Kogan is at the Sloan School of Management, Massachusetts Institute of Technology and NBER. Livdan is at the Haas School of Business, University of California, Berkeley. Yaron is at the Wharton School, University of Pennsylvania and NBER. We would like to thank two anonymous referees, Kerry Back, Darrell Duffie, Pierre Collin-Dufresne, Francis Longstaff, and Craig Pirrong for detailed comments. We also thank seminar participants at University of California, Berkeley, Northwestern University, Texas A&M University, Stanford University, the 2004 Western Finance Association meeting, the 2004 Society of Economic Dynamics meeting, and the 2004 European Econometric Society meeting for useful suggestions. We also thank Krishna Ramaswamy for providing us with the futures data and Jeffrey R. Currie and Michael Selman for discussion and materials on the oil industry. Financial support from the Rodney L. White Center for Financial Research at the Wharton School is gratefully acknowledged.
Oil Futures Prices in a Production Economy with Investment Constraints
Version of Record online: 20 MAY 2009
© 2009 the American Finance Association
The Journal of Finance
Volume 64, Issue 3, pages 1345–1375, June 2009
How to Cite
KOGAN, L., LIVDAN, D. and YARON, A. (2009), Oil Futures Prices in a Production Economy with Investment Constraints. The Journal of Finance, 64: 1345–1375. doi: 10.1111/j.1540-6261.2009.01466.x
- Issue online: 20 MAY 2009
- Version of Record online: 20 MAY 2009
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