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Drivers and pass-through of the EU ETS price: Evidence from the power sector
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Drivers and pass-through of the EU ETS price: Evidence from the power sector (2023)Drivers and pass-through of the EU ETS pr…The European Union Emissions Trading System reduced CO 2 emissions despite low prices (2020)The European Union Emissions …Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)Causes of the EU ETS price dr…Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals (2012)Price determination in the EU…Carbon price drivers: Phase I versus Phase II equilibrium? (2011)Carbon price drivers: Phase I…Allowance price drivers in the first phase of the EU ETS (2009)Allowance price drivers in th…Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…An econometric analysis of emission allowance prices (2008)An econometric analysis of em…CO2 Prices, Energy and Weather (2007)CO2 Prices, Energy and WeatherCO 2 cost pass-through and windfall profits in the power sector (2006)CO 2 cost pass-through and wi…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…The Economics of Pollution Permit Banking in the Context of Title IV of the 1990 Clean Air Act Amendments (2000)The Economics of Pollution Pe…Bankable permits for the control of environmental pollution (1997)Bankable permits for the cont…A Model of Intertemporal Emission Trading, Banking, and Borrowing (1996)A Model of Intertemporal Emis…Expected stock returns and volatility (1987)Expected stock returns and vo…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Corporate Carbon and Financial Performance: A Meta‐analysis (2017)What will China's carbon emission trading market affect with only electricity sector involvement? A CGE based study (2018)Pollution, Property and Prices (1969)Markets in licenses and efficient pollution control programs (1972)Sulfur Dioxide Control by Electric Utilities: What Are the Gains from Trade? (2000)Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Panel Data Models With Interactive Fixed Effects (2009)Comparative Politics and the Synthetic Control Method (2014)Revisiting the social cost of carbon (2017)Does carbon pricing reduce emissions? A review of ex-post analyses (2021)The effectiveness of China’s regional carbon market pilots in reducing firm emissions (2021)The joint impact of the European Union emissions trading system on carbon emissions and economic performance (2022)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)MIDAS Regressions: Further Results and New Directions (2007)Stock Market Volatility and Macroeconomic Fundamentals (2012)Orange Juice and Weather (1984)Critical Values for Cointegratio11 Tests* (1991)Critical Values for Cointegration Tests (2010)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Simple Approximate Long-Memory Model of Realized Volatility (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Can environmental innovation facilitate carbon emissions reduction? Evidence from China (2016)Pricing Carbon: The European Union Emissions Trading Scheme (2010)The Valuation Relevance of Greenhouse Gas Emissions under the European Union Carbon Emissions Trading Scheme (2014)Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme (2015)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies854 cited
  • 2008Modeling the price dynamics of CO2 emission allowances697 cited
  • 2006CO 2 cost pass-through and windfall profits in the power sector576 cited
  • 2020The European Union Emissions Trading System reduced CO 2 emissions despite low prices544 cited
  • 1996A Model of Intertemporal Emission Trading, Banking, and Borrowing485 cited
  • 2007CO2 Prices, Energy and Weather471 cited
  • 2014Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence447 cited
  • 2009Allowance price drivers in the first phase of the EU ETS441 cited
  • 2011Carbon price drivers: Phase I versus Phase II equilibrium?329 cited
  • 2008An econometric analysis of emission allowance prices327 cited
  • 2012Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals295 cited
  • 1997Bankable permits for the control of environmental pollution

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273 cited
  • 2000The Economics of Pollution Permit Banking in the Context of Title IV of the 1990 Clean Air Act Amendments268 cited
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