Fleming and Ostdiek are at the Jones Graduate School, Rice University; Kirby is at the John E. Walker Department of Economics, Clemson University. Much of this research was completed while Ostdiek was visiting at the London Business School and Kirby was at the University of Texas at Dallas. We thank Gordon Bennett, Steve Koenig, and Dave Ostdiek for providing information on the agricultural commodity markets, Robert Gaudette for providing information on the natural gas markets, Craig Solberg for providing information on the weather-sensitive seasons in these markets, and Matthew Richardson and Robert Whitelaw for sharing their information and understanding of the orange juice market. We thank Tom George, Joel Hasbrouck, George Oldfield, Sergei Sarkissian, Tom Smith, Rob Stambaugh, and an anonymous referee for providing useful comments on a previous draft. We also thank seminar participants at City University, Clemson University, London Business School, Rice University, Southern Methodist University, University of Texas at Dallas, University of Warwick, and the 2004 Western Finance Association meetings (especially Duane Seppi, the discussant) for providing many useful comments. Hubert Marcus, Elise McCutchen, and Parel Patel provided invaluable research assistance.
Information, Trading, and Volatility: Evidence from Weather-Sensitive Markets
Version of Record online: 11 JAN 2007
© 2006 the American Finance Association
The Journal of Finance
Volume 61, Issue 6, pages 2899–2930, December 2006
How to Cite
FLEMING, J., KIRBY, C. and OSTDIEK, B. (2006), Information, Trading, and Volatility: Evidence from Weather-Sensitive Markets. The Journal of Finance, 61: 2899–2930. doi: 10.1111/j.1540-6261.2006.01007.x
- Issue online: 11 JAN 2007
- Version of Record online: 11 JAN 2007
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