Limits to Arbitrage and Hedging: Evidence from Commodity Markets
NBER Working Paper No. 16875
---- Acknowledgements -----
We thank Nitiwut Ussivakul, Prilla Chandra, Arun Subramanian, Virendra Jain, Krishan Tiwari and Ramin Baghai-Wadji for excellent research assistance, and seminar participants at the AFA 2010, ASAP Conference 2007, Columbia University, EFA 2009 (winner of Best Paper on Energy Markets, Securities and Prices Award), Princeton University, the UBC Winter Conference 2008, David Alexander, Sreedhar Bharath, Patrick Bolton, Pierre Collin-Dufresne, Joost Driessen, Erkko Etula, Gary Gorton, Jose Penalva, Helene Rey, Stephen Schaefer, Tano Santos, Raghu Sundaram and Suresh Sundaresan for useful comments. We are grateful to Sreedhar Bharath and Tyler Shumway for supplying us with their naive expected default frequency data. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.