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Research

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Research

Research

The Energy Institute at the Price College of Business has created a research arm to explore energy solutions that will drive key decisions for energy companies and energy policy makers. In addition to this leadership in rigorous energy research, the Energy Institute aims to foster energy scholarship on a global perspective.  Boasting one of the nation's leading communities of scholars, the Energy Institute is studying such topics as energy finance and economics, energy accounting issues, risk management in the energy industry and the environmental impact of corporate decisions.  

Key highlights include:

  • Collaboration with the U.S. Energy Information Administration (EIA) - the Energy Institute has received multiple research grants in support of the EIA's energy and financial markets initiative.  An example includes  Contango in Cushing? Evidence on Financial-Physical Interactions in the U.S. Crude Oil Market
  • Price Energy Scholars have been invited to participate as experts by multiple high level external panels and energy conferences including the U.S. Energy Information Administration and the International Monetary Fund
  • Funding from the U.S. Commodity Futures Trading Commission, the IMF, the National Science Foundation, the World Bank and numerous private firms and foundations
  • Doctoral Research Support - the Energy Institute is committed to creating the next generation of energy business scholars and sponsors a competitive doctoral fellowship program to support energy-relevant doctoral dissertations. 

Energy and Related Research

Faculty Example Grant Activity for Energy-Related Research

U.S. Department of Energy, “Factors Influencing Petroleum Product Prices: A Survey of the Current State of Knowledge”, funded,   L. Ederington, C. Fernando, S. Linn, 2014.

International Monetary Fund, “The Response of U.S. Natural Gas Futures and Spot Prices to Storage Change Surprises and the Effect of Escalating Physical Gas Production,” funded, S.Z. Chiou-Wei , S. Linn, Z. Zhu, 2013.

U.S. Department of Energy, “The Effect of Cash and Carry Arbitrage on Spot Oil Prices”, funded,  L.Ederington, C. Fernando, S. Linn, 2012.

U.S. Commodity Futures Trading Commission, ““Analysis of Commodity Markets,” funded,  
P. Yadav, M. Robe, V. Raman, 2010, 2012.

U.S. Department of Energy, Energy Information Administration, “Factors Influencing Oil Prices: Current State of Knowledge and Future Research Directions”, funded,  L. Ederington,  C. Fernando, S. Linn, 2010

National Science Foundation, “Physical and Financial Risk in Energy Networks,” funded,   M. Ilic, C. Fernando, P. Kleindorfer, I. Vogelsang and P. Yoon, 2003-2006. Grant No. ECS-0323620 

World Bank Research Contract, “The Role of Real Options in Assessing Environmental
Investments,” funded, C. Fernando, 1998/99.

Published Research of Price College Faculty

In addition to the published papers listed below Price College faculty have research underway touching on such questions as the implications of storage constraints on the no arbitrage relation between spot and futures oil prices, price discovery in the oil market, the determinants of petroleum product prices, the relation between drilling activity and futures prices for oil and natural gas, and the provision of liquidity in the oil futures market.

Scott Linn, S.Z. Chiou-Wei and Zhen Zhu, “The Response of U.S. Natural Gas Futures and Spot Prices to Storage Change Surprises and the Effect of Escalating Physical Gas Production,” Journal of International Money and Finance 42, 2014, 156-173.

Louis Ederington, Chitru Fernando, and Michael Dewally, “Determinants of trader profits in commodity futures markets,” Review of Financial Studies 26, 2013, 2648-2683.

Louis Ederington and Jae Ha Lee, “Who Trades Futures and How: Evidence From the Heating Oil Futures Market,” Journal of Business, 2002.

Louis Ederington and Jesus Salas, “Minimum Variance Hedging when Spot Price Changes are Partially Anticipated,” Journal of Banking and Finance 33, 2009, 234-243. 

Scott Linn and Zhen Zhu, “Forecasting Performance of Fundamental Natural Gas Price Models, Hedging Strategies and the Average Cost of Gas:  A Study of the U.S. Natural Gas Market,” Review of Futures Markets 14, 2006, 485-518.        

Scott Linn and Zhen Zhu, “Natural Gas Prices and the Gas Storage Report:  Public News and Volatility in Energy Futures Markets, Journal of Futures Markets 24, 2004, 283-313.

Louis Ederington and Jae Ha Lee, “Who Trades Futures and How: Evidence From the Heating Oil Futures Market,” Journal of Business, 2002, 353-374.

Gary Emery and Qingfeng Liu, “An Analysis of the Relationship Between Electricity and Natural Gas Futures Prices,” Journal of Futures Markets 22, 2002, 95-122.

Chitru Fernando, P. Kleindorfer and D-J. Wu, “Strategic Gaming in Electric Power  Markets,” European Journal of Operational Research 130, 2001, 156-168.

Scott Linn, Veljko Fotak, and Zhen Zhu, “Natural Gas Price Volatility,” Natural Gas and Electricity 24, 2008 , 8-13.

Hamed Mahmudi and P.C. Flynn, The Economics of Biomass Transportation for Power Generation, LAP LAMBERT Academic Publishing, Germany, 2010.

Hamed Mahmudi and  P.C. Flynn  2006  . Rail versus Truck Transport of Biomass. Applied Biochemistry and Biotechnology 129-1322006, 88–103.

Chitru Fernando, Paul Kleindorfer and D.J. Wu, “Strategic Gaming in Electric Power Markets,” in Proceedings of the 33rd Annual Hawaii International Conference on System Sciences edited by R. Sprague, Jr., IEEE Computer Science Society Press, Los Alamitos, CA, 2000.

Chitru Fernando and Paul Kleindorfer, “Integrating Financial and Physical Contracting in Electric Power Markets,” in The Virtual Utility, edited by Shimon Awerbuch and Alistair Preston, Kluwer Academic Publishers, Boston, 1996.

Chitru Fernando, Michael Crew and Paul Kleindorfer, “Utilities under Competition: an Options-based Market A  roach,” in Pricing and Regulatory Innovations under Increasing Competition edited by Michael Crew, Kluwer Academic Publishers, Boston, 1996.

Chitru Fernando, M. Crew and P. Kleindorfer, “Theory of Peak-Load Pricing:  A Survey,” Journal of Regulatory Economics 8, 1995, 215-248.

 

Chitru Fernando, Paul Kleindorfer and Richard Tabors, “Unbundling the US Electric Power Industry: a Blueprint for Change,” MIT LEES Laboratory Research Monograph and Wharton School Risk Management and Decision Processes Center Research Monograph, No. 95-03-05, 1995.

Chitru Fernando and Michael Crew, “Pricing Priority Service: Theory versus Utility Practice,” in Incentive Regulation for Public Utilities edited by Michael Crew, Kluwer Academic Publishers, Boston, 1994.

Chitru Fernando and P. Kleindorfer, “Peak-Load Pricing and Reliability Under Uncertainty,” Journal of Regulatory Economics, 1993,5-23.

Lousis Ederington with Wei Guan, “Longer-term Time Series Volatility Forecasts,” Journal of Financial and Quantitative Analysis 45, 2010, 1055-1076.

Louis Ederington with Wei Guan, “How Asymmetric is U.S. Stock Market Volatility,” Journal of Financial Markets 13, 2010, 225-248.

Louis Ederington with Wei Guan, “The Bias in Time Series Volatility Forecasts,” Journal of Futures Markets 30, 2010, 305-323

Pradeep K. Yadav with Stephen J. Taylor and Y. Y. Zhang, “The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks”, Journal of Banking and Finance 34, 2010, 871-881.

Pradeep K. Yadav with S.J. Taylor and Y.Y. Zhang, “The Cross-Section of Implied Risk Neutral Skewness,” Journal of Derivatives 16, 2009, 1-15.

Louis Ederington  with Wei Guan, “The Information Frown in Option Prices,” Journal of Banking and Finance 29, 2005, 1429-1458.

Chitru Fernando with Tim Adam, “Hedging, Speculation, and Shareholder Value,” Journal of Financial Economics 81, 2006, 283-309.

Scott Linn and B. Stanhouse, “The Economic Advantage of Learners in a Spot/Futures Market,” Journal of Futures Markets 23, 2003, 151-168.

Louis Ederington with Wei Guan, “Measuring Implied Volatility.  Is an Average Better? Which Average?” Journal of Futures Markets, 2002), 811-837.

Louis Ederington with Jae Ha Lee, “Intraday Volatility in Interest Rate and Foreign Exchange Markets: ARCH, Announcement, and Seasonality Effects,” Journal of Futures Markets, 2001, 517-552.

Bryan Stanhouse with M. Bertus, “Rational Speculative Bubbles in the Gold Futures Market; An Application of Dynamic Factor Analysis,” Journal of Futures Market, 2001, 79-108.

Chitru Fernando with N.K Chidambaran and P. Spindt, “Credit Enhancement Through Financial Engineering:  Freeport-McMoRan’s Gold Denominated Depository Shares,” Journal of Financial Economics 60, 2001, 487-528.

Pradeep K. Yadav with N.Y. Naik, “Risk Management with Derivatives by Dealers and Market Quality in Government Bond Markets”, Journal of Finance 58, 2003, 1873-1904.

Louis Ederington with Jae Ha Lee, “The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility,” Journal of Financial and Quantitative Analysis 31, 1996, 513-539.

Louis Ederington with Jae Ha Lee, "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis 30, 1995, 117-134.

Scott Linn with Jae Ha Lee, "Intraday and Overnight Volatility of Stock Index and Stock Index Futures Returns," Review of Futures Markets 13, 1994), 1-29.

Pradeep K. Yadav with P.F. Pope, "Intraweek and Intraday Seasonalities in Stock Market Risk Premia : Cash vs Futures", Journal of Banking and Finance 16, 1992, 233-270.

Scott Linn with Larry J. Lockwood, "An Examination of Stock Market Return Volatility During Intraday and Overnight Periods, 1964 - 1989," Journal of Finance 45, June 1990, 591-601.

Louis Ederington, "The Hedging Performance of the New Futures Markets," Journal of Finance 34, 1979, 157‑170.

Terry Crain, Karen Hennes, and Dipankar Ghosh, “The Effect of the Stage of Development of Reserves on Revisions to Proved Reserves,” Oil, Gas & Energy Quarterly 62, 2014, 473–
484.

Wayne Thomas with Yun Fan, “What Determines Management Cash Flow Forecasts in the Oil and Gas Industry?” Oil, Gas and Energy Quarterly 62, 2013, 37-55.

Terry Crain with Brad Lail, “Disclosure of reserves: Year-end prices versus average prices,"
Oil, Gas, & Energy Quarterly, 2011, 257-270.

Terry Crain with Donald J. Hupp, "Application of Section 111 to the Windfall Profit Tax Refund," Oil and Gas Tax Quarterly, 1981, 497-502. Reprinted in Readings in the Crude Oil Windfall Profit Tax, edited by D. Larry Crumbley and Craig E. Reese (Tulsa, OK: Penn Well Publishing Company, 1982),  336-341.

Evgenia Golubeva, "Chapter 18: Carbon Management and Environmental Issues", Energy Finance and Economics: Analysis and Valuation, Risk Management, and the Future of Energy, Betty J. Simkins and Russell E. Simkins  Editors  , John Wiley & Sons, Inc. 2013, 425 - 442.

Chitru Fernando, Nicholas Bartkoski and Mark Sharfman, “Environmental Risk Management and Cost of Capital: An International Perspective,” in George T. Solomon  Editor  , Best Paper Proceedings of the 2010 Academy of Management Annual Meeting,  2010.

Chitru Fernando, Mark Sharfman and Vahap Uysal, “Do Investors Want Firms to be Green? Environmental Performance, Ownership and Stock Market Liquidity,” in George T. Solomon  Editor  , Best Paper Proceedings of the 2009 Academy of Management Annual Meeting, 2009.

Chitru Fernando and Mark Sharfman, “The Capital Advantage of Green Firms,” FSR Forum 4, 2009, 18-23.

Mark Sharfman, Teresa Shaft and R. P.  Anex, “The Road to Cooperative Supply-Chain Environmental Management:  Trust and Uncertainty Among Pro-Active Firms,” Business Strategy & the Environment 18, 2009, 1-13

Chitru Fernando and Mark Sharfman, “Environmental Risk Management and the Cost of Capital,” Strategic Management Journal 29, 2008, 569-592.

Chitru Fernando, Peter Meier and Mohan Munasinghe, “Dealing with Uncertainty: A Real Options Framework for Carbon Trading,” in Sustainable Energy in Developing Countries, edited by Peter Meier and Mohan Munasinghe, Edward Elgar, Northampton, MA,  2005.

Mark Sharfman, Teresa Shaft and L. Tihanyi,  “A Model of the Global and Institutional Antecedents of High-Level Corporate Environmental Performance,” Business and Society 4, 2004, 6-36.

Teresa Shaft, Mark Sharfman, and M. Swahn, “Using Inter-organizational Information Systems to Support Environmental Management Efforts at ASG,” Journal of Industrial Ecology, 5 4, 2002,95-115.

M. Meo, Mark Sharfman, and R.T.  Ellington, “Dupont’s Fortress® Insecticide And The Smartbox® Application System: Closing The Loop On Human And Environmental Exposure To Organophosphate Chemicals,” Pollution Prevention Review 11 4, 2001, 53-74.

Mark Sharfman, M. Meo and R. T.  Ellington, “Regulation, Business, and Sustainable Development: The Antecedents of Environmentally Conscious Technological Innovation,” American Behavioral Scientist 44 2, 2000, 277-302.

R.T. Ellington, Mark Sharfman and M. Meo, “DuPont, Conoco and the Biodegradable Grease Project: Using Innovation to Turn Chemical By-Products into a New Product,” Corporate Environmental Strategies 7, 2000 62-71.

Mark Sharfman, R. T. Ellington and M. Meo, M. “Conoco And The Vapor Recovery Project:  Using Innovation to Preserve Autonomy,” Journal of Industrial Ecology 3, 1999,93-110

Teresa Shaft, R.T.Ellington, M. Meo, and Mark Sharfman, “A Framework for Information Systems in Life-cycle Oriented Environmental Management,”   Journal of Industrial Ecology 1, 1997, 135-148.   Reprinted as background material for the 1997 National Academy of Engineering Annual Workshop on Industrial Ecology

R. T. Ellington, M. Meo, Mark Sharfman and Teresa Shaft, “A Management Method Based on Total Technical Systems and Total Lifecycle Analyses,” International Journal of Environmentally Conscious Design and Manufacturing 6, 1997, 11-28.

Mark Sharfman, R. T. Ellington and M. Meo, M, “The Next Step in Becoming Green: Life-cycle Oriented Environmental Management,” Business Horizons 40, 1997, 13-22.

Chitru Fernando, Paul Kleindorfer and Mohan Munasinghe, “Investing in the Common Good: Financing Global Environmental Initiatives,” in Energy, Environment and the Economy, edited by Paul Kleindorfer, Howard Kunreuther and David Hong, Edward Elgar Publishers, Cheltenham, 1996.

Chitru Fernando, Kevin Fitzgerald, Paul Kleindorfer and Mohan Munasinghe, “Financing Global Environmental Programs: Efficient A  roaches to Cooperation and Institutional Design,” in Global Climate Change: Economic and Policy Issues, edited by Mohan Munasinghe, The World Bank, Washington, DC, 1995.

Chitru Fernando, P. Kleindorfer and M. Munasinghe, “Integrated Resource Planning in Developing Countries with Environmental Costs,” Energy Journal 15, 1994, 93-121.

Chitru Fernando, Paul Kleindorfer and Mohan Munasinghe, “Economic Design for Implementing the Montreal Protocol: Country Plans and Global Efficiency,” World Bank Environment Department Research Monograph, No. 1993-41, 1993.

Chitru Fernando, Paul Kleindorfer and Kevin Fitzgerald, “Financing Global Environmental Programs: Institutional Design with Equity and Efficiency,” The Wharton School Risk Management and Decision Processes Center Research Monograph, No. 93-10-02, 1993.

Chitru Fernando, Franklin Allen, Paul Kleindorfer and Isidore Rosenthal, “Implementing the Montreal Protocol in Less Developed Countries: Country Plans and Global Efficiency,” The Wharton School Risk Management and Decision Processes Center Research Monograph, 1991.

Chitru Fernando, Franklin Allen, Paul Kleindorfer and Isidore Rosenthal, “Issues and Options in Implementing the Montreal Protocol in Less Developed Countries: A Research-oriented Perspective,” The Wharton School Risk Management and Decision Processes Center Research Monograph, 1991.