Measuring the risk-adjusted performance of CO2 Emission Markets: Evidence from SENDECO2

Feria Domínguez, José Manuel; Rodriguez-Carrillero, David; Guerra-Martinez, José Carlos

Publication:
Measuring the risk-adjusted performance of CO2 Emission Markets: Evidence from SENDECO2

dc.contributor.author	Feria Domínguez, José Manuel
dc.contributor.author	Rodriguez-Carrillero, David
dc.contributor.author	Guerra-Martinez, José Carlos
dc.date.accessioned	2024-01-19T12:01:23Z
dc.date.available	2024-01-19T12:01:23Z
dc.date.issued	2018-02-01
dc.description.abstract	This paper analyzes the historical risk-adjusted performance of CO2 emission allowances traded on SENDECO2 (the reference market for Southern Europe) by using the daily spot prices of the European Union Allowances (EUAs) and Certified Emission Reductions (CERs) from 2008 to 2012. We revisit the Sharpe-ratio, taking into account the modified version proposed by Ferruz and Sarto (1997), to propose a new performance indicator, the Sharpe-VaRFS, estimated by Monte Carlo simulation. Due to the existing imbalances between demand and supply for allowances, both the EUA and CER markets underperform when compared with financial stock markets, being unattractive to potential investors.
dc.description.sponsorship	Departamento de Economía Financiera y Contabilidad
dc.identifier.citation	Utilities Policy, Volume 50, 2018, Pages 124-132
dc.identifier.doi	10.1016/j.jup.2017.12.001
dc.identifier.uri	https://hdl.handle.net/10433/19428
dc.language.iso	en
dc.publisher	Elsevier
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 International	en
dc.rights.accessRights	restricted access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject	CO2 allowances
dc.subject	Risk-adjusted performance indicators
dc.subject	Value at risk
dc.subject	Sharpe-VaR ratio
dc.subject	Monte Carlo simulation
dc.subject	SENDECO2
dc.title	Measuring the risk-adjusted performance of CO2 Emission Markets: Evidence from SENDECO2
dc.type	journal article
dc.type.hasVersion	AM
dspace.entity.type	Publication
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relation.isAuthorOfPublication.latestForDiscovery	e0064974-5add-4361-8d54-c625ef2be2d4