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

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  • Bellalah, Makram
  • Ben Amar, Amine
  • Clark, Ephraim

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.

Suggested Citation

  • Bellalah, Makram & Ben Amar, Amine & Clark, Ephraim, 2024. "Regret-aversion over different maturities: Application to energy futures markets," Economics Letters, Elsevier, vol. 241(C).
    • Handle: RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002969
    DOI: 10.1016/j.econlet.2024.111812
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    References listed on IDEAS

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    1. Delphine H. Lautier & Franck Raynaud & Michel A. Robe, 2019. "Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices," The Energy Journal, , vol. 40(3), pages 125-154, May.
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    3. Chris Brooks & Marcel Prokopczuk, 2013. "The dynamics of commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
    4. Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.
    5. Baule, Rainer & Korn, Olaf & Kuntz, Laura-Chloé, 2019. "Markowitz with regret," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 1-24.
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    More about this item

    Keywords

    Regret; Portfolio selection; Energy futures markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G40 - Financial Economics - - Behavioral Finance - - - General

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    Access and download statistics

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