Oil Risk Exposure: The Case of the U.S. Oil and Gas Sector

被引：72
|
作者：
Mohanty, Sunil [1 ]
Nandha, Mohan [2 ]
机构：
[1] Univ St Thomas, Opus Coll Business, Dept Finance, 1000 LaSalle Ave, Minneapolis, MN 55403 USA
[2] Monash Univ, Clayton, Vic, Australia
来源：
FINANCIAL REVIEW | 2011年 / 46卷 / 01期
关键词：
oil shocks; oil risk exposure; oil and gas sector;
D O I：
10.1111/j.1540-6288.2010.00295.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：165 / 191
页数：27
相关论文
共 50 条
12345