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

Author

Listed:
  • Makram Bellalah

    (LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne)

  • Amine Ben Amar

    (UM6P - Africa Business School, Université Mohammed VI Polytechnique)

  • Ephraim Clark

    (Middlesex University [London])

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

  • Makram Bellalah & Amine Ben Amar & Ephraim Clark, 2024. "Regret-aversion over different maturities: Application to energy futures markets," Post-Print hal-04675525, HAL.
    • Handle: RePEc:hal:journl:hal-04675525
    DOI: 10.1016/j.econlet.2024.111812
    as

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