Can stale oil price news predict stock returns?

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28 Citations (Scopus)

Abstract

We hand-collect time-series data on positive and negative oil price news from 100 news sources from around the world, covering 59,129 news articles on oil prices. Using time-series predictive regression models estimated for 45 countries, we show that: (a) positive and negative news predict stock returns for at most 12 countries for which the oil price does not predict returns; and (b) together the three oil price measures predict returns for at most 23/45 countries. Therefore, oil price news turns out to be more powerful in predicting returns in a horserace with oil price. We show that the ability of oil to predict returns is through the discount rate and cash flow channels. Our results survive a battery of robustness tests.

Original languageEnglish
Pages (from-to)430-444
Number of pages15
JournalEnergy Economics
Volume83
DOIs
Publication statusPublished - Sep 2019
Externally publishedYes

Keywords

  • Oil price news
  • Predictive regression
  • Stock returns
  • Time-series

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