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

Author

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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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    More about this item

    Keywords

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    JEL classification:

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

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