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

Makram Bellalah (), Amine Ben Amar and Ephraim Clark
Additional contact information
Makram Bellalah: LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne
Ephraim Clark: Middlesex University [London]

Post-Print from HAL

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)
Date: 2024-08
References: Add references at CitEc
Citations:

Published in Economics Letters, 2024, 241, pp.Article number 111812. ⟨10.1016/j.econlet.2024.111812⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: 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:hal:journl:hal-04675525

DOI: 10.1016/j.econlet.2024.111812

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().