Abstract
While much has been written about the effects of oil price on stock returns, surprisingly nothing is known about the effect of oil price news on stock returns. This article is a response to this research gap. For a large number of stocks on the New York Stock Exchange, the authors find that while oil price news does predict market returns it only predicts returns of some sectors and not all. They find that sorting stocks based on oil price news generates a significant return differential in the cross-section, which holds consistently across a range of models allowing for the well-known risk factors. Their findings suggest that information contained in oil price news affects stock returns.
| Original language | English |
|---|---|
| Pages (from-to) | 258-270 |
| Number of pages | 13 |
| Journal | Journal of Behavioral Finance |
| Volume | 18 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 3 Jul 2017 |
| Externally published | Yes |
Keywords
- Market
- Oil price news
- Risk factors
- Sectors
- Stock returns