","unstructured":"Kerr, S.\n                (2008), \u201cAccounting policy and carbon credits\u201d, \n                  Journal of Business and Economic Research\n               , Vol. 6 No. 8, pp. 77-88.","DOI":"10.19030\/jber.v6i8.2463"},{"key":"key2022031120425582600_b16","unstructured":"Keynes, J.\n                (1930), \n                  A Treatise on Money\n               , Vol. 2, Macmillan, London."},{"key":"key2022031120425582600_b18","doi-asserted-by":"crossref","unstructured":"Longstaff, F.A.\n                and \n                  Wang, A.W.\n                (2004), \u201cElectricity forward prices: a high-frequency empirical analysis\u201d, \n                  Journal of Finance\n               , Vol. 59 No. 4, pp. 1877-900.","DOI":"10.1111\/j.1540-6261.2004.00682.x"},{"key":"key2022031120425582600_b19","doi-asserted-by":"crossref","unstructured":"Paolella, M.\n                and \n                  Taschini, L.\n                (2008), \u201cAn econometric analysis of emission allowance prices\u201d, \n                  Journal of Banking and Finance\n               , Vol. 32 No. 10, pp. 2022-32.","DOI":"10.1016\/j.jbankfin.2007.09.024"},{"key":"key2022031120425582600_b20","doi-asserted-by":"crossref","unstructured":"Pindyck, R.\n                (2001), \u201cThe dynamics of commodity spot and futures markets: a primer\u201d, \n                  The Energy Journal\n               , Vol. 22 No. 3, pp. 1-29.","DOI":"10.5547\/ISSN0195-6574-EJ-Vol22-No3-1"},{"key":"key2022031120425582600_b21","doi-asserted-by":"crossref","unstructured":"Pinho, C.\n                and \n                  Madaleno, M.\n                (2010), \u201cCO2 emission allowances and other fuel markets interaction\u201d, working paper, GOVCOPP and University of Aveiro, Aveiro, September.","DOI":"10.1007\/s10018-011-0014-2"},{"key":"key2022031120425582600_b22","doi-asserted-by":"crossref","unstructured":"Pope, J.\n                and \n                  Owen, A.\n                (2009), \u201cEmissions trading schemes: potential revenue effects, compliance costs and overall tax policy\u201d, \n                  Energy Policy\n               , Vol. 37 No. 11, pp. 4595-603.","DOI":"10.1016\/j.enpol.2009.06.014"},{"key":"key2022031120425582600_b23","doi-asserted-by":"crossref","unstructured":"Prabhakant\n                and \n                  Tiwari, G.\n                (2009), \u201cEvaluation of carbon credits earned by energy security in India\u201d, \n                  International Journal of Low Carbon Technologies\n               , Vol. 4 No. 1, pp. 42-51.","DOI":"10.1093\/ijlct\/ctp004"},{"key":"key2022031120425582600_b24","doi-asserted-by":"crossref","unstructured":"Redl, C.\n               , \n                  Haas, R.\n               , \n                  Huber, C.\n                and \n                  Bohm, B.\n                (2009), \u201cPrice formation in electricity forward markets and the relevance of systematic forecast errors\u201d, \n                  Energy Economics\n               , Vol. 31 No. 3, pp. 356-64.","DOI":"10.1016\/j.eneco.2008.12.001"},{"key":"key2022031120425582600_b25","doi-asserted-by":"crossref","unstructured":"Schwartz, E.\n                (1997), \u201cThe stochastic behavior of commodity prices: implications for valuation and hedging\u201d, \n                  Journal of Finance\n               , Vol. 52 No. 3, pp. 923-73.","DOI":"10.1111\/j.1540-6261.1997.tb02721.x"},{"key":"key2022031120425582600_b26","doi-asserted-by":"crossref","unstructured":"Seifert, J.\n               , \n                  Uhrig-Homburg, M.\n                and \n                  Wagner, M.\n                (2008), \u201cDynamic behavior of CO2 spot prices\u201d, \n                  Journal of Environmental Economics and Management\n               , Vol. 56 No. 2, pp. 180-94.","DOI":"10.1016\/j.jeem.2008.03.003"},{"key":"key2022031120425582600_b27","unstructured":"Uhrig-Homburg, M.\n                and \n                  Wagner, M.\n                (2006), \u201cSuccess chances and optimal design of derivatives on CO2 emission certificates\u201d, working paper, University of Karlsruhe, Karlsruhe."},{"key":"key2022031120425582600_b28","doi-asserted-by":"crossref","unstructured":"Uhrig-Homburg, M.\n                and \n                  Wagner, M.\n                (2008), \u201cDerivative instruments in the EU emissions trading scheme: an early market perspective\u201d, \n                  Energy and Environment\n               , Vol. 19 No. 5, pp. 635-55.","DOI":"10.1260\/095830508784815892"},{"key":"key2022031120425582600_b29","doi-asserted-by":"crossref","unstructured":"Wei, S.C.\n                and \n                  Zhu, Z.\n                (2006), \u201cCommodity convenience yield and risk premium determination: the case of the US natural gas market\u201d, \n                  Energy Economics\n               , Vol. 28 No. 4, pp. 523-34.","DOI":"10.1016\/j.eneco.2005.10.002"},{"key":"key2022031120425582600_b30","unstructured":"Wei, Y.M.\n               , \n                  Liu, L.C.\n               , \n                  Fan, Y.\n                and \n                  Wu, G.\n                (2008), \n                  China Energy Report 2008: Carbon Emission Research\n               , Science Press, Beijing."},{"key":"key2022031120425582600_b31","doi-asserted-by":"crossref","unstructured":"Weron, R.\n                (2008), \u201cMarket price of risk by Asian-style electricity options and futures\u201d, \n                  Energy Economics\n               , Vol. 30 No. 3, pp. 1098-115.","DOI":"10.1016\/j.eneco.2007.05.004"}],"container-title":["Management of Environmental Quality: An International Journal"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/www.emeraldinsight.com\/doi\/full-xml\/10.1108\/14777831111159699","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.emerald.com\/insight\/content\/doi\/10.1108\/14777831111159699\/full\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.emerald.com\/insight\/content\/doi\/10.1108\/14777831111159699\/full\/html","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,7,25]],"date-time":"2025-07-25T00:12:42Z","timestamp":1753402362000},"score":1,"resource":{"primary":{"URL":"http:\/\/www.emerald.com\/meq\/article\/22\/5\/550-565\/284982"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,8,9]]},"references-count":31,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2011,8,9]]}},"alternative-id":["10.1108\/14777831111159699"],"URL":"https:\/\/doi.org\/10.1108\/14777831111159699","relation":{},"ISSN":["1477-7835"],"issn-type":[{"value":"1477-7835","type":"print"}],"subject":[],"published":{"date-parts":[[2011,8,9]]}}}