My website has moved to julianterstegge.com
My website has moved to julianterstegge.com
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juter at umich dot edu
Carbon VIX: Carbon Price Uncertainty and Decarbonization Investments
with Maximilian Fuchs and Johannes Stroebel
Forthcoming at the Journal of Financial Economics
Does policy uncertainty shape real climate investment?
We build a market-based measure of carbon-price uncertainty and show that uncertainty discourages decarbonization investment.
Featured in VoxEu, NBER, CEPR
Video: Virtual Derivatives Workshop
Data: carbonvix.org
The Carbon VIX
Revision requested at the Review of Financial Studies
Can market design create systematic transfers between investors?
We show that settlement rules and intermediary hedging make many index-derivative payoffs predictably biased, shifting billions of dollars across investors each year.
The S&P 500 Around Option Expiry
Do intermediary constraints affect risk premia?
I show that dealers’ exposure to unhedgeable overnight equity risk helps explain when and where option risk premia arise.
Cumulative Put Option Returns Around The Emergence of Overnight Equity Trading
Derivative dealers inventory hedging creates systematic and predictable equity trade flows around economic events.