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http://hdl.handle.net/10071/6878
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Title: Risk factors in oil and gas industry returns: International evidence
Authors: Ramos, Sofia B.
Veiga, Helena
Keywords: Asymmetric effects
Commodity price risk
Multifactor asset pricing models
Net oil prices
Oil industry
Panel data
Scaled oil prices
Issue Date: 2011
Publisher: Elsevier
Abstract: The recent boom in oil prices has attracted many investors to oil companies in search of both returns and diversification benefits. This analysis of the risk factors of investing in the oil and gas industry in 34 countries finds evidence that oil price is a globally priced factor for the oil industry. The oil and gas sector in developed countries responds more strongly to oil price changes than in emerging markets. Oil and gas industry returns also respond asymmetrically to changes in oil prices; oil price rises have a greater impact than oil price drops. There is no parallel to the asymmetry of oil price changes in other industries related to commodities. If there is any asymmetry, it is in the opposite direction from oil. Negative commodity price changes have a greater impact than positive ones. The results seem to indicate that the oil and gas industry is distinguished by a pass-through effect.
Description: WOS:000289827300018 (Nº de Acesso Web of Science)
“Prémio Científico ISCTE-IUL 2012”
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/14215
http://hdl.handle.net/10071/6878
ISSN: 0140-9883
Publisher version: The definitive version is available at: http://dx.doi.org/10.1016/j.eneco.2010.10.005
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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