We propose and test a model of asymmetric performance-based arbitrage. While short arbitrageurs are forced to reduce their positions after a negative return, positive returns have no immediate effect on their managed funds. This price reaction is bounded by short-selling costs, because while...

This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities' future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premia are computed as the...