In this paper, we provide new evidence on the determinants of EU emission allowance prices by analyzing the most recent time period, i.e. phases III and IV. We consider energy (oil, natural gas, coal) and electricity prices as well as profit spreads of marginal power generation (clean dark...

In this paper, we provide new evidence on the determinants of EU emission allowance prices by analyzing the most recent time period, i.e. phases III and IV. We consider energy (oil, natural gas, coal) and electricity prices as well as profit spreads of marginal power generation (clean dark...

We contribute to the literature by analyzing forecast combination methods in the context of machine learning to predict equity returns. Whilst individual models lack robustness, forecast combinations display stability and are able to produce improved results with Sharpe ratios up to 3.16. We use...

We investigate the impact of product market competition on firms’ systematic risk. Using a measure of total product market similarity, we document a strong negative link between market power and market betas. There is a more than threefold increase in the effect during the most recent...

In this paper, we study the quality of commodity futures markets. We investigate the impact of two major changes: (1) The influx of index investors after 2004 (financialization) and (2) the introduction of side-by-side trading of open-outcry and electronic limit order markets around mid-2006...

We study factor pricing and market integration across major asset classes. Factor models specializing in one asset class have limited pricing power for other asset classes. Thus, we reject perfect market integration. However, an optimal integrated factor model across asset classes can...

We comprehensively investigate the usefulness of tail risk measures proposed in the literature. We evaluate both the statistical and the economic validity of the measures. The option-implied measure of Bollerslev and Todorov (2011b) (BT11Q) performs the best overall. While some other tail risk...