期刊
FINANCIAL REVIEW
卷 46, 期 1, 页码 165-191出版社
WILEY
DOI: 10.1111/j.1540-6288.2010.00295.x
关键词
oil shocks; oil risk exposure; oil and gas sector
资金
- University of St. Thomas
- Opus College of Business
We estimate oil price risk exposures of the U.S. oil and gas sector using the FamaFrench-Carhart's four-factor asset pricing model augmented with oil price and interest rate factors. Results show that the market, book-to-market, and size factors, as well as momentum characteristics of stocks and changes in oil prices are significant determinants of returns for the sector. Oil price risk exposures of U. S. oil and gas companies in the oil and gas sector are generally positive and significant. Our study also finds that oil price risk exposures vary considerably over time, and across firms and industry subsectors.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据