Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums

► We analyse electricity futures prices from the Dutch and the NordPool market. ► We examine if the prices contain expected risk premiums or have forecasting power. ► Prices of electricity produced with imperfectly storable fuels have forecasting power. ► Produced with perfectly storable fuels prices also contain time-varying risk premiums. ► These findings provide insight in the applicability of forward price models.