Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/14721
Author(s): | Ramos, S. B. Taamouti, A. Veiga, H. Wang, C.-W. |
Date: | 2017 |
Title: | Do investors price industry risk? Evidence from the cross-section of the oil industry |
Volume: | 10 |
Number: | 1 |
Pages: | 79 - 108 |
ISSN: | 1756-3607 |
DOI (Digital Object Identifier): | 10.21314/JEM.2017.156 |
Keywords: | Anomalies Asset pricing Cross-sectional tests Oil industry Oil prices Time series tests |
Abstract: | Recent research identifies several industry-related patterns that standard asset pricing models cannot explain effectively. This paper investigates what explains the cross-section of returns of firms in the oil industry and, in particular, how well an oil factor performs in comparison with the common systematic factors identified in the literature. We conduct a time series analysis and demonstrate that the oil factor has substantial explanatory power over traditional factors. A cross-sectional regression shows that the size, momentum and oil factors are associated with a positive risk premium and are able to explain the cross-sectional variation in stock returns in the oil industry. Our results suggest that investors demand compensation for the exposure to oil price changes, which has implications for the computation of the cost of equity. |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
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Do_investors_price_industry_risk.pdf | Versão Editora | 599 kB | Adobe PDF | View/Open |
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