0000000000863018
AUTHOR
Maria Mansanet Bataller
CO2 Prices and Portfolio Management
Since January 2005, the attention on European carbon markets has been increasing and thus the interest in studying the implications of the existence of two new assets in portfolio management. In this article we analyse both the characteristics of the EUAs Phase I and Phase II as a sole investment and the impact of including these two assets, considered separately, in a well-diversified portfolio. In order to control the problems of using historical returns, we have performed this analysis using as expected returns either historical returns or risk-adjusted returns. We find that, although the weights of EUAs are not too important when incorporating the EUAs in an optimal and well-diversified…
The Effects of National Allocation Plans on Carbon Markets
The release of information in carbon markets at its early state is characterized as being numerous and not scheduled. This paper analyzes the impact of National Allocation Plans announcements on carbon prices and their volatility during the period October 2004 through May 2007, during which time more than 70 announcements were released. In order to adapt event studies methodology to the particularities of our data, a sole series with lots of announcements, we propose the Truncated Mean Model that does not take into account big surprises in the estimation period. The results indicate that news has an influence on carbon prices on both the announcement day and previous days. Additionally, we …