Regret-aversion over different maturities: Application to energy futures markets

Makram Bellalah, Amine Ben Amar and Ephraim Clark

Economics Letters, 2024, vol. 241, issue C

Abstract: We study investors’ aversion to regret within energy futures markets across different maturities. The findings reveal that regret-aversion is time-varying and particularly pronounced during periods characterized by high levels of stress and uncertainty. Furthermore, the magnitude of regret-aversion diminishes as we transition from shorter to longer maturities. Additionally, regret-aversion displays greater volatility over shorter maturities compared to longer ones.

Keywords: Regret; Portfolio selection; Energy futures markets (search for similar items in EconPapers)
JEL-codes: G11 G40 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176524002969
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Regret-aversion over different maturities: Application to energy futures markets (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002969

DOI: 10.1016/j.econlet.2024.111812

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().